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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Inventure Foods, Inc. (MM) | NASDAQ:SNAK | NASDAQ | Common Stock |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 3.995 | 3.24 | 4.01 | 0 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04323
Natixis Funds Trust I
(Exact name of Registrant as specified in charter)
399 Boylston Street,
Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
NGAM Distribution, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: September 30
Date of reporting period: March 31, 2013
Item 1. Reports to Stockholders.
The Registrants semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
SEMIANNUAL REPORT
March 31, 2013
Loomis Sayles Core Plus Bond Fund
Loomis Sayles High Income Fund
Loomis Sayles International Bond Fund
Loomis Sayles Limited Term Government
and Agency Fund
Portfolio of Investments page 14
Notes to Financial Statements page 69
LOOMIS SAYLES CORE PLUS BOND FUND
Managers | Symbols | |||
Peter W. Palfrey, CFA | Class A | NEFRX | ||
Richard G. Raczkowski | Class B | NERBX | ||
Loomis, Sayles & Company, L.P. | Class C | NECRX | ||
Class N | NERNX | |||
Class Y | NERYX |
Objective
Seeks high total investment return through a combination of current income and capital appreciation
Strategy
Under normal market conditions, the Fund will invest at least 80% of its net assets (plus any borrowings made for investment purposes) in bonds, which include debt securities of any maturity. In addition, the Fund normally will invest primarily in investment-grade securities. The Fund may also invest up to 20% of its assets, at the time of purchase, in bonds rated below investment-grade.
1 |
Average Annual Total Returns March 31, 2013 3
6 Months | 1 Year | 5 Years | 10 Years |
Since
Class N Inception |
||||||||||||||||
Class A (Inception 11/7/73) | ||||||||||||||||||||
NAV | 2.16 | % | 9.10 | % | 8.97 | % | 6.97 | % | | % | ||||||||||
With 4.50% Maximum Sales Charge | -2.45 | 4.17 | 7.96 | 6.48 | | |||||||||||||||
Class B (Inception 9/13/93) | ||||||||||||||||||||
NAV | 1.82 | 8.29 | 8.15 | 6.18 | | |||||||||||||||
With CDSC 1 | -3.11 | 3.29 | 7.86 | 6.18 | | |||||||||||||||
Class C (Inception 12/30/94) | ||||||||||||||||||||
NAV | 1.70 | 8.29 | 8.15 | 6.17 | | |||||||||||||||
With CDSC 1 | 0.72 | 7.29 | 8.15 | 6.17 | | |||||||||||||||
Class N (Inception 2/1/13) | ||||||||||||||||||||
NAV | | | | | 0.55 | |||||||||||||||
Class Y (Inception 12/30/94) | ||||||||||||||||||||
NAV | 2.28 | 9.39 | 9.25 | 7.26 | | |||||||||||||||
Comparative Performance | ||||||||||||||||||||
Barclays U.S. Aggregate Bond Index 2 | 0.09 | 3.77 | 5.47 | 5.02 | 0.67 |
Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (CDSC) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2
LOOMIS SAYLES HIGH INCOME FUND
Managers | Symbols | |||
Matthew J. Eagan, CFA | Class A | NEFHX | ||
Kathleen C. Gaffney, CFA* | Class B | NEHBX | ||
Elaine M. Stokes | Class C | NEHCX | ||
Loomis, Sayles & Company, L.P. | Class Y | NEHYX |
* | Effective October 22, 2012, Kathleen Gaffney no longer serves as a portfolio manager of the Fund. |
Objective
Seeks high current income plus the opportunity for capital appreciation to produce a high total return
Strategy
Under normal market conditions, the Fund will invest at least 65% of its assets in below investment-grade fixed-income securities. The Fund will normally invest at least 65% of its assets in U.S. corporate or U.S. dollar denominated foreign fixed-income securities. The Fund may also invest up to 20% of its assets in foreign currency-denominated fixed-income securities, including those in emerging markets and related currency hedging transactions.
3 |
Average Annual Total Returns March 31, 2013 3
6 Months | 1 Year | 5 Years | 10 Years |
Since
Class N Inception |
||||||||||||||||
Class A (Inception 2/22/84) | ||||||||||||||||||||
NAV | 8.11 | % | 15.16 | % | 9.40 | % | 9.56 | % | | |||||||||||
With 4.50% Maximum Sales Charge | 3.17 | 9.95 | 8.38 | 9.06 | | |||||||||||||||
Class B (Inception 9/20/93) | ||||||||||||||||||||
NAV | 7.89 | 14.21 | 8.59 | 8.73 | | |||||||||||||||
With CDSC 1 | 2.89 | 9.21 | 8.30 | 8.73 | | |||||||||||||||
Class C (Inception 3/2/98) | ||||||||||||||||||||
NAV | 7.68 | 14.25 | 8.62 | 8.73 | | |||||||||||||||
With CDSC 1 | 6.68 | 13.25 | 8.62 | 8.73 | | |||||||||||||||
Class Y (Inception 2/29/08) | ||||||||||||||||||||
NAV | 8.49 | 15.45 | 9.68 | | 9.38 | % | ||||||||||||||
Comparative Performance | ||||||||||||||||||||
Barclays U.S. Corporate High-Yield Bond Index 2 | 6.28 | 13.13 | 11.65 | 10.12 | 11.37 |
Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (CDSC) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | Barclays U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 4
LOOMIS SAYLES INTERNATIONAL BOND FUND
Managers | Symbols | |||
Kenneth M. Buntrock, CFA, CIC | Class A | LSIAX | ||
David W. Rolley, CFA | Class C | LSICX | ||
Lynda L. Schweitzer, CFA | Class Y | LSIYX | ||
Loomis, Sayles & Company, L.P. |
Objective
Seeks high total return through a combination of high current income and capital appreciation
Strategy
Under normal market conditions, the Fund expects to invest at least 80% of its net assets (plus any borrowings made for investment purposes) in fixed income securities. The Fund is non-diversified, which means that it may invest a greater percentage of its assets in a particular issuer and may invest in fewer issuers than a diversified fund. The Fund invests primarily (at least 65% of its net assets) in fixed-income securities of issuers located outside the United States, including issuers located in emerging market countries. The Fund invests primarily in investment-grade fixed-income securities. The Fund may invest up to 35% of its assets in below investment-grade fixed-income securities.
5 |
Average Annual Total Returns March 31, 2013 3
6 Months | 1 Year | 5 Years |
Since
Class N Inception |
|||||||||||||
Class A (Inception 2/1/08) | ||||||||||||||||
NAV | -2.83 | % | 1.52 | % | 4.42 | % | 5.23 | % | ||||||||
With 4.50% Maximum Sales Charge | -7.19 | -3.00 | 3.46 | 4.30 | ||||||||||||
Class C (Inception 2/1/08) | ||||||||||||||||
NAV | -3.22 | 0.73 | 3.60 | 4.42 | ||||||||||||
With CDSC 1 | -4.16 | -0.24 | 3.60 | 4.42 | ||||||||||||
Class Y (Inception 2/1/08) | ||||||||||||||||
NAV | -2.71 | 1.78 | 4.67 | 5.48 | ||||||||||||
Comparative Performance | ||||||||||||||||
Barclays Global Aggregate EX-USD Bond Index 2 | -4.51 | -0.71 | 2.47 | 3.48 |
Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | Barclays Global Aggregate ex-USD Bond Index is an unmanaged index that provides a broad-based measure of the international investment-grade fixed-rate debt markets. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 6
LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND
Managers | Symbols | |||
Christopher T. Harms | Class A | NEFLX | ||
Kurt Wagner, CFA, CIC | Class B | NELBX | ||
Clifton V. Rowe, CFA |
Class C | NECLX | ||
Loomis, Sayles & Company, L.P. | Class Y | NELYX |
Objective
Seeks a high current return consistent with preservation of capital
Strategy
Invests at least 80% of its net assets in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities
7 |
Average Annual Total Returns March 31, 2013 3
6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
Class A (Inception 1/3/89) | ||||||||||||||||
NAV | 0.28 | % | 2.32 | % | 4.27 | % | 3.61 | % | ||||||||
With 3.00% Maximum Sales Charge | -2.71 | -0.76 | 3.64 | 3.30 | ||||||||||||
Class B (Inception 9/27/93) | ||||||||||||||||
NAV | -0.18 | 1.56 | 3.48 | 2.84 | ||||||||||||
With CDSC 1 | -5.13 | -3.44 | 3.12 | 2.84 | ||||||||||||
Class C (Inception 12/30/94) | ||||||||||||||||
NAV | -0.09 | 1.56 | 3.51 | 2.86 | ||||||||||||
With CDSC 1 | -1.09 | 0.56 | 3.51 | 2.86 | ||||||||||||
Class Y (Inception 3/31/94) | ||||||||||||||||
NAV | 0.32 | 2.58 | 4.52 | 3.87 | ||||||||||||
Comparative Performance | ||||||||||||||||
Barclays U.S. 1-5 Year Government Bond Index 2 | 0.21 | 1.24 | 2.71 | 3.32 |
Past performance does not guarantee future results. The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (CDSC) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase. |
2 | Barclays U.S. 1-5 Year Government Bond Index is an unmanaged index that includes U.S. Treasury and agency securities with remaining maturities of one to five years. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 8
ADDITIONAL INFORMATION
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively NGAM) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an as is basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the funds proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds website at ngam.natixis.com; and on the Securities and Exchange Commissions (SECs) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2012 is available from the funds website and the SECs website.
QUARTERLY PORTFOLIO SCHEDULES
The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds Forms N-Q are available on the SECs website at www.sec.gov and may be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
9 |
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the funds prospectuses. The following examples are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from October 1, 2012 (February 1, 2013 for Class N) through March 31, 2013. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table of each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the funds actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
| 10
LOOMIS SAYLES CORE PLUS BOND FUND |
BEGINNING
ACCOUNT VALUE 10/1/2012 |
ENDING
ACCOUNT VALUE 3/31/2013 |
EXPENSES PAID
DURING PERIOD 10/1/2012 3/31/2013 |
|||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,021.60 | $3.98 | 1 | ||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.99 | $3.98 | * | ||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,018.20 | $7.75 | 1 | ||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.25 | $7.75 | * | ||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,017.00 | $7.74 | 1 | ||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.25 | $7.75 | * | ||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,005.50 | 2 | $0.96 | 2 | |||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.94 | $3.02 | * | ||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,022.80 | $2.72 | 1 | ||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.24 | $2.72 | * |
* | Hypothetical expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement): 0.79%, 1.54%, 1.54%, 0.60% and 0.54% for Class A, B, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period). |
1 |
Actual expenses for Class A, B, C and Y are equal to the Funds annualized expense ratio: 0.79%, 1.54%, 1.54% and 0.54%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period). |
2 |
Class N commenced operations on February 1, 2013. Actual expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement) of 0.60%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (58), divided by 365 (to reflect the partial period). |
11 |
LOOMIS SAYLES HIGH INCOME FUND |
BEGINNING
ACCOUNT VALUE 10/1/2012 |
ENDING
ACCOUNT VALUE 3/31/2013 |
EXPENSES PAID
DURING PERIOD* 10/1/2012 3/31/2013 |
|||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,081.10 | $5.97 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.20 | $5.79 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,078.90 | $9.85 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.46 | $9.55 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,076.80 | $9.84 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.46 | $9.55 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,084.90 | $4.68 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.44 | $4.53 |
* | Expenses are equal to the Funds annualized expense ratio: 1.15%, 1.90%, 1.90% and 0.90% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
LOOMIS SAYLES INTERNATIONAL
BOND FUND |
BEGINNING
ACCOUNT VALUE 10/1/2012 |
ENDING
ACCOUNT VALUE 3/31/2013 |
EXPENSES PAID
DURING PERIOD* 10/1/2012 3/31/2013 |
|||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $971.70 | $5.16 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.70 | $5.29 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $967.80 | $8.83 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.96 | $9.05 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $972.90 | $3.93 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.94 | $4.03 |
* | Expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80% and 0.80% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
| 12
LOOMIS SAYLES LIMITED TERM
GOVERNMENT AND AGENCY FUND |
BEGINNING
ACCOUNT VALUE 10/1/2012 |
ENDING
ACCOUNT VALUE 3/31/2013 |
EXPENSES PAID
DURING PERIOD* 10/1/2012 3/31/2013 |
|||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,002.80 | $4.54 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.39 | $4.58 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $998.20 | $8.27 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.65 | $8.35 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $999.10 | $8.27 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.65 | $8.35 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,003.20 | $3.30 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.64 | $3.33 |
* | Expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement): 0.91%, 1.66%, 1.66% and 0.66% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period). |
13 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund
Principal
Amount () |
Description | Value () | ||||||
Bonds and Notes 95.3% of Net Assets | ||||||||
Non-Convertible Bonds 95.2% | ||||||||
ABS Car Loan 2.9% | ||||||||
$ | 445,936 | AmeriCredit Automobile Receivables Trust, Series 2011-2, Class A3, 1.610%, 10/08/2015 | $ | 447,513 | ||||
780,000 | AmeriCredit Automobile Receivables Trust, Series 2011-3, Class A3, 1.170%, 1/08/2016 | 782,532 | ||||||
2,410,000 | AmeriCredit Automobile Receivables Trust, Series 2011-4, Class A3, 1.170%, 5/09/2016 | 2,423,130 | ||||||
1,033,333 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class A, 3.630%, 8/20/2014, 144A | 1,038,512 | ||||||
1,620,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2011-1A, Class A, 1.850%, 11/20/2014, 144A | 1,631,214 | ||||||
1,650,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2011-2A, Class A, 2.370%, 11/20/2014, 144A | 1,685,178 | ||||||
1,950,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A | 1,989,844 | ||||||
4,175,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 1.920%, 9/20/2019, 144A | 4,202,622 | ||||||
1,535,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A | 1,543,954 | ||||||
2,795,000 | Capital Auto Receivables Asset Trust, Series 2013-1, Class A3, 0.790%, 6/20/2017 | 2,798,829 | ||||||
239,906 | Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A | 252,980 | ||||||
2,000,000 | First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A | 1,998,860 | ||||||
7,130,000 | Santander Drive Auto Receivables Trust, Series 2012-1, Class 1A3, 1.490%, 10/15/2015 | 7,186,462 | ||||||
4,195,000 | Santander Drive Auto Receivables Trust, Series 2012-3, Class B, 1.940%, 12/15/2016 | 4,259,171 | ||||||
3,385,000 | Santander Drive Auto Receivables Trust, Series 2012-4, Class C, 2.940%, 12/15/2017 | 3,516,108 | ||||||
2,090,000 | Santander Drive Auto Receivables Trust, Series 2012-5, Class C, 2.700%, 8/15/2018 | 2,181,287 | ||||||
4,085,000 | Santander Drive Auto Receivables Trust, Series 2012-6, Class B, 1.330%, 5/15/2017 | 4,107,235 | ||||||
2,875,000 | Santander Drive Auto Receivables Trust, Series 2012-6, Class C, 1.940%, 3/15/2018 | 2,909,511 | ||||||
1,665,000 | SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017 | 1,667,664 | ||||||
1,625,000 | SMART Trust/Australia, Series 2013-1US, Class A3A, 0.840%, 9/14/2016 | 1,625,905 | ||||||
850,000 | SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018 | 850,455 | ||||||
|
|
|||||||
49,098,966 | ||||||||
|
|
|||||||
ABS Credit Card 0.7% | ||||||||
1,580,000 | World Financial Network Credit Card Master Trust, Series 2009-D, Class A, 4.660%, 5/15/2017 | 1,599,455 | ||||||
500,000 | World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019 | 535,063 |
See accompanying notes to financial statements.
| 14
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
ABS Credit Card continued | ||||||||
$ | 9,300,000 | World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(b) | $ | 10,095,466 | ||||
|
|
|||||||
12,229,984 | ||||||||
|
|
|||||||
ABS Home Equity 0.1% | ||||||||
564,305 | Chase Mortgage Finance Corp., Series 2007-A1, Class 2A3, 2.988%, 2/25/2037(c) | 561,873 | ||||||
430,681 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(c) | 442,168 | ||||||
|
|
|||||||
1,004,041 | ||||||||
|
|
|||||||
ABS Other 0.2% | ||||||||
2,290,000 | Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016 | 2,318,687 | ||||||
1,775,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A | 1,801,848 | ||||||
|
|
|||||||
4,120,535 | ||||||||
|
|
|||||||
Aerospace & Defense 0.5% | ||||||||
2,370,000 | Bombardier, Inc., 5.750%, 3/15/2022, 144A | 2,432,212 | ||||||
1,480,000 | Bombardier, Inc., 7.500%, 3/15/2018, 144A | 1,689,050 | ||||||
3,625,000 | Oshkosh Corp., 8.250%, 3/01/2017 | 3,946,719 | ||||||
|
|
|||||||
8,067,981 | ||||||||
|
|
|||||||
Airlines 0.3% | ||||||||
3,285,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 10/29/2024 | 3,416,400 | ||||||
1,140,141 | Continental Airlines Pass Through Trust, Series 2010-1, Class A, 4.750%, 1/12/2021 | 1,251,305 | ||||||
|
|
|||||||
4,667,705 | ||||||||
|
|
|||||||
Automotive 2.9% | ||||||||
7,885,000 | Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 | 8,684,618 | ||||||
510,000 | Ford Motor Credit Co. LLC, 5.625%, 9/15/2015 | 555,312 | ||||||
8,420,000 | Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 | 9,819,564 | ||||||
880,000 | Ford Motor Credit Co. LLC, 7.000%, 10/01/2013 | 906,160 | ||||||
1,830,000 | Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 | 2,019,297 | ||||||
6,575,000 | Ford Motor Credit Co. LLC, 8.000%, 12/15/2016 | 7,882,689 | ||||||
5,200,000 | General Motors Financial Co., Inc., 6.750%, 6/01/2018 | 5,889,000 | ||||||
2,290,000 | Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A | 2,436,871 | ||||||
5,450,000 | Kia Motors Corp., 3.625%, 6/14/2016, 144A | 5,762,111 | ||||||
5,750,000 | Toyota Motor Credit Corp., MTN, 1.750%, 5/22/2017(b) | 5,873,694 | ||||||
|
|
|||||||
49,829,316 | ||||||||
|
|
|||||||
Banking 7.5% | ||||||||
9,560,000 | Ally Financial, Inc., 5.500%, 2/15/2017 | 10,341,463 | ||||||
7,800,000 | Ally Financial, Inc., 6.250%, 12/01/2017 | 8,722,764 | ||||||
9,090,000 | Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A | 9,612,675 | ||||||
3,950,000 | Banco Santander Chile, 3.875%, 9/20/2022, 144A | 3,986,158 | ||||||
14,305,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 | 16,034,632 | ||||||
1,365,000 | Bear Stearns Cos., Inc. (The), 6.400%, 10/02/2017 | 1,629,547 |
See accompanying notes to financial statements.
15 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Banking continued | ||||||||
$ | 3,795,000 | Citigroup, Inc., 4.050%, 7/30/2022 | $ | 3,920,322 | ||||
3,375,000 | Citigroup, Inc., 6.000%, 8/15/2017 | 3,940,559 | ||||||
1,115,000 | Citigroup, Inc., 6.125%, 5/15/2018 | 1,328,333 | ||||||
6,555,000 | Citigroup, Inc., 6.500%, 8/19/2013 | 6,702,206 | ||||||
2,585,000 | Goldman Sachs Group, Inc. (The), 5.750%, 1/24/2022 | 3,005,642 | ||||||
2,205,000 | Goldman Sachs Group, Inc. (The), 6.000%, 6/15/2020 | 2,602,374 | ||||||
3,555,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 3,983,694 | ||||||
3,035,000 | Goldman Sachs Group, Inc. (The), 7.500%, 2/15/2019 | 3,796,985 | ||||||
6,285,000 | Hana Bank, 4.250%, 6/14/2017, 144A | 6,876,664 | ||||||
9,985,000 | JPMorgan Chase & Co., 6.000%, 1/15/2018 | 11,865,695 | ||||||
3,650,000 | Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018 | 4,405,623 | ||||||
1,015,000 | Morgan Stanley, 5.375%, 10/15/2015 | 1,108,530 | ||||||
9,645,000 | Morgan Stanley, 5.750%, 1/25/2021 | 11,145,646 | ||||||
630,000 | Morgan Stanley, GMTN, 5.500%, 1/26/2020 | 721,826 | ||||||
660,000 | Morgan Stanley, GMTN, 5.500%, 7/28/2021 | 756,629 | ||||||
2,530,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 | 3,024,367 | ||||||
6,930,000 | PKO Finance AB, 4.630%, 9/26/2022, 144A | 7,179,549 | ||||||
|
|
|||||||
126,691,883 | ||||||||
|
|
|||||||
Building Materials 0.2% | ||||||||
3,640,000 | USG Corp., 6.300%, 11/15/2016 | 3,858,400 | ||||||
|
|
|||||||
Chemicals 2.2% | ||||||||
4,590,000 | Ashland, Inc., 3.875%, 4/15/2018, 144A | 4,647,375 | ||||||
8,125,000 | Braskem America Finance Co., 7.125%, 7/22/2041, 144A | 8,389,062 | ||||||
2,735,000 | Methanex Corp., 3.250%, 12/15/2019 | 2,758,743 | ||||||
2,130,000 | Methanex Corp., 5.250%, 3/01/2022 | 2,375,355 | ||||||
6,035,000 | Mexichem SAB de CV, 6.750%, 9/19/2042, 144A | 6,691,306 | ||||||
1,380,000 | Olin Corp., 5.500%, 8/15/2022 | 1,426,575 | ||||||
4,190,000 | PolyOne Corp., 5.250%, 3/15/2023, 144A | 4,221,425 | ||||||
840,000 | RPM International, Inc., 3.450%, 11/15/2022 | 832,569 | ||||||
4,510,000 | RPM International, Inc., 6.125%, 10/15/2019 | 5,295,186 | ||||||
|
|
|||||||
36,637,596 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.2% | ||||||||
3,530,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018 | 3,720,489 | ||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 5.0% | ||||||||
198,505 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.619%, 4/10/2049(c) | 202,130 | ||||||
1,670,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.609%, 4/10/2049(c) | 1,927,581 | ||||||
593,591 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A2, 5.663%, 6/11/2040(c) | 599,995 | ||||||
1,000,000 | Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.053%, 12/10/2049(c) | 1,183,352 | ||||||
100,955 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046 | 100,885 |
See accompanying notes to financial statements.
| 16
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$ | 2,500,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 | $ | 2,845,900 | ||||
2,780,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.680%, 6/15/2039(c) | 3,191,857 | ||||||
3,500,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.764%, 9/15/2039(c) | 4,032,651 | ||||||
1,865,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 | 2,152,042 | ||||||
5,790,000 | Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.024%, 2/15/2041(c) | 6,784,380 | ||||||
425,000 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.866%, 7/10/2038(c) | 479,812 | ||||||
705,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 | 814,151 | ||||||
8,235,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039 | 9,387,027 | ||||||
13,285,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.787%, 8/10/2045(c) | 15,201,627 | ||||||
3,000,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3, 5.336%, 5/15/2047 | 3,377,850 | ||||||
2,300,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-C1, Class A4, 5.716%, 2/15/2051 | 2,662,708 | ||||||
2,650,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047 | 3,005,974 | ||||||
2,500,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 | 2,827,832 | ||||||
365,000 | Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.575%, 4/12/2049(c) | 407,271 | ||||||
1,900,000 | Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044 | 2,122,146 | ||||||
2,930,000 | Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049 | 3,353,256 | ||||||
305,000 | Morgan Stanley Capital I, Series 2007-T27, Class A4, 5.651%, 6/11/2042(c) | 356,804 | ||||||
1,175,000 | Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.275%, 1/11/2043(c) | 1,417,781 | ||||||
1,000,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048 | 1,126,272 | ||||||
2,070,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048 | 2,336,459 | ||||||
10,770,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 | 12,187,300 | ||||||
|
|
|||||||
84,085,043 | ||||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
2,485,000 | CNH Capital LLC, 3.875%, 11/01/2015 | 2,547,125 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.2% | ||||||||
360,000 | Service Corp. International, 7.000%, 5/15/2019 | 390,600 | ||||||
2,435,000 | Western Union Co. (The), 2.375%, 12/10/2015 | 2,478,207 | ||||||
|
|
|||||||
2,868,807 | ||||||||
|
|
See accompanying notes to financial statements.
17 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Consumer Products 0.4% | ||||||||
$ | 1,110,000 | Avon Products Inc., 4.600%, 3/15/2020 | $ | 1,153,038 | ||||
1,546,000 | Whirlpool Corp., 6.500%, 6/15/2016 | 1,768,108 | ||||||
3,620,000 | Whirlpool Corp., MTN, 4.850%, 6/15/2021 | 3,984,816 | ||||||
|
|
|||||||
6,905,962 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.7% | ||||||||
1,200,000 | Crane Co., 6.550%, 11/15/2036 | 1,301,840 | ||||||
2,075,000 | Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A | 2,291,838 | ||||||
7,710,000 | Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A | 8,346,075 | ||||||
|
|
|||||||
11,939,753 | ||||||||
|
|
|||||||
Electric 1.3% | ||||||||
1,460,000 | AES Corp. (The), 7.375%, 7/01/2021 | 1,693,600 | ||||||
4,510,000 | Enersis S.A., 7.375%, 1/15/2014 | 4,709,022 | ||||||
3,395,000 | FirstEnergy Corp., 2.750%, 3/15/2018 | 3,433,442 | ||||||
5,390,000 | Florida Power & Light Co., 4.125%, 2/01/2042 | 5,495,116 | ||||||
1,010,000 | Ipalco Enterprises, Inc., 5.000%, 5/01/2018 | 1,090,800 | ||||||
4,500,000 | TransAlta Corp., 4.750%, 1/15/2015 | 4,749,079 | ||||||
|
|
|||||||
21,171,059 | ||||||||
|
|
|||||||
Financial Other 0.5% | ||||||||
9,105,000 | Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A | 8,749,905 | ||||||
|
|
|||||||
Food & Beverage 1.0% | ||||||||
4,920,000 | Alicorp SAA, 3.875%, 3/20/2023, 144A | 4,907,700 | ||||||
1,445,000 | Bunge Ltd. Finance Corp., 4.100%, 3/15/2016 | 1,545,481 | ||||||
1,340,000 | Cosan Luxembourg SA, 5.000%, 3/14/2023, 144A | 1,348,040 | ||||||
4,050,000 | Post Holdings, Inc., 7.375%, 2/15/2022 | 4,429,687 | ||||||
3,555,000 | Sigma Alimentos S.A. de CV, 5.625%, 4/14/2018, 144A | 4,017,150 | ||||||
|
|
|||||||
16,248,058 | ||||||||
|
|
|||||||
Government Owned No Guarantee 6.1% | ||||||||
2,355,000 | Abu Dhabi National Energy Co., 2.500%, 1/12/2018, 144A | 2,367,952 | ||||||
6,745,000 | CEZ A.S., 5.625%, 4/03/2042, 144A | 7,610,572 | ||||||
3,690,000 | China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A | 4,008,868 | ||||||
3,255,000 | CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A | 3,435,148 | ||||||
5,835,000 | Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A | 6,746,719 | ||||||
665,000 | Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A | 745,465 | ||||||
3,600,000 | Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A | 4,027,500 | ||||||
1,600,000 | Federal Home Loan Mortgage Corp., 6.250%, 7/15/2032 | 2,326,040 | ||||||
17,680,000 | Federal National Mortgage Association, 6.625%, 11/15/2030 | 26,323,823 | ||||||
4,370,000 | IPIC GMTN Ltd., 6.875%, 11/01/2041, 144A | 5,746,550 | ||||||
10,375,000 | Korea National Oil Corp., 3.125%, 4/03/2017, 144A | 10,921,742 | ||||||
7,260,000 | Petrobras International Finance Co., 6.750%, 1/27/2041 | 8,205,927 | ||||||
1,290,000 | Qtel International Finance Ltd., 3.875%, 1/31/2028, 144A | 1,270,379 | ||||||
3,840,000 | Qtel International Finance Ltd., 4.750%, 2/16/2021, 144A | 4,281,600 | ||||||
2,965,000 | Qtel International Finance Ltd., 7.875%, 6/10/2019, 144A | 3,869,325 | ||||||
12,595,000 | Tennessee Valley Authority, 3.500%, 12/15/2042 | 12,142,915 | ||||||
|
|
|||||||
104,030,525 | ||||||||
|
|
See accompanying notes to financial statements.
| 18
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Healthcare 0.9% | ||||||||
$ | 1,580,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 | $ | 1,684,675 | ||||
8,800,000 | HCA, Inc., 7.500%, 2/15/2022 | 10,120,000 | ||||||
575,000 | HCA, Inc., 7.500%, 12/15/2023 | 615,250 | ||||||
3,200,000 | PerkinElmer, Inc., 5.000%, 11/15/2021 | 3,518,995 | ||||||
|
|
|||||||
15,938,920 | ||||||||
|
|
|||||||
Home Construction 0.4% | ||||||||
6,390,000 | Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A | 5,463,450 | ||||||
2,675,000 | Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A | 1,658,500 | ||||||
|
|
|||||||
7,121,950 | ||||||||
|
|
|||||||
Hybrid ARMs 0.0% | ||||||||
189,224 | FHLMC, 6.039%, 11/01/2036(c) | 203,528 | ||||||
139,068 | FNMA, 2.029%, 2/01/2037(c) | 145,839 | ||||||
|
|
|||||||
349,367 | ||||||||
|
|
|||||||
Independent Energy 3.1% | ||||||||
1,560,000 | Anadarko Petroleum Corp., 5.950%, 9/15/2016 | 1,795,727 | ||||||
7,395,000 | Anadarko Petroleum Corp., 6.375%, 9/15/2017 | 8,826,761 | ||||||
12,620,000 | Chesapeake Energy Corp., 3.250%, 3/15/2016 | 12,761,975 | ||||||
4,036,000 | Denbury Resources, Inc., 6.375%, 8/15/2021 | 4,399,240 | ||||||
5,035,000 | Newfield Exploration Co., 5.750%, 1/30/2022 | 5,387,450 | ||||||
7,030,000 | Plains Exploration & Production Co., 6.875%, 2/15/2023 | 7,961,475 | ||||||
5,280,000 | QEP Resources, Inc., 5.250%, 5/01/2023 | 5,412,000 | ||||||
2,410,000 | Range Resources Corp., 5.000%, 8/15/2022 | 2,458,200 | ||||||
2,605,000 | SM Energy Co., 6.500%, 1/01/2023 | 2,852,475 | ||||||
|
|
|||||||
51,855,303 | ||||||||
|
|
|||||||
Industrial Other 1.8% | ||||||||
1,360,000 | Briggs & Stratton Corp., 6.875%, 12/15/2020 | 1,523,200 | ||||||
13,820,000 | Deluxe Corp., 6.000%, 11/15/2020, 144A | 14,165,500 | ||||||
8,710,000 | Hutchison Whampoa International 11 Ltd., 4.625%, 1/13/2022, 144A | 9,500,346 | ||||||
2,650,000 | Hutchison Whampoa International Ltd., 5.750%, 9/11/2019, 144A | 3,141,058 | ||||||
1,570,000 | Timken Co. (The), 6.000%, 9/15/2014 | 1,670,337 | ||||||
|
|
|||||||
30,000,441 | ||||||||
|
|
|||||||
Media Cable 1.0% | ||||||||
795,000 | Cablevision Systems Corp., 7.750%, 4/15/2018 | 891,394 | ||||||
3,060,000 | Cablevision Systems Corp., 8.000%, 4/15/2020 | 3,442,500 | ||||||
5,130,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 3/15/2021, 144A | 5,097,937 | ||||||
2,965,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 6.500%, 4/30/2021 | 3,135,487 | ||||||
499,000 | Cox Communications, Inc., 5.450%, 12/15/2014 | 538,927 | ||||||
2,825,000 | Lynx II Corp., 6.375%, 4/15/2023, 144A | 2,959,188 | ||||||
|
|
|||||||
16,065,433 | ||||||||
|
|
|||||||
Media Non-Cable 1.1% | ||||||||
1,375,000 | Inmarsat Finance PLC, 7.375%, 12/01/2017, 144A | 1,464,375 | ||||||
4,284,000 | Myriad International Holding BV, 6.375%, 7/28/2017, 144A | 4,825,069 | ||||||
7,760,000 | NBCUniversal Enterprise Inc., 5.250%, 12/19/2049, 144A | 7,798,800 | ||||||
5,095,000 | R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 | 5,356,119 | ||||||
|
|
|||||||
19,444,363 | ||||||||
|
|
See accompanying notes to financial statements.
19 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Metals & Mining 1.8% | ||||||||
$ | 890,000 | Alcoa, Inc., 5.400%, 4/15/2021 | $ | 921,692 | ||||
5,075,000 | Alcoa, Inc., 6.150%, 8/15/2020 | 5,525,442 | ||||||
1,335,000 | APERAM, 7.375%, 4/01/2016, 144A | 1,346,401 | ||||||
1,280,000 | APERAM, 7.750%, 4/01/2018, 144A | 1,273,600 | ||||||
7,980,000 | ArcelorMittal, 7.250%, 3/01/2041 | 7,940,100 | ||||||
485,000 | ArcelorMittal, 7.500%, 10/15/2039 | 498,337 | ||||||
4,640,000 | Freeport-McMoRan Copper & Gold, Inc., 2.375%, 3/15/2018, 144A | 4,659,386 | ||||||
3,075,000 | Goldcorp, Inc., 2.125%, 3/15/2018 | 3,085,074 | ||||||
1,445,000 | Steel Dynamics Inc., 5.250%, 4/15/2023, 144A | 1,464,869 | ||||||
400,000 | United States Steel Corp., 6.650%, 6/01/2037 | 368,000 | ||||||
3,440,000 | United States Steel Corp., 7.375%, 4/01/2020 | 3,603,400 | ||||||
|
|
|||||||
30,686,301 | ||||||||
|
|
|||||||
Mortgage Related 11.4% | ||||||||
7,258,719 | FHLMC, 3.000%, with various maturities from 2026 to 2043(d) | 7,508,232 | ||||||
24,276,800 | FHLMC, 3.500%, 7/01/2042 | 25,621,191 | ||||||
12,501,100 | FHLMC, 4.000%, with various maturities in 2041(d) | 13,287,757 | ||||||
8,699,159 | FHLMC, 4.500%, with various maturities from 2034 to 2039(d) | 9,307,794 | ||||||
453,228 | FHLMC, 5.000%, 8/01/2035 | 489,184 | ||||||
6,638,911 | FHLMC, 5.500%, with various maturities from 2018 to 2040(d) | 7,186,943 | ||||||
49,543 | FHLMC, 6.000%, 6/01/2035 | 55,329 | ||||||
30,795,966 | FNMA, 3.000%, with various maturities from 2027 to 2042(d) | 31,806,433 | ||||||
9,660,037 | FNMA, 3.500%, with various maturities from 2026 to 2042(d) | 10,208,990 | ||||||
11,314,178 | FNMA, 4.000%, with various maturities from 2019 to 2041(d) | 12,086,401 | ||||||
12,967,473 | FNMA, 4.500%, with various maturities from 2039 to 2041(d) | 14,021,488 | ||||||
10,999,163 | FNMA, 5.000%, with various maturities from 2033 to 2037(d) | 11,977,396 | ||||||
4,602,453 | FNMA, 5.500%, with various maturities from 2036 to 2038(d) | 5,029,381 | ||||||
2,096,620 | FNMA, 6.000%, with various maturities from 2016 to 2039(d) | 2,333,257 | ||||||
95,333 | FNMA, 6.500%, with various maturities from 2029 to 2036(d) | 111,274 | ||||||
76,056 | FNMA, 7.000%, with various maturities in 2030(d) | 90,732 | ||||||
88,632 | FNMA, 7.500%, with various maturities from 2024 to 2032(d) | 104,953 | ||||||
7,130,000 | FNMA (TBA), 2.500%, 5/01/2028(e) | 7,380,664 | ||||||
29,525,000 | FNMA (TBA), 3.500%, 5/01/2043(e) | 31,102,742 | ||||||
1,740,762 | GNMA, 5.500%, with various maturities from 2038 to 2039(d) | 1,905,644 | ||||||
292,530 | GNMA, 6.000%, with various maturities from 2029 to 2038(d) | 330,098 | ||||||
193,948 | GNMA, 6.500%, with various maturities from 2028 to 2032(d) | 227,455 | ||||||
155,538 | GNMA, 7.000%, with various maturities from 2025 to 2029(d) | 183,441 | ||||||
48,821 | GNMA, 7.500%, with various maturities from 2025 to 2030(d) | 55,563 | ||||||
12,605 | GNMA, 8.000%, 11/15/2029 | 12,894 | ||||||
58,979 | GNMA, 8.500%, with various maturities from 2017 to 2023(d) | 60,109 | ||||||
4,689 | GNMA, 9.000%, with various maturities in 2016(d) | 4,754 | ||||||
8,166 | GNMA, 11.500%, with various maturities from 2013 to 2015(d) | 8,215 | ||||||
|
|
|||||||
192,498,314 | ||||||||
|
|
|||||||
Non-Captive Consumer 1.3% | ||||||||
1,100,000 | SLM Corp., MTN, 6.000%, 1/25/2017 | 1,196,250 | ||||||
18,095,000 | SLM Corp., MTN, 6.250%, 1/25/2016 | 19,768,390 | ||||||
30,000 | SLM Corp., Series A, MTN, 5.000%, 4/15/2015 | 31,650 |
See accompanying notes to financial statements.
| 20
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Non-Captive Consumer continued | ||||||||
$ | 120,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 | $ | 120,685 | ||||
1,135,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 | 1,344,975 | ||||||
|
|
|||||||
22,461,950 | ||||||||
|
|
|||||||
Non-Captive Diversified 3.1% | ||||||||
2,335,000 | CIT Group, Inc., 5.000%, 5/15/2017 | 2,504,287 | ||||||
6,650,000 | CIT Group, Inc., 5.375%, 5/15/2020 | 7,298,375 | ||||||
2,070,000 | GATX Corp., 4.750%, 5/15/2015 | 2,196,405 | ||||||
7,150,000 | General Electric Capital Corp., 5.300%, 2/11/2021 | 8,196,588 | ||||||
3,015,000 | General Electric Capital Corp., 5.625%, 5/01/2018 | 3,568,162 | ||||||
4,265,000 | General Electric Capital Corp., MTN, 2.300%, 4/27/2017 | 4,413,635 | ||||||
7,290,000 | International Lease Finance Corp., 3.875%, 4/15/2018 | 7,271,775 | ||||||
8,195,000 | International Lease Finance Corp., 5.750%, 5/15/2016 | 8,850,600 | ||||||
7,215,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 7,900,425 | ||||||
200,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 | 203,500 | ||||||
830,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 | 866,313 | ||||||
|
|
|||||||
53,270,065 | ||||||||
|
|
|||||||
Oil Field Services 2.6% | ||||||||
2,870,000 | FMC Technologies, Inc., 3.450%, 10/01/2022 | 2,913,521 | ||||||
4,045,000 | Nabors Industries, Inc., 4.625%, 9/15/2021 | 4,222,025 | ||||||
3,557,000 | Nabors Industries, Inc., 5.000%, 9/15/2020 | 3,793,814 | ||||||
4,805,000 | Oil States International, Inc., 5.125%, 1/15/2023, 144A | 4,805,000 | ||||||
6,950,000 | Pan American Energy LLC, 7.875%, 5/07/2021, 144A | 6,637,250 | ||||||
4,070,000 | Rowan Cos., Inc., 5.000%, 9/01/2017 | 4,536,520 | ||||||
1,330,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 | 1,661,475 | ||||||
2,430,000 | Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A | 2,442,150 | ||||||
10,590,000 | Transocean, Inc., 6.500%, 11/15/2020 | 12,238,513 | ||||||
|
|
|||||||
43,250,268 | ||||||||
|
|
|||||||
Packaging 0.3% | ||||||||
1,810,000 | Sealed Air Corp., 5.250%, 4/01/2023, 144A | 1,816,787 | ||||||
2,515,000 | Sealed Air Corp., 6.500%, 12/01/2020, 144A | 2,753,925 | ||||||
|
|
|||||||
4,570,712 | ||||||||
|
|
|||||||
Paper 1.8% | ||||||||
1,785,000 | Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022 | 1,856,443 | ||||||
3,045,000 | Celulosa Arauco y Constitucion S.A., 5.000%, 1/21/2021 | 3,224,314 | ||||||
1,111,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 | 1,460,142 | ||||||
3,535,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 | 4,813,136 | ||||||
6,451,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 | 8,765,780 | ||||||
2,850,000 | Georgia-Pacific LLC, 8.000%, 1/15/2024 | 3,943,964 | ||||||
1,685,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 | 2,517,629 | ||||||
4,015,000 | Rock Tenn Co., 4.000%, 3/01/2023 | 4,060,317 | ||||||
|
|
|||||||
30,641,725 | ||||||||
|
|
|||||||
Pharmaceuticals 1.3% | ||||||||
1,845,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A | 1,945,322 | ||||||
130,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 138,450 |
See accompanying notes to financial statements.
21 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Pharmaceuticals continued | ||||||||
$ | 4,130,000 | Valeant Pharmaceuticals International, 6.875%, 12/01/2018, 144A | $ | 4,437,169 | ||||
10,335,000 | VPI Escrow Corp., 6.375%, 10/15/2020, 144A | 10,890,506 | ||||||
4,750,000 | Zoetis, Inc., 4.700%, 2/01/2043, 144A | 4,848,900 | ||||||
|
|
|||||||
22,260,347 | ||||||||
|
|
|||||||
Pipelines 1.5% | ||||||||
9,530,000 | Energy Transfer Partners LP, 6.050%, 6/01/2041 | 10,318,579 | ||||||
2,620,000 | Energy Transfer Partners LP, 6.500%, 2/01/2042 | 2,993,672 | ||||||
2,050,000 | Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016 | 2,229,028 | ||||||
8,685,000 | Kinder Morgan Finance Co. LLC, 6.000%, 1/15/2018, 144A | 9,610,969 | ||||||
|
|
|||||||
25,152,248 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.7% | ||||||||
1,175,000 | Willis Group Holdings PLC, 4.125%, 3/15/2016 | 1,248,465 | ||||||
3,285,000 | Willis Group Holdings PLC, 5.750%, 3/15/2021 | 3,687,616 | ||||||
3,250,000 | Willis North America, Inc., 6.200%, 3/28/2017 | 3,702,852 | ||||||
3,170,000 | Willis North America, Inc., 7.000%, 9/29/2019 | 3,779,632 | ||||||
|
|
|||||||
12,418,565 | ||||||||
|
|
|||||||
Real Estate Management/Services 0.3% | ||||||||
4,380,000 | CBRE Services Inc., 5.000%, 3/15/2023 | 4,429,275 | ||||||
|
|
|||||||
Refining 0.7% | ||||||||
3,110,000 | Phillips 66, 5.875%, 5/01/2042 | 3,652,847 | ||||||
7,975,000 | Thai Oil PCL, 4.875%, 1/23/2043, 144A | 7,724,753 | ||||||
|
|
|||||||
11,377,600 | ||||||||
|
|
|||||||
Retailers 0.9% | ||||||||
14,985,000 | Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A | 15,718,800 | ||||||
|
|
|||||||
Sovereigns 2.5% | ||||||||
6,438,000 | Mexico Government International Bond, Series A, MTN, 6.050%, 1/11/2040 | 7,967,025 | ||||||
9,160,000 | Romanian Government International Bond, 4.375%, 8/22/2023, 144A | 8,969,289 | ||||||
24,985,000 | Spain Government International Bond, 4.000%, 3/06/2018, 144A | 24,750,141 | ||||||
|
|
|||||||
41,686,455 | ||||||||
|
|
|||||||
Supermarket 0.5% | ||||||||
8,660,000 | Delhaize Group S.A., 4.125%, 4/10/2019 | 9,175,712 | ||||||
|
|
|||||||
Supranational 0.5% | ||||||||
18,970,000 | Inter-American Development Bank, EMTN, 8.000%, 1/26/2016, (MXN) | 1,717,697 | ||||||
87,705,000 |
International Bank for Reconstruction & Development,
6.500%, 9/11/2013, (MXN) |
7,185,285 | ||||||
|
|
|||||||
8,902,982 | ||||||||
|
|
|||||||
Technology 1.7% | ||||||||
250,000 | Amphenol Corp., 4.000%, 2/01/2022 | 261,855 | ||||||
3,745,000 | Amphenol Corp., 4.750%, 11/15/2014 | 3,967,378 | ||||||
5,220,000 | Baidu, Inc., 3.500%, 11/28/2022 | 5,280,087 | ||||||
1,160,000 | Brocade Communications Systems, Inc., 6.875%, 1/15/2020 | 1,270,200 | ||||||
3,145,000 | Dun & Bradstreet Corp. (The), 3.250%, 12/01/2017 | 3,233,425 | ||||||
3,156,000 | Equifax, Inc., 7.000%, 7/01/2037 | 3,943,583 |
See accompanying notes to financial statements.
| 22
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Technology continued | ||||||||
$ | 69,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 | $ | 76,601 | ||||
340,000 | Motorola Solutions, Inc., 7.500%, 5/15/2025 | 430,456 | ||||||
1,335,000 | National Semiconductor Corp., 3.950%, 4/15/2015 | 1,425,920 | ||||||
8,290,000 | Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A | 9,064,817 | ||||||
|
|
|||||||
28,954,322 | ||||||||
|
|
|||||||
Textile 0.1% | ||||||||
1,125,000 | Wolverine World Wide, Inc., 6.125%, 10/15/2020, 144A | 1,193,906 | ||||||
|
|
|||||||
Tobacco 0.8% | ||||||||
10,480,000 | Reynolds American, Inc., 7.250%, 6/15/2037 | 13,661,141 | ||||||
|
|
|||||||
Transportation Services 0.1% | ||||||||
1,990,000 | Erac USA Finance Co., 5.250%, 10/01/2020, 144A | 2,310,390 | ||||||
|
|
|||||||
Treasuries 13.2% | ||||||||
11,645,000 | Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR) | 15,854,875 | ||||||
2,787,500() | Mexican Fixed Rate Bonds, Series M, 6.250%, 6/16/2016, (MXN) | 23,759,666 | ||||||
1,783,000() | Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN) | 16,315,927 | ||||||
475,000() | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) | 4,197,903 | ||||||
239,000,000 | Philippine Government International Bond, 3.900%, 11/26/2022, (PHP) | 6,383,485 | ||||||
4,930,000 | Spain Government Bond, 5.500%, 4/30/2021, (EUR) | 6,645,612 | ||||||
13,430,000 | Spain Government Bond, 5.850%, 1/31/2022, (EUR) | 18,256,779 | ||||||
16,240,000 | U.S. Treasury Bond, 2.750%, 8/15/2042 | 15,067,667 | ||||||
26,440,000 | U.S. Treasury Bond, 3.000%, 5/15/2042(b) | 25,886,399 | ||||||
2,910,000 | U.S. Treasury Bond, 3.125%, 2/15/2042 | 2,924,550 | ||||||
21,435,000 | U.S. Treasury Bond, 3.750%, 8/15/2041 | 24,241,656 | ||||||
3,875,000 | U.S. Treasury Bond, 3.875%, 8/15/2040 | 4,482,286 | ||||||
8,147,000 | U.S. Treasury Note, 0.875%, 2/28/2017 | 8,251,379 | ||||||
19,335,000 | U.S. Treasury Note, 1.250%, 4/30/2019 | 19,594,824 | ||||||
13,520,000 | U.S. Treasury Note, 1.625%, 8/15/2022 | 13,345,714 | ||||||
1,320,000 | U.S. Treasury Note, 2.000%, 2/15/2022 | 1,357,022 | ||||||
1,155,000 | U.S. Treasury Note, 2.125%, 8/15/2021 | 1,206,975 | ||||||
13,550,000 | U.S. Treasury Note, 2.625%, 11/15/2020(b) | 14,779,026 | ||||||
|
|
|||||||
222,551,745 | ||||||||
|
|
|||||||
Wireless 1.8% | ||||||||
1,915,000 | American Tower Corp., 4.625%, 4/01/2015 | 2,042,074 | ||||||
1,475,000 | American Tower Corp., 4.700%, 3/15/2022 | 1,603,002 | ||||||
8,890,000 | SK Telecom Co. Ltd., 2.125%, 5/01/2018, 144A | 8,919,799 | ||||||
3,165,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A | 4,019,297 | ||||||
13,920,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 14,233,200 | ||||||
|
|
|||||||
30,817,372 | ||||||||
|
|
|||||||
Wirelines 5.0% | ||||||||
11,612,000 | Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(f) | 10,218,560 | ||||||
6,810,000 | Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A | 6,837,240 | ||||||
2,065,000 | CenturyLink, Inc., 5.625%, 4/01/2020 | 2,111,462 | ||||||
5,470,000 | Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A | 5,483,675 | ||||||
6,225,000 | eAccess Ltd., 8.250%, 4/01/2018, 144A | 6,894,187 | ||||||
12,473,000 | Embarq Corp., 7.995%, 6/01/2036 | 13,130,452 |
See accompanying notes to financial statements.
23 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
See accompanying notes to financial statements.
| 24
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
See accompanying notes to financial statements.
25 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
See accompanying notes to financial statements.
| 26
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Core Plus Bond Fund (continued)
Industry Summary at March 31, 2013 (Unaudited)
Treasuries |
13.2 | % | ||
Mortgage Related |
11.4 | |||
Banking |
7.5 | |||
Government Owned No Guarantee |
6.1 | |||
Wirelines |
5.5 | |||
Commercial Mortgage-Backed Securities |
5.0 | |||
Independent Energy |
3.4 | |||
Non-Captive Diversified |
3.3 | |||
Automotive |
3.2 | |||
ABS Car Loan |
2.9 | |||
Chemicals |
2.8 | |||
Oil Field Services |
2.6 | |||
Sovereigns |
2.5 | |||
Metals & Mining |
2.0 | |||
Other Investments, less than 2% each |
26.9 | |||
Short-Term Investments |
3.2 | |||
|
|
|||
Total Investments |
101.5 | |||
Other assets less liabilities |
(1.5 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
27 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund
Principal
Amount () |
Description | Value () | ||||||
Bonds and Notes 86.2% of Net Assets | ||||||||
Non-Convertible Bonds 76.7% | ||||||||
ABS Home Equity 3.7% | ||||||||
$ | 333,217 |
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1,
1.961%, 9/25/2045(b) |
$ | 320,034 | ||||
349,457 |
American Home Mortgage Investment Trust, Series 2006-1, Class 11A1,
0.344%, 3/25/2046(b) |
278,800 | ||||||
200,000 |
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1,
0.654%, 1/25/2036(b) |
170,971 | ||||||
365,524 |
Banc of America Funding Corp., Series 2008-R4, Class 1A4,
0.652%, 7/25/2037, 144A(b) |
226,410 | ||||||
67,003 |
Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1,
2.934%, 2/25/2035(b) |
65,790 | ||||||
209,341 |
Banc of America Mortgage Securities, Inc., Series 2006-B, Class 4A1,
6.172%, 11/20/2046(b) |
192,722 | ||||||
111,265 | Citimortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 | 95,676 | ||||||
340,395 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 | 234,477 | ||||||
889,890 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.713%, 4/25/2035(b) | 551,454 | ||||||
374,366 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.474%, 4/25/2035(b) | 277,838 | ||||||
411,682 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035 | 412,710 | ||||||
529,474 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.639%, 11/20/2035(b) | 490,863 | ||||||
474,378 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.403%, 6/19/2035(b) | 465,332 | ||||||
406,238 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.586%, 7/19/2035(b) | 374,273 | ||||||
504,544 | GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.274%, 12/25/2046(b) | 262,788 | ||||||
90,275 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.127%, 12/25/2034(b) | 78,686 | ||||||
568,874 | GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 2.910%, 5/25/2035(b) | 534,640 | ||||||
228,709 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 | 199,535 | ||||||
127,256 | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 5.094%, 3/25/2036(b) | 108,231 | ||||||
502,805 | Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.704%, 1/25/2036(b)(c) | 342,963 | ||||||
202,255 | Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036 | 203,281 | ||||||
481,703 | Lehman XS Trust, Series 2007-10H, Class 1A11, 0.324%, 7/25/2037(b)(c) | 300,180 | ||||||
326,136 |
MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1,
2.757%, 3/25/2035(b) |
269,844 | ||||||
602,661 |
MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1,
0.364%, 1/25/2047(b) |
421,361 | ||||||
577,462 |
Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7,
6.000%, 3/25/2037 |
430,926 | ||||||
130,536 | New York Mortgage Trust, Series 2006-1, Class 2A2, 2.909%, 5/25/2036(b) | 113,086 |
See accompanying notes to financial statements.
| 28
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
ABS Home Equity continued | ||||||||
$ | 575,000 | Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.704%, 7/25/2035(b) | $ | 536,777 | ||||
519,938 | Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036 | 428,949 | ||||||
444,796 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 | 459,433 | ||||||
129,635 | WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.935%, 4/25/2047(b) | 111,268 | ||||||
451,213 |
Washington Mutual Alternative Mortgage Pass-Through Certificates,
Series 2006-AR6, Class 2A, 1.134%, 8/25/2046(b) |
289,059 | ||||||
|
|
|||||||
9,248,357 | ||||||||
|
|
|||||||
ABS Other 0.3% | ||||||||
350,000 |
DSC Floorplan Master Owner Trust, Series 2011-1, Class B,
8.110%, 3/15/2016, 144A |
352,206 | ||||||
330,401 | Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A | 342,318 | ||||||
|
|
|||||||
694,524 | ||||||||
|
|
|||||||
Aerospace & Defense 1.6% | ||||||||
1,200,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A | 1,055,066 | ||||||
900,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A | 848,250 | ||||||
2,090,000 | TransDigm, Inc., 5.500%, 10/15/2020, 144A | 2,178,825 | ||||||
|
|
|||||||
4,082,141 | ||||||||
|
|
|||||||
Airlines 1.2% | ||||||||
2,005,000 | Air Canada, 9.250%, 8/01/2015, 144A | 2,135,325 | ||||||
30,000 | Air Canada, 12.000%, 2/01/2016, 144A | 32,813 | ||||||
345,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 | 346,725 | ||||||
13,444 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 | 13,893 | ||||||
198,446 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 | 208,626 | ||||||
169,923 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 | 183,666 | ||||||
|
|
|||||||
2,921,048 | ||||||||
|
|
|||||||
Automotive 1.1% | ||||||||
2,190,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 | 2,307,713 | ||||||
595,000 | Lear Corp., 4.750%, 1/15/2023, 144A | 580,125 | ||||||
|
|
|||||||
2,887,838 | ||||||||
|
|
|||||||
Banking 3.0% | ||||||||
800,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP) | 1,671,262 | ||||||
820,000 | HBOS PLC, 6.000%, 11/01/2033, 144A | 785,396 | ||||||
1,400,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A | 1,556,058 | ||||||
900,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 1,008,261 | ||||||
1,000,000 | Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018 | 1,006,637 |
See accompanying notes to financial statements.
29 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Banking continued | ||||||||
65,000 | Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR) | $ | 59,349 | |||||
740,000 | Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR) | 692,930 | ||||||
200,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) | 276,880 | ||||||
250,000 | Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR) | 363,725 | ||||||
|
|
|||||||
7,420,498 | ||||||||
|
|
|||||||
Brokerage 0.2% | ||||||||
170,000 | Jefferies Group LLC, 5.125%, 1/20/2023 | 179,992 | ||||||
355,000 | Jefferies Group LLC, 6.500%, 1/20/2043 | 378,428 | ||||||
|
|
|||||||
558,420 | ||||||||
|
|
|||||||
Building Materials 1.8% | ||||||||
1,230,000 | HD Supply, Inc., 7.500%, 7/15/2020, 144A | 1,294,575 | ||||||
50,000 | Masco Corp., 6.500%, 8/15/2032 | 50,936 | ||||||
360,000 | Masco Corp., 7.125%, 3/15/2020 | 420,270 | ||||||
345,000 | Masco Corp., 7.750%, 8/01/2029 | 388,325 | ||||||
845,000 | Masonite International Corp., 8.250%, 4/15/2021, 144A | 937,950 | ||||||
1,300,000 | Ply Gem Industries, Inc., 8.250%, 2/15/2018 | 1,415,375 | ||||||
100,000 | USG Corp., 8.375%, 10/15/2018, 144A | 110,500 | ||||||
|
|
|||||||
4,617,931 | ||||||||
|
|
|||||||
Chemicals 2.5% | ||||||||
1,510,000 | Hercules, Inc., 6.500%, 6/30/2029 | 1,359,000 | ||||||
850,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 | 879,750 | ||||||
420,000 | JM Huber Corp., 9.875%, 11/01/2019, 144A | 475,650 | ||||||
819,919 | Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(d)(e) | 645,686 | ||||||
635,000 | TPC Group, Inc., 8.750%, 12/15/2020, 144A | 661,988 | ||||||
1,600,000 | Tronox Finance LLC, 6.375%, 8/15/2020, 144A | 1,552,000 | ||||||
600,000 | U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A | 631,500 | ||||||
|
|
|||||||
6,205,574 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 1.0% | ||||||||
1,690,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.787%, 8/10/2045(b) | 1,698,318 | ||||||
125,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 | 133,385 | ||||||
525,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b) | 572,869 | ||||||
|
|
|||||||
2,404,572 | ||||||||
|
|
|||||||
Construction Machinery 0.3% | ||||||||
450,000 | United Rentals North America, Inc., 6.125%, 6/15/2023 | 481,500 | ||||||
205,000 | United Rentals North America, Inc., 7.625%, 4/15/2022 | 229,088 | ||||||
|
|
|||||||
710,588 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.6% | ||||||||
615,000 | ServiceMaster Co. (The), 7.000%, 8/15/2020, 144A | 636,525 | ||||||
1,095,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 | 947,175 | ||||||
|
|
|||||||
1,583,700 | ||||||||
|
|
See accompanying notes to financial statements.
| 30
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Consumer Products 0.7% | ||||||||
$ | 2,040,000 | Visant Corp., 10.000%, 10/01/2017 | $ | 1,861,500 | ||||
|
|
|||||||
Electric 1.2% | ||||||||
17,022 | AES Red Oak LLC, Series A, 8.540%, 11/30/2019 | 18,214 | ||||||
1,395,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | 1,401,975 | ||||||
200,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A | 210,500 | ||||||
773,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A | 747,877 | ||||||
455,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.750%, 3/01/2022, 144A | 523,250 | ||||||
|
|
|||||||
2,901,816 | ||||||||
|
|
|||||||
Environmental 0.1% | ||||||||
255,000 | ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A | 274,763 | ||||||
|
|
|||||||
Food & Beverage 0.5% | ||||||||
600,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) | 306,124 | ||||||
1,020,000 | Del Monte Corp., 7.625%, 2/15/2019 | 1,058,250 | ||||||
|
|
|||||||
1,364,374 | ||||||||
|
|
|||||||
Gaming 1.5% | ||||||||
740,000 | MGM Resorts International, 6.750%, 10/01/2020, 144A | 784,400 | ||||||
1,360,000 | MGM Resorts International, 7.500%, 6/01/2016 | 1,506,200 | ||||||
1,250,000 | MGM Resorts International, 7.625%, 1/15/2017 | 1,387,500 | ||||||
|
|
|||||||
3,678,100 | ||||||||
|
|
|||||||
Healthcare 2.5% | ||||||||
555,000 | DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/2018 | 609,113 | ||||||
1,050,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 | 1,119,562 | ||||||
570,000 | HCA, Inc., 5.875%, 5/01/2023 | 592,800 | ||||||
170,000 | HCA, Inc., 7.050%, 12/01/2027 | 166,600 | ||||||
640,000 | HCA, Inc., 7.500%, 12/15/2023 | 684,800 | ||||||
470,000 | HCA, Inc., 7.690%, 6/15/2025 | 501,725 | ||||||
480,000 | HCA, Inc., 8.360%, 4/15/2024 | 537,600 | ||||||
820,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 854,850 | ||||||
515,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 515,000 | ||||||
635,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 581,025 | ||||||
|
|
|||||||
6,163,075 | ||||||||
|
|
|||||||
Home Construction 5.7% | ||||||||
845,000 | Beazer Homes USA, Inc., 9.125%, 6/15/2018 | 908,375 | ||||||
1,132,000 | Beazer Homes USA, Inc., 9.125%, 5/15/2019 | 1,219,730 | ||||||
600,000 | Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A | 513,000 | ||||||
975,000 | Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A | 833,625 | ||||||
750,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 | 690,000 | ||||||
500,000 | K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A | 556,875 | ||||||
2,580,000 | KB Home, 7.250%, 6/15/2018 | 2,838,000 | ||||||
1,850,000 | Lennar Corp., 6.950%, 6/01/2018 | 2,081,250 | ||||||
3,135,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 3,009,600 | ||||||
495,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 497,475 |
See accompanying notes to financial statements.
31 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Home Construction continued | ||||||||
$ | 380,000 | Pulte Group, Inc., 7.875%, 6/15/2032 | $ | 419,900 | ||||
70,000 | Standard Pacific Corp., 8.375%, 1/15/2021 | 82,862 | ||||||
200,000 | Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A | 122,000 | ||||||
1,100,000 | Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A | 682,000 | ||||||
|
|
|||||||
14,454,692 | ||||||||
|
|
|||||||
Independent Energy 3.4% | ||||||||
30,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 | 32,775 | ||||||
405,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 | 441,450 | ||||||
1,365,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A | 897,487 | ||||||
115,000 | Halcon Resources Corp., 8.875%, 5/15/2021, 144A | 123,913 | ||||||
685,000 | Halcon Resources Corp., 9.750%, 7/15/2020, 144A | 756,925 | ||||||
3,400,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A | 2,567,000 | ||||||
800,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A | 624,000 | ||||||
1,100,000 | Plains Exploration & Production Co., 6.500%, 11/15/2020 | 1,215,500 | ||||||
810,000 | SandRidge Energy, Inc., 7.500%, 3/15/2021 | 842,400 | ||||||
200,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 | 207,500 | ||||||
675,000 | SandRidge Energy, Inc., 8.125%, 10/15/2022 | 720,562 | ||||||
|
|
|||||||
8,429,512 | ||||||||
|
|
|||||||
Life Insurance 0.5% | ||||||||
860,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 1,157,775 | ||||||
|
|
|||||||
Local Authorities 0.4% | ||||||||
1,055,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR) | 1,057,783 | ||||||
|
|
|||||||
Lodging 0.1% | ||||||||
180,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027 | 204,300 | ||||||
|
|
|||||||
Media Cable 1.3% | ||||||||
440,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 9/01/2023, 144A | 441,100 | ||||||
1,830,000 | Nara Cable Funding II Ltd., 8.500%, 3/01/2020, 144A, (EUR) | 2,457,212 | ||||||
200,000 | Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR) | 278,161 | ||||||
|
|
|||||||
3,176,473 | ||||||||
|
|
|||||||
Media Non-Cable 3.0% | ||||||||
1,565,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 | 1,533,700 | ||||||
290,000 | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A | 302,325 | ||||||
785,000 | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A | 828,175 | ||||||
1,080,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 | 1,127,250 | ||||||
50,000 | Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A | 51,500 | ||||||
335,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A | 340,862 | ||||||
230,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A | 233,738 | ||||||
2,905,000 | Intelsat Luxembourg S.A., 11.250%, 2/04/2017 | 3,093,825 | ||||||
|
|
|||||||
7,511,375 | ||||||||
|
|
|||||||
Metals & Mining 3.4% | ||||||||
2,395,000 | ArcelorMittal, 7.250%, 3/01/2041 | 2,383,025 | ||||||
2,100,000 | Arch Coal, Inc., 7.250%, 6/15/2021 | 1,884,750 | ||||||
515,000 | Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A | 494,400 |
See accompanying notes to financial statements.
| 32
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Metals & Mining continued | ||||||||
$ | 780,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A | $ | 633,750 | ||||
330,000 | FMG Resources August 2006 Pty Ltd., 6.875%, 4/01/2022, 144A | 345,675 | ||||||
660,000 | Inmet Mining Corp., 7.500%, 6/01/2021, 144A | 714,450 | ||||||
2,375,000 | United States Steel Corp., 6.650%, 6/01/2037 | 2,185,000 | ||||||
|
|
|||||||
8,641,050 | ||||||||
|
|
|||||||
Mortgage Related 0.3% | ||||||||
637,231 | FHLMC, 3.500%, 8/01/2042 | 672,520 | ||||||
|
|
|||||||
Non-Captive Consumer 2.7% | ||||||||
1,430,000 | Residential Capital LLC, 9.625%, 5/15/2015(f) | 1,558,700 | ||||||
1,230,000 | SLM Corp., 5.500%, 1/25/2023 | 1,220,775 | ||||||
1,920,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 | 1,932,000 | ||||||
2,000,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 2,010,000 | ||||||
|
|
|||||||
6,721,475 | ||||||||
|
|
|||||||
Non-Captive Diversified 2.2% | ||||||||
1,825,000 | Air Lease Corp., 4.500%, 1/15/2016 | 1,893,437 | ||||||
240,000 | Aircastle Ltd., 7.625%, 4/15/2020 | 277,800 | ||||||
1,045,000 | International Lease Finance Corp., 8.625%, 1/15/2022 | 1,329,762 | ||||||
100,000 | iStar Financial, Inc., 5.850%, 3/15/2017 | 101,750 | ||||||
135,000 | iStar Financial, Inc., 5.875%, 3/15/2016 | 140,231 | ||||||
615,000 | iStar Financial, Inc., 7.125%, 2/15/2018 | 644,213 | ||||||
15,000 | iStar Financial, Inc., Series B, 5.950%, 10/15/2013 | 15,281 | ||||||
585,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A | 611,325 | ||||||
435,000 | Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A | 451,313 | ||||||
|
|
|||||||
5,465,112 | ||||||||
|
|
|||||||
Oil Field Services 1.1% | ||||||||
730,000 | Basic Energy Services, Inc., 7.750%, 10/15/2022 | 751,900 | ||||||
1,745,000 | Edgen Murray Corp., 8.750%, 11/01/2020, 144A | 1,810,438 | ||||||
190,000 | Global Geophysical Services, Inc., 10.500%, 5/01/2017 | 164,825 | ||||||
|
|
|||||||
2,727,163 | ||||||||
|
|
|||||||
Packaging 1.3% | ||||||||
2,200,000 | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.000%, 11/15/2020, 144A | 2,260,500 | ||||||
275,000 | Sealed Air Corp., 6.500%, 12/01/2020, 144A | 301,125 | ||||||
755,000 | Sealed Air Corp., 6.875%, 7/15/2033, 144A | 717,250 | ||||||
|
|
|||||||
3,278,875 | ||||||||
|
|
|||||||
Pharmaceuticals 1.2% | ||||||||
450,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A | 474,469 | ||||||
140,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 149,100 | ||||||
530,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A | 576,375 | ||||||
1,690,000 | VPI Escrow Corp., 6.375%, 10/15/2020, 144A | 1,780,837 | ||||||
|
|
|||||||
2,980,781 | ||||||||
|
|
See accompanying notes to financial statements.
33 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Pipelines 0.6% | ||||||||
$ | 615,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | $ | 624,225 | ||||
655,000 | NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A | 733,600 | ||||||
215,000 | Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A | 216,613 | ||||||
|
|
|||||||
1,574,438 | ||||||||
|
|
|||||||
Retailers 1.3% | ||||||||
40,000 | Dillards, Inc., 7.000%, 12/01/2028 | 42,000 | ||||||
435,000 | Dillards, Inc., 7.750%, 7/15/2026 | 473,063 | ||||||
205,000 | Dillards, Inc., 7.750%, 5/15/2027 | 220,375 | ||||||
35,000 | Dillards, Inc., 7.875%, 1/01/2023 | 38,675 | ||||||
1,615,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 | 1,211,250 | ||||||
1,440,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 1,270,800 | ||||||
|
|
|||||||
3,256,163 | ||||||||
|
|
|||||||
Sovereigns 0.7% | ||||||||
1,050,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 553,384 | ||||||
2,250,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | 1,336,137 | ||||||
|
|
|||||||
1,889,521 | ||||||||
|
|
|||||||
Supermarkets 1.4% | ||||||||
315,000 | American Stores Co., 8.000%, 6/01/2026 | 404,381 | ||||||
205,000 | New Albertsons, Inc., 7.450%, 8/01/2029 | 164,256 | ||||||
1,135,000 | New Albertsons, Inc., 7.750%, 6/15/2026 | 909,419 | ||||||
200,000 | New Albertsons, Inc., 8.000%, 5/01/2031 | 162,000 | ||||||
180,000 | New Albertsons, Inc., 8.700%, 5/01/2030 | 151,200 | ||||||
935,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 | 674,369 | ||||||
895,000 | SUPERVALU, Inc., 8.000%, 5/01/2016 | 930,800 | ||||||
|
|
|||||||
3,396,425 | ||||||||
|
|
|||||||
Supranational 0.4% | ||||||||
2,000,000 |
European Bank for Reconstruction & Development, EMTN,
9.000%, 4/28/2014, (BRL) |
1,021,502 | ||||||
|
|
|||||||
Technology 3.2% | ||||||||
2,500,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 1,925,000 | ||||||
1,930,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 1,466,800 | ||||||
535,000 | Amkor Technology, Inc., 6.375%, 10/01/2022 | 533,662 | ||||||
85,000 | Amkor Technology, Inc., 6.625%, 6/01/2021 | 85,850 | ||||||
545,000 | Equinix, Inc., 5.375%, 4/01/2023 | 551,812 | ||||||
1,460,000 | First Data Corp., 8.250%, 1/15/2021, 144A | 1,518,400 | ||||||
450,000 | First Data Corp., 10.625%, 6/15/2021, 144A | 455,063 | ||||||
960,000 | Freescale Semiconductor, Inc., 8.050%, 2/01/2020 | 1,015,200 | ||||||
340,000 | SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A | 351,050 | ||||||
|
|
|||||||
7,902,837 | ||||||||
|
|
|||||||
Textile 1.8% | ||||||||
1,925,000 | Hanesbrands, Inc., 6.375%, 12/15/2020(g) | 2,095,844 | ||||||
2,605,000 | Jones Group, Inc. (The), 6.125%, 11/15/2034 | 2,217,506 |
See accompanying notes to financial statements.
| 34
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Textile continued | ||||||||
$ | 175,000 | Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019 | $ | 185,281 | ||||
|
|
|||||||
4,498,631 | ||||||||
|
|
|||||||
Transportation Services 0.1% | ||||||||
275,000 | APL Ltd., 8.000%, 1/15/2024(e) | 258,500 | ||||||
|
|
|||||||
Treasuries 8.9% | ||||||||
150,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) | 205,325 | ||||||
375,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 502,171 | ||||||
930,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 1,288,683 | ||||||
65,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) | 82,507 | ||||||
60,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) | 78,683 | ||||||
605,000 | Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR) | 823,718 | ||||||
55,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) | 75,536 | ||||||
246,500() | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) | 2,489,986 | ||||||
184,000() | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) | 2,142,139 | ||||||
229,000() | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) | 2,502,029 | ||||||
20,000,000 | Philippine Government International Bond, 3.900%, 11/26/2022, (PHP) | 534,183 | ||||||
10,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) | 279,956 | ||||||
120,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(g) | 3,907,131 | ||||||
850,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 927,946 | ||||||
1,525,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) | 1,740,769 | ||||||
2,920,000 | Spain Government Bond, 4.650%, 7/30/2025, (EUR)(g) | 3,519,322 | ||||||
19,660,565 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) | 1,304,183 | ||||||
|
|
|||||||
22,404,267 | ||||||||
|
|
|||||||
Wireless 3.0% | ||||||||
6,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 510,688 | ||||||
900,000 | Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A | 432,000 | ||||||
955,000 |
Clearwire Communications LLC/Clearwire Finance, Inc.,
12.000%, 12/01/2015, 144A |
1,030,206 | ||||||
795,000 | SBA Communications Corp., 5.625%, 10/01/2019, 144A | 817,856 | ||||||
4,501,000 | Sprint Capital Corp., 6.875%, 11/15/2028(g) | 4,602,273 | ||||||
5,000 | Sprint Capital Corp., 6.900%, 5/01/2019 | 5,488 | ||||||
70,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 83,475 | ||||||
|
|
|||||||
7,481,986 | ||||||||
|
|
|||||||
Wirelines 4.9% | ||||||||
332,000 | Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(h) | 292,160 | ||||||
85,000 | CenturyLink, Inc., 5.625%, 4/01/2020 | 86,913 | ||||||
2,590,000 | CenturyLink, Inc., 7.650%, 3/15/2042 | 2,502,587 | ||||||
1,145,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | 1,110,650 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 123,500 | ||||||
1,105,000 | Cincinnati Bell, Inc., 8.750%, 3/15/2018 | 1,096,712 | ||||||
60,000,000 | Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A (COP) | 34,840 | ||||||
735,000 | Frontier Communications Corp., 9.000%, 8/15/2031 | 758,887 | ||||||
605,000 | Level 3 Communications, Inc., 8.875%, 6/01/2019, 144A | 660,963 | ||||||
1,090,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A | 1,141,775 |
See accompanying notes to financial statements.
35 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
See accompanying notes to financial statements.
| 36
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
See accompanying notes to financial statements.
37 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
See accompanying notes to financial statements.
| 38
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
Shares |
Description | Value () | ||||||
Diversified Telecommunication Services 0.0% | ||||||||
68 | FairPoint Communications, Inc.(k) | $ | 508 | |||||
593 | Hawaiian Telcom Holdco, Inc.(k) | 13,681 | ||||||
|
|
|||||||
14,189 | ||||||||
|
|
|||||||
Gas Utilities 0.4% | ||||||||
17,600 | National Fuel Gas Co. | 1,079,760 | ||||||
|
|
|||||||
Household Durables 0.4% | ||||||||
46,500 | KB Home | 1,012,305 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.2% | ||||||||
14,882 | Kinder Morgan, Inc. | 575,636 | ||||||
|
|
|||||||
Pharmaceuticals 0.1% | ||||||||
6,875 | Merck & Co., Inc. | 304,081 | ||||||
|
|
|||||||
Trading Companies & Distributors 0.1% | ||||||||
2,696 | United Rentals, Inc.(k) | 148,199 | ||||||
|
|
|||||||
Total Common Stocks
(Identified Cost $2,778,432) |
3,921,352 | |||||||
|
|
|||||||
Warrants 0.0% | ||||||||
10,360 | FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(e)(i)(k) | | ||||||
22,512 | Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(k) | 115,712 | ||||||
|
|
|||||||
Total Warrants
(Identified Cost $29,892) |
115,712 | |||||||
|
|
|||||||
Principal
Amount () |
||||||||
Short-Term Investments 7.1% | ||||||||
$ | 848 | Repurchase Agreement with State Street Bank and Trust Company, dated 3/29/2013 at 0.010% to be repurchased at $848 on 4/01/2013 collateralized by $5,000 Federal National Mortgage Association, 2.080%, due 11/02/2022 valued at $5,003 including accrued interest (Note 2 of Notes to Financial Statements) | 848 | |||||
17,722,382 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2013, at 0.000% to be repurchased at $17,722,382 on 4/01/2013 collateralized by $16,490,000 U.S. Treasury Note, 4.125% due 5/15/2015 valued at $18,079,718 including accrued interest (Note 2 of Notes to Financial Statements) | 17,722,382 | ||||||
|
|
|||||||
Total Short-Term Investments
(Identified Cost $17,723,230) |
17,723,230 | |||||||
|
|
|||||||
Total Investments 99.2%
(Identified Cost $229,161,926)(a) |
248,506,256 | |||||||
Other assets less liabilities 0.8% | 1,955,289 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 250,461,545 | ||||||
|
|
See accompanying notes to financial statements.
39 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
See accompanying notes to financial statements.
| 40
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles High Income Fund (continued)
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract
to Buy/Sell 1 |
Delivery
Date |
Currency |
Units
of Currency |
Notional
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||
Buy | 4/30/2013 | Euro | 275,000 | $ | 352,571 | $ | (3,661 | ) | ||||||||||
Sell | 4/30/2013 | Euro | 12,550,000 | 16,090,051 | 672,615 | |||||||||||||
|
|
|||||||||||||||||
Total | $ | 668,954 | ||||||||||||||||
|
|
1 Counterparty is Barclays Bank PLC.
Industry Summary at March 31, 2013 (Unaudited)
Treasuries |
8.9 | % | ||
Technology |
7.0 | |||
Home Construction |
6.5 | |||
Wirelines |
4.9 | |||
Metals & Mining |
4.3 | |||
Non-Captive Diversified |
3.9 | |||
Independent Energy |
3.9 | |||
ABS Home Equity |
3.7 | |||
Automotive |
3.6 | |||
Media Non-Cable |
3.1 | |||
Banking |
3.1 | |||
Wireless |
3.0 | |||
Non-Captive Consumer |
2.7 | |||
Chemicals |
2.6 | |||
Healthcare |
2.5 | |||
Textile |
2.1 | |||
Other Investments, less than 2% each |
26.3 | |||
Short-Term Investments |
7.1 | |||
|
|
|||
Total Investments |
99.2 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
0.8 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
41 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund
Principal
Amount () |
Description | Value () | ||||||
Bonds and Notes 96.9% of Net Assets | ||||||||
Non-Convertible Bonds 96.8% | ||||||||
Belgium 2.7% | ||||||||
100,000 | Anheuser-Busch InBev NV, EMTN, 1.250%, 3/24/2017, (EUR) | $ | 130,022 | |||||
260,000 | Belgium Government Bond, 3.500%, 6/28/2017, (EUR)(b) | 370,609 | ||||||
|
|
|||||||
500,631 | ||||||||
|
|
|||||||
Brazil 1.7% | ||||||||
350,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 184,461 | ||||||
100,000 | Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR) | 138,121 | ||||||
|
|
|||||||
322,582 | ||||||||
|
|
|||||||
Canada 3.8% | ||||||||
190,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) | 196,462 | ||||||
100,000 |
Ford Auto Securitization Trust, Series 2013-R1A, Class A2,
1.676%, 9/15/2016, 144A, (CAD) |
98,840 | ||||||
70,000 | Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD) | 78,877 | ||||||
150,000 | Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR) | 209,289 | ||||||
95,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) | 107,841 | ||||||
|
|
|||||||
691,309 | ||||||||
|
|
|||||||
Finland 2.9% | ||||||||
390,000 | Finland Government Bond, 1.875%, 4/15/2017, (EUR)(b) | 528,110 | ||||||
|
|
|||||||
France 6.0% | ||||||||
50,000 |
AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter),
5.250%, 4/16/2040, (EUR) |
66,235 | ||||||
530,000 | France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b) | 741,341 | ||||||
195,000 | France Government Bond OAT, 3.750%, 4/25/2021, (EUR) | 289,904 | ||||||
|
|
|||||||
1,097,480 | ||||||||
|
|
|||||||
Germany 7.9% | ||||||||
355,000 | Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR) | 478,037 | ||||||
170,000 | Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR) | 255,790 | ||||||
470,000 | Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR) | 706,276 | ||||||
|
|
|||||||
1,440,103 | ||||||||
|
|
|||||||
Ireland 0.9% | ||||||||
100,000 | WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) | 175,217 | ||||||
|
|
|||||||
Italy 8.3% | ||||||||
50,000 | Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP) | 76,843 | ||||||
515,000 | Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b) | 569,842 | ||||||
370,000 | Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(b) | 492,260 | ||||||
150,000 | Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR) | 202,061 | ||||||
60,000 | Republic of Italy, 6.875%, 9/27/2023 | 68,858 | ||||||
75,000 | Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR) | 109,412 | ||||||
|
|
|||||||
1,519,276 | ||||||||
|
|
|||||||
Japan 24.4% | ||||||||
90,000,000 | Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY) | 1,046,070 | ||||||
43,000,000 | Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY) | 460,388 |
See accompanying notes to financial statements.
| 42
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Japan continued | ||||||||
92,650,000 | Japan Government Ten Year Bond, 1.700%, 12/20/2016, (JPY) | $ | 1,042,383 | |||||
40,500,000 | Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY) | 460,443 | ||||||
26,000,000 | Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY) | 303,042 | ||||||
98,000,000 | Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY) | 1,163,671 | ||||||
|
|
|||||||
4,475,997 | ||||||||
|
|
|||||||
Jersey 0.8% | ||||||||
100,000 | Heathrow Funding Ltd., 4.375%, 1/25/2019, (EUR) | 142,260 | ||||||
|
|
|||||||
Korea 0.3% | ||||||||
2,300,000 | Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) | 59,132 | ||||||
|
|
|||||||
Luxembourg 0.3% | ||||||||
50,000 | ArcelorMittal, 6.000%, 3/01/2021 | 52,568 | ||||||
|
|
|||||||
Malaysia 1.7% | ||||||||
580,000 | Malaysia Government Bond, 3.314%, 10/31/2017, (MYR) | 188,356 | ||||||
370,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) | 124,119 | ||||||
|
|
|||||||
312,475 | ||||||||
|
|
|||||||
Mexico 3.2% | ||||||||
2,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 170,229 | ||||||
47,000() | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) | 421,682 | ||||||
|
|
|||||||
591,911 | ||||||||
|
|
|||||||
Netherlands 1.3% | ||||||||
50,000 | Deutsche Telekom International Finance BV, EMTN, 5.750%, 4/14/2015, (EUR) | 70,380 | ||||||
50,000 | EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR) | 66,304 | ||||||
75,000 | Volkswagen International Finance NV, EMTN, 1.875%, 5/15/2017, (EUR) | 99,127 | ||||||
|
|
|||||||
235,811 | ||||||||
|
|
|||||||
Norway 2.2% | ||||||||
30,000 | Eksportfinans ASA, 2.000%, 9/15/2015 | 28,803 | ||||||
2,000,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)(b) | 381,257 | ||||||
|
|
|||||||
410,060 | ||||||||
|
|
|||||||
Philippines 0.8% | ||||||||
5,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) | 139,978 | ||||||
|
|
|||||||
Poland 2.3% | ||||||||
520,000 | Poland Government Bond, 4.750%, 4/25/2017, (PLN) | 168,102 | ||||||
225,000 | Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF) | 247,256 | ||||||
|
|
|||||||
415,358 | ||||||||
|
|
|||||||
Singapore 1.9% | ||||||||
70,000 | Singapore Government Bond, 1.625%, 4/01/2013, (SGD) | 56,436 | ||||||
360,000 | Singapore Government Bond, 2.250%, 7/01/2013, (SGD) | 291,744 | ||||||
|
|
|||||||
348,180 | ||||||||
|
|
|||||||
Spain 0.4% | ||||||||
50,000 | Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP) | 84,434 | ||||||
|
|
See accompanying notes to financial statements.
43 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund (continued)
Principal
Amount () |
Description | Value () | ||||||
Sweden 1.2% | ||||||||
1,300,000 | Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(b) | $ | 215,545 | |||||
|
|
|||||||
Thailand 0.6% | ||||||||
3,000,000 | Thailand Government Bond, 3.250%, 6/16/2017, (THB) | 103,256 | ||||||
|
|
|||||||
Turkey 0.7% | ||||||||
215,000 | Turkey Government Bond, 9.000%, 3/05/2014, (TRY) | 121,801 | ||||||
|
|
|||||||
United Kingdom 9.4% | ||||||||
90,000 | Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP) | 144,912 | ||||||
100,000 | BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR) | 150,596 | ||||||
50,000 | British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP) | 92,950 | ||||||
105,000 | British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) | 190,032 | ||||||
50,000 | BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) | 89,070 | ||||||
100,000 | FCE Bank PLC, EMTN, 4.825%, 2/15/2017, (GBP) | 165,359 | ||||||
110,000 | United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b) | 175,283 | ||||||
170,000 | United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)(b) | 313,973 | ||||||
40,000 | United Kingdom Treasury, 4.750%, 12/07/2038, (GBP) | 79,603 | ||||||
160,000 | United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)(b) | 318,785 | ||||||
|
|
|||||||
1,720,563 | ||||||||
|
|
|||||||
United States 10.0% | ||||||||
100,000 | BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR) | 133,098 | ||||||
50,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) | 88,189 | ||||||
45,000 | HCA, Inc., 8.360%, 4/15/2024 | 50,400 | ||||||
150,000 | HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR) | 212,360 | ||||||
50,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 53,891 | ||||||
50,000 | JPMorgan Chase & Co., EMTN, 0.590%, 10/12/2015, (EUR)(c) | 62,875 | ||||||
50,000 | JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR) | 66,102 | ||||||
50,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) | 68,258 | ||||||
15,000 | Morgan Stanley, 5.375%, 11/14/2013, (GBP) | 23,333 | ||||||
50,000 | Pfizer, Inc., 4.550%, 5/15/2017, (EUR) | 73,503 | ||||||
75,000 | Sprint Nextel Corp., 6.000%, 11/15/2022 | 77,062 | ||||||
640,000 | U.S. Treasury Note, 0.250%, 11/30/2013(d) | 640,425 | ||||||
100,000 | Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR) | 144,168 | ||||||
100,000 | Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) | 133,936 | ||||||
|
|
|||||||
1,827,600 | ||||||||
|
|
|||||||
Uruguay 1.1% | ||||||||
2,981,114 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) | 197,752 | ||||||
|
|
|||||||
Total Non-Convertible Bonds
(Identified Cost $18,204,800) |
17,729,389 | |||||||
|
|
|||||||
See accompanying notes to financial statements.
| 44
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund (continued)
See accompanying notes to financial statements.
45 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund (continued)
At March 31, 2013, the Fund had the following open forward foreign currency contracts:
Contract
to Buy/Sell |
Delivery
Date |
Currency |
Units
of Currency |
Notional
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||
Sell 1 | 6/28/2013 | British Pound | 122,000 | $ | 185,291 | $ | (245 | ) | ||||||||||
Buy 2 | 6/19/2013 | Canadian Dollar | 430,000 | 422,551 | 5,107 | |||||||||||||
Buy 1 | 6/19/2013 | Euro | 215,000 | 275,751 | (4,242 | ) | ||||||||||||
Buy 3 | 6/21/2013 | Malaysian Ringgit | 290,000 | 93,148 | 1,070 | |||||||||||||
Buy 1 | 6/11/2013 | South Korean Won | 630,000,000 | 564,105 | (13,506 | ) | ||||||||||||
Buy 4 | 6/11/2013 | South Korean Won | 104,700,000 | 93,749 | (2,174 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | (13,990 | ) | |||||||||||||||
|
|
See accompanying notes to financial statements.
| 46
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund (continued)
At March 31, 2013, the Fund had the following open forward foreign cross-currency contracts:
Settlement Date | Deliver/Units of Currency | Receive/Units of Currency |
Unrealized
Appreciation (Depreciation) |
|||||||||||||
4/22/2013 |
Euro | 54,007 | Turkish Lira 4 | 130,000 | $ | 2,431 | ||||||||||
4/22/2013 |
Euro | 37,792 | Turkish Lira 4 | 90,000 | 1,166 | |||||||||||
6/12/2013 |
Euro | 133,586 | Norwegian Krone 5 | 1,010,000 | 1,128 | |||||||||||
4/04/2013 |
Japanese Yen | 4,360,534 | Singapore Dollar 1 | 62,000 | 3,663 | |||||||||||
5/02/2013 |
Japanese Yen | 18,891,400 | Thai Baht 4 | 6,200,000 | 10,589 | |||||||||||
6/03/2013 |
Japanese Yen | 4,569,400 | Malaysian Ringgit 4 | 155,000 | 1,282 | |||||||||||
7/03/2013 |
Japanese Yen | 4,694,702 | Singapore Dollar 1 | 62,000 | 93 | |||||||||||
6/03/2013 |
Malaysian Ringgit | 155,000 | Japanese Yen 4 | 4,646,125 | (466 | ) | ||||||||||
6/04/2013 |
Malaysian Ringgit | 430,000 | Japanese Yen 4 | 12,889,250 | (1,284 | ) | ||||||||||
6/12/2013 |
Norwegian Krone | 1,010,000 | Euro 5 | 135,221 | 969 | |||||||||||
4/04/2013 |
Singapore Dollar | 62,000 | Japanese Yen 1 | 4,696,438 | (95 | ) | ||||||||||
4/22/2013 |
Turkish Lira | 220,000 | Euro 4 | 93,078 | (1,957 | ) | ||||||||||
|
|
|||||||||||||||
Total |
$ | 17,519 | ||||||||||||||
|
|
1 Counterparty is Barclays Bank PLC.
2 Counterparty is UBS AG.
3 Counterparty is JP Morgan Chase Bank, N.A.
4 Counterparty is Credit Suisse International.
5 Counterparty is Deutsche Bank AG.
At March 31, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration
Date |
Contracts |
Notional
Value |
Unrealized
Appreciation (Depreciation) |
||||||||||||
German Euro BOBL |
6/06/2013 | 5 | $ | 812,181 | $ | 5,631 | ||||||||||
|
|
Industry Summary at March 31, 2013 (Unaudited)
Treasuries |
66.8 | % | ||
Government Guaranteed |
5.7 | |||
Banking |
2.8 | |||
Sovereigns |
2.8 | |||
Wirelines |
2.7 | |||
Other Investments, less than 2% each |
16.2 | |||
Short-Term Investments |
2.3 | |||
|
|
|||
Total Investments |
99.3 | |||
Other assets less liabilities (including open forward foreign currency contracts and futures contracts) |
0.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
47 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles International Bond Fund (continued)
Currency Exposure Summary at March 31, 2013 (Unaudited)
Euro |
36.7 | % | ||
Japanese Yen |
24.4 | |||
British Pound |
10.9 | |||
United States Dollar |
7.8 | |||
Mexican Peso |
3.2 | |||
Canadian Dollar |
2.6 | |||
Norwegian Krone |
2.1 | |||
Other, less than 2% each |
11.6 | |||
|
|
|||
Total Investments |
99.3 | |||
Other assets less liabilities (including open forward foreign currency contracts and futures contracts) |
0.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 48
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund
Principal
Amount |
Description | Value () | ||||||
Bonds and Notes 95.2% of Net Assets | ||||||||
ABS Car Loan 2.5% | ||||||||
$ | 2,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A | $ | 2,244,952 | ||||
910,000 | Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A | 915,741 | ||||||
2,280,762 |
First Investors Auto Owner Trust, Series 2012-2A, Class A2,
1.470%, 5/15/2018, 144A |
2,283,891 | ||||||
920,000 | First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A | 919,476 | ||||||
955,434 |
SNAAC Auto Receivables Trust, Series 2012-1A, Class A,
1.780%, 6/15/2016, 144A |
960,894 | ||||||
7,000,000 | Tidewater Auto Receivables Trust, Series 2012-AA, Class A2, 1.210%, 8/15/2015, 144A | 6,999,902 | ||||||
3,000,000 | Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A | 2,997,636 | ||||||
|
|
|||||||
17,322,492 | ||||||||
|
|
|||||||
ABS Credit Card 1.0% | ||||||||
3,220,000 | GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022 | 3,223,474 | ||||||
3,400,000 | World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023 | 3,690,816 | ||||||
|
|
|||||||
6,914,290 | ||||||||
|
|
|||||||
ABS Home Equity 0.1% | ||||||||
407,082 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b) | 417,939 | ||||||
275,283 | Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 6.200%, 1/25/2028(b) | 269,235 | ||||||
|
|
|||||||
687,174 | ||||||||
|
|
|||||||
ABS Other 0.4% | ||||||||
3,000,000 | Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019 | 3,011,526 | ||||||
|
|
|||||||
ABS Student Loan 0.4% | ||||||||
2,460,207 | Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.803%, 9/20/2022(b) | 2,472,508 | ||||||
|
|
|||||||
Collateralized Mortgage Obligations 29.7% | ||||||||
242,178 | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.180%, 5/15/2023(b) | 248,887 | ||||||
157,350 | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.360%, 8/15/2023(b) | 161,842 | ||||||
577,486 | Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029 | 656,817 | ||||||
1,054,167 | Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.603%, 11/15/2032(b) | 1,056,856 | ||||||
3,825,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019 | 4,184,217 |
See accompanying notes to financial statements.
49 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount |
Description | Value () | ||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 6,280,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020 | $ | 6,742,189 | ||||
3,631,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035 | 4,197,687 | ||||||
3,510,000 | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035 | 3,999,241 | ||||||
8,610,000 | Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034 | 9,080,080 | ||||||
4,875,082 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.624%, 6/15/2048(b) | 5,083,491 | ||||||
5,897,370 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.874%, 12/15/2036(b) | 6,282,091 | ||||||
586,015 | Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028 | 608,657 | ||||||
175,819 | Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.350%, 9/25/2022(b) | 181,125 | ||||||
152,708 | Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.500%, 4/25/2024(b) | 157,353 | ||||||
2,494,000 | Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025 | 2,815,112 | ||||||
4,155,000 | Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034 | 4,344,655 | ||||||
6,969,739 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.381%, 8/25/2038(b) | 7,280,095 | ||||||
129,078 | Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.390%, 4/25/2023(b) | 132,828 | ||||||
1,490,064 | FHLMC, 3.002%, 12/01/2034(b) | 1,593,261 | ||||||
2,189,323 | FHLMC, 3.346%, 3/01/2038(b) | 2,336,948 | ||||||
2,013,886 | FHLMC, 5.235%, 11/01/2038(b) | 2,172,072 | ||||||
6,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020 | 6,902,694 | ||||||
4,305,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021 | 4,832,845 | ||||||
3,535,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018 | 3,774,733 | ||||||
700,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018 | 737,774 | ||||||
2,590,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018 | 2,715,004 | ||||||
7,910,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019 | 8,202,441 | ||||||
34,370,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019 | 34,754,738 | ||||||
19,695,181 | FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.554%, 4/25/2019(b) | 19,733,567 | ||||||
1,907,603 | FNMA, 2.270%, 9/01/2036(b) | 2,027,629 | ||||||
5,704,718 | FNMA, 2.306%, 11/01/2033(b) | 6,028,532 |
See accompanying notes to financial statements.
| 50
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount |
Description | Value () | ||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 1,365,563 | FNMA, 2.647%, 10/01/2033(b) | $ | 1,449,077 | ||||
7,378,718 | FNMA, 2.655%, 9/01/2037(b) | 7,898,229 | ||||||
6,206,959 | FNMA, 2.762%, 7/01/2037(b) | 6,632,900 | ||||||
3,899,655 | FNMA, 4.726%, 8/01/2038(b) | 4,183,101 | ||||||
953,027 | Government National Mortgage Association, Series 1998-19, Class ZB, 6.500%, 7/20/2028 | 1,110,406 | ||||||
6,177,448 | Government National Mortgage Association, Series 2012-124, Class HT, 7.230%, 7/20/2032(b) | 7,273,871 | ||||||
8,401,785 | Government National Mortgage Association, Series 2012-H29, Class HF, 0.702%, 10/20/2062(b) | 8,428,797 | ||||||
8,167,989 | Government National Mortgage Association, Series 2013-H02, Class GF, 0.702%, 12/20/2062(b) | 8,194,352 | ||||||
899,569 | NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.553%, 12/07/2020(b) | 902,160 | ||||||
1,603,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 | 1,708,331 | ||||||
1,621,983 | NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.650%, 10/07/2020(b) | 1,627,060 | ||||||
5,978,448 | NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.760%, 12/08/2020(b) | 6,013,960 | ||||||
130,371 | NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.760%, 12/08/2020(b) | 130,893 | ||||||
|
|
|||||||
208,578,598 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 14.6% | ||||||||
1,780,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.609%, 4/10/2049(b) | 2,054,547 | ||||||
375,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051 | 430,166 | ||||||
1,445,000 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 | 1,612,166 | ||||||
1,470,000 | Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.053%, 12/10/2049(b) | 1,739,527 | ||||||
3,200,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 | 3,637,951 | ||||||
1,140,000 | COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047 | 1,302,107 | ||||||
1,135,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045 | 1,177,508 | ||||||
2,625,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 | 2,988,195 | ||||||
5,270,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 | 6,081,106 | ||||||
3,000,000 | Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.024%, 2/15/2041(b) | 3,515,223 | ||||||
1,000,000 | Del Coronado Trust, Series 2013-HDC, Class A, 1.003%, 3/15/2026, 144A(b) | 999,954 | ||||||
1,200,000 | Extended Stay America Trust, Series 2013-ESFL, Class A2FL, 0.904%, 12/05/2031, 144A(b) | 1,201,020 | ||||||
7,778,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 | 8,982,221 | ||||||
5,000,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039 | 5,699,470 |
See accompanying notes to financial statements.
51 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount |
Description | Value () | ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$ | 10,865,000 | GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.052%, 11/08/2029, 144A(b) | $ | 10,889,685 | ||||
295,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043 | 330,040 | ||||||
2,785,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047 | 3,159,109 | ||||||
5,000,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 | 5,685,210 | ||||||
2,000,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040 | 2,253,688 | ||||||
4,000,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045 | 4,603,908 | ||||||
1,173,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 | 1,326,819 | ||||||
5,364,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 | 6,089,781 | ||||||
5,000,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049 | 5,795,090 | ||||||
3,485,000 | Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.575%, 4/12/2049(b) | 3,888,598 | ||||||
3,000,000 | Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044 | 3,350,757 | ||||||
1,500,000 | Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.889%, 6/11/2049(b) | 1,742,675 | ||||||
2,690,000 | Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A | 2,701,454 | ||||||
4,410,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048 | 4,966,860 | ||||||
3,775,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 | 4,271,779 | ||||||
|
|
|||||||
102,476,614 | ||||||||
|
|
|||||||
Hybrid ARMs 19.0% | ||||||||
2,904,891 | FHLMC, 2.294%, 4/01/2036(b) | 3,063,877 | ||||||
4,758,257 | FHLMC, 2.345%, 7/01/2033(b) | 5,037,268 | ||||||
3,346,168 | FHLMC, 2.370%, 3/01/2036(b) | 3,558,494 | ||||||
2,346,831 | FHLMC, 2.372%, 4/01/2035(b) | 2,515,036 | ||||||
2,249,621 | FHLMC, 2.374%, 6/01/2037(b) | 2,388,559 | ||||||
1,112,287 | FHLMC, 2.376%, 2/01/2035(b) | 1,188,810 | ||||||
7,249,209 | FHLMC, 2.388%, 2/01/2036(b) | 7,724,213 | ||||||
7,425,129 | FHLMC, 2.410%, 5/01/2037(b) | 7,915,807 | ||||||
3,148,510 | FHLMC, 2.423%, 2/01/2036(b) | 3,355,870 | ||||||
3,858,457 | FHLMC, 2.511%, 11/01/2036(b) | 4,124,454 | ||||||
1,226,691 | FHLMC, 2.808%, 4/01/2037(b) | 1,315,011 | ||||||
5,132,291 | FHLMC, 2.902%, 9/01/2035(b) | 5,482,677 | ||||||
3,862,281 | FHLMC, 2.990%, 4/01/2037(b) | 4,139,816 | ||||||
2,079,262 | FHLMC, 3.511%, 11/01/2038(b) | 2,213,616 | ||||||
4,188,841 | FHLMC, 5.048%, 9/01/2038(b) | 4,503,748 | ||||||
487,324 | FHLMC, 5.248%, 12/01/2037(b) | 524,534 | ||||||
759,438 | FHLMC, 5.428%, 9/01/2038(b) | 813,227 | ||||||
1,350,305 | FHLMC, 5.730%, 3/01/2037(b) | 1,451,609 | ||||||
317,234 | FNMA, 2.029%, 2/01/2037(b) | 332,681 |
See accompanying notes to financial statements.
| 52
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund (continued)
Principal
Amount |
Description | Value () | ||||||
Hybrid ARMs continued | ||||||||
$ | 3,909,316 | FNMA, 2.163%, 7/01/2035(b) | $ | 4,142,431 | ||||
1,403,618 | FNMA, 2.309%, 9/01/2034(b) | 1,500,777 | ||||||
866,506 | FNMA, 2.310%, 12/01/2034(b) | 921,576 | ||||||
790,581 | FNMA, 2.316%, 4/01/2033(b) | 843,364 | ||||||
2,848,644 | FNMA, 2.333%, 4/01/2034(b) | 3,042,040 | ||||||
3,369,587 | FNMA, 2.345%, 6/01/2036(b) | 3,599,994 | ||||||
4,555,689 | FNMA, 2.347%, 8/01/2035(b) | 4,853,229 | ||||||
2,251,250 | FNMA, 2.358%, 1/01/2036(b) | 2,406,792 | ||||||
10,944,632 | FNMA, 2.360%, 10/01/2034(b) | 11,662,463 | ||||||
2,818,370 | FNMA, 2.412%, 6/01/2033(b) | 2,973,601 | ||||||
4,183,098 | FNMA, 2.490%, 10/01/2033(b) | 4,457,364 | ||||||
743,884 | FNMA, 2.552%, 8/01/2033(b) | 791,277 | ||||||
688,925 | FNMA, 2.646%, 8/01/2036(b) | 740,043 | ||||||
2,142,781 | FNMA, 2.677%, 5/01/2035(b) | 2,318,003 | ||||||
2,210,091 | FNMA, 2.695%, 2/01/2047(b) | 2,361,403 | ||||||
1,793,080 | FNMA, 2.802%, 8/01/2034(b) | 1,929,770 | ||||||
3,229,756 | FNMA, 2.804%, 4/01/2037(b) | 3,452,382 | ||||||
5,682,973 | FNMA, 3.403%, 6/01/2037(b) | 6,073,586 | ||||||
4,036,473 | FNMA, 3.473%, 6/01/2035(b) | 4,294,093 | ||||||
8,233,626 | FNMA, 5.757%, 9/01/2037(b) | 8,876,440 | ||||||
|
|
|||||||
132,889,935 | ||||||||
|
|
|||||||
Mortgage Related 24.6% | ||||||||
10,888,557 | FHLMC, 2.385%, 3/01/2037(b) | 11,585,626 | ||||||
3,058,953 | FHLMC, 2.690%, 9/01/2038(b) | 3,263,826 | ||||||
19,747,476 | FHLMC, 3.000%, with various maturities from 2026 to 2027(c) | 20,795,274 | ||||||
995,279 | FHLMC, 4.000%, 12/01/2024 | 1,057,475 | ||||||
2,916,008 | FHLMC, 4.500%, with various maturities from 2025 to 2034(c) | 3,108,172 | ||||||
883,556 | FHLMC, 5.500%, 10/01/2023 | 950,228 | ||||||
69,018 | FHLMC, 6.000%, 11/01/2019 | 76,289 | ||||||
2,287,514 | FHLMC, 6.500%, with various maturities from 2014 to 2034(c) | 2,594,578 | ||||||
45,515 | FHLMC, 7.000%, 2/01/2016 | 48,001 | ||||||
2,072 | FHLMC, 7.500%, with various maturities from 2014 to 2026(c) | 2,276 | ||||||
3,592 | FHLMC, 8.000%, 9/01/2015 | 3,787 | ||||||
2,742 | FHLMC, 10.000%, 7/01/2019 | 3,139 | ||||||
53,660 | FHLMC, 11.500%, with various maturities from 2015 to 2020(c) | 62,025 | ||||||
7,871,005 | FNMA, 2.573%, 4/01/2037(b) | 8,347,425 | ||||||
6,612,489 | FNMA, 2.610%, 7/01/2035(b) | 7,027,283 | ||||||
10,025,253 | FNMA, 3.000%, with various maturities from 2027 to 2042(c) | 10,547,598 | ||||||
1,760,443 | FNMA, 4.000%, with various maturities in 2019(c) | 1,888,532 | ||||||
4,053,608 | FNMA, 4.500%, 1/01/2025 | 4,361,884 | ||||||
6,333,197 | FNMA, 5.000%, with various maturities from 2037 to 2038(c) | 6,900,941 | ||||||
2,862,194 | FNMA, 5.500%, with various maturities from 2018 to 2033(c) | 3,127,904 | ||||||
5,525,303 | FNMA, 6.000%, with various maturities from 2017 to 2022(c) | 6,065,926 | ||||||
860,603 | FNMA, 6.500%, with various maturities from 2017 to 2037(c) | 993,851 | ||||||
31,791 | FNMA, 7.000%, 12/01/2022 | 32,037 | ||||||
196,304 | FNMA, 7.500%, with various maturities from 2015 to 2032(c) | 230,429 | ||||||
14,222 | FNMA, 8.000%, with various maturities from 2015 to 2016(c) | 15,016 |
See accompanying notes to financial statements.
53 |
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund (continued)
See accompanying notes to financial statements.
| 54
Portfolio of Investments as of March 31, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund (continued)
Industry Summary at March 31, 2013 (Unaudited)
Collateralized Mortgage Obligations |
29.7 | % | ||
Mortgage Related |
24.6 | |||
Hybrid ARMs |
19.0 | |||
Commercial Mortgage-Backed Securities |
14.6 | |||
Treasuries |
2.9 | |||
ABS Car Loan |
2.5 | |||
Other Investments, less than 2% each |
1.9 | |||
Short-Term Investments |
5.5 | |||
|
|
|||
Total Investments |
100.7 | |||
Other assets less liabilities |
(0.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
55 |
Statements of Assets and Liabilities
March 31, 2013 (Unaudited)
Core Plus Bond
Fund |
High Income Fund |
International
Bond Fund |
Limited Term
Government and Agency Fund |
|||||||||||||
ASSETS |
||||||||||||||||
Investments at cost |
$ | 1,655,358,723 | $ | 229,161,926 | $ | 18,655,647 | $ | 691,544,697 | ||||||||
Net unrealized appreciation (depreciation) |
63,041,436 | 19,344,330 | (474,494 | ) | 14,396,118 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments at value |
1,718,400,159 | 248,506,256 | 18,181,153 | 705,940,815 | ||||||||||||
Cash |
| 53 | | | ||||||||||||
Foreign currency at value (identified cost $0, $9, $210,490 and $0) |
| 9 | 207,461 | | ||||||||||||
Receivable for Fund shares sold |
10,076,299 | 965,277 | 14,339 | 2,955,342 | ||||||||||||
Receivable from investment adviser (Note 6) |
| | 8,415 | | ||||||||||||
Receivable for securities sold |
14,359,543 | 170,414 | | | ||||||||||||
Receivable for delayed delivery securities sold (Note 2) |
45,123,702 | | | | ||||||||||||
Securities received as collateral for open forward foreign currency contracts (Notes 2 and 4) |
| 650,244 | | | ||||||||||||
Dividends and interest receivable |
17,914,551 | 3,870,496 | 237,347 | 3,368,706 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) |
| 672,615 | 27,498 | | ||||||||||||
Tax reclaims receivable |
| 10,237 | 26 | | ||||||||||||
Receivable from distributor (Note 6d) |
| 2,665 | 127 | 5,338 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL ASSETS |
1,805,874,254 | 254,848,266 | 18,676,366 | 712,270,201 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Payable for securities purchased |
25,577,370 | 2,651,023 | | 8,748,783 | ||||||||||||
Payable for delayed delivery securities purchased (Note 2) |
83,663,328 | | | | ||||||||||||
Payable for Fund shares redeemed |
3,389,890 | 728,214 | 256,372 | 1,250,003 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) |
| 3,661 | 23,969 | | ||||||||||||
Due to brokers (Note 2) |
| 650,244 | | | ||||||||||||
Payable for variation margin on futures contracts (Note 2) |
| | 468 | | ||||||||||||
Distributions payable |
| | | 320,853 | ||||||||||||
Management fees payable (Note 6) |
547,686 | 180,963 | | 254,958 | ||||||||||||
Deferred Trustees fees (Note 6) |
269,962 | 116,627 | 46,305 | 253,944 | ||||||||||||
Administrative fees payable (Note 6) |
63,290 | 9,268 | 695 | 26,235 | ||||||||||||
Payable to distributor (Note 6d) |
12,833 | | | | ||||||||||||
Other accounts payable and accrued expenses |
150,586 | 46,721 | 37,279 | 132,312 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL LIABILITIES |
113,674,945 | 4,386,721 | 365,088 | 10,987,088 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 1,692,199,309 | $ | 250,461,545 | $ | 18,311,278 | $ | 701,283,113 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||
Paid-in capital |
$ | 1,626,950,383 | $ | 231,163,187 | $ | 18,775,715 | $ | 691,578,926 | ||||||||
Distributions in excess of net investment income |
(4,357,103 | ) | (480,757 | ) | (133,997 | ) | (3,455,918 | ) | ||||||||
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions |
6,541,988 | (230,736 | ) | 141,094 | (1,236,013 | ) | ||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations |
63,064,041 | 20,009,851 | (471,534 | ) | 14,396,118 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 1,692,199,309 | $ | 250,461,545 | $ | 18,311,278 | $ | 701,283,113 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 56
Statements of Assets and Liabilities (continued)
March 31, 2013 (Unaudited)
Core Plus Bond
Fund |
High Income Fund |
International
Bond Fund |
Limited Term
Government and Agency Fund |
|||||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
||||||||||||||||
Class A shares: |
||||||||||||||||
Net assets |
$ | 570,270,749 | $ | 81,542,856 | $ | 11,093,523 | $ | 374,614,430 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares of beneficial interest |
42,786,023 | 16,940,809 | 1,129,939 | 31,385,236 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value and redemption price per share |
$ | 13.33 | $ | 4.81 | $ | 9.82 | $ | 11.94 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) |
$ | 13.96 | $ | 5.04 | $ | 10.28 | $ | 12.31 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||
Net assets |
$ | 1,765,435 | $ | 522,176 | $ | | $ | 7,314,303 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares of beneficial interest |
131,881 | 108,090 | | 613,445 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value and offering price per share |
$ | 13.39 | $ | 4.83 | $ | | $ | 11.92 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) |
||||||||||||||||
Net assets |
$ | 308,867,596 | $ | 16,833,535 | $ | 4,034,269 | $ | 78,506,640 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares of beneficial interest |
23,165,052 | 3,489,059 | 413,781 | 6,571,769 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value and offering price per share |
$ | 13.33 | $ | 4.82 | $ | 9.75 | $ | 11.95 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class N shares: |
||||||||||||||||
Net assets |
$ | 1,006 | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares of beneficial interest |
75 | | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value, offering and redemption price per share |
$ | 13.42 | * | $ | | $ | | $ | | |||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y shares: |
||||||||||||||||
Net assets |
$ | 811,294,523 | $ | 151,562,978 | $ | 3,183,486 | $ | 240,847,740 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares of beneficial interest |
60,464,310 | 31,516,548 | 324,255 | 20,114,842 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value, offering and redemption price per share |
$ | 13.42 | $ | 4.81 | $ | 9.82 | $ | 11.97 | ||||||||
|
|
|
|
|
|
|
|
* | Net asset value calculations reflect fractional shares and dollar amounts. |
See accompanying notes to financial statements.
57 |
Statements of Operations
For the Six Months Ended March 31, 2013 (Unaudited)
See accompanying notes to financial statements.
| 58
Statements of Changes in Net Assets
See accompanying notes to financial statements.
59 |
Statements of Changes in Net Assets (continued)
See accompanying notes to financial statements.
| 60
Financial Highlights
For a share outstanding throughout each period.
Income (Loss) from Investment
Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset
value, beginning of the period |
Net
investment income (a) |
Net realized
and unrealized gain (loss) |
Total from
investment operations |
Dividends
from net investment income |
Distributions
from net realized capital gains |
Total
distributions |
||||||||||||||||||||||
C ORE P LUS B OND F UND |
|
|||||||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||||||
3/31/2013(h) |
$ | 13.52 | $ | 0.21 | $ | 0.08 | $ | 0.29 | $ | (0.29 | ) | $ | (0.19 | ) | $ | (0.48 | ) | |||||||||||
9/30/2012 |
12.71 | 0.43 | 1.07 | 1.50 | (0.50 | ) | (0.19 | ) | (0.69 | ) | ||||||||||||||||||
9/30/2011 |
12.75 | 0.52 | 0.03 | (i) | 0.55 | (0.59 | ) | | (0.59 | ) | ||||||||||||||||||
9/30/2010 |
11.91 | 0.54 | 0.91 | 1.45 | (0.61 | ) | | (0.61 | ) | |||||||||||||||||||
9/30/2009 |
10.54 | 0.59 | 1.44 | 2.03 | (0.66 | ) | | (0.66 | ) | |||||||||||||||||||
9/30/2008 |
11.31 | 0.55 | (0.71 | ) | (0.16 | ) | (0.61 | ) | | (0.61 | ) | |||||||||||||||||
Class B |
|
|||||||||||||||||||||||||||
3/31/2013(h) |
13.57 | 0.16 | 0.08 | 0.24 | (0.23 | ) | (0.19 | ) | (0.42 | ) | ||||||||||||||||||
9/30/2012 |
12.75 | 0.34 | 1.07 | 1.41 | (0.40 | ) | (0.19 | ) | (0.59 | ) | ||||||||||||||||||
9/30/2011 |
12.79 | 0.42 | 0.03 | (i) | 0.45 | (0.49 | ) | | (0.49 | ) | ||||||||||||||||||
9/30/2010 |
11.95 | 0.44 | 0.92 | 1.36 | (0.52 | ) | | (0.52 | ) | |||||||||||||||||||
9/30/2009 |
10.57 | 0.50 | 1.45 | 1.95 | (0.57 | ) | | (0.57 | ) | |||||||||||||||||||
9/30/2008 |
11.31 | 0.44 | (0.67 | ) | (0.23 | ) | (0.51 | ) | | (0.51 | ) | |||||||||||||||||
Class C |
|
|||||||||||||||||||||||||||
3/31/2013(h) |
13.53 | 0.16 | 0.07 | 0.23 | (0.24 | ) | (0.19 | ) | (0.43 | ) | ||||||||||||||||||
9/30/2012 |
12.71 | 0.33 | 1.08 | 1.41 | (0.40 | ) | (0.19 | ) | (0.59 | ) | ||||||||||||||||||
9/30/2011 |
12.76 | 0.42 | 0.02 | (i) | 0.44 | (0.49 | ) | | (0.49 | ) | ||||||||||||||||||
9/30/2010 |
11.92 | 0.45 | 0.91 | 1.36 | (0.52 | ) | | (0.52 | ) | |||||||||||||||||||
9/30/2009 |
10.55 | 0.51 | 1.44 | 1.95 | (0.58 | ) | | (0.58 | ) | |||||||||||||||||||
9/30/2008 |
11.32 | 0.47 | (0.71 | ) | (0.24 | ) | (0.53 | ) | | (0.53 | ) | |||||||||||||||||
Class N |
|
|||||||||||||||||||||||||||
3/31/2013* |
13.43 | 0.03 | 0.04 | 0.07 | (0.08 | ) | | (0.08 | ) | |||||||||||||||||||
Class Y |
|
|||||||||||||||||||||||||||
3/31/2013(h) |
13.61 | 0.23 | 0.08 | 0.31 | (0.31 | ) | (0.19 | ) | (0.50 | ) | ||||||||||||||||||
9/30/2012 |
12.78 | 0.46 | 1.09 | 1.55 | (0.53 | ) | (0.19 | ) | (0.72 | ) | ||||||||||||||||||
9/30/2011 |
12.82 | 0.55 | 0.03 | (i) | 0.58 | (0.62 | ) | | (0.62 | ) | ||||||||||||||||||
9/30/2010 |
11.97 | 0.57 | 0.92 | 1.49 | (0.64 | ) | | (0.64 | ) | |||||||||||||||||||
9/30/2009 |
10.60 | 0.62 | 1.44 | 2.06 | (0.69 | ) | | (0.69 | ) | |||||||||||||||||||
9/30/2008 |
11.36 | 0.58 | (0.70 | ) | (0.12 | ) | (0.64 | ) | | (0.64 | ) |
* | From commencement of Class operations on February 1, 2013 through March 31, 2013. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Effective June 2, 2008, redemption fees were eliminated. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(e) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
See accompanying notes to financial statements.
61 |
Ratios to Average Net Assets: |
||||||||||||||||||||||||||||||
Redemption
fees (b)(c) |
Net asset value, end of the period |
Total
return (%) (d)(e) |
Net assets,
end of the period (000s) |
Net
expenses (%) (f)(g) |
Gross
expenses (%) (g) |
Net
investment income (%) (g) |
Portfolio
turnover rate (%) |
|||||||||||||||||||||||
$ | | $ | 13.33 | 2.16 | $ | 570,271 | 0.79 | 0.79 | 3.11 | 41 | ||||||||||||||||||||
| 13.52 | 12.18 | 479,823 | 0.82 | 0.82 | 3.31 | 78 | |||||||||||||||||||||||
| 12.71 | 4.42 | 237,759 | 0.87 | 0.87 | 4.07 | 86 | |||||||||||||||||||||||
| 12.75 | 12.55 | 214,723 | 0.90 | 0.90 | 4.41 | 87 | |||||||||||||||||||||||
| 11.91 | 20.07 | 140,779 | 0.90 | 0.97 | 5.43 | 102 | |||||||||||||||||||||||
0.00 | 10.54 | (1.61 | ) | 115,873 | 0.93 | 1.04 | 4.86 | 82 | ||||||||||||||||||||||
| 13.39 | 1.82 | 1,765 | 1.54 | 1.54 | 2.34 | 41 | |||||||||||||||||||||||
| 13.57 | 11.38 | 2,386 | 1.57 | 1.57 | 2.61 | 78 | |||||||||||||||||||||||
| 12.75 | 3.60 | 3,092 | 1.62 | 1.62 | 3.32 | 86 | |||||||||||||||||||||||
| 12.79 | 11.64 | 4,490 | 1.65 | 1.65 | 3.64 | 87 | |||||||||||||||||||||||
| 11.95 | 19.19 | 7,028 | 1.65 | 1.72 | 4.66 | 102 | |||||||||||||||||||||||
0.00 | 10.57 | (2.21 | ) | 10,481 | 1.70 | 1.80 | 3.92 | 82 | ||||||||||||||||||||||
| 13.33 | 1.70 | 308,868 | 1.54 | 1.54 | 2.36 | 41 | |||||||||||||||||||||||
| 13.53 | 11.46 | 275,346 | 1.57 | 1.57 | 2.55 | 78 | |||||||||||||||||||||||
| 12.71 | 3.56 | 137,836 | 1.62 | 1.62 | 3.32 | 86 | |||||||||||||||||||||||
| 12.76 | 11.71 | 123,123 | 1.65 | 1.65 | 3.66 | 87 | |||||||||||||||||||||||
| 11.92 | 19.20 | 77,081 | 1.65 | 1.72 | 4.69 | 102 | |||||||||||||||||||||||
0.00 | 10.55 | (2.32 | ) | 26,698 | 1.68 | 1.79 | 4.17 | 82 | ||||||||||||||||||||||
| 13.42 | 0.55 | 1 | 0.60 | 2.63 | 1.41 | 41 | |||||||||||||||||||||||
| 13.42 | 2.28 | 811,295 | 0.54 | 0.54 | 3.37 | 41 | |||||||||||||||||||||||
| 13.61 | 12.54 | 634,946 | 0.58 | 0.58 | 3.50 | 78 | |||||||||||||||||||||||
| 12.78 | 4.65 | 143,215 | 0.62 | 0.62 | 4.31 | 86 | |||||||||||||||||||||||
| 12.82 | 12.85 | 69,322 | 0.65 | 0.65 | 4.66 | 87 | |||||||||||||||||||||||
| 11.97 | 20.37 | 34,394 | 0.65 | 0.68 | 5.67 | 102 | |||||||||||||||||||||||
0.00 | 10.60 | (1.36 | ) | 20,407 | 0.68 | 0.75 | 5.14 | 82 |
(f) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year, if applicable. |
(h) | For the six months ended March 31, 2013 (Unaudited). |
(i) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
See accompanying notes to financial statements.
| 62
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment
Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset
value, beginning of the period |
Net
investment income (a) |
Net realized
and unrealized gain (loss) |
Total from
investment operations |
Dividends
from net investment income |
Distributions
from net realized capital gains |
Total
distributions |
||||||||||||||||||||||
H IGH I NCOME F UND |
|
|||||||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
$ | 4.60 | $ | 0.12 | $ | 0.25 | $ | 0.37 | $ | (0.15 | ) | $ | (0.01 | ) | $ | (0.16 | ) | |||||||||||
9/30/2012 |
4.46 | 0.24 | 0.59 | 0.83 | (0.30 | ) | (0.39 | ) | (0.69 | ) | ||||||||||||||||||
9/30/2011 |
4.91 | 0.28 | (0.42 | ) | (0.14 | ) | (0.31 | ) | | (0.31 | ) | |||||||||||||||||
9/30/2010 |
4.49 | 0.32 | 0.42 | 0.74 | (0.32 | ) | | (0.32 | ) | |||||||||||||||||||
9/30/2009 |
4.24 | 0.34 | 0.24 | 0.58 | (0.33 | ) | | (0.33 | ) | |||||||||||||||||||
9/30/2008 |
5.12 | 0.34 | (0.87 | ) | (0.53 | ) | (0.35 | ) | | (0.35 | ) | |||||||||||||||||
Class B |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
4.61 | 0.11 | 0.25 | 0.36 | (0.13 | ) | (0.01 | ) | (0.14 | ) | ||||||||||||||||||
9/30/2012 |
4.47 | 0.21 | 0.58 | 0.79 | (0.26 | ) | (0.39 | ) | (0.65 | ) | ||||||||||||||||||
9/30/2011 |
4.92 | 0.25 | (0.43 | ) | (0.18 | ) | (0.27 | ) | | (0.27 | ) | |||||||||||||||||
9/30/2010 |
4.50 | 0.28 | 0.42 | 0.70 | (0.28 | ) | | (0.28 | ) | |||||||||||||||||||
9/30/2009 |
4.25 | 0.31 | 0.25 | 0.56 | (0.31 | ) | | (0.31 | ) | |||||||||||||||||||
9/30/2008 |
5.13 | 0.30 | (0.87 | ) | (0.57 | ) | (0.31 | ) | | (0.31 | ) | |||||||||||||||||
Class C |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
4.61 | 0.11 | 0.24 | 0.35 | (0.13 | ) | (0.01 | ) | (0.14 | ) | ||||||||||||||||||
9/30/2012 |
4.47 | 0.21 | 0.59 | 0.80 | (0.27 | ) | (0.39 | ) | (0.66 | ) | ||||||||||||||||||
9/30/2011 |
4.92 | 0.25 | (0.43 | ) | (0.18 | ) | (0.27 | ) | | (0.27 | ) | |||||||||||||||||
9/30/2010 |
4.50 | 0.28 | 0.43 | 0.71 | (0.29 | ) | | (0.29 | ) | |||||||||||||||||||
9/30/2009 |
4.24 | 0.31 | 0.26 | 0.57 | (0.31 | ) | | (0.31 | ) | |||||||||||||||||||
9/30/2008 |
5.12 | 0.31 | (0.87 | ) | (0.56 | ) | (0.32 | ) | | (0.32 | ) | |||||||||||||||||
Class Y |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
4.59 | 0.13 | 0.25 | 0.38 | (0.15 | ) | (0.01 | ) | (0.16 | ) | ||||||||||||||||||
9/30/2012 |
4.46 | 0.26 | 0.57 | 0.83 | (0.31 | ) | (0.39 | ) | (0.70 | ) | ||||||||||||||||||
9/30/2011 |
4.90 | 0.29 | (0.41 | ) | (0.12 | ) | (0.32 | ) | | (0.32 | ) | |||||||||||||||||
9/30/2010 |
4.49 | 0.33 | 0.41 | 0.74 | (0.33 | ) | | (0.33 | ) | |||||||||||||||||||
9/30/2009 |
4.24 | 0.34 | 0.25 | 0.59 | (0.34 | ) | | (0.34 | ) | |||||||||||||||||||
9/30/2008* |
4.87 | 0.22 | (0.65 | ) | (0.43 | ) | (0.21 | ) | | (0.21 | ) |
* | From commencement of Class operations on February 29, 2008 through September 30, 2008. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
See accompanying notes to financial statements.
63 |
Ratios to Average Net Assets: |
||||||||||||||||||||||||||||||
Redemption
fees (b) |
Net asset value, end of the period |
Total
return (%) (c)(d) |
Net assets,
end of the period (000s) |
Net
expenses (%) (e)(f) |
Gross
expenses (%) (f) |
Net
investment income (%) (f) |
Portfolio
turnover rate (%) |
|||||||||||||||||||||||
$ | | $ | 4.81 | 8.11 | $ | 81,543 | 1.15 | (h) | 1.15 | (h) | 5.27 | 20 | ||||||||||||||||||
| 4.60 | 20.90 | 95,876 | 1.15 | 1.19 | 5.50 | 34 | |||||||||||||||||||||||
| 4.46 | (3.30 | ) | 59,907 | 1.15 | (i) | 1.15 | (i) | 5.60 | 67 | ||||||||||||||||||||
| 4.91 | 17.05 | 68,011 | 1.15 | 1.20 | 6.72 | 56 | |||||||||||||||||||||||
0.00 | (j) | 4.49 | 15.97 | 59,944 | 1.15 | 1.28 | 8.82 | 30 | ||||||||||||||||||||||
0.00 | 4.24 | (10.98 | ) | 38,577 | 1.15 | 1.40 | 7.01 | 27 | ||||||||||||||||||||||
| 4.83 | 7.89 | 522 | 1.90 | (h) | 1.90 | (h) | 4.53 | 20 | |||||||||||||||||||||
| 4.61 | 19.93 | 560 | 1.90 | 1.94 | 4.79 | 34 | |||||||||||||||||||||||
| 4.47 | (4.04 | ) | 738 | 1.90 | (i) | 1.90 | (i) | 4.90 | 67 | ||||||||||||||||||||
| 4.92 | 16.13 | 1,209 | 1.90 | 1.94 | 6.00 | 56 | |||||||||||||||||||||||
0.00 | (j) | 4.50 | 15.06 | 1,569 | 1.90 | 2.06 | 8.32 | 30 | ||||||||||||||||||||||
0.00 | 4.25 | (11.64 | ) | 2,267 | 1.90 | 2.15 | 6.15 | 27 | ||||||||||||||||||||||
| 4.82 | 7.68 | 16,834 | 1.90 | (h) | 1.90 | (h) | 4.53 | 20 | |||||||||||||||||||||
| 4.61 | 19.96 | 16,863 | 1.90 | 1.94 | 4.78 | 34 | |||||||||||||||||||||||
| 4.47 | (4.02 | ) | 15,790 | 1.90 | (i) | 1.90 | (i) | 4.89 | 67 | ||||||||||||||||||||
| 4.92 | 16.15 | 19,312 | 1.90 | 1.95 | 5.97 | 56 | |||||||||||||||||||||||
0.00 | (j) | 4.50 | 15.37 | 17,827 | 1.90 | 2.03 | 8.09 | 30 | ||||||||||||||||||||||
0.00 | 4.24 | (11.62 | ) | 9,945 | 1.90 | 2.15 | 6.32 | 27 | ||||||||||||||||||||||
| 4.81 | 8.49 | 151,563 | 0.90 | (h) | 0.90 | (h) | 5.56 | 20 | |||||||||||||||||||||
| 4.59 | 20.93 | 110,917 | 0.90 | 0.95 | 5.78 | 34 | |||||||||||||||||||||||
| 4.46 | (2.86 | ) | 38,011 | 0.90 | (i) | 0.90 | (i) | 5.86 | 67 | ||||||||||||||||||||
| 4.90 | 17.11 | 69,887 | 0.90 | 0.93 | 7.02 | 56 | |||||||||||||||||||||||
0.00 | (j) | 4.49 | 16.29 | 105,713 | 0.90 | 0.92 | 8.32 | 30 | ||||||||||||||||||||||
0.01 | 4.24 | (9.10 | ) | 3,833 | 0.90 | 1.15 | 8.03 | 27 |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended March 31, 2013 (Unaudited). |
(h) | Includes fee/expense recovery of 0.05%. |
(i) | Includes fee/expense recovery of 0.01%. |
(j) | Effective June 1, 2009, redemption fees were eliminated. |
See accompanying notes to financial statements.
| 64
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment
Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset
value, beginning of the period |
Net
investment income (a) |
Net realized
and unrealized gain (loss) |
Total from
investment operations |
Dividends
from net investment income |
Distributions
from net realized capital gains |
Total
distributions |
||||||||||||||||||||||
I NTERNATIONAL B OND F UND |
|
|||||||||||||||||||||||||||
Class A |
||||||||||||||||||||||||||||
3/31/2013(g) |
$ | 10.44 | $ | 0.07 | $ | (0.36 | ) | $ | (0.29 | ) | $ | (0.15 | ) | $ | (0.18 | ) | $ | (0.33 | ) | |||||||||
9/30/2012 |
10.94 | 0.19 | 0.62 | 0.81 | (0.94 | ) | (0.37 | ) | (1.31 | ) | ||||||||||||||||||
9/30/2011 |
11.17 | 0.25 | 0.06 | (j) | 0.31 | (0.40 | ) | (0.14 | ) | (0.54 | ) | |||||||||||||||||
9/30/2010 |
10.84 | 0.22 | 0.48 | 0.70 | (0.29 | ) | (0.08 | ) | (0.37 | ) | ||||||||||||||||||
9/30/2009 |
9.19 | 0.32 | 1.53 | 1.85 | (0.20 | ) | | (0.20 | ) | |||||||||||||||||||
9/30/2008(k) |
10.00 | 0.17 | (0.79 | ) | (0.62 | ) | (0.19 | ) | | (0.19 | ) | |||||||||||||||||
Class C |
||||||||||||||||||||||||||||
3/31/2013(g) |
10.37 | 0.04 | (0.36 | ) | (0.32 | ) | (0.12 | ) | (0.18 | ) | (0.30 | ) | ||||||||||||||||
9/30/2012 |
10.87 | 0.12 | 0.61 | 0.73 | (0.86 | ) | (0.37 | ) | (1.23 | ) | ||||||||||||||||||
9/30/2011 |
11.11 | 0.17 | 0.05 | (j) | 0.22 | (0.32 | ) | (0.14 | ) | (0.46 | ) | |||||||||||||||||
9/30/2010 |
10.82 | 0.15 | 0.46 | 0.61 | (0.24 | ) | (0.08 | ) | (0.32 | ) | ||||||||||||||||||
9/30/2009 |
9.18 | 0.24 | 1.53 | 1.77 | (0.13 | ) | | (0.13 | ) | |||||||||||||||||||
9/30/2008(k) |
10.00 | 0.13 | (0.81 | ) | (0.68 | ) | (0.15 | ) | | (0.15 | ) | |||||||||||||||||
Class Y |
||||||||||||||||||||||||||||
3/31/2013(g) |
10.44 | 0.09 | (0.36 | ) | (0.27 | ) | (0.17 | ) | (0.18 | ) | (0.35 | ) | ||||||||||||||||
9/30/2012 |
10.93 | 0.21 | 0.63 | 0.84 | (0.96 | ) | (0.37 | ) | (1.33 | ) | ||||||||||||||||||
9/30/2011 |
11.16 | 0.28 | 0.06 | (j) | 0.34 | (0.43 | ) | (0.14 | ) | (0.57 | ) | |||||||||||||||||
9/30/2010 |
10.82 | 0.25 | 0.47 | 0.72 | (0.30 | ) | (0.08 | ) | (0.38 | ) | ||||||||||||||||||
9/30/2009 |
9.18 | 0.33 | 1.53 | 1.86 | (0.22 | ) | | (0.22 | ) | |||||||||||||||||||
9/30/2008(k) |
10.00 | 0.18 | (0.81 | ) | (0.63 | ) | (0.20 | ) | | (0.20 | ) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
65 |
Ratios to Average Net Assets: |
||||||||||||||||||||||||||||||
Redemption
fees (b) |
Net asset value, end of the period |
Total
return (%) (c)(d) |
Net assets,
end of the period (000s) |
Net
expenses (%) (e)(f) |
Gross
expenses (%) (f) |
Net
investment income (%) (f) |
Portfolio
turnover rate (%) |
|||||||||||||||||||||||
$ | | $ | 9.82 | (2.83 | ) | $ | 11,094 | 1.05 | 1.95 | 1.45 | 57 | |||||||||||||||||||
| 10.44 | 8.42 | 11,898 | 1.09 | (h)(i) | 1.85 | 1.83 | 169 | ||||||||||||||||||||||
| 10.94 | 2.70 | 10,927 | 1.10 | 1.64 | 2.26 | 136 | |||||||||||||||||||||||
| 11.17 | 6.66 | 18,758 | 1.10 | 1.49 | 2.14 | 128 | |||||||||||||||||||||||
| 10.84 | 20.41 | 8,479 | 1.10 | 2.11 | 3.29 | 91 | |||||||||||||||||||||||
0.00 | (l) | 9.19 | (6.37 | ) | 1,953 | 1.10 | 2.95 | 2.66 | 60 | |||||||||||||||||||||
| 9.75 | (3.22 | ) | 4,034 | 1.80 | 2.70 | 0.71 | 57 | ||||||||||||||||||||||
| 10.37 | 7.64 | 4,355 | 1.84 | (h)(i) | 2.61 | 1.13 | 169 | ||||||||||||||||||||||
| 10.87 | 1.87 | 7,503 | 1.85 | 2.40 | 1.52 | 136 | |||||||||||||||||||||||
| 11.11 | 5.86 | 6,145 | 1.85 | 2.24 | 1.40 | 128 | |||||||||||||||||||||||
| 10.82 | 19.58 | 2,955 | 1.85 | 2.93 | 2.56 | 91 | |||||||||||||||||||||||
0.01 | (l) | 9.18 | (6.95 | ) | 683 | 1.85 | 3.70 | 1.92 | 60 | |||||||||||||||||||||
| 9.82 | (2.71 | ) | 3,183 | 0.80 | 1.70 | 1.71 | 57 | ||||||||||||||||||||||
| 10.44 | 8.68 | 3,264 | 0.85 | (h)(i) | 1.60 | 2.05 | 169 | ||||||||||||||||||||||
| 10.93 | 3.06 | 5,852 | 0.85 | 1.36 | 2.47 | 136 | |||||||||||||||||||||||
| 11.16 | 6.92 | 8,908 | 0.85 | 1.23 | 2.41 | 128 | |||||||||||||||||||||||
| 10.82 | 20.73 | 13,049 | 0.85 | 1.92 | 3.53 | 91 | |||||||||||||||||||||||
0.01 | (l) | 9.18 | (6.39 | ) | 9,981 | 0.85 | 2.48 | 2.74 | 60 |
(g) | For the six months ended March 31, 2013 (Unaudited). |
(h) | Effective July 1, 2012, the expense limit decreased from 1.10%, 1.85% and 0.85% to 1.05%, 1.80% and 0.80% for Class A, Class C and Class Y shares, respectively. |
(i) | Includes interest expense from bank overdraft charges of less than 0.01%. Without this expense the ratio of net expenses would have been 1.09%, 1.84% and 0.84% for Class A, Class C and Class Y shares, respectively. |
(j) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(k) | From commencement of operations on February 1, 2008 through September 30, 2008. |
(l) | Effective June 2, 2008, redemption fees were eliminated. |
See accompanying notes to financial statements.
| 66
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment
Operations: |
Less Distributions: | |||||||||||||||||||||||||||
Net asset
value, beginning of the period |
Net
investment income (a) |
Net realized
and unrealized gain (loss) |
Total from
investment operations |
Dividends
from net investment income |
Distributions
from net realized capital gains (b) |
Total
distributions |
||||||||||||||||||||||
L IMITED T ERM G OVERNMENT AND A GENCY F UND |
|
|||||||||||||||||||||||||||
Class A |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
$ | 12.04 | $ | 0.08 | $ | (0.05 | ) | $ | 0.03 | $ | (0.13 | ) | $ | (0.00 | ) | $ | (0.13 | ) | ||||||||||
9/30/2012 |
11.87 | 0.18 | 0.28 | 0.46 | (0.29 | ) | (0.00 | ) | (0.29 | ) | ||||||||||||||||||
9/30/2011 |
12.02 | 0.17 | 0.03 | 0.20 | (0.26 | ) | (0.09 | ) | (0.35 | ) | ||||||||||||||||||
9/30/2010 |
11.60 | 0.20 | 0.49 | 0.69 | (0.27 | ) | | (0.27 | ) | |||||||||||||||||||
9/30/2009 |
10.98 | 0.35 | 0.63 | 0.98 | (0.36 | ) | | (0.36 | ) | |||||||||||||||||||
9/30/2008 |
11.00 | 0.45 | 0.02 | 0.47 | (0.49 | ) | | (0.49 | ) | |||||||||||||||||||
Class B |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
12.03 | 0.04 | (0.06 | ) | (0.02 | ) | (0.09 | ) | (0.00 | ) | (0.09 | ) | ||||||||||||||||
9/30/2012 |
11.86 | 0.10 | 0.27 | 0.37 | (0.20 | ) | (0.00 | ) | (0.20 | ) | ||||||||||||||||||
9/30/2011 |
12.00 | 0.09 | 0.03 | 0.12 | (0.17 | ) | (0.09 | ) | (0.26 | ) | ||||||||||||||||||
9/30/2010 |
11.59 | 0.12 | 0.47 | 0.59 | (0.18 | ) | | (0.18 | ) | |||||||||||||||||||
9/30/2009 |
10.97 | 0.26 | 0.63 | 0.89 | (0.27 | ) | | (0.27 | ) | |||||||||||||||||||
9/30/2008 |
10.99 | 0.36 | 0.02 | 0.38 | (0.40 | ) | | (0.40 | ) | |||||||||||||||||||
Class C |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
12.05 | 0.04 | (0.05 | ) | (0.01 | ) | (0.09 | ) | (0.00 | ) | (0.09 | ) | ||||||||||||||||
9/30/2012 |
11.88 | 0.10 | 0.27 | 0.37 | (0.20 | ) | (0.00 | ) | (0.20 | ) | ||||||||||||||||||
9/30/2011 |
12.03 | 0.08 | 0.03 | 0.11 | (0.17 | ) | (0.09 | ) | (0.26 | ) | ||||||||||||||||||
9/30/2010 |
11.61 | 0.12 | 0.48 | 0.60 | (0.18 | ) | | (0.18 | ) | |||||||||||||||||||
9/30/2009 |
10.99 | 0.26 | 0.63 | 0.89 | (0.27 | ) | | (0.27 | ) | |||||||||||||||||||
9/30/2008 |
11.00 | 0.36 | 0.03 | 0.39 | (0.40 | ) | | (0.40 | ) | |||||||||||||||||||
Class Y |
|
|||||||||||||||||||||||||||
3/31/2013(g) |
12.08 | 0.10 | (0.06 | ) | 0.04 | (0.15 | ) | (0.00 | ) | (0.15 | ) | |||||||||||||||||
9/30/2012 |
11.91 | 0.21 | 0.28 | 0.49 | (0.32 | ) | (0.00 | ) | (0.32 | ) | ||||||||||||||||||
9/30/2011 |
12.05 | 0.20 | 0.04 | 0.24 | (0.29 | ) | (0.09 | ) | (0.38 | ) | ||||||||||||||||||
9/30/2010 |
11.64 | 0.23 | 0.48 | 0.71 | (0.30 | ) | | (0.30 | ) | |||||||||||||||||||
9/30/2009 |
11.01 | 0.39 | 0.63 | 1.02 | (0.39 | ) | | (0.39 | ) | |||||||||||||||||||
9/30/2008 |
11.03 | 0.47 | 0.02 | 0.49 | (0.51 | ) | | (0.51 | ) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
See accompanying notes to financial statements.
67 |
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset
value, end of the period |
Total
return (%) (c)(d) |
Net assets,
end of the period (000s) |
Net
expenses (%) (e)(f) |
Gross
expenses (%) (f) |
Net
investment income (%) (f) |
Portfolio
turnover rate (%) |
||||||||||||||||||||
$ | 11.94 | 0.28 | $ | 374,614 | 0.91 | (h) | 0.92 | (h) | 1.34 | 26 | ||||||||||||||||
12.04 | 3.94 | 357,870 | 0.85 | 0.90 | 1.54 | 56 | ||||||||||||||||||||
11.87 | 1.71 | 293,675 | 0.85 | 0.92 | 1.44 | 66 | ||||||||||||||||||||
12.02 | 6.03 | 164,265 | 0.89 | 0.97 | 1.73 | 89 | ||||||||||||||||||||
11.60 | 9.05 | 118,619 | 0.90 | 0.99 | 3.10 | 77 | ||||||||||||||||||||
10.98 | 4.29 | 105,047 | 0.92 | 1.07 | 4.04 | 52 | ||||||||||||||||||||
11.92 | (0.18 | ) | 7,314 | 1.66 | (h) | 1.67 | (h) | 0.60 | 26 | |||||||||||||||||
12.03 | 3.17 | 8,370 | 1.60 | 1.65 | 0.81 | 56 | ||||||||||||||||||||
11.86 | 1.04 | 10,976 | 1.60 | 1.68 | 0.72 | 66 | ||||||||||||||||||||
12.00 | 5.16 | 4,049 | 1.64 | 1.72 | 1.00 | 89 | ||||||||||||||||||||
11.59 | 8.24 | 4,442 | 1.65 | 1.74 | 2.32 | 77 | ||||||||||||||||||||
10.97 | 3.52 | 4,532 | 1.67 | 1.82 | 3.29 | 52 | ||||||||||||||||||||
11.95 | (0.09 | ) | 78,507 | 1.66 | (h) | 1.67 | (h) | 0.59 | 26 | |||||||||||||||||
12.05 | 3.17 | 75,522 | 1.60 | 1.65 | 0.80 | 56 | ||||||||||||||||||||
11.88 | 0.96 | 68,776 | 1.60 | 1.67 | 0.68 | 66 | ||||||||||||||||||||
12.03 | 5.24 | 75,984 | 1.64 | 1.72 | 0.98 | 89 | ||||||||||||||||||||
11.61 | 8.24 | 50,973 | 1.65 | 1.74 | 2.32 | 77 | ||||||||||||||||||||
10.99 | 3.62 | 22,711 | 1.66 | 1.83 | 3.29 | 52 | ||||||||||||||||||||
11.97 | 0.32 | 240,848 | 0.66 | (h) | 0.67 | (h) | 1.59 | 26 | ||||||||||||||||||
12.08 | 4.19 | 220,444 | 0.60 | 0.65 | 1.77 | 56 | ||||||||||||||||||||
11.91 | 2.05 | 130,874 | 0.60 | 0.67 | 1.68 | 66 | ||||||||||||||||||||
12.05 | 6.20 | 95,847 | 0.63 | 0.71 | 1.94 | 89 | ||||||||||||||||||||
11.64 | 9.40 | 28,004 | 0.65 | 0.72 | 3.42 | 77 | ||||||||||||||||||||
11.01 | 4.55 | 6,577 | 0.67 | 0.72 | 4.28 | 52 |
(e) | The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Funds expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended March 31, 2013 (Unaudited). |
(h) | Includes corporate tax expenses of 0.06% for Class A, B, C and Y shares. Without this expense the ratio of net expenses for Class A, B, C and Y shares would have been 0.85%, 1.60%, 1.60% and 0.60%, respectively. |
See accompanying notes to financial statements.
| 68
March 31, 2013 (Unaudited)
1. Organization. Natixis Funds Trust I and Loomis Sayles Funds II (the Trusts and each a Trust) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a Fund and collectively, the Funds) are included in this report:
Natixis Funds Trust I:
Loomis Sayles Core Plus Bond Fund (the Core Plus Bond Fund)
Loomis Sayles Funds II:
Loomis Sayles High Income Fund (the High Income Fund)
Loomis Sayles International Bond Fund (the International Bond Fund)
Loomis Sayles Limited Term Government and Agency Fund (the Limited Term Government and Agency Fund)
Each Fund is a diversified investment company, except for International Bond Fund, which is a non-diversified investment company.
The Funds each offer Class A, Class C and Class Y shares. Effective February 1, 2013, Core Plus Bond Fund began offering Class N shares. Effective October 12, 2007, Class B shares are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.
Class A shares of all Funds except Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 4.50%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 3.00%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (CDSC) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered exclusively through intermediaries and are primarily intended for employer-sponsored retirement plans. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds prospectus.
69 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees for Class N). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds financial statements.
a. Valuation. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans are priced at bid prices supplied by an independent pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid prices may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price.
| 70
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Credit default swap agreements are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
71 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts terms.
d. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in
| 72
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Swap Agreements. Each Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
The notional amounts of credit default swaps are not recorded in the financial statements. Credit default swaps are valued daily, and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or
73 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
loss when received or paid. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.
No credit default swaps were held by the Funds during the six months ended March 31, 2013.
g. Due to Brokers. Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. Due to brokers balances in the Statements of Asset and Liabilities for High Income Fund represent securities received as collateral for forward foreign currency contracts. In certain circumstances the Funds use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.
h. Federal and Foreign Income Taxes. Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Funds tax positions for the open tax years as of March 31, 2013 and has concluded that no provisions for income tax are required. The Funds federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, managements 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 Funds understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to
| 74
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency transactions, contingent payment debt instruments, preferred securities adjustments, premium amortization, defaulted bond adjustments, paydown gains and losses and distribution redesignations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees fees, wash sales, premium amortization, forward foreign currency contract mark to market, dividends payable, return of capital dividend received, preferred securities adjustments, contingent payment debt instruments and defaulted bond interest. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended September 30, 2012 was as follows:
2012 Distributions Paid From: | ||||||||||||
Fund |
Ordinary Income |
Long-Term Capital Gains |
Total |
|||||||||
Core Plus Bond Fund |
$ | 38,311,608 | $ | 5,887,516 | $ | 44,199,124 | ||||||
High Income Fund |
12,336,748 | 9,467,897 | 21,804,645 | |||||||||
International Bond Fund |
2,051,571 | 303,804 | 2,355,375 | |||||||||
Limited Term Government and Agency Fund |
12,349,174 | 810,952 | 13,160,126 |
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
75 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
j. Repurchase Agreements. It is each Funds 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 Funds ability to dispose of the underlying securities.
k. Delayed Delivery Commitments. The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is to be announced 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds commitment. No interest accrues to each Fund until the transaction settles.
Purchases of delayed delivery securities may have a similar effect on the Funds net asset value as if the Funds had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
l. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (State Street Bank), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment
| 76
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended March 31, 2013, none of the Funds had loaned securities under this agreement.
m. Indemnifications. Under the Trusts organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
n. New Accounting Pronouncement. In December 2011, Accounting Standards Update (ASU) No. 2011-11, Disclosures about Offsetting Assets and Liabilities was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU creates new disclosure requirements with respect to an entitys rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Funds financial statement disclosures.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
|
Level 1 quoted prices in active markets for identical assets or liabilities; |
|
Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
|
Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on
77 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
the basis of evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.
The following is a summary of the inputs used to value the Funds investments as of March 31, 2013, at value:
Core Plus Bond Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Car Loan |
$ | | $ | 47,431,302 | $ | 1,667,664 | $ | 49,098,966 | ||||||||
Airlines |
| | 4,667,705 | 4,667,705 | ||||||||||||
Media Non-Cable |
| 11,645,563 | 7,798,800 | 19,444,363 | ||||||||||||
All Other Non-Convertible Bonds(a) |
| 1,538,862,674 | | 1,538,862,674 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 1,597,939,539 | 14,134,169 | 1,612,073,708 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds(a) |
| | 1,390,310 | 1,390,310 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 1,597,939,539 | 15,524,479 | 1,613,464,018 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans(a) |
| 47,360,406 | | 47,360,406 | ||||||||||||
Preferred Stocks(a) |
2,101,469 | 526,115 | | 2,627,584 | ||||||||||||
Short-Term Investments |
| 54,948,151 | | 54,948,151 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,101,469 | $ | 1,700,774,211 | $ | 15,524,479 | $ | 1,718,400,159 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
| 78
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
High Income Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Airlines |
$ | | $ | 2,351,804 | $ | 569,244 | $ | 2,921,048 | ||||||||
All Other Non-Convertible Bonds(a) |
| 189,148,460 | | 189,148,460 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 191,500,264 | 569,244 | 192,069,508 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds(a) |
| 23,931,697 | 39,803 | 23,971,500 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 215,431,961 | 609,047 | 216,041,008 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans(a) |
| 1,034,954 | | 1,034,954 | ||||||||||||
Preferred Stocks(a) |
8,715,675 | 954,325 | | 9,670,000 | ||||||||||||
Common Stocks(a) |
3,921,352 | | | 3,921,352 | ||||||||||||
Warrants(b) |
115,712 | | | 115,712 | ||||||||||||
Short-Term Investments |
| 17,723,230 | | 17,723,230 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
12,752,739 | 235,144,470 | 609,047 | 248,506,256 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 672,615 | | 672,615 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 12,752,739 | $ | 235,817,085 | $ | 609,047 | $ | 249,178,871 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (3,661 | ) | $ | | $ | (3,661 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(b) | Includes a security fair valued at zero using Level 2 inputs. |
79 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
International Bond Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes(a) |
$ | | $ | 17,750,614 | $ | | $ | 17,750,614 | ||||||||
Preferred Stocks(a) |
16,900 | | | 16,900 | ||||||||||||
Short-Term Investments |
| 413,639 | | 413,639 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
16,900 | 18,164,253 | | 18,181,153 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 27,498 | | 27,498 | ||||||||||||
Futures Contracts
|
5,631 | | | 5,631 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 22,531 | $ | 18,191,751 | $ | | $ | 18,214,282 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (23,969 | ) | $ | | $ | (23,969 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the six months ended March 31, 2013, there were no transfers between Levels 1, 2 and 3.
Limited Term Government and Agency Fund
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes |
||||||||||||||||
ABS Student Loan |
$ | | $ | | $ | 2,472,508 | (b) | $ | 2,472,508 | |||||||
Collateralized Mortgage Obligations |
| 199,904,525 | 8,674,073 | (b) | 208,578,598 | |||||||||||
Mortgage Related |
| 163,433,881 | 9,370,230 | (b) | 172,804,111 | |||||||||||
All Other Bonds and Notes(a) |
| 283,859,397 | | 283,859,397 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 647,197,803 | 20,516,811 | 667,714,614 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 38,226,201 | | 38,226,201 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 685,424,004 | $ | 20,516,811 | $ | 705,940,815 | ||||||||
|
|
|
|
|
|
|
|
| 80
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(b) | Valued using broker-dealer bid prices. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2012 and/or March 31, 2013:
Core Plus Bond Fund
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2012 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||
ABS Car Loan |
$ | | $ | | $ | | $ | 2,752 | $ | 1,664,912 | ||||||||||
Airlines |
| 301 | 243 | 76,232 | | |||||||||||||||
Media Non-Cable |
| | | 38,800 | 7,760,000 | |||||||||||||||
Convertible Bonds |
||||||||||||||||||||
Wirelines |
| 488 | (18 | ) | 67,504 | 2,644,671 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | | $ | 789 | $ | 225 | $ | 185,288 | $ | 12,069,583 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments in Securities |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of March 31, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013 |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||
ABS Car Loan |
$ | | $ | | $ | | $ | 1,667,664 | $ | 2,752 | ||||||||||
Airlines |
(38,474 | ) | 4,629,403 | | 4,667,705 | 76,232 | ||||||||||||||
Media Non-Cable |
| | | 7,798,800 | 38,800 | |||||||||||||||
Convertible Bonds |
||||||||||||||||||||
Wirelines |
(1,322,335 | ) | | | 1,390,310 | 67,504 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | (1,360,809 | ) | $ | 4,629,403 | $ | | $ | 15,524,479 | $ | 185,288 | |||||||||
|
|
|
|
|
|
|
|
|
|
81 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Debt securities valued at $4,629,403 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.
All transfers are recognized as of the beginning of the reporting period.
High Income Fund
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2012 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||
Airlines |
$ | | $ | 1,605 | $ | 1,075 | $ | (5,268 | ) | $ | 345,000 | |||||||||
Transportation Services |
234,438 | | | | | |||||||||||||||
Convertible Bonds |
||||||||||||||||||||
Wirelines |
| | (8 | ) | (10,382 | ) | 100,386 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 234,438 | $ | 1,605 | $ | 1,067 | $ | (15,650 | ) | $ | 445,386 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments in Securities |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of March 31, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013 |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||
Airlines |
$ | (6,392 | ) | $ | 233,224 | $ | | $ | 569,244 | $ | (5,268 | ) | ||||||||
Transportation Services |
| | (234,438 | ) | | | ||||||||||||||
Convertible Bonds |
||||||||||||||||||||
Wirelines |
(50,193 | ) | | | 39,803 | (10,382 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | (56,585 | ) | $ | 233,224 | $ | (234,438 | ) | $ | 609,047 | $ | (15,650 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
| 82
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Debt securities valued at $233,224 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.
A debt security valued at $234,438 was transferred from Level 3 to Level 2 during the period ended March 31, 2013. At March 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Limited Term Government and Agency Fund
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2012 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
ABS Car Loan |
$ | 910,501 | $ | | $ | | $ | | $ | | ||||||||||
ABS Student Loan |
| | | 12,301 | | |||||||||||||||
Collateralized Mortgage Obligations |
| | (27 | ) | (6,404 | ) | 135,497 | |||||||||||||
Mortgage Related |
1,982,780 | | | (3,368 | ) | 9,373,598 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 2,893,281 | $ | | $ | (27 | ) | $ | 2,529 | $ | 9,509,095 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Investments in Securities |
Sales |
Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of March 31, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2013 |
|||||||||||||||
Bonds and Notes |
||||||||||||||||||||
ABS Car Loan |
$ | | $ | | $ | (910,501 | ) | $ | | $ | | |||||||||
ABS Student Loan |
(1,285,519 | ) | 3,745,726 | | 2,472,508 | 12,301 | ||||||||||||||
Collateralized Mortgage Obligations |
(624,026 | ) | 9,169,033 | | 8,674,073 | (6,404 | ) | |||||||||||||
Mortgage Related |
| | (1,982,780 | ) | 9,370,230 | (3,368 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | (1,909,545 | ) | $ | 12,914,759 | $ | (2,893,281 | ) | $ | 20,516,811 | $ | 2,529 | ||||||||
|
|
|
|
|
|
|
|
|
|
83 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Debt securities valued at $12,914,759 were transferred from Level 2 to Level 3 during the period ended March 31, 2013. At March 31, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.
Debt securities valued at $2,893,281 were transferred from Level 3 to Level 2 during the period ended March 31, 2013. At March 31, 2013, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that High Income Fund and International Bond Fund used during the period include forward foreign currency contracts and futures contracts.
High Income Fund and International Bond Fund are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended March 31, 2013, High Income Fund engaged in forward foreign currency transactions for hedging purposes. During the same period, International Bond Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
International Bond Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the six months ended March 31, 2013, International Bond Fund used futures contracts to manage duration.
High Income Fund and International Bond Fund are party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of March 31, 2013, the fair value of derivative positions (including open trades)
| 84
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Fund |
Counterparty |
Derivatives |
Collateral Pledged |
|||
International Bond Fund |
Barclays Bank PLC | $(14,332) | $ |
Derivatives are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Funds have mitigated this risk with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. Based on balances reflected on each Funds Statement of Assets and Liabilities, including securities held at counterparties for initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, the maximum amount of loss that the Funds would incur if counterparties failed to meet their obligations and the amount of loss that the Funds would incur after taking into account master netting arrangements are as follows as of March 31, 2013:
Fund |
Maximum Amount of Loss Gross |
Maximum Amount of Loss Net |
||||||
High Income Fund |
$ | 672,615 | $ | 668,954 | ||||
International Bond Fund |
52,515 | 42,878 |
These amounts do not take into account the value of U.S. government and agency securities received as collateral by High Income Fund in the amount of $650,244. Collateral is valued in accordance with the Funds valuation policies and is recorded on the Statements of Assets and Liabilities.
Counterparty risk is managed based on policies and procedures established by each Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral.
Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between each Fund and the counterparties. This risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
85 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
The following is a summary of derivative instruments for High Income Fund as of March 31, 2013:
Statements of Assets and Liabilities Caption |
Foreign
|
|||
Assets |
||||
Unrealized appreciation on forward foreign currency contracts |
$ | 672,615 | ||
Liabilities |
||||
Unrealized depreciation on forward foreign currency contracts |
(3,661 | ) |
Transactions in derivative instruments for High Income Fund during the six months ended March 31, 2013, were as follows:
Statements of Operations Caption |
Foreign
|
|||
Net Realized Gain (Loss) on: |
||||
Foreign currency transactions* |
$ | (644,980 | ) | |
Net Change in Unrealized Appreciation (Depreciation) on: |
||||
Foreign currency translations* |
912,188 |
* | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
The following is a summary of derivative instruments for International Bond Fund as of March 31, 2013:
Statements of Assets and Liabilities Caption |
Interest Rate Contracts |
Foreign
|
||||||
Assets |
||||||||
Unrealized appreciation on forward foreign currency contracts |
$ | | $ | 27,498 | ||||
Unrealized appreciation on futures contracts* |
5,631 | | ||||||
Liabilities |
||||||||
Unrealized depreciation on forward foreign currency contracts |
| (23,969 | ) |
* | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current days variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
| 86
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Transactions in derivative instruments for International Bond Fund during the six months ended March 31, 2013, were as follows:
Statements of Operations Caption |
Interest Rate Contracts |
Foreign
|
||||||
Net Realized Gain (Loss) on: |
||||||||
Foreign currency transactions* |
$ | | $ | 49,095 | ||||
Futures contracts |
7,808 | | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||
Foreign currency translations* |
| (12,875 | ) | |||||
Futures contracts |
5,631 | |
* | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. |
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract and future contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2013:
High Income Fund |
Forwards |
|||||||
Average Notional Amount Outstanding |
5.05% | |||||||
Highest Notional Amount Outstanding |
6.56% | |||||||
Lowest Notional Amount Outstanding |
2.76% | |||||||
Notional Amount Outstanding as of March 31, 2013 |
6.56% | |||||||
International Bond Fund |
Forwards |
Futures |
||||||
Average Notional Amount Outstanding |
16.32% | 1.84% | ||||||
Highest Notional Amount Outstanding |
22.28% | 4.46% | ||||||
Lowest Notional Amount Outstanding |
12.10% | 0.00% | ||||||
Notional Amount Outstanding as of March 31, 2013 |
21.76% | 4.44% |
Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forwards and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds net assets.
87 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
5. Purchases and Sales of Securities. For the six months ended March 31, 2013, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:
U.S. Government/
Agency Securities |
Other Securities | |||||||||||||||
Fund |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||
Core Plus Bond Fund |
$ | 405,524,486 | $ | 485,108,397 | $ | 552,275,623 | $ | 151,602,721 | ||||||||
High Income Fund |
2,248,930 | 7,611,251 | 61,572,232 | 34,774,400 | ||||||||||||
International Bond Fund |
950,561 | 800,646 | 9,508,838 | 9,868,685 | ||||||||||||
Limited Term Government and Agency Fund |
100,980,401 | 106,801,674 | 144,027,322 | 67,289,172 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. (Loomis Sayles) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Funds average daily net assets:
Percentage of Average Daily Net Assets |
||||||||||||
Fund |
First $100 million |
Next $150 million |
Over $250 million |
|||||||||
Core Plus Bond Fund |
0.2500 | % | 0.1875 | % | 0.1875 | % | ||||||
High Income Fund |
0.6000 | % | 0.6000 | % | 0.6000 | % | ||||||
International Bond Fund |
0.6000 | % | 0.6000 | % | 0.6000 | % | ||||||
Limited Term Government and Agency Fund |
0.5000 | % | 0.5000 | % | 0.4000 | % |
NGAM Advisors, L.P. (NGAM Advisors) serves as the advisory administrator to Core Plus Bond Fund. Under the terms of the advisory administration agreement, the Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets:
Percentage of Average Daily Net Assets |
||||||||
Fund |
First $100 million |
Over $100 million |
||||||
Core Plus Bond Fund |
0.2500 | % | 0.1875 | % |
Management and advisory administration fees are presented in the Statements of Operations as management fees.
Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until January 31, 2014 and are
| 88
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the six months ended March 31, 2013, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of
Average Daily Net Assets |
||||||||||||||||||||
Fund |
Class A |
Class B |
Class C |
Class N |
Class Y |
|||||||||||||||
Core Plus Bond Fund |
0.90 | % | 1.65 | % | 1.65 | % | 0.60 | % | 0.65 | % | ||||||||||
High Income Fund |
1.15 | % | 1.90 | % | 1.90 | % | | 0.90 | % | |||||||||||
International Bond Fund |
1.05 | % | | 1.80 | % | | 0.80 | % | ||||||||||||
Limited Term Government and Agency Fund |
0.85 | % | 1.60 | % | 1.60 | % | | 0.60 | % |
Loomis Sayles and NGAM Advisors have agreed to equally bear the waivers and/or expense reimbursements for Core Plus Bond Fund.
Loomis Sayles (and NGAM Advisors for Core Plus Bond Fund) shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended March 31, 2013, the management fees and waivers of management fees for each Fund were as follows:
Gross Management Fees |
Waivers of Management Fees (1) |
Net Management Fees |
Percentage of Average Daily Net Assets |
|||||||||||||||||
Fund |
Gross |
Net |
||||||||||||||||||
Core Plus Bond Fund |
$ | 1,516,649 | $ | | $ | 1,516,649 | 0.191 | % | 0.191 | % | ||||||||||
High Income Fund |
696,142 | | 696,142 | 0.600 | % | 0.600 | % | |||||||||||||
International Bond Fund |
57,703 | 57,703 | | 0.600 | % | | ||||||||||||||
Limited Term Government and Agency Fund |
1,528,036 | 25,918 | 1,502,118 | 0.436 | % | 0.428 | % |
(1) |
Management fee waivers are subject to possible recovery until September 30, 2014. |
89 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
For the six months ended March 31, 2013, the advisory administration fees for Core Plus Bond Fund were as follows:
Advisory Administration Fee |
Percentage of Average Daily Net Assets |
|
$1,516,649 |
0.191% |
For the six months ended March 31, 2013, expenses have been reimbursed as follows:
Fund |
Reimbursement |
|
International Bond Fund |
$29,085 |
Additionally, class-specific expenses of $3 have been reimbursed for Class N shares. Expense reimbursements are subject to possible recovery until September 30, 2014.
For the six months ended March 31, 2013, expense reimbursements related to the prior fiscal year were recovered as follows:
Fund |
Recovered Expenses |
|
High Income Fund |
$55,126 |
Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles general partner is indirectly owned by Natixis Global Asset Management, L.P. (Natixis US), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
b. Service and Distribution Fees. NGAM Distribution, L.P. (NGAM Distribution), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Funds Class A shares (the Class A Plans), and a Distribution and Service Plan relating to each Funds Class B (if applicable) and Class C shares (the Class B and Class C Plans).
Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.
| 90
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Also under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.
For the six months ended March 31, 2013, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||||||||||
Fund |
Class A |
Class B |
Class C |
Class B |
Class C |
|||||||||||||||
Core Plus Bond Fund |
$ | 679,078 | $ | 2,600 | $ | 372,277 | $ | 7,801 | $ | 1,116,830 | ||||||||||
High Income Fund |
100,063 | 666 | 21,014 | 1,995 | 63,043 | |||||||||||||||
International Bond Fund |
14,526 | | 5,378 | | 16,136 | |||||||||||||||
Limited Term Government and Agency Fund |
463,435 | 10,062 | 98,773 | 30,184 | 296,320 |
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (Natixis Funds Trusts), Loomis Sayles Funds I, Loomis Sayles Funds II (Loomis Sayles Funds Trusts), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
For the six months ended March 31, 2013, the administrative fees for each Fund were as follows:
Fund |
Administrative Fees |
|||
Core Plus Bond Fund |
$ | 351,090 | ||
High Income Fund |
51,415 | |||
International Bond Fund |
4,262 | |||
Limited Term Government and Agency Fund |
155,486 |
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the
91 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds transfer agent and other service providers if the shareholders accounts were maintained directly at the Funds transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds Board, which is based on fees for similar services paid to the Funds transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended March 31, 2013, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund |
Sub-Transfer Agent Fees |
|||
Core Plus Bond Fund |
$ | 514,779 | ||
High Income Fund |
85,350 | |||
International Bond Fund |
7,933 | |||
Limited Term Government and Agency Fund |
121,179 |
As of March 31, 2013, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:
Fund |
Reimbursements of Sub-Transfer Agent Fees |
|||
Core Plus Bond Fund |
$ | 12,833 |
For the six months ended March 31, 2013, NGAM Distribution owes the Funds the following for overpayments of sub-transfer agent fees:
Fund |
Overpayments of Sub-Transfer Agent Fees |
|||
High Income Fund |
$ | 2,665 | ||
International Bond Fund |
127 | |||
Limited Term Government and Agency Fund |
5,338 |
Sub-transfer agent fees attributable to Class A, Class B, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
| 92
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended March 31, 2013 were as follows:
Fund |
Commissions |
|||
Core Plus Bond Fund |
$ | 504,525 | ||
High Income Fund |
61,221 | |||
International Bond Fund |
3,523 | |||
Limited Term Government and Agency Fund |
204,246 |
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. Effective January 1, 2013, the Chairperson of the Board receives a retainer fee at the annual rate of $285,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $115,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Prior to January 1, 2013, the Chairperson of the Board received a retainer fee at the annual rate of $265,000 and each Independent Trustee (other than the Chairperson) received, in aggregate, a retainer fee at the annual rate of $95,000. In addition, each committee chairman received an additional retainer fee at an annual rate of $15,000, and each Audit Committee member was compensated $7,500 for each Committee meeting that he or she attended in person and $3,750 for each meeting that he or she attended telephonically.
A deferred compensation plan (the Plan) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustees deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value
93 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
of participants deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees fees in the Statements of Assets and Liabilities.
g. Affiliated Ownership. At March 31, 2013, Loomis Sayles Employees Profit Sharing Retirement Plan (Retirement Plan) held shares of the Funds representing the following percentages of net assets:
Fund |
Retirement Plan |
|||
Core Plus Fund |
0.06 | % | ||
International Bond Fund |
1.14 | % | ||
Limited Term Government and Agency Fund |
0.19 | % |
Additionally, as of March 31, 2013, Natixis US held shares of Core Plus Bond Fund representing less than 0.01% of the Funds net assets.
7. Class-Specific Expenses. For the period from February 1, 2013 through March 31, 2013, Core Plus Bond Fund incurred the following class-specific expenses:
Class N |
||||
Transfer Agent Fees and Expenses |
$ | 3 |
Transfer agent fees and expenses attributable to Class A, Class B, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended March 31, 2013, none of the Funds had borrowings under these agreements.
9. Concentration of Risk. International Bond Fund is a non-diversified fund. Compared with diversified mutual funds, International Bond Fund may invest a greater percentage of its assets in a particular country. Therefore, International Bond Funds returns could be significantly affected by the performance of any one of the small number of countries in its portfolio.
| 94
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
Each Funds investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
10. Corporate Tax Expense. Loomis Sayles Limited Term Government and Agency Fund paid federal corporate income taxes in the amount of $224,327 on undistributed net long-term capital gains as of September 30, 2012.
11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2013, based on managements 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 was as follows:
Fund |
Number of >5%
Non-Affiliated
|
Percentage of
Ownership |
Percentage of
Ownership |
Total
Percentage of
|
||||||||||||
Core Plus Bond Fund |
| | 0.06 | % | 0.06 | % | ||||||||||
High Income Fund |
1 | 8.29 | % | | 8.29 | % | ||||||||||
International Bond Fund |
| | 1.14 | % | 1.14 | % | ||||||||||
Limited Term Government and Agency Fund |
| | 0.19 | % | 0.19 | % |
Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
95 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
|
Six Months Ended
March 31, 2013 |
|
|
Year Ended
September 30, 2012 |
|
|||||||||||
Core Plus Bond Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
15,160,342 | $ | 204,360,732 | 27,370,858 | $ | 355,172,674 | ||||||||||
Issued in connection with the reinvestment of distributions |
1,173,996 | 15,711,303 | 1,087,023 | 14,031,796 | ||||||||||||
Redeemed |
(9,035,621 | ) | (121,360,258 | ) | (11,683,801 | ) | (151,134,746 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
7,298,717 | $ | 98,711,777 | 16,774,080 | $ | 218,069,724 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class B | ||||||||||||||||
Issued from the sale of shares |
3,215 | $ | 43,792 | 18,163 | $ | 232,753 | ||||||||||
Issued in connection with the reinvestment of distributions |
3,912 | 52,602 | 8,025 | 103,306 | ||||||||||||
Redeemed |
(51,040 | ) | (692,046 | ) | (92,873 | ) | (1,209,379 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(43,913 | ) | $ | (595,652 | ) | (66,685 | ) | $ | (873,320 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
5,077,786 | $ | 68,483,169 | 11,681,836 | $ | 152,094,275 | ||||||||||
Issued in connection with the reinvestment of distributions |
394,292 | 5,276,103 | 326,978 | 4,220,534 | ||||||||||||
Redeemed |
(2,664,936 | ) | (35,819,449 | ) | (2,493,106 | ) | (32,473,101 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
2,807,142 | $ | 37,939,823 | 9,515,708 | $ | 123,841,708 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class N* | ||||||||||||||||
Issued from the sale of shares |
74 | $ | 1,000 | | $ | | ||||||||||
Issued in connection with the reinvestment of distributions |
1 | 6 | | | ||||||||||||
Redeemed |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
75 | $ | 1,006 | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
24,805,829 | $ | 336,214,333 | 44,233,390 | $ | 579,833,966 | ||||||||||
Issued in connection with the reinvestment of distributions |
1,445,923 | 19,472,407 | 884,004 | 11,568,457 | ||||||||||||
Redeemed |
(12,443,382 | ) | (168,198,704 | ) | (9,666,030 | ) | (127,951,720 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
13,808,370 | $ | 187,488,036 | 35,451,364 | $ | 463,450,703 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
23,870,391 | $ | 323,544,990 | 61,674,467 | $ | 804,488,815 | ||||||||||
|
|
|
|
|
|
|
|
* | From commencement of Class operations on February 1, 2013 through March 31, 2013. |
| 96
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
12. Capital Shares (continued).
|
Six Months Ended
March 31, 2013 |
|
|
Year Ended
September 30, 2012 |
|
|||||||||||
High Income Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
3,532,490 | $ | 16,796,129 | 21,107,989 | $ | 93,628,788 | ||||||||||
Issued in connection with the reinvestment of distributions |
504,771 | 2,373,208 | 2,189,836 | 9,162,829 | ||||||||||||
Redeemed |
(7,952,963 | ) | (36,983,152 | ) | (15,882,475 | ) | (70,067,314 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(3,915,702 | ) | $ | (17,813,815 | ) | 7,415,350 | $ | 32,724,303 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class B | ||||||||||||||||
Issued from the sale of shares |
11,265 | $ | 52,498 | 5,673 | $ | 24,777 | ||||||||||
Issued in connection with the reinvestment of distributions |
2,698 | 12,740 | 19,672 | 81,687 | ||||||||||||
Redeemed |
(27,373 | ) | (128,616 | ) | (68,910 | ) | (305,756 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(13,410 | ) | $ | (63,378 | ) | (43,565 | ) | $ | (199,292 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
308,469 | $ | 1,463,105 | 805,879 | $ | 3,533,514 | ||||||||||
Issued in connection with the reinvestment of distributions |
82,826 | 390,987 | 421,300 | 1,752,724 | ||||||||||||
Redeemed |
(562,503 | ) | (2,667,659 | ) | (1,101,851 | ) | (4,859,465 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(171,208 | ) | $ | (813,567 | ) | 125,328 | $ | 426,773 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
12,841,971 | $ | 60,681,524 | 27,436,571 | $ | 123,173,948 | ||||||||||
Issued in connection with the reinvestment of distributions |
773,765 | 3,644,938 | 1,416,350 | 5,940,281 | ||||||||||||
Redeemed |
(6,249,969 | ) | (29,530,212 | ) | (13,232,329 | ) | (58,722,847 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
7,365,767 | $ | 34,796,250 | 15,620,592 | $ | 70,391,382 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share
|
3,265,447 | $ | 16,105,490 | 23,117,705 | $ | 103,343,166 | ||||||||||
|
|
|
|
|
|
|
|
97 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
12. Capital Shares (continued).
|
Six Months Ended
March 31, 2013 |
|
|
Year Ended
September 30, 2012 |
|
|||||||||||
International Bond Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
316,143 | $ | 3,197,898 | 550,775 | $ | 5,589,441 | ||||||||||
Issued in connection with the reinvestment of distributions |
28,743 | 293,354 | 89,124 | 883,291 | ||||||||||||
Redeemed |
(354,356 | ) | (3,576,485 | ) | (499,605 | ) | (5,230,159 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(9,470 | ) | $ | (85,233 | ) | 140,294 | $ | 1,242,573 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
72,366 | $ | 741,737 | 119,315 | $ | 1,209,211 | ||||||||||
Issued in connection with the reinvestment of distributions |
8,638 | 87,632 | 46,134 | 453,165 | ||||||||||||
Redeemed |
(87,155 | ) | (880,772 | ) | (435,796 | ) | (4,443,773 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(6,151 | ) | $ | (51,403 | ) | (270,347 | ) | $ | (2,781,397 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
97,520 | $ | 996,950 | 611,695 | $ | 6,195,469 | ||||||||||
Issued in connection with the reinvestment of distributions |
4,552 | 46,389 | 19,724 | 195,522 | ||||||||||||
Redeemed |
(90,376 | ) | (905,845 | ) | (854,117 | ) | (8,765,676 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
11,696 | $ | 137,494 | (222,698 | ) | $ | (2,374,685 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share
|
(3,925 | ) | $ | 858 | (352,751 | ) | $ | (3,913,509 | ) | |||||||
|
|
|
|
|
|
|
|
| 98
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
12. Capital Shares (continued).
|
Six Months Ended
March 31, 2013 |
|
|
Year Ended
September 30, 2012 |
|
|||||||||||
Limited Term Government and Agency Fund |
Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares |
7,765,464 | $ | 93,155,497 | 15,612,122 | $ | 186,297,906 | ||||||||||
Issued in connection with the reinvestment of distributions |
277,486 | 3,324,055 | 513,246 | 6,128,335 | ||||||||||||
Redeemed |
(6,380,179 | ) | (76,440,569 | ) | (11,137,817 | ) | (132,584,098 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
1,662,771 | $ | 20,038,983 | 4,987,551 | $ | 59,842,143 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class B | ||||||||||||||||
Issued from the sale of shares |
44,776 | $ | 536,875 | 67,643 | $ | 803,090 | ||||||||||
Issued in connection with the reinvestment of distributions |
4,768 | 57,061 | 12,997 | 154,932 | ||||||||||||
Redeemed |
(131,959 | ) | (1,577,464 | ) | (310,167 | ) | (3,693,689 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
(82,415 | ) | $ | (983,528 | ) | (229,527 | ) | $ | (2,735,667 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Class C | ||||||||||||||||
Issued from the sale of shares |
1,636,433 | $ | 19,650,020 | 2,463,981 | $ | 29,387,942 | ||||||||||
Issued in connection with the reinvestment of distributions |
29,287 | 351,108 | 59,828 | 714,780 | ||||||||||||
Redeemed |
(1,361,058 | ) | (16,313,851 | ) | (2,044,375 | ) | (24,403,572 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
304,662 | $ | 3,687,277 | 479,434 | $ | 5,699,150 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares |
9,332,677 | $ | 112,390,763 | 19,006,051 | $ | 227,577,207 | ||||||||||
Issued in connection with the reinvestment of distributions |
159,324 | 1,914,808 | 205,462 | 2,463,226 | ||||||||||||
Redeemed |
(7,628,756 | ) | (91,690,542 | ) | (11,948,359 | ) | (142,880,346 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change |
1,863,245 | $ | 22,615,029 | 7,263,154 | $ | 87,160,087 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
3,748,263 | $ | 45,357,761 | 12,500,612 | $ | 149,965,713 | ||||||||||
|
|
|
|
|
|
|
|
99 |
Notes to Financial Statements (continued)
March 31, 2013 (Unaudited)
13. Special Meeting of Shareholders. A special meeting of shareholders of the Trusts was held on March 18, 2013 to consider a proposal to elect four Trustees to the Board of Trustees. The proposal was approved by shareholders of the Trusts. The results of the shareholder vote were as follows:
Natixis Funds Trust I
Nominee |
Voted FOR* |
Withheld* |
||||||
Charles D. Baker |
155,355,305 | 2,570,091 | ||||||
Edmond J. English |
155,184,008 | 2,741,388 | ||||||
David L. Giunta |
155,338,710 | 2,586,686 | ||||||
Martin T. Meehan |
155,091,993 | 2,833,403 |
Loomis Sayles Funds II
Nominee |
Voted FOR* |
Withheld* |
||||||
Charles D. Baker |
1,908,768,243 | 24,689,516 | ||||||
Edmond J. English |
1,907,921,154 | 25,536,605 | ||||||
David L. Giunta |
1,907,548,640 | 25,909,119 | ||||||
Martin T. Meehan |
1,906,909,667 | 26,548,092 |
* | Trust-wide voting results. |
In addition to the Trustees named above, the following also serve as Trustees of the Trusts: Daniel M. Cain, Kenneth A. Drucker, Wendell J. Knox, Sandra O. Moose, Erik R. Sirri, Peter J. Smail, Cynthia L. Walker, Robert J. Blanding and John T. Hailer.
| 100
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Trusts Board of Trustees.
Item 11. Controls and Procedures.
The Registrants principal executive officer and principal financial officer have concluded that the Registrants 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 Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There was no change in the Registrants internal control over financial reporting that occurred during the Registrants last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) | Not applicable. | ||||
(a) | (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively. | ||||
(a) | (3) | Not applicable. | ||||
(b) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to | |||||
Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b). |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust I | ||
By: |
/s/ David L. Giunta |
|
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 22, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: |
/s/ David L. Giunta |
|
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | May 22, 2013 | |
By: |
/s/ Michael C. Kardok |
|
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | May 22, 2013 |
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