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Natixis International Funds (Lux) I

SICAV

Audited Annual Report

As at December 31, 2016

No subscriptions should be made on the basis of the financial report alone. Subscriptions should only be made

on the basis of the current Prospectus supplemented by the latest Annual Report and the latest Semi-Annual

Report, if published thereafter.

Performance data shown represents past performance and is not a guarantee of future results. More recent

performance may be lower or higher. Principal value and returns fluctuate over time (including as a result of

currency fluctuations) so that Shares, when redeemed, will be worth more or less than their original cost.

Performance shown is net of all Fund expenses, but does not include the effect of sales charges or

correspondent bank charges, and assumes reinvestment of distributions. If such charges were included,

returns would have been lower. Performance for other Share classes will be more or less depending on

differences in fees and sales charges. For periods when certain Share classes were unsubscribed or not yet

created (the "inactive Share classes"), performance is imputed using the actual performance of the Fund's

active Share class which has been determined by the management company as having the closest

characteristics to such inactive Share class and adjusting it based on the difference in TERs and, where

applicable, converting the net asset value of the active Share class into the currency of quotation of the inactive

Share class. The quoted performance for such inactive Share class is the result of an indicative calculation.

Unless otherwise indicated, all defined terms used herein shall have the same meaning as set out in the

Prospectus of the Umbrella Fund.

R.C.S. Luxembourg B 53023


Table of contents

Management and Administration 5

Report to the Shareholders 7

Audit report 37

Statement of Net Assets 39

Statement of Changes in Net Assets 45

Emerise Asia Equity Fund Changes in the number of Shares 51

Statistics 52 Statement of Investments 53 Emerise Emerging Europe Equity Fund Changes in the number of Shares 55

Statistics 56 Statement of Investments 57 Emerise Latin America Equity Fund Changes in the number of Shares 59

Statistics 60 Statement of Investments 61 Emerise Pacific Rim Equity Fund Changes in the number of Shares 63

Statistics 64

Statement of Investments 65 Harris Associates Concentrated U.S. Equity Fund Changes in the number of Shares 67

Statistics 69 Statement of Investments 70 Harris Associates Global Equity Fund Changes in the number of Shares 71

Statistics 74

Statement of Investments 75 Harris Associates U.S. Equity Fund Changes in the number of Shares 77

Statistics 79 Statement of Investments 80 IDFC India Equities Fund Changes in the number of Shares 82

Statistics 83

Statement of Investments 84 Loomis Sayles Global Growth Equity Fund (launched on June 8, 2016) Changes in the number of Shares 85

Statistics 86 Statement of Investments 87 Loomis Sayles U.S. Growth Equity Fund (launched on June 8, 2016) Changes in the number of Shares 89

Statistics 91 Statement of Investments 92

Loomis Sayles U.S. Research Fund Changes in the number of Shares 94


Natixis Europe Smaller Companies Fund Changes in the number of Shares 98



Table of contents (continued) Vaughan Nelson U.S. Mid Cap Equity Fund Changes in the number of Shares 104

Statistics 105 Statement of Investments 106 Vaughan Nelson U.S. Small Cap Value Fund Changes in the number of Shares 108

Statistics 109 Statement of Investments 110 Loomis Sayles Duration Hedged Global Corporate Bond Fund Changes in the number of Shares 112


Loomis Sayles Emerging Debt and Currencies Fund Changes in the number of Shares 125

Statistics 126

Statement of Investments 127 Loomis Sayles Global Credit Fund Changes in the number of Shares 130

Statistics 132 Statement of Investments 133 Loomis Sayles Institutional Global Corporate Bond Fund Changes in the number of Shares 143

Statistics 144 Statement of Investments 145 Loomis Sayles Institutional High Income Fund Changes in the number of Shares 157

Statistics 158

Statement of Investments 159 Loomis Sayles Short Term Emerging Markets Bond Fund Changes in the number of Shares 167


Loomis Sayles Strategic Alpha Bond Fund Changes in the number of Shares 180

Statistics 181 Statement of Investments 182 Loomis Sayles Sustainable Global Corporate Bond Fund Changes in the number of Shares 199

Statistics 200 Statement of Investments 201 Loomis Sayles U.S. Aggregate Bond Fund (liquidated on July 29, 2016) Changes in the number of Shares 213

Statistics 214

Loomis Sayles U.S. Core Plus Bond Fund Changes in the number of Shares 215

Statistics 216 Statement of Investments 217 Natixis Euro Aggregate Plus Fund Changes in the number of Shares 225

Statistics 226 Statement of Investments 227 Natixis Euro High Income Fund Changes in the number of Shares 229

Statistics 231 Statement of Investments 232 Natixis Global Inflation Fund Changes in the number of Shares 237

Statistics 238

Statement of Investments 239


Table of contents (continued) Natixis Short Term Global High Income Fund Changes in the number of Shares 242

Statistics 243 Statement of Investments 244 ASG Managed Futures Fund (launched on June 10, 2016)

Changes in the number of Shares 249

Statistics 250 Statement of Investments 251 Loomis Sayles Global Multi Asset Income Fund (launched on June 30, 2016)

Changes in the number of Shares 253


Notes to the Financial Statements 262

Additional Information 294


Management and Administration Chairman

Hervé GUINAMANT

Chief Executive Officer and President

NGAM Distribution, a branch of NGAM S.A.

Paris (France)

Directors

Patricia HORSFALL

Executive Vice President, Chief Compliance Officer

NGAM UK Limited

London (UK)

Jason TREPANIER

Executive Vice President, Chief Operating Officer


Paris (France)

Marie-Lorraine ROUY (as from May 20, 2016)

Head of International Product


Paris (France)

Registered Office

80, route d’Esch

L-1470 Luxembourg

(Grand Duchy of Luxembourg)

Management Company and Distributor

NGAM S.A.

2, rue Jean Monnet

L-2180 Luxembourg


Depositary, Domiciliary and Corporate Agent, Administrative Agent, Paying Agent and

Registrar and Transfer Agent

Brown Brothers Harriman (Luxembourg) S.C.A.

80, route d’Esch

L-1470 Luxembourg



Management and Administration (continued) Investment Managers

AlphaSimplex Group, LCC

255 Main Street

Cambridge, Massachusetts 02142

(USA)

Dorval Asset Management

1, rue de Gramont

75002 Paris

(France)

Harris Associates L.P.

111 S. Wacker Drive, Suite 4600

Chicago, Illinois 60606

(USA)

Loomis, Sayles & Company, L.P.

One Financial Center

Boston, Massachusetts 02111

(USA)

Natixis Asset Management

21, quai d’Austerlitz

75013 Paris

(France)

Natixis Asset Management Asia Limited

1 Robinson Road

#20-02 AIA Tower

Singapore 048542

(Singapore)

Vaughan Nelson Investment Management, L.P.

600 Travis, Suite 6300

Houston, Texas 77002-3071

(USA)

Auditor

PricewaterhouseCoopers, Société coopérative

2, rue Gerhard Mercator

L-2182 Luxembourg


Legal Adviser

Arendt & Medernach

41A, avenue J.F. Kennedy

L-2082 Luxembourg



Report to the Shareholders

Emerise Asia Equity Fund

Activities Report for the year ended December 31, 2016

1 Year Performance

Fund I/A (USD) (1.81)%

MSCI AC Asia ex Japan IMI Index 4.21%

For the year 2016, the Emerise Asia Equity Fund performance fell 1.81%, underperforming the benchmark’s return of 4.21% (net performance, in USD terms) by 6.02%. Stock selection effect was the main driver for the

underperformance.

In terms of country allocation, the underweight in Taiwan and overweight in the Philippines were a drag and negatively impacted performance whereas our underweight in Singapore and overweight in Indonesia added value. From a sector perspective, considering the subdued economic environment, we struggled to find value in most commodity-related stocks, hence our underweight positions in Materials and Energy. This sectorial

underweight has hurt our portfolio, particularly during the cyclical rally post the US Election on hopes of higher fiscal spending At the stock level, the most positive contributors were Taiwan Semiconductor in Taiwan, BOC Hong Kong Holding (Banks) and Tencent (Software & Services) in Hong Kong & China, Maruti Suzuki India (automobile) and PVR Ltd (consumer) in India. Our main detractors were West China Cement (Materials), COLI (Real Estate) and China Life Insurance in China, Osstem Implant Co (Healthcare) and Amorepacific Corp (Cosmetics) in

Korea and Yeong Guan Energy (Material) in Taiwan.

Please see past performance disclosure on cover page.

Luxembourg, April 20, 2017 The Board of Directors


Report to the Shareholders (continued)

Emerise Emerging Europe Equity Fund


1 Year Performance

Fund I/A (USD) 26.16%

MSCI EM Europe IMI Index 25.53%

During the observation period, from 31 December 2015 to 30 December 2016, the Emerise Emerging Europe Equity Fund subfund ( Share class I/A in US dollars) gained 26.16%, thus outperforming the MSCI EM Europe IMI Index, which was up 25.53% over the same period (in US dollars, with net dividends reinvested).

For the full year, the geographical allocation’s contribution (cash included) was slightly positive (with a gross

contribution estimated at about +35 bps). The positive contribution (+90 bps) from our underweighting of Greece, which fell by 8.8% in 2016, was more than cancelled out by our underweighting of Hungary (-12 bps), which soared by 34.8% (MSCI Hungary IMI) and by our overweighting of Turkey (-20 bps), which fell by 8.2% in 2016 (MSCI Turkey IMI). So stock-picking was the main reason for the portfolio’s outperformance in 2016 (with a gross contribution

estimated at about +170 bps). In Russia, our stock-picking paid off in our stance on cyclicals, in both energy, with Lukoil (+85.4%) and Tatneft (+37.8%), and financials with Sberbank (+107.9%) and LSR Group (+90.6%). In Greece, the fund first benefited from our non-financials exposure, with stocks such as Motor Oil (Energy, +36.8%), then from solid positioning in banking stocks beginning in the summer via NBG (+20.3%) and Alpha Bank (+4.8%). In Polish small and mid-caps, Uniwheels (an auto parts maker, +73.2%) and CCC (consumer discretionaries, +40.4%) made significant contributions.





Emerise Latin America Equity Fund


During the review period, from 31 December 2015 to 30 December 2016, the Emerise Latin America Equity Fund subfund (I/A share class in US dollars) gained 17.10%, underperforming by far the MSCI EM Latin America IMI Index, which gained 30.26% over the same period (in US dollars and with net dividends reinvested).

For the full year, the geographical allocation (including cash) made only a slight contribution (with the gross

contribution estimated at about -30 bps). So it the portfolio’s steep underperformance in 2016 was mostly due to stock-picking (with a gross contribution estimated at about -11.5%). Most of the stock-picking’s underperformance was due to Brazil (-950 bps). Our stock-picking took a hit from our underexposure to value shares, cyclical shares, and state-owned companies. Almost half of the underperformance was due to Petrobras (+170.1% for the preference shares, with a total impact of -250 bps),

Vale (+170.8% for the preference shares, with a total -270 bps impact), and Banco do Brasil (+170.1%, with a -90 bps impact). Our exposure to quality and/or growth stocks also cost us. These included Ambev (beverages, -45 bps), Ultrapar (energy, -45 bps) and Valid (IT, -70 bps). In Mexico (stock-picking impact estimated at -110 bps), our stock-picking took a hit from our lack of exposure to Cemex (cement, +52.7%, -45 bps) and from our exposure to Grupo Herdez (food, -13.4%, -48 bps), Hoteles City Express (hotels, -26.4%, -58 bps), Vesta (commercial real estate, -18.3%, -125 bps), and PINFRA

(Concessions, -29.4%, -171 bps). This was offset in part by our lack of exposure to Walmart de Mexico (retailing, -25.6%, +150 bps) and Grupo Televisa (Media/TV, -23.0%, +145 bps).

1 Year Performance


MSCI EM Latin America IMI Index 30.26%





Emerise Pacific Rim Equity Fund


1 Year Performance


MSCI Pacific Free ex Japan Index 8.00%

For the year 2016, the Emerise Pacific Rim Equities Fund underperformed its reference index, the MSCI Pacific Free ex Japan index, with a rise of 2.73% versus the benchmark which rose 8.00% (net performance, in USD

terms). Stock selection effect was the main driver for the underperformance. In terms of country allocation, the underweight in New Zealand and Hong Kong & China slightly impacted performance negatively, and our cash holding also detracted value in a rising market. From a sector

perspective, considering the subdued economic environment, we struggled to find value in most commodity-related stocks, hence our underweight positions in Materials. This sectorial underweight has hurt our portfolio, particularly during the cyclical rally post the US Election on hopes of higher fiscal spending. At the stock level, the most positive contributors were BOC Hong Kong Holding (Banks) and Tencent (Software & Services) in Hong Kong & China, BHP Billiton and Rio Tinto (Materials) in Australia. Our main detractors were CK Property (Real Estate), AIA Group (Insurance), CK Hutchison (Capital Goods) in Hong Kong & China and

Comfortdelgro (Transportation) in Singapore.





Harris Associates Concentrated U.S. Equity Fund


1 Year Performance


S&P 500 Index 11.96%

The portfolio outperformed its benchmark for the year, returning 19.26% compared to the S&P 500 Index that returned 11.96%.

Both stock selection and sector weights contributed to the portfolio’s relative performance for the period. Stock selection in industrials, health care and technology delivered the best results versus the benchmark. A less-than-benchmark weighting in energy made this sector the worst relative detractor for the period,

followed by real estate. In terms of absolute performance, five of seven invested sectors generated positive collective returns, led by industrials (+48.4%) and technology (+30.7%). Real estate (-8.9%) and energy (-5.8%) issues produced the greatest negative returns for the period.

The top five stocks that helped performance for the 12-month period: Cummins, Goldman Sachs, Caterpillar, Charter Communications and JPMorgan Chase. The following five stocks hindered performance most for the year: CBRE Group, Intel, Apple, NOW and Visa.

The portfolio finished the year holding 20 securities across a variety of industries.





Harris Associates Global Equity Fund


1 Year Performance


MSCI World Index 7.51% The portfolio underperformed its benchmark for the year, returning 4.12% compared to the MSCI World Index that returned 7.51%.

Stock selection minimally contributed to relative results, whereas country weightings detracted during the

period. Holdings in the U.K., South Korea and the Netherlands produced the strongest relative performance. Relative performance was pulled back most by holdings in Switzerland, Mexico and France. Absolute collective performance was positive in six of 11 invested countries. The largest positive returns came from holdings in South Korea (+40.6%), the Netherlands (+23.1%) and the U.K. (+19.4%).

Holdings in Mexico (-23.0%), France (-20.0%) and China (-13.0%) supplied the greatest negative absolute collective performance for the year. The top five stocks that helped performance for the year: CNH Industrial (U.K.), Bank of America (U.S.), LinkedIn (U.S.), Itron (U.S.) and Union Pacific (U.S.).

The five stocks that hindered performance most for the year: Credit Suisse Group (Switzerland), Tenet Healthcare (U.S.), BNP Paribas (France), Grupo Televisa (Mexico) and Julius Baer Group (Switzerland).

The portfolio finished the year holding 35 securities throughout a variety of countries.





Harris Associates U.S. Equity Fund


1 Year Performance


S&P 500 Index 11.96%

The portfolio outperformed its benchmark for the year, returning 16.16% compared to the S&P 500 Index that returned 11.96%. Both stock selection and sector weights contributed to results compared with the benchmark for the year.

Stock selection in consumer discretionary delivered the largest positive relative performance, followed by the

health care sector. A less-than-benchmark weighting in energy and stock selection in technology were the greatest detractors for the period. In terms of absolute performance, seven of nine invested sectors produced positive collective returns for the year, led by industrials (+26.1%), consumer discretionary (+22.5%) and financials (+20.4%).

The real estate (-12.0%) and energy (-4.5%) sectors generated the only negative collective absolute returns for the year. The top five stocks that helped performance for the year: Cummins, Caterpillar, Charter Communications, Goldman Sachs and Applied Materials.

The five stocks that hindered performance most for the year: Hertz Global, Union Pacific, American Express,

Apple and Anadarko. The portfolio finished the year holding 39 securities across a variety of industries.





IDFC India Equities Fund


1 Year Performance


MSCI India Index (1.43)%

In 2016, the fund (I/A share class in USD) delivered a net performance of 3.43% against a benchmark

performance of -1.43% (MSCI India Index NR USD).

The fund is fairly concentrated, on 30 December 2016, 96.4% of the portfolio is invested across 33 stocks out

of which 19 stocks are a part of the reference Index (MSCI India Index in USD terms). Our largest sector

overweight in the portfolio is financials (28.3% Vs 16.1%) while healthcare (4.0% Vs 11.7%) and technology

services (14.3% Vs 22.1%) are the significant underweight positions.

In 2016, the stocks that contribute positively to the performance are Hindustan Zinc LTD, Balrampur Chini Mills

LTD, Sundram Fasteners LTD and HDFC Bank limited.

In 2016, the stocks that contribute negatively to the performance are Vedanta LTD, Hindalco Industries LTD,

ITC LTD and Cognizant Tech Solutions-A.





Loomis Sayles Global Growth Equity Fund(1)

Activities Report for the period from June 8, 2016 to December 31, 2016

Period Performance


MSCI ACWI 4.02% The Fund underperformed its Comparative Index for the partial period from the Fund’s inception of 8 June 2016 to 31 December 2016.

ARM Holdings, adidas, Deere & Co., Qualcomm and Alibaba were among the largest contributors during the

period. Stock selection in the consumer discretionary and industrials sectors, along with the portfolio weighting in the information technology sector, contributed positively to relative performance. Shares of ARM Holdings were up about 40% in July on news of Softbank Group Corporation’s all-cash acquisition of the company. Similar to our long-term thesis, Softbank recognized the fundamental drivers for

ARM remain robust, as it benefits from increased chip connectivity, complexity and chip architecture outsourcing. Softbank’s willingness to pay a greater-than-40% premium on a share price already near an all-time high supports our assessment that there remained significant upside potential for the business. ARM Holdings became a privately-held company when Softbank’s purchase of ARM became final on September 1, 2016. Therefore, the shares were effectively sold from the Fund.. Novo Nordisk, Roche Holding, Danone, Novartis and Shire were among the largest detractors during the

period. Stock selection in the healthcare, information technology, energy and financials sectors and the portfolio weighting in the financials, consumer staples, healthcare and energy sectors detracted from relative performance.

Novo Nordisk, a diabetes-focused pharmaceutical company, reported fundamentally solid growth during the period. Strong performance came from new-generation insulin therapy Tresiba and non-insulin anti-diabetic therapy Victoza. However, management issued lower-than-expected near-term guidance and meaningfully

lowered its longer-term operating profit growth guidance to 5% from 10%, citing near-term pricing pressure in the U.S., which accounts for approximately 50% of the company’s sales. We continue to believe Novo’s competitive advantages and deep experience in diabetes care would be difficult to replicate. We increased our position in Novo Nordisk on price weakness during the fourth quarter of the period. We believe the shares of Novo Nordisk, Roche, Danone, Novartis and Shire are selling at a meaningful discount to intrinsic value (our estimate of the true worth of a business, which we define as the present value of all future net cash flows to

the company) and offer a compelling reward-to-risk opportunity. During the period we acquired a position in Yum China that was a spin-off from existing portfolio holding Yum! Brands. We added to our positions in American Express, Baidu, Deere & Co., Novo Nordisk, SEI Investments and Yum China. We sold our position in ARM Holdings due to its acquisition by SoftBank and trimmed our

position in adidas.

Our investment process is characterized by bottom-up, fundamental research and a long-term investment time horizon. The nature of our process leads to a lower turnover portfolio where sector positioning is the result of stock selection. We are currently overweight in the information technology, consumer staples, consumer discretionary and healthcare sectors and underweight in the financials, energy and industrials sectors. We have no exposure to stocks in the utilities, real estate, materials or telecommunication services sectors.

(1) See Note 1.





Loomis Sayles U.S. Growth Equity Fund(1)


Period Performance


S&P 500 Index 6.91% The Fund underperformed its Comparative Index for the partial period from the Fund’s inception of 8 June 2016 to 31 December 2016.

ARM Holdings, Qualcomm, and Autodesk were among the largest contributors during the period. Stock

selection in the industrials and consumer discretionary sectors, along with allocation in the information technology and consumer discretionary sectors, contributed positively to relative performance. We believe the shares of Qualcomm and Autodesk are selling below intrinsic value (our estimate of the true worth of a business, which we define as the present value of all expected future net cash flows to the

company) and offer compelling reward-to-risk opportunities. Novo Nordisk, Monster Beverage and Danone were among the largest detractors during the period. Stock selection in the healthcare, consumer staples, financials, information technology and energy sectors and allocation to the financials, healthcare, consumer staples and energy sectors detracted from relative performance.

We believe the shares of Novo, Monster and Danone are selling below our estimate of intrinsic value and offer compelling reward-to-risk opportunities.

(1) See Note 1.





Loomis Sayles U.S Research Fund


1 Year Performance


S&P 500 Index 11.96% The fund underperformed its Reference Index in the 12-month period ended December 31, 2016.

Stock selections within the healthcare and information technology sectors were the largest detractors from the fund’s relative performance. Two stocks accounted for more than 80% of the underperformance in the

information technology sector: Linkedin and Cavium.

The consumer discretionary and energy sectors were the fund’s top contributors in 2016. In the consumer discretionary sector, we own consumption-focused, brand-driven franchises that are generating positive cash flows, and we view these businesses as well insulated against competitive threats.

Stock selection drove the sector’s outperformance. Performance in the fund’s energy sector benefited from our efforts to take advantage of the significant volatility in oil prices during the year, particularly during the rally off the market’s lows in February 2016. Overweight positions in oil companies Newfield Exploration, Halliburton and Marathon Oil contributed the most to the sector’s relative outperformance during the period.





Natixis Europe Smaller Companies Fund


1 Year Performance

Fund I/A (EUR) (6.69)%

MSCI Europe Small Cap Index 0.86% The fund lost 6.69%, thus underperforming its benchmark by 754bp.

Our style overweighting growth, quality, and good-visibility stocks did not pay off, as discounted, highly cyclical, and high-beta stocks fared best in 2016 for the first time in years.

The sector allocation’s contribution is estimated at -20bp, with negative contributions from financials and consumer discretionaries (overweighted), basic materials, energy and healthcare (underweighted). However, our positions in capital goods and techs (overweighted) and, even more so, real estate (underweighted) paid off for us.

The geographical allocation’s contribution is estimated at +21bp, with gains in the UK (underweighted), Denmark, France and Germany (overweighted); the losses came in Sweden and Switzerland.




Report to the Shareholders (continued) Vaughan Nelson U.S. Mid Cap Equity Fund


1 Year Performance


Russell 2500™ Index 17.59%

For the twelve months ended December 31, 2016, Vaughan Nelson U.S. Mid Cap Equity fund delivered a

performance net of fees of 4.89% (I/A share class in USD) against a benchmark’s performance of 17.59%

(Russell 2500 TR USD).

While the Fund’s absolute performance was positive for the year, the Fund underperformed the benchmark

primarily due to stock selection within information technology, materials, health care, consumer discretionary,

and industrials. In addition, the Fund was overweight health care and consumer discretionary stocks during

the year, which detracted from performance since both sectors underperformed the market. The Fund was

positioned more defensively during the year as valuations become more expensive, which hurt relative

performance as more cyclical sectors such as energy and industrials outperformed. Financials, technology,

consumer discretionary, and energy were the biggest contributors to absolute performance, while health care

detracted from performance.

Despite lagging the benchmark for the year, the Fund had many notable outperformers during the year

including Grand Canyon Education, New Residential Investment, Reinsurance Group of America, Chemical

Financial, and NCR Corporation. As disappointing as 2016 was, the portfolio looks attractive relative to the

benchmark going into 2017. Since inception we have tracked the PEG ratio of the strategy and as of

December 31, 2016, the strategy is trading at about a 60% discount to the index. Further, the earnings

growth for the portfolio is 12.00% versus 8.00% for the index and the Fund’s P/E ratio is 14x versus 16x for

the index.





Vaughan Nelson U.S. Small Cap Value Fund


1 Year Performance


Russell 2000 Value Index 31.74% For the twelve months ended December 31, 2016, Vaughan Nelson U.S. Small Cap Value returned 17.65%. SCV underperformed its benchmark, the Russell 2000 Value, which returned 31.74%.

While the Fund’s absolute performance was strong for the year, the Fund underperformed the benchmark

primarily due to stock selection within materials, information technology, consumer discretionary, industrials,

and financials. In addition, the Fund was also overweight health care during the year, which detracted from

performance as the sector underperformed the market. The Fund was positioned more defensively during the

year as valuations become more expensive, which hurt relative performance as more cyclical sectors such as

materials outperformed. Financials, industrials, energy, utilities and information technology were the biggest

contributors to absolute performance, while consumer discretionary, materials and real estate detracted from

performance.





Loomis Sayles Duration Hedged Global Corporate Bond Fund


1 Year Performance

Fund I/A (USD) 4.44% The Fund posted a positive return in the 12-month period ended December 31, 2016. Security selection was a main driver of positive return, particularly among corporate bonds. Selection among energy names was a key contributor, as our holdings benefited from rising commodity prices throughout the year. Holdings in the banking, capital goods, communication and consumer (cyclical and non-cyclical) sectors

also contributed positively. However, selection among global treasuries was negative, partially mitigating some

of the positive performance from corporate securities. Allocations to lower-quality investment grade and high yield corporate bonds also lifted results. These securities generally outpaced higher-quality names.





Loomis Sayles Emerging Debt and Currencies Fund


1 Year Performance


JP Morgan Government Bond Index - Emerging Markets Global Diversified Index 9.94%

The Fund underperformed its Comparative Index in the 12-month period ended December 31, 2016. Security selection in South Africa was a main detractor from relative performance during the period, as the Fund’s positioning in shorter-duration names weighed on results as interest rates rallied. Selection among

Brazilian local bonds also detracted, despite positive absolute performance due to encouraging political

headlines and a rebound in commodity prices. In addition, an overweight position in the Mexican peso detracted from performance as uncertainty surrounding the U.S. presidential election weighed on the currency. On the positive side, out-of-Index positions in Argentina, Kenya, Uganda and the Dominican Republic were the primary contributors to performance. In addition, an overweight position in the Russian ruble and an underweight position in the Turkish lira contributed to relative results. Underweights to Polish and Thai local

bonds also added value.





Loomis Sayles Global Credit Fund


1 Year Performance


Barclays Capital Global Aggregate Credit Index 3.67% The Fund outperformed its Reference Index in the 12-month period ended December 31, 2016.

Security selection within the corporate and government-related sectors was the main driver of the Fund’s performance relative to the Index. In particular, selection among corporate issuers in the banking, capital

goods, communication, consumer (cyclical and non-cyclical) and energy industries contributed favorably to performance. Conversely, the Fund’s allocation to off-index global treasuries and commercial mortgage-backed securities (CMBS) and issuer allocation decisions in basic industry detracted. Overall, sector allocation contributed to relative performance during the year. Specifically, our underweight

positions in the more defensive sectors, such as government-guarantee and supranationals, and corresponding overweights to communications and consumer cyclicals aided performance. However, the underweights to the basic industry and energy sectors resulted in some missed opportunity. Country allocation was another positive contributor. In particular, the Fund’s underweight to Japan and European local markets contributed to relative performance. For most of the year, the U.S.-dollar-denominated investment grade corporate market fared better than euro- and pound-denominated markets, due to fewer

geopolitical and economic concerns in the U.S. An overweight position in the U.K. was also positive, as the Bank of England’s announced in early August that starting in September, corporate bond purchases would become part of its quantitative easing program. The news boosted the sterling-denominated credit market

significantly. The Fund’s duration (price sensitivity to interest rate changes) and yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning contributed to relative performance.

Underweight exposure to the European rates curve was positive, but hedging of rates along the U.S. curve detracted from performance.





Loomis Sayles Institutional Global Corporate Bond Fund


1 Year Performance

Fund H-S/A (GBP) 7.82%

Barclays Capital USD/EUR/GBP Corp 1% Issuer Capped Index 5.99%

The Fund outperformed its Comparative Index in the 12-month period ended December 31, 2016.

Security selection drove the Fund’s relative performance in 2016. The Fund’s positioning in energy was the

main contributor. Our choices among corporate bonds, particularly banking, capital goods, communications, consumer (cyclical and non-cyclical), finance and insurance companies also added value. However, security selection among basic industry and non-agency commercial mortgage-backed securities (CMBS) slightly offset the positive results. Out-of-Index exposure to global treasuries (held as a source of liquidity) also weighed on

results. Sector allocation generated mixed results. An underweight position in the energy sector weighed on performance due to the sustained commodity price rally. An underweight to basic industry and an overweight to insurance also detracted from relative performance. However, these negative results were slightly offset by underweights to banking and consumer and an overweight to communications. An allocation to high yield corporate bonds lifted results, as the high yield sector generally outpaced the investment grade sector during

the year. From a market allocation point of view, an overweight to the U.K. sterling-pay bond market was favorable. However, avoiding the longest-maturity portion of that market weighed on results. As a result, the country

allocation impact on performance was positive, but was offset by the impact from yield curve positioning.





Loomis Sayles Institutional High Income Fund


1 Year Performance

Fund S/A (USD) 20.23%

Barclays Capital US Corporate High Yield Index 17.13% The Fund outperformed its Reference Index in the 12-month period ended December 31, 2016.

Security selection was the main driver of the Fund’s relative outperformance. Yield curve positioning contributed nominally. It was a difficult environment for U.S. high yield in the first two months of the year;

however, high yield spreads tightened throughout most of the period, and the U.S. high yield rally continued through year-end despite a brief spike prior to the U.S. presidential election. Industrial holdings were the largest contributors to the Fund’s relative results, but financial and utilities names also contributed. In addition, an out-of-benchmark position in convertibles aided relative performance over the year. Within the convertibles allocation, energy names were strongly positive, as oil continued to rebound. Technology and communication

names also buoyed performance. Conversely, portfolio-only exposure to non-U.S.-dollar-denominated holdings detracted from performance, as the U.S. dollar rallied during the period. In particular, Mexican peso exposure underperformed as fears over protectionist policies under a Trump presidential administration weighed on the country’s growth, investment and export prospects.





Loomis Sayles Short Term Emerging Markets Bond Fund


1 Year Performance


The Fund posted a positive return for the 12-month period ended December 31, 2016. All countries contributed positively to performance for the period. As commodities prices continued to stabilize, oil and gas and metals and mining names in Latin America drove the Fund’s performance. Brazil was the top contributor, aided by improving investor confidence, with Colombian and Chilean names also adding value. In

Argentina, holdings in the sovereign and the state-owned oil company also benefited Fund performance. Consumer and industrials names in Mexico also were top contributors.

In Asia, Indonesia and China were the largest outperformers. China-based real estate and consumer names performed well as growth in China was stronger than expected. Holdings in Indonesian utilities and the technology/media/telecommunications (TMT) segment also added value. In Russia, oil and gas and metal and mining names aided performance, as oil and commodity prices rebounded and stabilized throughout the period. In Africa, a TMT holding in Nigeria was a positive contributor, as Africa’s largest independent phone

tower company purchased the name. Positions in South Africa-based utilities and financials were also positive contributors. TMT exposure from an India-based technology company as well as a Zambian metals and mining company were the biggest performance detractors for the year.





Loomis Sayles Strategic Alpha Bond Fund


1 Year Performance


3 Month USD Libor Index 0.76%

The Fund posted positive performance for the 12-month period ended December 31, 2016.

High yield corporate bonds contributed to performance as consistently tightened following February’s high yield selloff. Individual energy, telecommunication and technology names aided Fund performance the most.

Investment grade corporate spreads tightened in similar fashion as high yield spreads. Most of the positive

contribution came from investment grade energy, technology and banking names. Securitized assets, particularly our residential mortgage-backed securities (RMBS), boosted performance during the period as fundamentals remained stable across all sectors. Spreads among asset-backed securities (ABS), commercial mortgage-backed securities (CMBS) and RMBS tightened during the period, translating into higher valuations.

Emerging market exposure also lifted return, as credits benefited from spread compression amid the low interest rate environment. Market technicals also remained supportive for hard currency assets. Specifically, the Fund’s exposure to the energy, capital goods and consumer non-cyclical space led the contribution to performance. Currency positioning weighed on performance, as currencies of beaten-down commodity exporters rebounded

during the period on the back of a commodity market rally. Many of our positions were offset against long pairs, which mitigated the impact. Nonetheless, some of our currency positions, namely short Brazilian real and New Zealand dollar positions and long Norwegian krone positions, weighed on return. Additionally, the U.S. presidential election had a negative impact on the Mexican peso in December, weakening our long position in the currency.





Loomis Sayles Sustainable Global Corporate Bond Fund


1 Year Performance


Barclays Global Aggregate-Corporate Bond Index 4.27% The Fund underperformed its Comparative Index in the 12-month period ended December 31, 2016.

Yield curve and duration positioning were marginal detractors. A shorter-duration position along the U.K. curve slightly hindered performance. Positioning along the U.S. yield curve weighed on results, but was mostly offset

by our positioning along the euro zone curves. Currency and hedging also detracted from performance, mainly due to hedged positions on the Japanese yen, Swiss franc and euro. An underweight to the energy sector weighed on relative return due to the sustained commodity price rally. An underweight to basic industry and overweights to insurance and consumer cyclicals also detracted from

performance. However, underweight positions in the banking, consumer non-cyclical and electric segments offset some of the negative results. An allocation to high yield corporate bonds lifted results, as the high yield sector generally outpaced the investment grade sector during the year. Security selection within energy was the main positive contributor to performance, as Fund holdings in mid-stream and independent energy producers outperformed the broader energy segment. Selection among other

corporate bonds, particularly banking, capital goods, consumer non-cyclical and insurance holdings also aided performance. However, consumer cyclical and electric holdings slightly offset the positive results. Out-of-Index exposure to global treasuries (held as a source of liquidity) also weighed on results.

The Fund’s lack of exposure to the local markets of Japan added value, as Japan’s market lagged other major markets during the year. Underweight positions in Switzerland and Canada also contributed to performance.





Loomis Sayles U.S. Aggregate Bond Fund(1)

Activities Report for the period from January 1, 2016 to July 29, 2016

Period Performance


Barclays U.S. Aggregate Bond Index 5.44% The Fund was liquidated on July 29, 2016.

(1) See Note 1.





Loomis Sayles U.S. Core Plus Bond Fund


1 Year Performance


Barclays U.S. Aggregate Bond Index 2.65% The Fund outperformed its Comparative Index in the 12-month period ended December 31, 2016.

High yield corporate holdings aided relative results, as spreads consistently tightened from early February through December. Exposure to energy-related and metals and mining names proved highly beneficial to

performance. Investment grade corporates also generated positive return for the period, despite giving up some performance in the fourth quarter. Investment grade industrials generated the bulk of the positive return, benefiting from the recovery in the energy, metals and mining industries. Meanwhile, investment grade financial and utility issues limited relative performance. Security selection bolstered the government-related sector, specifically oil-related issues in Indonesia, Brazil, Colombia and Mexico. The U.S. dollar remained strong

versus most global currencies during the period. As a result, the Fund’s Mexican peso- and Philippine peso-denominated holdings suffered. Conversely, an underweight allocation to U.S. Treasuries benefited relative performance, as nominal U.S. Treasury returns declined.





Natixis Euro Aggregate Plus Fund


1 Year Performance

Fund I/A (EUR) 3.10%

Bloomberg Barclays Euro Aggregate Index 3.32% The Natixis Euro Aggregate Plus Fund delivered a 3.10% net performance during 2016, under performing its

benchmark by +0.22%. The strategy benefited from its large over exposure to credit +10.00% through a

balanced mix of financial and industrial issuers that had been implemented this year and reinforced during ECB

buying program implementation. On the other side, our overexposure to peripheral sovereign debt (ie Italy 5

¾ 2033) contributed negatively to the performance.





Natixis Euro High Income Fund


1 Year Performance


BofA Merrill Lynch Euro High Yield BB-B Rated Constrained Index 9.36%

The European High Yield strategy delivered a 7.48% gross performance during 2016, underperforming its

benchmark by 1.18%. The strategy suffered from its protection buyer position on the Itraxx Xover that had

been implemented following the Brexit as well as its underexposure to Gazprom. On the other side, our

overexposure to corporate hybrids (Repsol, EDP and Casino notably) contributed positively to the performance.





Natixis Global Inflation Fund


1 Year Performance


Barclays World Government Inflation-Linked All Maturities Index 8.60%

The fund I/A (EUR) has a performance of 7.27% over 2016 versus a performance of 8.60% for its benchmark. The main driver of this performance is the drop of the real rates after the Brexit in June. Over the year, the best performer is the UK inflation-linked bond market with a +22.6% performance, on the opposite, the US market with +3.2%.

The main positive contributor to the performance versus benchmark is the domestic inflation carry (+0.12%) and the worst contributor is the currency exposure mainly with a dollar/yen appreciation strategy (based on the BoJ QE) which cost -0.46% with the reverse on the USD/JPY in February. Diversification in Break-evens has been positive for +0.07%. And this Break-even performance on the 2d year half leads to a positive performance of the duration hedged share (DH-EUR) with a +3.49% for 2016.





Natixis Short Term Global High Income Fund


1 Year Performance


The short-term Global High-Yield strategy delivered a performance of 6.16% in 2016 (hedged in USD) with a low level of volatility.

At the end of 2016, the BofA Merrill Lynch US High Yield BB-B (HUC4) index still offered a decent yield to worst of 5.29% corresponding to a spread of 328 bps over swaps. In Europe, the comparable yield and spread stand

at 2.88% and 280 bps over swaps. Valuation compared to alternative fixed income assets seems attractive.





ASG Managed Futures Fund(1)


Period Performance

Fund I/A (USD) (4.96)%

Credit Suisse Managed Futures Liquid Index and/or SG Trend Index (0.81)% For the period from June 10, 2016 to December 31, 2016, Class I/A USD shares of ASG Managed Futures Fund returned -4.96% at net asset value. Although the Fund does not seek to track any particular index, the Credit

Suisse Managed Futures Liquid Index may be used as a benchmark for performance analysis. This benchmark returned -0.81% over the same period. It is important to note that there are material differences between the

Fund and this benchmark. Despite losses in emerging and certain European markets, equities were positive for the year due to profitable trends in U.S. and Canadian equity markets. Bonds detracted the most during 2016, primarily due to long positions in U.S. and European bonds. Despite gains from short positions in the Swedish krona and British

pound, currencies came out negative, with significant losses in the Japanese yen, Norwegian krone, and South African rand. Within commodities, small gains from positions in copper were outweighed by losses in precious metals and energies. Choppy markets in every asset class, particularly during the second half of the year, created a challenging environment for trend-following funds. The Fund’s basic multi-trend models detracted the most during the

year, followed by short-horizon models and adaptive models. Long-horizon models underperformed during the fourth quarter as interest rates reversed course and began to rise quickly, especially following the surprise outcome of the U.S. presidential election in November.

(1) See Note 1.





Loomis Sayles Global Multi Asset Income Fund(1)


Period Performance


MSCI World & Barclays Global Aggregate Index 0.08% The Fund posted a positive return from its 30 June 2016 inception through 31 December 2016.

Dividend-paying securities in the U.S. banking, technology and transportation sectors were among the Fund’s top performance contributors. In addition, European preferreds in the banking space, which had suffered the

most after the late June Brexit vote in the U.K., added to return as investors returned to the space. High yield corporate bonds bolstered performance as spreads continued to tighten and finished the period near their narrowest levels of the year. Individual telecommunication, energy and technology names aided performance the most.

In addition, master limited partnerships (MLPs) boosted return. Our exposure to this space through exchange-traded notes (ETN) generated significant gains as the entire sector produced strong results. Our highly diversified group of bank loans also lifted performance. Meanwhile, some of our foreign currency-denominated positions weighed on performance during the period. Specifically, securities denominated in the British pound and Japanese yen detracted from performance. Additionally, the U.S. presidential election had a negative

impact on the Mexican peso in December, diminishing an emerging market position denominated in the currency.

(1) See Note 1.




Audit report

To the Shareholders of


We have audited the accompanying financial statements of Natixis International Funds (Lux) I and of

each of its sub-funds, which comprise the statement of net assets and the statement of investments

as at December 31, 2016 and the statement of changes in net assets for the year then ended, and a

summary of significant accounting policies and other explanatory notes to the financial statements.

Responsibility of the Board of Directors of the SICAV for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these

financial statements in accordance with Luxembourg legal and regulatory requirements relating to the

preparation of the financial statements and for such internal control as the Board of Directors of the

SICAV determines is necessary to enable the preparation of financial statements that are free from

material misstatement, whether due to fraud or error.

Responsibility of the “Réviseur d’entreprises agréé”

Our responsibility is to express an opinion on these financial statements based on our audit. We

conducted our audit in accordance with International Standards on Auditing as adopted for

Luxembourg by the “Commission de Surveillance du Secteur Financier”. Those standards require that

we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance

about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures

in the financial statements. The procedures selected depend on the judgment of the

“Réviseur d’entreprises agréé”, including the assessment of the risks of material misstatement of the

financial statements, whether due to fraud or error. In making those risk assessments, the

“Réviseur d’entreprises agréé” considers internal control relevant to the entity’s preparation and fair

presentation of the financial statements in order to design audit procedures that are appropriate in the

circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s

internal control. An audit also includes evaluating the appropriateness of accounting policies used and

the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as

evaluating the overall presentation of the financial statements.

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg

T: +352 494848 1, F:+352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518


We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of Natixis International Funds (Lux) I and of each of its sub-funds as of December 31, 2016, and of the results

of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express

any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report

in this regard.

PricewaterhouseCoopers, Société coopérative Luxembourg, April 20, 2017 Represented by

Fanny Sergent


Statement of Net Assets As at December 31, 2016

The accompanying notes form an integral part of these financial statements.

Refre sh

Notes


USD

Emerise

Emerging Europe Equity Fund

USD

Emerise Latin

America Equity Fund

USD

Emerise

Pacific Rim Equity Fund

USD

ASSETS

Portfolio at cost (14) 106,012,580 63,624,170 21,027,029 164,845,164

Investments portfolio at market value (2) 112,835,218 58,274,824 19,542,173 161,047,961

Time Deposits (2,10) 0 0 0 0

Cash at bank 5,114,482 179,317 182,329 0

Amounts receivable on sale of investments 0 161,612 251,571 601,859

Amounts receivable on subscriptions 1,254 3,369 2,591 807

Amounts receivable on financial futures

contracts (2,8) 0 0 0 0

Interest and dividends receivable, net 9,134 411,863 95,656 200,135

Net unrealised appreciation on financial

futures contracts (2,8) 0 0 0 0

Net unrealised appreciation on forward

foreign exchange contracts (2,7) 0 0 0 440,279

Other receivables (2) 0 2,948 64,059 0

Other assets (2,6) 3,663 8,991 4,993 0

TOTAL ASSETS 117,963,751 59,042,924 20,143,372 162,291,041

LIABILITIES

Bank overdraft 0 0 0 180,715

Amounts payable on purchase of

investments 636,529 15,089 355,677 0

Amounts payable on redemptions 22,508 151,212 6,831 52,096

Payable due to the swap counterparty (9,11) 0 0 0 0

Net unrealised depreciation on financial

futures contracts (2,8) 0 0 0 0

Net unrealised depreciation on forward

foreign exchange contracts (2,7) 0 0 0 0

Net unrealised depreciation on swaps (2,9) 0 0 0 0

Amounts payable on repurchase

agreements (12) 0 0 0 0

Management commission payable (3) 122,190 54,017 14,477 146,525

Taxes and expenses payable (5) 15,091 0 0 14,927

Other liabilities (6) 0 0 0 17,651

TOTAL LIABILITIES 796,318 220,318 376,985 411,914

TOTAL NET ASSETS 117,167,433 58,822,606 19,766,387 161,879,127


Statement of Net Assets (continued) As at December 31, 2016


Harris Associates

Concentrated U.S.

Equity Fund

USD

Harris Associates

Global Equity Fund

USD

Harris Associates

U.S. Equity Fund

USD

IDFC India

Equities Fund

USD

Loomis Sayles

Global Growth

Equity Fund(1)

USD

Loomis Sayles U.S.

Growth Equity

Fund(1)

USD

Loomis Sayles U.S.

Research Fund

USD

68,428,514 1,614,572,918 309,222,644 51,541,723 5,052,310 220,304,818 307,086,089

72,404,538 1,688,805,028 357,764,130 58,294,277 5,033,360 216,469,208 354,411,693

0 0 0 0 0 0 0

6,045,816 35,799,533 27,235,793 2,240,268 27,441 3,164,766 2,616,766

0 2,580,118 0 0 25,695 0 42,191,739

1,782,813 2,048,690 1,878,251 14,760 0 1,041,056 1,420,787

0 0 0 0 0 0 0

26,373 787,908 214,823 67 3,620 98,812 335,613

0 0 0 0 0 0 0

0 632,464 0 0 0 0 0

0 0 0 12,658 0 0 0

2,935 23,559 215 0 12,674 0 0

80,262,475 1,730,677,300 387,093,212 60,562,030 5,102,790 220,773,842 400,976,598

0 0 0 0 0 0 0

1,672,712 3,487,704 0 0 0 0 3,624,390

2,579 1,168,793 313,777 25,938 0 662,592 40,359,748

0 0 0 0 0 0 0

0 0 0 0 0 0 0

208 0 300,476 0 30 102,772 64,880

0 0 0 0 0 0 0

0 0 0 0 0 0 0

65,785 1,444,099 331,153 81,638 8 153,352 274,699

11,731 100,630 33,238 0 1,958 23,849 32,116

0 0 0 10,224 0 11,690 72,714

1,753,015 6,201,226 978,644 117,800 1,996 954,255 44,428,547

78,509,460 1,724,476,074 386,114,568 60,444,230 5,100,794 219,819,587 356,548,051

(1) See Note 1.




;

Notes

Natixis Europe

Smaller Companies

Fund

EUR

Vaughan Nelson

U.S. Mid Cap

Equity Fund

USD

Vaughan Nelson

U.S. Small Cap

Value Fund

USD

ASSETS

Portfolio at cost (14) 149,614,564 4,527,622 151,554,860

Investments portfolio at market value (2) 167,146,564 4,758,233 162,781,392

Time Deposits (2,10) 0 0 0

Cash at bank 4,105,710 145,846 36,741,539

Amounts receivable on sale of investments 1,046,360 0 59,384

Amounts receivable on subscriptions 475 0 1,082,179


contracts (2,8) 0 0 0

Interest and dividends receivable, net 325,707 7,194 164,249


futures contracts (2,8) 0 0 0


foreign exchange contracts (2,7) 14,120 0 0

Other receivables (2) 18,651 0 0

Other assets (2,6) 25,134 29,092 0

TOTAL ASSETS 172,682,721 4,940,365 200,828,743

LIABILITIES

Bank overdraft 0 0 0


investments 0 23,190 26,167,946

Amounts payable on redemptions 3,037,184 0 9,758,173

Payable due to the swap counterparty (9,11) 0 0 0


futures contracts (2,8) 0 0 0


foreign exchange contracts (2,7) 0 124 40,294

Net unrealised depreciation on swaps (2,9) 0 0 0


agreements (12) 0 0 0

Management commission payable (3) 163,417 4 152,655

Taxes and expenses payable (5) 0 980 15,772

Other liabilities (6) 0 0 29,632

TOTAL LIABILITIES 3,200,601 24,298 36,164,472

TOTAL NET ASSETS 169,482,120 4,916,067 164,664,271




Loomis Sayles Duration Hedged

Global Corporate

Bond Fund

USD

Loomis Sayles Emerging

Debt and

Currencies Fund

USD

Loomis Sayles

Global Credit Fund

USD

Loomis Sayles Institutional Global

Corporate Bond

Fund

USD

Loomis Sayles

Institutional High

Income Fund

USD

Loomis Sayles Short Term

Emerging Markets

Bond Fund

USD

Loomis Sayles

Strategic Alpha

Bond Fund

USD

82,994,928 42,538,506 71,627,312 615,294,609 138,384,561 359,418,620 198,039,510

81,068,831 38,369,538 69,582,385 605,633,961 127,131,866 358,145,197 199,040,943

0 0 0 0 0 0 0

2,785,617 2,331,517 1,206,073 2,980,221 8,979,902 15,124,802 5,067,370

978,775 258,126 4,782 2,452,529 557,802 490,183 374,827

0 0 813 0 0 3,956,200 20,981

0 0 0 0 0 0 0

377,383 980,702 694,305 6,203,680 1,959,194 4,175,682 1,066,818

4,352 0 59,614 0 0 0 23,864

466,855 0 3,208 4,235,051 0 1,775,004 2,443,084

0 0 0 0 0 0 0

0 31,219 0 0 0 0 0

85,681,813 41,971,102 71,551,180 621,505,442 138,628,764 383,667,068 208,037,887

0 0 0 0 0 0 0

0 256,870 0 0 0 6,934,417 2,406,717

0 21 157,768 0 0 2,886,003 10,319

0 0 0 0 0 0 146,350

0 0 0 804,373 0 0 0

0 583,160 0 0 813,808 0 0

1,763,913 147,132 0 0 0 0 370,902

0 0 0 0 0 0 0

5,988 204 15,650 90,211 69,155 192,550 136,042

7,086 7,823 11,830 47,873 8,808 62,786 18,384

101,716 0 5,135 176,457 24,637 72,278 4,057

1,878,703 995,210 190,383 1,118,914 916,408 10,148,034 3,092,771

83,803,110 40,975,892 71,360,797 620,386,528 137,712,356 373,519,034 204,945,116




Notes

Loomis Sayles

Sustainable Global

Corporate Bond

Fund

USD

Loomis Sayles

U.S. Core Plus

Bond Fund

USD

Natixis Euro

Aggregate Plus

Fund

EUR

ASSETS

Portfolio at cost (14) 140,827,938 33,675,727 6,248,531

Investments portfolio at market value (2) 137,447,363 33,764,350 6,969,042

Time Deposits (2,10) 0 0 0

Cash at bank 1,320,172 5,030,396 320,105

Amounts receivable on sale of investments 2,855 1,666,409 0

Amounts receivable on subscriptions 2,265,413 63,866 15,000


contracts (2,8) 0 0 0

Interest and dividends receivable, net 1,438,829 239,506 92,657


futures contracts (2,8) 0 0 4,600


foreign exchange contracts (2,7) 670,235 999 0

Other receivables (2) 0 0 0

Other assets (2,6) 0 0 0

TOTAL ASSETS 143,144,867 40,765,526 7,401,404

LIABILITIES

Bank overdraft 0 0 0


investments 0 6,525,374 0

Amounts payable on redemptions 0 0 0

Payable due to the swap counterparty (9,11) 0 0 0


futures contracts (2,8) 15,054 0 0


foreign exchange contracts (2,7) 0 0 0

Net unrealised depreciation on swaps (2,9) 0 0 0


agreements (12) 0 0 0

Management commission payable (3) 5,922 5,261 4,456

Taxes and expenses payable (5) 33,241 5,498 2,187

Other liabilities (6) 216,379 6,035 1,537

TOTAL LIABILITIES 270,596 6,542,168 8,180

TOTAL NET ASSETS 142,874,271 34,223,358 7,393,224




Natixis Euro High

Income Fund

EUR

Natixis Global

Inflation Fund

EUR

Natixis Short Term

Global High

Income Fund

USD

ASG Managed

Futures Fund0F

(1)

USD

Loomis Sayles

Global Multi Asset

Income Fund(1)

USD

Combined

EUR

470,825,287 35,686,043 136,636,381 63,112,893 14,259,901 5,388,011,499

482,629,725 39,395,736 132,172,321 63,291,725 14,753,598 5,562,294,314

0 0 0 4,700,000 0 4,456,032

31,423,326 1,567,183 11,731,888 3,881,412 1,152,688 209,100,056

1,127,443 52,218 0 5,083,111 562 56,970,043

169,520 0 2,126,573 48,544 0 17,022,094

0 0 0 5,956 0 5,647

8,863,180 129,963 1,995,064 68,990 96,492 29,939,467

0 0 0 744,198 0 793,439

58,703 0 538,884 0 0 10,696,728

28,999 0 0 0 0 123,166

2,299 12,929 112 121,309 4,852 271,330

524,303,195 41,158,029 148,564,842 77,945,245 16,008,192 5,891,672,316

0 0 0 0 0 171,140

0 0 0 4,857,125 371,477 54,359,061

243,995 46,766 12,222 0 0 56,032,845

2,993,780 0 0 0 0 3,132,533

0 198,291 0 0 0 975,183

0 321,090 0 200,910 0 2,318,399

807,825 0 0 0 0 2,971,321

0 3,442,664 0 0 0 3,442,664

225,026 17,586 78,728 24,635 8 3,695,336

0 6,345 7,747 34,018 3,272 481,290

0 0 0 0 0 711,253

4,270,626 4,032,742 98,697 5,116,688 374,757 128,291,025

520,032,569 37,125,287 148,466,145 72,828,557 15,633,435 5,763,381,291

(1) See Note 1.


Statement of Changes in Net Assets

For the year ended December 31, 2016


ar

yj

Notes


USD

Emerise Emerging

Europe Equity Fund

USD

Emerise Latin

America Equity Fund

USD


USD

NET ASSETS AT THE BEGINNING OF THE

YEAR / PERIOD 162,108,004 52,770,724 28,798,874 182,249,407

INCOME

Dividends, net (2) 3,063,803 2,410,646 486,961 6,680,932

Interest on bonds, net 0 0 0 0

Interest on Swaps 0 0 0 0

Bank interest 3,070 9,360 392 6,270

Other income (6) 3,663 24,212 4,999 13

TOTAL INCOME 3,070,536 2,444,218 492,352 6,687,215

EXPENSES

Management fees (3) 1,727,409 618,483 212,957 1,816,811

Depositary fees (14) 104,552 70,159 50,132 56,090

Distribution fees (4) 33,526 19,108 14,605 32,245

Audit fees 8,259 3,183 5,190 10,125

Subscription tax (5) 15,034 8,596 2,966 20,269

Interest paid 1,229 0 0 67

Interest paid on Swaps 0 0 0 0

Capital gain tax 24,848 0 0 0

Other charges (6) 100,530 78,233 19,404 51,200

TOTAL EXPENSES 2,015,387 797,762 305,254 1,986,807

NET INCOME / (LOSS) FROM INVESTMENTS 1,055,149 1,646,456 187,098 4,700,408

Net realised appreciation / (depreciation) on sales of investments (2,14) (8,465,743) (5,783,373) (4,639,144) (6,603,570)

Net realised appreciation / (depreciation) on forward foreign exchange contracts (2,14) 0 0 (3,337) (2,136,298)

Net realised appreciation / (depreciation) on

financial futures contracts (2,14) 0 0 0 0


foreign exchange contracts (2,14) (140,861) (39,534) (133,426) (30,342)

Net realised appreciation / (depreciation) on swaps (2,14) 0 0 0 0

NET REALISED PROFIT / (LOSS) (7,551,455) (4,176,451) (4,588,809) (4,069,802)

Change in net unrealised appreciation /

(depreciation) on investments (2) 5,166,049 17,241,221 9,112,282 5,663,147


(depreciation) on forward foreign exchange

contracts (2,7) 0 0 0 890,249


(depreciation) on financial future contracts (2,8) 0 0 0 0


(depreciation) on foreign exchange contracts (2) 18,629 (62,460) 3,078 (1,226)


(depreciation) on swaps (2,9) 0 0 0 0


(depreciation) on repurchase agreements (2,12) 0 0 0 0

NET INCREASE / (DECREASE) IN NET ASSETS

AS A RESULT OF OPERATIONS (2,366,777) 13,002,310 4,526,551 2,482,368

EVOLUTION OF THE CAPITAL

Dividend distribution (17) 0 (4,703) 0 0

Subscriptions of shares 44,539,133 11,024,106 6,509,626 59,758,327

Redemption of shares (87,112,927) (17,969,831) (20,068,664) (82,610,975)

Currency Translation

NET ASSETS AT THE END OF THE

YEAR / PERIOD 117,167,433 58,822,606 19,766,387 161,879,127


Statement of Changes in Net Assets (continued)



Harris Associates

Concentrated U.S.

Equity Fund

USD

Harris Associates

Global

Equity Fund

USD

Harris Associates

U.S. Equity Fund

USD

IDFC India

Equities Fund

USD

Loomis Sayles

Global Growth

Equity Fund(1)

USD

Loomis Sayles U.S.

Growth Equity

Fund(1)

USD

Loomis Sayles U.S.

Research Fund

USD

112,727,892 1,486,937,884 347,601,412 78,751,725 – – 737,544,845

1,025,885 27,537,504 4,018,904 855,620 26,984 577,772 8,081,983

0 0 0 0 0 0 0

0 0 0 0 0 0 0

6,233 50,408 26,908 3,825 184 2,794 18,470

2,953 23,618 369 0 12,674 0 14,535

1,035,071 27,611,530 4,046,181 859,445 39,842 580,566 8,114,988

630,683 15,306,251 3,359,160 1,086,678 34 588,836 4,447,290

10,975 182,444 26,750 133,992 4,438 17,382 46,910

22,240 153,213 64,991 16,285 3,440 11,016 79,842

4,207 87,149 18,956 3,845 206 4,477 31,144

12,136 246,855 54,811 20,011 385 17,605 59,657

93 160 60 23 0 0 0

0 0 0 0 0 0 0

0 0 0 0 0 0 0

48,955 303,241 102,686 32,365 11,887 29,587 150,283

729,289 16,279,313 3,627,414 1,293,199 20,390 668,903 4,815,126

305,782 11,332,217 418,767 (433,754) 19,452 (88,337) 3,299,862

11,784,083 (9,534,003) 1,092,429 3,423,487 91,606 931,189 39,267,802

(261,855) (2,292,960) (343,988) (10,498) (124) 75,307 1,346,672

0 0 0 0 0 0 0

877,152 (178,758) 20,579 (11,350) (455) (18,975) 48,195

0 0 0 0 0 0 0

12,705,162 (673,504) 1,187,787 2,967,885 110,479 899,184 43,962,531

(5,528,792) 76,942,424 43,367,934 (1,655,500) (18,950) (3,835,610) (27,406,719)

151,179 797,500 384 0 (30) (102,772) 795,509

0 0 0 0 0 0 0

1,789 (42,641) 92 (239) (15) 257 38

0 0 0 0 0 0 0

0 0 0 0 0 0 0

7,329,338 77,023,779 44,556,197 1,312,146 91,484 (3,038,941) 17,351,359

0 (1,092,128) (1,100) 0 0 0 (56,838)

118,292,491 629,381,737 193,348,017 9,954,410 5,009,310 247,389,108 203,164,348

(159,840,261) (467,775,198) (199,389,958) (29,574,051) 0 (24,530,580) (601,455,663)

78,509,460 1,724,476,074 386,114,568 60,444,230 5,100,794 219,819,587 356,548,051

(1) See Note 1.





Notes

Natixis Europe

Smaller Companies

Fund

EUR

Vaughan Nelson

U.S. Mid Cap

Equity Fund

USD

Vaughan Nelson

U.S. Small Cap

Value Fund

USD

Loomis Sayles Duration Hedged

Global Corporate

Bond Fund

USD


YEAR / PERIOD 242,980,402 5,370,858 230,579,678 81,702,775

INCOME

Dividends, net (2) 4,438,820 38,068 1,381,052 2,277

Interest on bonds, net 19 0 1,136 2,807,154

Interest on Swaps 0 0 0 430,703

Bank interest 248 258 12,746 6,958

Other income (6) 25,240 31,777 69,083 293

TOTAL INCOME 4,464,327 70,103 1,464,017 3,247,385

EXPENSES

Management fees (3) 2,454,229 7,889 1,568,594 74,469

Depositary fees (14) 150,544 7,128 23,433 33,112


Audit fees 12,404 300 8,374 4,930

Subscription tax (5) 29,078 677 20,059 8,457

Interest paid 22,508 76 44 357

Interest paid on Swaps 0 0 0 1,609,402

Capital gain tax 0 0 0 0

Other charges (6) 299,811 28,960 51,201 125,927

TOTAL EXPENSES 3,025,037 56,363 1,700,201 1,874,869

NET INCOME / (LOSS) FROM INVESTMENTS 1,439,290 13,740 (236,184) 1,372,516

Net realised appreciation / (depreciation) on sales

of investments (2,14) 12,685,810 (377,775) 21,566,045 (326,990)


forward foreign exchange contracts (2,14) 25,434 (726) (425,381) (4,168,306)


financial futures contracts (2,14) 0 0 0 36,471


foreign exchange contracts (2,14) (399,582) 69 48,252 (208,843)

Net realised appreciation / (depreciation) on swaps (2,14) 0 0 0 (663,530)

NET REALISED PROFIT / (LOSS) 13,750,952 (364,692) 20,952,732 (3,958,682)


(depreciation) on investments (2) (31,508,747) 684,485 (6,552,809) 2,473,555


(depreciation) on forward foreign exchange contracts (2,7) (2,401) (23) 258,393 1,480,430

Change in net unrealised appreciation / (depreciation) on financial future contracts (2,8) 0 0 0 12,790

Change in net unrealised appreciation / (depreciation) on foreign exchange contracts (2) 10,215 0 651 23,702


(depreciation) on swaps (2,9) 0 0 0 1,128,433



NET INCREASE / (DECREASE) IN NET

ASSETS

AS A RESULT OF OPERATIONS (17,749,981) 319,770 14,658,967 1,160,228


Dividend distribution (17) 0 0 0 0

Subscriptions of shares 111,109,412 274,100 138,501,100 4,621,699

Redemption of shares (166,857,713) (1,048,661) (219,075,474) (3,681,592)



YEAR / PERIOD 169,482,120 4,916,067 164,664,271 83,803,110





Loomis Sayles

Emerging Debt and

Currencies Fund

USD

Loomis Sayles

Global Credit Fund

USD

Loomis Sayles

Institutional Global

Corporate Bond

Fund

USD

Loomis Sayles

Institutional High

Income Fund

USD

Loomis Sayles

Short Term

Emerging Markets

Bond Fund

USD

Loomis Sayles

Strategic Alpha

Bond Fund

USD

Loomis Sayles

Sustainable Global

Corporate Bond

Fund

USD

36,701,134 118,513,353 741,556,390 171,821,415 111,440,745 188,109,213 93,186,147

0 0 39,655 494,575 0 447,461 0

2,501,850 3,070,227 22,904,815 9,763,066 7,453,703 7,210,934 3,790,941

107,356 0 0 0 0 795,945 0

5,233 681 2,797 8,712 45,110 30,210 871

31,273 1,238 410 16,723 14,327 22,414 667

2,645,712 3,072,146 22,947,677 10,283,076 7,513,140 8,506,964 3,792,479

25,780 280,641 1,341,573 908,702 1,179,600 1,586,400 41,827

57,100 35,088 70,517 11,684 35,850 74,889 32,673

16,215 22,828 31,677 11,707 26,004 19,526 13,881

2,824 5,468 42,647 8,789 12,102 12,025 7,241

3,905 8,635 68,939 14,915 43,521 24,301 13,088

133 443 5,315 74,526 0 811 575

89,646 0 0 0 0 1,225,346 0

21 0 0 0 0 0 0

34,825 43,800 271,903 52,058 100,781 461,571 241,244

230,449 396,903 1,832,571 1,082,381 1,397,858 3,404,869 350,529

2,415,263 2,675,243 21,115,106 9,200,695 6,115,282 5,102,095 3,441,950

(7,237,082) 521,770 181,518 1,985,079 (862,929) 805,579 (330,576)

(724,540) 354,262 (119,806,851) (3,016,451) (11,077,555) (35,923,762) 1,882,092

0 (613,626) (2,304,010) 0 0 (618,174) (511,639)

(52,958) 691,254 (360,955) (17,741) 2,802 (421,241) (45,756)

30,921 0 0 0 0 (170,592) 0

(5,568,396) 3,628,903 (101,175,192) 8,151,582 (5,822,400) (31,226,095) 4,436,071

7,680,117 2,757,332 24,330,128 16,144,537 1,118,858 9,346,950 1,186,542

(418,078) 185,361 10,140,178 (148,790) 1,942,617 5,649,614 1,501,813

0 23,266 (984,210) 0 0 228,941 (55,178)

(7,172) 2,800 (124,806) 556 2,895 (48,948) (6,399)

(160,569) 0 0 0 0 (452,105) 0

0 0 0 0 0 0 0

1,525,902 6,597,662 (67,813,902) 24,147,885 (2,758,030) (16,501,643) 7,062,849

(6,468) (587,943) (1,180,183) 0 (191,139) (97) 0

56,251,318 45,419,312 50,593,723 8,256,987 347,641,228 45,274,167 45,031,108

(53,495,994) (98,581,587) (102,769,500) (66,513,931) (82,613,770) (11,936,524) (2,405,833)

40,975,892 71,360,797 620,386,528 137,712,356 373,519,034 204,945,116 142,874,271





Notes

Loomis Sayles U.S.

Aggregate Bond

Fund(1)

USD

Loomis Sayles U.S.

Core Plus Bond

Fund

USD

Natixis Euro

Aggregate Plus

Fund

EUR

Natixis Euro High

Income Fund

EUR


YEAR / PERIOD 48,572,035 28,552,317 10,201,224 473,593,644

INCOME

Dividends, net (2) 0 0 0 0

Interest on bonds, net 687,753 982,478 146,853 22,179,346

Interest on Swaps 0 0 0 0

Bank interest 10,023 5,572 2 0

Other income (6) 30,425 5 417 2,311

TOTAL INCOME 728,201 988,055 147,272 22,181,657

EXPENSES

Management fees (3) 92,003 31,560 61,762 2,590,632

Depositary fees (14) 11,183 13,124 6,044 65,512


Audit fees 0 1,845 498 29,402

Subscription tax (5) 2,606 3,862 2,490 62,229

Interest paid 35 0 887 194,496

Interest paid on Swaps 0 0 0 1,722,917

Capital gain tax 0 0 0 0

Other charges (6) 14,411 26,247 9,629 176,062

TOTAL EXPENSES 134,404 94,198 92,034 4,915,467

NET INCOME / (LOSS) FROM INVESTMENTS 593,797 893,857 55,238 17,266,190

Net realised appreciation / (depreciation) on sales

of investments (2,14) 1,862,998 84,335 88,707 (8,173,543)


forward foreign exchange contracts (2,14) (122,697) 4,497 0 234,857


financial futures contracts (2,14) 0 0 8,020 (1,553,640)


foreign exchange contracts (2,14) (91,687) (3,903) (36) 17,338

Net realised appreciation / (depreciation) on swaps (2,14) 0 0 0 (2,110,978)

NET REALISED PROFIT / (LOSS) 2,242,411 978,786 151,929 5,680,224


(depreciation) on investments (2) 567,574 939,112 72,579 31,759,480


(depreciation) on forward foreign exchange contracts (2,7) 305,596 (302) 0 11,226

Change in net unrealised appreciation / (depreciation) on financial future contracts (2,8) 0 0 4,600 800

Change in net unrealised appreciation / (depreciation) on foreign exchange contracts (2) 0 (15) (4,449) 6


(depreciation) on swaps (2,9) 0 0 0 (807,825)



NET INCREASE / (DECREASE) IN NET ASSETS

AS A RESULT OF OPERATIONS 3,115,581 1,917,581 224,659 36,643,911


Dividend distribution (17) 0 (14) (5,445) (5,181,462)

Subscriptions of shares 0 4,242,119 240,190 353,442,191

Redemption of shares (51,687,616) (488,645) (3,267,404) (338,465,715)



YEAR / PERIOD 0 34,223,358 7,393,224 520,032,569

(1) See Note 1.





Natixis Global

Inflation Fund

EUR

Natixis Short Term

Global High

Income Fund

USD

ASG Managed

Futures Fund(1)

USD

Loomis Sayles

Global Multi Asset

Income Fund(1)

USD

Combined

EUR

26,138,326 122,759,449 – – 5,510,675,100

0 0 0 113,273 58,740,594

570,240 5,574,715 195,782 190,465 86,546,632

0 0 0 0 1,264,759

61 10,239 0 1,554 255,221

13,014 120 121,310 6,408 451,988

583,315 5,585,074 317,092 311,700 147,259,194

156,618 930,910 94,357 44 41,248,682

56,197 33,774 193,228 16,211 1,560,688

16,322 33,246 15,487 2,300 852,770

2,083 8,434 2,491 598 323,878

5,106 20,468 6,740 772 761,832

8,989 2,281 0 0 308,632

0 0 0 0 4,495,512

0 0 0 0 23,578

37,878 68,488 85,806 5,256 2,932,248

283,193 1,097,601 398,109 25,181 52,507,820

300,122 4,487,473 (81,017) 286,519 94,751,374

2,970,563 (2,821,092) (762,963) (160,981) 41,413,976

192,632 (5,803,730) (245,313) 0 (172,762,635)

(970,707) 0 (2,481,682) 0 (8,671,966)

42,658 1,464,428 (1,537) 1,983 984,331

0 0 0 0 (2,872,486)

2,535,268 (2,672,921) (3,572,512) 127,521 (47,157,406)

181,912 3,379,369 178,832 493,697 174,737,240

(315,361) 857,461 (200,910) 0 22,527,661

(292,575) 0 744,198 0 (315,801)

(238,951) (1,713) 1,420 217 (460,255)

0 0 0 0 (318,838)

29,978 0 0 0 29,978

1,900,271 1,562,196 (2,848,972) 621,435 149,042,579

(29,654) 0 0 (18) (8,175,206)

40,719,997 70,082,499 76,579,359 15,012,018 2,815,132,315

(31,603,653) (45,937,999) (901,830) 0 (2,845,328,133)

142,034,636*

37,125,287 148,466,145 72,828,557 15,633,435 5,763,381,291

* For each fund, the net assets at the beginning of the year are converted into EUR on the basis of the exchange rates used at December 31, 2015. The exchange difference between the net assets at the beginning of the year converted at the exchange rates used at December 31, 2015 and the net assets at the beginning of the year converted at the exchange rates used in December 31, 2016 is EUR 142,034,442.

(1) See Note 1.



Changes in the number of Shares for the year ended December 31, 2016

I/A (USD)

Number of shares outstanding at the beginning 666,878.328

Number of shares issued 56,171.245

Number of shares redeemed (83,348.304)

Number of shares at the end 639,701.269

I/A (EUR)

Number of shares outstanding at the beginning 1,030,857.084




R/A (USD)


Number of shares issued 848.276

Number of shares redeemed (502.993)


R/A (EUR)





R/D (USD)

Number of shares outstanding at the beginning 46.672



Number of shares at the end 531.001

RE/A (EUR)







Statistics December 31, 2016 December 31, 2015 December 31, 2014

USD USD USD

Total Net Asset Value 117,167,433 162,108,004 178,624,341

Net Asset Value per Share

I/A (USD) 91.63 93.32 104.33

I/A (EUR) 86.99 86.02 86.37

R/A (USD) 80.28 82.48 93.04

R/A (EUR) 76.14 75.96 76.94

R/D (USD) 154.41 158.65 180.60

RE/A (EUR) 127.46 127.81 130.12



Emerise Asia Equity Fund Statement of Investments

As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Transferable securities admitted to an official stock exchange listing Shares

China

Anhui Conch Cement Co Ltd 993,000 HKD 2,686,091 2,702,424 2.30

Bank of China Ltd 5,774,600 HKD 2,668,158 2,562,136 2.19

China Animal Healthcare Ltd 1,949,000 HKD 1,480,711 326,796 0.28

Industrial & Commercial Bank of China Ltd 5,936,090 HKD 4,441,565 3,560,207 3.04

Ping An Insurance Group Co of China Ltd 807,000 HKD 4,508,947 4,038,565 3.45

Tencent Holdings Ltd 274,700 HKD 3,058,683 6,721,215 5.73

TravelSky Technology Ltd 1,227,000 HKD 2,551,665 2,579,610 2.20

West China Cement Ltd 7,398,000 HKD 1,285,918 830,148 0.71

22,681,738 23,321,101 19.90 Hong Kong

BOC Hong Kong Holdings Ltd 1,152,000 HKD 4,316,921 4,123,227 3.52

Brilliance China Automotive Holdings Ltd 1,200,000 HKD 1,355,576 1,653,005 1.41

Cheung Kong Property Holdings Ltd 480,000 HKD 3,482,098 2,943,836 2.51

China Gas Holdings Ltd 1,766,000 HKD 2,675,293 2,396,229 2.04

China Mobile Ltd 423,000 HKD 5,025,592 4,484,706 3.83

China Overseas Land & Investment Ltd 1,348,000 HKD 4,158,658 3,572,922 3.05

Sinopec Kantons Holdings Ltd 3,100,000 HKD 1,610,089 1,415,425 1.21

22,624,227 20,589,350 17.57 India

Aurobindo Pharma Ltd 120,000 INR 1,459,371 1,183,380 1.01

Credit Analysis & Research Ltd 60,316 INR 1,224,727 1,160,063 0.99

IndusInd Bank Ltd 227,556 INR 2,695,434 3,714,591 3.17

Maruti Suzuki India Ltd 57,820 INR 2,494,390 4,531,846 3.87

PVR Ltd 150,660 INR 1,863,715 2,550,032 2.17

9,737,637 13,139,912 11.21 Indonesia

Bank Central Asia Tbk PT 1,545,100 IDR 1,681,343 1,777,625 1.52

Pembangunan Perumahan Persero Tbk PT 10,080,902 IDR 2,921,783 2,850,862 2.43

4,603,126 4,628,487 3.95 Malaysia

Gamuda Bhd 1,300,000 MYR 1,639,265 1,385,198 1.18

My EG Services Bhd 4,635,600 MYR 958,900 1,560,356 1.33

2,598,165 2,945,554 2.51 Philippines

Century Pacific Food Inc 3,617,700 PHP 1,257,799 1,177,458 1.00

GT Capital Holdings Inc 59,000 PHP 1,445,587 1,507,267 1.29

Megaworld Corp 15,269,000 PHP 1,443,444 1,096,511 0.94

4,146,830 3,781,236 3.23 Singapore

DBS Group Holdings Ltd 161,000 SGD 1,872,921 1,932,401 1.65

UOL Group Ltd 364,000 SGD 2,039,748 1,509,213 1.29

3,912,669 3,441,614 2.94 South Korea

Amorepacific Corp 5,051 KRW 1,307,039 1,344,508 1.15

Korea Zinc Co Ltd 3,000 KRW 1,396,755 1,179,831 1.01



Emerise Asia Equity Fund Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

KT Corp 48,922 KRW 1,098,563 1,190,848 1.02

S-1 Corp 16,000 KRW 1,388,818 1,161,782 0.99

Samsung Electronics Co Ltd 6,311 KRW 7,147,752 9,415,816 8.03

SK Materials Co Ltd 16,900 KRW 2,418,762 2,510,234 2.14

S-Oil Corp 19,359 KRW 1,143,427 1,357,598 1.16

15,901,116 18,160,617 15.50 Taiwan

E.Sun Financial Holding Co Ltd 4,163,209 TWD 1,818,435 2,370,377 2.03

King Slide Works Co Ltd 103,000 TWD 1,330,837 1,332,682 1.14

Largan Precision Co Ltd 22,125 TWD 2,497,637 2,601,810 2.22

Silicon Motion Technology Corp ADR 58,000 USD 2,808,371 2,463,840 2.10

Taiwan Semiconductor Manufacturing Co Ltd 1,173,596 TWD 4,243,801 6,609,193 5.64

12,699,081 15,377,902 13.13 Thailand

KCE Electronics PCL 498,900 THB 1,470,710 1,699,664 1.45

Sino-Thai Engineering & Construction PCL 2,330,900 THB 1,445,617 1,806,243 1.54

2,916,327 3,505,907 2.99 United States

Nexteer Automotive Group Ltd 1,984,000 HKD 2,508,724 2,354,243 2.01

Samsonite International SA 556,300 HKD 1,682,940 1,589,295 1.36

4,191,664 3,943,538 3.37

Total - Shares 106,012,580 112,835,218 96.30

Total - Transferable securities admitted to an official stock exchange listing 106,012,580 112,835,218 96.30

TOTAL INVESTMENT PORTFOLIO 106,012,580 112,835,218 96.30

A detailed schedule of portfolio movements for the year from January 1, 2016 to December 31, 2016 is available free of charge upon request at the registered office of the SICAV.




I/A (USD)





I/A (EUR)





R/A (USD)





R/A (EUR)





R/A (SGD)





R/D (USD)





RE/A (USD)








USD USD USD



I/A (USD) 64.48 51.11 59.58

I/A (EUR) 61.20 47.08 49.30

R/A (USD) 54.90 43.95 51.77

R/A (EUR) 52.11 40.51 42.85

R/A (SGD) 111.15 87.37 -

R/D (USD) 50.73 41.14 49.35

RE/A (USD) 67.49 54.31 64.30

C/A (USD) - - 63.97



Emerise Emerging Europe Equity Fund Statement of Investments



Austria

Erste Group Bank AG 20,000 EUR 594,355 586,968 1.00

594,355 586,968 1.00 Germany

Uniwheels AG 16,000 PLN 510,234 840,572 1.43

510,234 840,572 1.43 Greece

Alpha Bank AE 535,000 EUR 1,016,830 1,072,154 1.83

Motor Oil Hellas Corinth Refineries SA 72,000 EUR 623,068 994,840 1.69

National Bank of Greece SA 3,400,000 EUR 770,157 889,365 1.51

Titan Cement Co SA 31,000 EUR 712,710 729,149 1.24

3,122,765 3,685,508 6.27 Hungary

Magyar Telekom Telecommunications PLC 390,000 HUF 668,851 663,246 1.13

Richter Gedeon Nyrt 57,000 HUF 906,923 1,208,780 2.05

1,575,774 1,872,026 3.18 Poland

Alior Bank SA 102,000 PLN 1,395,799 1,324,145 2.25

Bank Pekao SA 41,000 PLN 2,233,112 1,235,608 2.10

CCC SA 31,000 PLN 1,323,763 1,511,643 2.57

Cyfrowy Polsat SA 139,000 PLN 879,647 819,155 1.39

Inter Cars SA 9,000 PLN 595,677 598,412 1.02

KRUK SA 14,000 PLN 711,670 794,864 1.35

Pfleiderer Group SA 49,363 PLN 426,286 436,359 0.74

Powszechny Zaklad Ubezpieczen SA 177,000 PLN 1,953,255 1,408,181 2.39

Warsaw Stock Exchange 16,291 PLN 210,597 155,835 0.27

9,729,806 8,284,202 14.08 Russia

Gazprom Neft PJSC ADR 86,000 USD 1,491,234 1,506,789 2.56

Gazprom PAO ADR 15,000 USD 70,394 76,350 0.13

Gazprom PJSC ADR 736,000 USD 8,289,522 3,716,800 6.32

LSR Group PJSC GDR 223,000 USD 626,655 769,350 1.31

Lukoil PJSC ADR 102,000 USD 6,801,083 5,722,200 9.73

Magnit PJSC GDR 13,000 USD 541,314 573,950 0.97

Magnitogorsk Iron & Steel OJSC GDR 175,000 USD 974,376 1,221,500 2.08

MMC Norilsk Nickel PJSC ADR 174,000 USD 2,723,711 2,944,080 5.01

Mobile TeleSystems PJSC 360,000 USD 1,353,218 1,527,444 2.60

Moscow Exchange MICEX-RTS PJSC 940,000 USD 1,513,612 1,933,956 3.29

Novatek PJSC GDR 21,000 USD 1,797,505 2,725,800 4.63

Rosneft Oil Co PJSC GDR 325,000 USD 1,920,868 2,112,500 3.59

Tatneft PJSC ADR 15,000 USD 477,411 618,300 1.05

Tatneft PJSC Preferred 630,000 USD 1,734,883 2,425,311 4.12

30,315,786 27,874,330 47.39 Switzerland

Luxoft Holding Inc 10,000 USD 521,922 562,000 0.95

521,922 562,000 0.95 Turkey

Akbank TAS 584,000 TRY 2,036,493 1,298,294 2.21

Aygaz AS 139,000 TRY 611,203 475,372 0.81

BIM Birlesik Magazalar AS 66,000 TRY 1,281,678 919,377 1.56



Emerise Emerging Europe Equity Fund Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Cimsa Cimento Sanayi VE Ticaret AS 185,000 TRY 1,033,425 830,438 1.41

Logo Yazilim Sanayi Ve Ticaret AS 35,000 TRY 541,894 540,781 0.92

Tofas Turk Otomobil Fabrikasi AS 152,000 TRY 1,023,322 1,064,726 1.81

Turkiye Garanti Bankasi AS 773,000 TRY 2,871,897 1,674,511 2.85

Turkiye Sinai Kalkinma Bankasi AS 2,161,285 TRY 1,291,994 866,333 1.47

10,691,906 7,669,832 13.04

Total - Shares 57,062,548 51,375,438 87.34

Investment Funds

Turkey

Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT 1,455,000 TRY 1,624,775 1,236,766 2.10

1,624,775 1,236,766 2.10

Total - Investment Funds 1,624,775 1,236,766 2.10


Other transferable securities Shares

Russia

Sberbank of Russia PJSC ADR 489,000 USD 4,936,847 5,662,620 9.63

4,936,847 5,662,620 9.63

Total - Shares 4,936,847 5,662,620 9.63

Total - Other transferable securities 4,936,847 5,662,620 9.63


A detailed schedule of portfolio movements for the year from January 1, 2016 to

December 31, 2016 is available free of charge upon request at the registered office of the SICAV.




I/A (USD)





I/A (EUR)





R/A (USD)





R/A (EUR)





RE/A (USD)





RE/A (EUR)








USD USD USD



I/A (USD) 59.77 51.04 72.77

I/A (EUR) 56.73 47.03 60.23

R/A (USD) 51.16 44.13 63.59

R/A (EUR) 48.59 40.70 52.66

RE/A (USD) 50.46 43.75 63.35

RE/A (EUR) 66.25 55.78 72.54



Emerise Latin America Equity Fund Statement of Investments



Brazil

Ambev SA 210,000 BRL 1,229,146 1,058,162 5.35

Banco Bradesco SA 23,643 BRL 187,161 211,681 1.07

Banco Bradesco SA Preferred 132,000 BRL 1,429,199 1,176,145 5.95

Braskem SA 25,000 BRL 246,033 263,081 1.33

CCR SA 84,000 BRL 317,690 411,909 2.08

Cia de Saneamento Basico do Estado de Sao Paulo 58,000 BRL 440,234 513,049 2.59

Cielo SA 86,400 BRL 1,077,498 740,374 3.75

Energisa SA 66,000 BRL 442,351 376,772 1.91

Itau Unibanco Holding SA 137,934 BRL 1,596,258 1,434,561 7.26

Itausa - Investimentos Itau SA 220,601 BRL 595,947 561,212 2.84

Linx SA 41,000 BRL 209,875 218,561 1.11

Lojas Americanas SA 60,000 BRL 395,309 313,393 1.58

Lojas Renner SA 79,000 BRL 473,526 562,396 2.84

Petroleo Brasileiro SA 131,000 BRL 867,892 598,510 3.03

Raia Drogasil SA 43,000 BRL 467,939 808,422 4.09

Sao Martinho SA 80,000 BRL 420,039 479,307 2.42

Telefonica Brasil SA 50,000 BRL 627,480 677,174 3.43

Ultrapar Participacoes SA 32,200 BRL 669,766 677,202 3.43

Vale SA 22,000 BRL 157,534 157,766 0.80

11,850,877 11,239,677 56.86

Chile

Banco Santander Chile 6,500,000 CLP 340,084 359,071 1.82

Empresas COPEC SA 38,062 CLP 407,170 364,774 1.84

Enel Americas SA 3,100,000 CLP 582,149 485,977 2.46

SACI Falabella 50,825 CLP 386,982 403,619 2.04

1,716,385 1,613,441 8.16 Colombia

Grupo de Inversiones Suramericana SA 27,000 COP 446,060 332,778 1.69

446,060 332,778 1.69 Luxembourg

Ternium SA ADR 20,000 USD 401,603 483,000 2.44

401,603 483,000 2.44 Mexico

Alpek SAB de CV 250,000 MXN 423,239 300,464 1.52

Alsea SAB de CV 102,000 MXN 330,511 293,204 1.48

Banregio Grupo Financiero SAB de CV 43,000 MXN 241,533 241,075 1.22

Corp Inmobiliaria Vesta SAB de CV 185,000 MXN 352,595 223,600 1.13

Fomento Economico Mexicano SAB de CV 113,000 MXN 1,048,940 865,484 4.38

Gruma SAB de CV 21,000 MXN 234,187 268,495 1.36

Grupo Aeroportuario del Centro Norte SAB de CV 57,500 MXN 243,571 249,046 1.26

Grupo Financiero Banorte SAB de CV 171,732 MXN 1,088,620 851,095 4.31

Grupo Mexico SAB de CV 308,000 MXN 965,264 841,556 4.26

Infraestructura Energetica Nova SAB de CV 110,000 MXN 446,353 482,149 2.44

Mexichem SAB de CV 203,975 MXN 535,648 465,643 2.35

5,910,461 5,081,811 25.71



Emerise Latin America Equity Fund Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Peru

Alicorp SAA 88,000 PEN 190,000 191,598 0.97

Credicorp Ltd 3,800 USD 511,643 599,868 3.04

701,643 791,466 4.01

Total - Shares 21,027,029 19,542,173 98.87








H-I/A (EUR)





I/A (USD)





I/A (EUR)





R/A (USD)





R/A (EUR)





RE/A (USD)





S/A (EUR)


Number of shares issued -






USD USD USD



H-I/A (EUR) 88.63 87.28 91.07

I/A (USD) 82.41 80.22 89.19

I/A (EUR) 78.28 73.86 73.56

R/A (USD) 76.01 74.44 83.22

R/A (EUR) 72.16 68.53 68.68

RE/A (USD) 96.79 95.39 107.28

S/A (EUR) 115.23 108.51 107.85



Emerise Pacific Rim Equity Fund Statement of Investments



Australia

Amcor Ltd/Australia 251,473 AUD 2,358,225 2,716,254 1.68

APA Group 397,453 AUD 2,590,383 2,460,959 1.52

Australia & New Zealand Banking Group Ltd 360,449 AUD 7,995,626 7,922,110 4.89

BHP Billiton Ltd 453,684 AUD 15,174,680 8,214,334 5.07

Brambles Ltd 335,996 AUD 2,761,023 3,010,188 1.86

Commonwealth Bank of Australia 214,814 AUD 11,212,014 12,790,289 7.90

CSL Ltd 68,258 AUD 4,213,429 4,951,860 3.06

Lend Lease Group 187,272 AUD 2,068,253 1,978,145 1.22

Macquarie Group Ltd 58,803 AUD 2,661,025 3,701,308 2.29

National Australia Bank Ltd 378,667 AUD 9,397,242 8,390,910 5.18

Oil Search Ltd 447,143 AUD 2,475,296 2,316,346 1.43

QBE Insurance Group Ltd 154,781 AUD 1,632,584 1,388,920 0.86

Seek Ltd 165,584 AUD 2,334,460 1,780,160 1.10

Suncorp Group Ltd 156,840 AUD 1,917,441 1,532,044 0.95

Sydney Airport 439,332 AUD 1,493,585 1,901,330 1.17

Telstra Corp Ltd 800,320 AUD 3,102,216 2,948,979 1.82

Transurban Group 303,000 AUD 2,531,485 2,259,229 1.40

Wesfarmers Ltd 144,050 AUD 5,720,230 4,385,768 2.71

Westpac Banking Corp 386,018 AUD 8,457,540 9,092,075 5.62

Woodside Petroleum Ltd 141,194 AUD 4,390,801 3,178,715 1.96

Woolworths Ltd 220,323 AUD 5,397,628 3,836,319 2.37

99,885,166 90,756,242 56.06 China

Tencent Holdings Ltd 209,000 HKD 3,062,330 5,112,812 3.16

3,062,330 5,112,812 3.16 Great Britain

Rio Tinto Ltd 76,580 AUD 4,673,496 3,314,210 2.05

4,673,496 3,314,210 2.05 Hong Kong

AIA Group Ltd 1,965,600 HKD 8,459,433 11,089,690 6.85

BOC Hong Kong Holdings Ltd 1,608,000 HKD 5,269,009 5,754,336 3.55

Cheung Kong Property Holdings Ltd 651,428 HKD 4,069,610 3,994,507 2.47

CK Hutchison Holdings Ltd 493,928 HKD 4,804,885 5,598,848 3.46

Hong Kong Exchanges & Clearing Ltd 221,860 HKD 3,624,631 5,241,441 3.24

Sun Hung Kai Properties Ltd 348,469 HKD 4,644,468 4,403,890 2.72

30,872,036 36,082,712 22.29 New Zealand

Contact Energy Ltd 540,000 NZD 2,035,005 1,752,044 1.08

2,035,005 1,752,044 1.08 Singapore

DBS Group Holdings Ltd 491,143 SGD 5,490,488 5,893,920 3.64

Hotel Properties Ltd 367,900 SGD 704,512 970,067 0.60

Singapore Telecommunications Ltd 1,747,342 SGD 4,657,465 4,413,854 2.73

UOL Group Ltd 517,700 SGD 2,699,055 2,146,111 1.32

13,551,520 13,423,952 8.29 United States

Nexteer Automotive Group Ltd 1,820,000 HKD 1,957,997 2,159,262 1.33



Emerise Pacific Rim Equity Fund Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Samsonite International SA 603,300 HKD 1,825,017 1,723,270 1.07

3,783,014 3,882,532 2.40

Total - Shares 157,862,567 154,324,504 95.33

Investment Funds

Australia

Scentre Group REIT 777,000 AUD 2,899,774 2,604,815 1.61

Westfield Corp REIT 395,597 AUD 2,565,252 2,680,980 1.66

5,465,026 5,285,795 3.27 Singapore

Suntec Real Estate Investment Trust REIT 1,259,000 SGD 1,517,571 1,437,662 0.89

1,517,571 1,437,662 0.89








H-N/A (EUR)



Number of shares redeemed -


H-N/A (GBP)





H-RE/A (EUR)




Number of shares at the end -

H-S/A (EUR)





I/A (USD)





N/A (USD)





R/A (USD)





R/A (EUR)





R/D (USD)





R/D (GBP)





S/A (USD)








(continued)

S/A (EUR)





S/A (GBP)








USD USD USD



H-N/A (EUR) 132.11 112.09 125.75

H-N/A (GBP) 159.19 134.69 151.23

H-RE/A (EUR) - 91.84 104.80

H-S/A (EUR) - 104.12 116.35

I/A (USD) 193.46 162.22 181.81

N/A (USD) - 132.08 147.98

R/A (USD) 184.56 156.17 176.55

R/A (EUR) 152.25 125.12 -

R/D (USD) - 87.46 153.52

R/D (GBP) - 98.93 140.76

S/A (USD) 197.62 165.06 184.25

S/A (EUR) 212.09 172.01 172.43

S/A (GBP) - 185.86 196.11



Harris Associates Concentrated U.S. Equity Fund Statement of Investments



Great Britain

Aon PLC 29,200 USD 3,059,821 3,256,676 4.15

3,059,821 3,256,676 4.15 United States

Alphabet Inc 5,750 USD 4,407,576 4,437,965 5.65

American International Group Inc 64,900 USD 3,606,181 4,238,619 5.40

Baxter International Inc 83,300 USD 3,467,689 3,693,522 4.70

BlackRock Inc 7,750 USD 2,744,586 2,949,185 3.76

CarMax Inc 56,800 USD 3,035,760 3,657,352 4.66

Caterpillar Inc 35,800 USD 3,293,040 3,320,092 4.23

CBRE Group Inc 88,900 USD 2,583,214 2,799,461 3.56

CDW Corp/DE 63,000 USD 2,943,974 3,281,670 4.18

Charter Communications Inc 15,900 USD 4,136,001 4,577,928 5.83

CommScope Holding Co Inc 90,600 USD 3,165,812 3,370,320 4.29

Cummins Inc 23,300 USD 3,239,723 3,184,411 4.06

General Motors Co 135,700 USD 4,769,935 4,727,788 6.02

Goldman Sachs Group Inc/The 9,600 USD 2,003,189 2,298,720 2.93

HCA Holdings Inc 52,300 USD 3,840,736 3,871,246 4.93

JPMorgan Chase & Co 51,500 USD 3,802,546 4,443,935 5.66

Quintiles IMS Holdings Inc 35,400 USD 2,645,237 2,692,170 3.43

Tiffany & Co 45,500 USD 3,661,470 3,523,065 4.49

Tribune Media Co 85,900 USD 3,306,676 3,004,782 3.83

Wells Fargo & Co 92,100 USD 4,715,348 5,075,631 6.46

65,368,693 69,147,862 88.07

Total - Shares 68,428,514 72,404,538 92.22







F/A (USD)





H-I/A (EUR)





H-N/A (EUR)





H-N/A (GBP)





H-RE/A (EUR)





H-S/A (EUR)





I/A (USD)





I/A (EUR)





N/A (USD)





R/A (USD)





R/A (EUR)








(continued)

R/A (GBP)





R/A (SGD)





R/D (USD)





R/D (GBP)





RE/A (USD)





RE/A (EUR)





S/A (USD)


Number of shares issued 1,454,190.392

Number of shares redeemed (1,012,075.975)

Number of shares at the end 2,198,781.091

S/A (EUR)





S/A (GBP)





S/D (USD)





C/A (USD)








(continued)

C/D (USD)





P/A (SGD)





S/D (GBP)





S1/A (EUR)








USD USD USD

Total Net Asset Value 1,724,476,074 1,486,937,884 1,321,025,703


F/A (USD) 106.15 102.06 107.96

H-I/A (EUR) 131.63 128.25 136.08

H-N/A (EUR) 98.41 95.86 101.75

H-N/A (GBP) 98.36 96.02 101.81

H-RE/A (EUR) 117.48 116.24 124.94

H-S/A (EUR) 152.86 148.26 156.86

I/A (USD) 300.59 288.69 305.41

I/A (EUR) 285.08 265.84 252.57

N/A (USD) 99.95 96.03 101.62

R/A (USD) 264.42 256.37 273.37

R/A (EUR) 251.66 236.94 226.89

R/A (GBP) 129.74 105.47 106.31

R/A (SGD) 136.25 129.78 129.58

R/D (USD) 236.00 228.84 254.89

R/D (GBP) 121.16 98.52 106.30

RE/A (USD) 147.58 143.89 154.27

RE/A (EUR) 158.76 150.26 144.69

S/A (USD) 160.51 153.49 161.41

S/A (EUR) 183.65 170.52 161.04

S/A (GBP) 139.03 111.46 110.80

S/D (USD) 119.74 115.71 133.69

C/A (USD) 218.50 213.56 229.56

C/D (USD) 86.73 84.78 102.03

TH-S/A (SGD) - - 170.58

P/A (SGD) 101.13 95.87 -

S/D (GBP) - 93.68 -

S1/A (EUR) 109.21 101.32 -




Statement of Investments As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets


Australia

Incitec Pivot Ltd 18,764,649 AUD 50,278,117 48,914,933 2.83

50,278,117 48,914,933 2.83 China

Baidu Inc ADR 249,400 USD 41,453,116 41,003,854 2.38

41,453,116 41,003,854 2.38 Germany

Allianz SE 427,000 EUR 68,641,546 70,709,384 4.10

Daimler AG 933,900 EUR 68,514,761 69,661,393 4.04

MTU Aero Engines AG 378,400 EUR 35,489,614 43,823,089 2.54

172,645,921 184,193,866 10.68 Great Britain

CNH Industrial NV 10,209,000 EUR 87,650,282 88,997,045 5.16

Diageo PLC 1,535,600 GBP 42,135,625 40,036,492 2.32

Lloyds Banking Group PLC 111,927,300 GBP 80,977,632 86,453,182 5.01

Travis Perkins PLC 2,378,300 GBP 41,167,293 42,670,596 2.48

251,930,832 258,157,315 14.97 Japan

Daiwa Securities Group Inc 6,447,000 JPY 45,854,703 39,814,585 2.31

Hirose Electric Co Ltd 208,790 JPY 25,451,000 25,938,758 1.51

Omron Corp 441,000 JPY 15,378,908 16,957,903 0.98

Toyota Motor Corp 670,000 JPY 40,618,348 39,510,096 2.29

127,302,959 122,221,342 7.09 Mexico

Grupo Televisa SAB ADR 1,822,024 USD 46,747,261 38,062,081 2.21

46,747,261 38,062,081 2.21 Netherlands

Koninklijke Philips NV 892,250 EUR 25,328,247 27,291,919 1.58

25,328,247 27,291,919 1.58

South Korea

Samsung Electronics Co Ltd 17,070 KRW 19,463,602 25,467,909 1.48

19,463,602 25,467,909 1.48 Switzerland

Cie Financiere Richemont SA 554,500 CHF 40,419,783 36,799,355 2.13

Credit Suisse Group AG 5,280,180 CHF 108,884,167 75,902,425 4.40

Julius Baer Group Ltd 1,297,460 CHF 56,145,145 57,740,066 3.35

LafargeHolcim Ltd 744,140 CHF 40,418,441 39,280,869 2.28

TE Connectivity Ltd 1,062,500 USD 56,954,649 73,610,000 4.27

302,822,185 283,332,715 16.43 United States

Alphabet Inc 88,624 USD 54,391,635 68,401,775 3.97

Bank of America Corp 3,578,700 USD 55,927,093 79,089,270 4.59

CarMax Inc 505,400 USD 25,659,438 32,542,706 1.89

Citigroup Inc 1,139,700 USD 56,234,689 67,732,371 3.93

General Motors Co 2,092,100 USD 69,836,074 72,888,764 4.23

Interpublic Group of Cos Inc/The 2,183,000 USD 44,259,036 51,104,030 2.96

Itron Inc 507,200 USD 20,962,283 31,877,520 1.85

Live Nation Entertainment Inc 909,500 USD 17,125,645 24,192,700 1.40

MasterCard Inc 544,300 USD 37,699,247 56,198,975 3.26




Statement of Investments (continued)


National Oilwell Varco Inc 881,400 USD 43,697,434 32,999,616 1.91

Oracle Corp 1,235,400 USD 43,598,032 47,501,130 2.75

Tenet Healthcare Corp 1,319,858 USD 44,128,508 19,586,693 1.13

Union Pacific Corp 422,500 USD 33,618,432 43,804,800 2.54

USG Corp 1,116,300 USD 29,463,132 32,238,744 1.87

576,600,678 660,159,094 38.28

Total - Shares 1,614,572,918 1,688,805,028 97.93

Total - Transferable securities admitted to an official stock exchange listing 1,614,572,918 1,688,805,028 97.93

TOTAL INVESTMENT PORTFOLIO 1,614,572,918 1,688,805,028 97.93





H-I/A (EUR)





H-N/A (EUR)





H-S/A (EUR)





I/A (USD)





I/A (EUR)





I/D (USD)





N/A (USD)





R/A (USD)





R/A (EUR)





R/A (SGD)





R/D (USD)








(continued)

RE/A (USD)





S/A (USD)





C/A (USD)





H-P/A (SGD)





H-R/A (SGD)








USD USD USD



H-I/A (EUR) 179.30 156.30 170.73

H-N/A (EUR) 139.52 121.62 132.43

H-S/A (EUR) - 107.79 116.88

I/A (USD) 266.26 229.21 249.61

I/A (EUR) 252.61 211.14 206.50

I/D (USD) 96.45 83.26 97.54

N/A (USD) 105.83 91.14 -

R/A (USD) 236.94 205.59 225.66

R/A (EUR) 224.73 189.31 186.61

R/A (SGD) 150.58 128.32 131.54

R/D (USD) 165.28 143.40 164.27

RE/A (USD) 120.84 105.54 116.60

S/A (USD) 113.21 96.97 -

C/A (USD) 103.65 90.48 99.91

H-P/A (SGD) 108.78 94.21 -

H-R/A (SGD) 108.01 93.98 -



Harris Associates U.S. Equity Fund Statement of Investments



Great Britain

Aon PLC 127,500 USD 11,569,261 14,220,075 3.68

11,569,261 14,220,075 3.68 Ireland

Medtronic PLC 106,500 USD 7,460,844 7,585,995 1.97

7,460,844 7,585,995 1.97 United States

Alphabet Inc 19,900 USD 12,858,781 15,359,218 3.98

American International Group Inc 249,500 USD 13,303,123 16,294,845 4.22

Axalta Coating Systems Ltd 221,500 USD 5,979,809 6,024,800 1.56

Bank of America Corp 320,000 USD 5,448,892 7,072,000 1.83

Baxter International Inc 303,500 USD 12,401,317 13,457,190 3.49


Capital One Financial Corp 69,000 USD 5,216,639 6,019,560 1.56

CarMax Inc 163,500 USD 8,695,753 10,527,765 2.73

Caterpillar Inc 108,000 USD 8,997,395 10,015,920 2.59

CDW Corp/DE 163,500 USD 6,550,037 8,516,715 2.21

CH Robinson Worldwide Inc 74,000 USD 5,340,749 5,421,240 1.40

Charles Schwab Corp/The 199,500 USD 5,616,514 7,874,265 2.04

Charter Communications Inc 56,900 USD 12,201,308 16,382,648 4.24

Citigroup Inc 191,500 USD 9,530,757 11,380,845 2.95

Cognizant Technology Solutions Corp 60,500 USD 3,662,020 3,398,890 0.88

Comcast Corp 109,500 USD 5,924,521 7,560,975 1.96

Cummins Inc 54,500 USD 6,816,232 7,448,515 1.93

Expedia Inc 57,300 USD 6,517,590 6,490,944 1.68

FedEx Corp 47,000 USD 7,059,133 8,751,400 2.27

General Electric Co 361,500 USD 9,733,103 11,423,400 2.96

General Motors Co 444,000 USD 14,971,890 15,468,960 4.01

Goldman Sachs Group Inc/The 41,700 USD 7,208,243 9,985,065 2.59

HCA Holdings Inc 170,300 USD 12,189,657 12,605,606 3.26

Herc Holdings Inc 22,500 USD 823,581 903,600 0.23

Jones Lang LaSalle Inc 32,500 USD 3,622,561 3,283,800 0.85


MasterCard Inc 55,400 USD 4,253,137 5,720,050 1.48

MGM Resorts International 368,500 USD 8,226,903 10,623,855 2.75

Oracle Corp 199,000 USD 7,690,780 7,651,550 1.98

Priceline Group Inc/The 3,900 USD 5,805,479 5,717,634 1.48

Quintiles IMS Holdings Inc 100,000 USD 6,856,551 7,605,000 1.97

Tiffany & Co 51,500 USD 4,164,729 3,987,645 1.03

Visa Inc 98,500 USD 6,067,780 7,684,970 1.99


Whirlpool Corp 32,200 USD 4,843,973 5,852,994 1.52

WW Grainger Inc 45,700 USD 10,592,613 10,613,825 2.75

282,374,103 327,743,830 84.88

Total - Shares 301,404,208 349,549,900 90.53




Harris Associates U.S. Equity Fund Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Other transferable securities

Shares

Switzerland

Nestle SA ADR 114,500 USD 7,818,436 8,214,230 2.13

7,818,436 8,214,230 2.13

Total - Shares 7,818,436 8,214,230 2.13








I/A (USD)





I/A (EUR)





R/A (USD)

Number of shares outstanding at the beginning -




R/A (SGD)





RE/A (USD)








USD USD USD



I/A (USD) 145.81 140.97 140.44

I/A (EUR) 176.97 165.85 148.12

Q/A (USD) - - 143.84

R/A (USD) 119.64 - -

R/A (SGD) 103.80 98.65 -

RE/A (USD) 138.00 135.09 136.25



IDFC India Equities Fund Statement of Investments



India

Ambuja Cements Ltd 442,000 INR 1,403,118 1,343,766 2.22

Ashok Leyland Ltd 1,290,000 INR 1,121,333 1,522,735 2.52

Asian Paints Ltd 116,000 INR 1,211,954 1,523,219 2.52

Balrampur Chini Mills Ltd 742,000 INR 744,423 1,369,569 2.27

BEML Ltd 50,000 INR 536,465 737,280 1.22

Bharat Financial Inclusion Ltd 205,000 INR 1,149,827 1,776,067 2.94

Deccan Cements Ltd 37,758 INR 620,466 523,907 0.87

GAIL India Ltd 151,000 INR 982,015 977,330 1.62

HCL Technologies Ltd 129,000 INR 1,266,357 1,573,968 2.60

HDFC Bank Ltd 247,000 INR 3,279,694 4,390,545 7.26

Hindustan Zinc Ltd 460,000 INR 1,210,054 1,731,334 2.86

Housing Development Finance Corp Ltd 163,500 INR 2,671,301 3,042,185 5.03

ICICI Bank Ltd 560,000 INR 2,429,312 2,106,886 3.48

Indian Hotels Co Ltd/The 508,692 INR 983,154 738,778 1.22

Indian Oil Corp Ltd 190,000 INR 832,928 910,135 1.51

Infosys Ltd 229,000 INR 3,312,382 3,410,491 5.64

JM Financial Ltd 979,484 INR 604,909 956,281 1.58

Kotak Mahindra Bank Ltd 195,000 INR 1,475,810 2,068,180 3.42

Larsen & Toubro Ltd 133,000 INR 2,636,780 2,644,222 4.37

Lupin Ltd 34,100 INR 614,271 747,228 1.24

Mahindra & Mahindra Ltd 46,000 INR 1,031,969 803,098 1.33

Maruti Suzuki India Ltd 37,000 INR 1,598,938 2,900,539 4.80

Max Financial Services Ltd 85,000 INR 677,982 687,378 1.14

Oil & Natural Gas Corp Ltd 565,500 INR 1,882,715 1,594,642 2.64

Reliance Industries Ltd 250,000 INR 3,877,735 3,987,769 6.60

State Bank of India 563,000 INR 2,359,039 2,075,859 3.43

Sun Pharmaceutical Industries Ltd 181,000 INR 1,991,087 1,680,433 2.78

Sundram Fasteners Ltd 289,000 INR 836,473 1,237,218 2.05

Tata Motors Ltd 365,532 INR 2,426,204 2,542,550 4.21

Vardhman Textiles Ltd 38,660 INR 286,948 633,475 1.05

Voltas Ltd 224,000 INR 1,000,988 1,083,565 1.79

Zee Entertainment Enterprises Ltd 198,000 INR 1,191,751 1,321,945 2.19

48,248,382 54,642,577 90.40 United States

Cognizant Technology Solutions Corp 65,000 USD 3,293,341 3,651,700 6.04

3,293,341 3,651,700 6.04

Total - Shares 51,541,723 58,294,277 96.44





(1) See Note 1.


Changes in the number of Shares for the period ended December 31, 2016

H-R/A (EUR)





I/A (USD)





Q/A (USD)





R/A (USD)






(1) See Note 1.



USD USD USD

Total Net Asset Value 5,100,794 – –


H-R/A (EUR) 98.63 - -

I/A (USD) 101.41 - -

Q/A (USD) 101.83 - -

R/A (USD) 100.96 - -


(1) See Note 1.


Loomis Sayles Global Growth Equity Fund(1) Statement of Investments



Argentina

MercadoLibre Inc 920 USD 125,483 143,649 2.82

125,483 143,649 2.82 Brazil

Cielo SA 10,600 BRL 105,060 90,833 1.78

105,060 90,833 1.78 China

Alibaba Group Holding Ltd ADR 2,928 USD 227,600 257,107 5.04

Baidu Inc ADR 1,258 USD 211,344 206,828 4.05

438,944 463,935 9.09 Denmark

Novo Nordisk A/S 5,418 DKK 278,684 195,752 3.84

278,684 195,752 3.84 France

Danone SA 2,691 EUR 192,698 170,868 3.35

Sodexo SA 1,178 EUR 126,143 135,680 2.66

318,841 306,548 6.01 Germany

Adidas AG 787 EUR 106,156 124,638 2.44

106,156 124,638 2.44

Great Britain

Diageo PLC 3,178 GBP 86,668 82,858 1.63

Unilever NV 2,056 EUR 94,667 84,823 1.66

181,335 167,681 3.29 Ireland

Experian PLC 7,583 GBP 145,665 147,483 2.89

145,665 147,483 2.89 Italy

PRADA SpA 19,200 HKD 66,397 65,130 1.28

66,397 65,130 1.28 Netherlands

Core Laboratories NV 385 USD 50,885 46,215 0.91

50,885 46,215 0.91 Sweden

Elekta AB 8,560 SEK 65,118 75,946 1.49

65,118 75,946 1.49 Switzerland

Nestle SA 1,551 CHF 117,806 111,478 2.18

Novartis AG 1,872 CHF 151,326 136,484 2.68

Roche Holding AG 694 CHF 184,783 158,827 3.11

453,915 406,789 7.97 United States

Alphabet Inc – Class A 242 USD 179,623 191,773 3.76

Amazon.com Inc 274 USD 199,514 205,464 4.03

American Express Co 1,631 USD 107,741 120,825 2.37

Coca-Cola Co/The 3,225 USD 147,180 133,709 2.62

Colgate-Palmolive Co 1,750 USD 126,046 114,520 2.25



Loomis Sayles Global Growth Equity Fund(1) Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Deere & Co 1,896 USD 162,602 195,364 3.83

Expeditors International of Washington Inc 1,648 USD 82,394 87,278 1.71

Facebook Inc 1,546 USD 183,338 177,867 3.49

Microsoft Corp 2,165 USD 113,091 134,533 2.64

Oracle Corp 5,905 USD 230,826 227,047 4.45

Procter & Gamble Co/The 1,841 USD 152,183 154,791 3.03

QUALCOMM Inc 2,846 USD 156,462 185,559 3.64

Schlumberger Ltd 2,105 USD 169,801 176,715 3.46

SEI Investments Co 2,140 USD 108,151 105,630 2.07

Shire PLC 2,322 GBP 146,135 134,392 2.63

Visa Inc 2,346 USD 190,660 183,035 3.59

Yum China Holdings Inc 6,419 USD 162,766 167,664 3.29

Yum! Brands Inc 1,620 USD 97,314 102,595 2.01

2,715,827 2,798,761 54.87

Total - Shares 5,052,310 5,033,360 98.68



.

(1) See Note 1.



(1) See Note 1.



F/A (USD)





H-R/A (EUR)





I/A (USD)





I/A (GBP)





R/A (USD)





R/D (USD)





RE/A (USD)





S/A (USD)





H-R/A (CHF)





H-S1/A (GBP)





N/A (EUR)






(1) See Note 1.



(continued)

S1/A (EUR)





S1/A (GBP)





S1/A (USD)






(1) See Note 1.



USD USD USD

Total Net Asset Value 219,819,587 – –


F/A (USD) 101.11 - -

H-R/A (EUR) 100.28 - -

I/A (USD) 101.48 - -

I/A (GBP) 103.78 - -

R/A (USD) 101.02 - -

R/D (USD) 101.84 - -

RE/A (USD) 95.23 - -

S/A (USD) 97.25 - -

H-R/A (CHF) 98.47 - -

H-S1/A (GBP) 95.27 - -

N/A (EUR) 101.31 - -

S1/A (EUR) 101.73 - -

S1/A (GBP) 121.46 - -

S1/A (USD) 103.48 - -


(1) See Note 1.



Statement of Investments



China

Alibaba Group Holding Ltd ADR 112,438 USD 10,218,778 9,873,181 4.49

10,218,778 9,873,181 4.49 Denmark

Novo Nordisk A/S ADR 185,792 USD 8,016,493 6,662,501 3.03

8,016,493 6,662,501 3.03 Switzerland

Novartis AG ADR 62,404 USD 4,815,249 4,545,507 2.07

4,815,249 4,545,507 2.07 United States

Alphabet Inc - Class A 8,295 USD 6,467,670 6,573,373 2.99

Alphabet Inc - Class C 8,318 USD 6,325,717 6,419,999 2.92

Amazon.com Inc 20,253 USD 15,448,755 15,187,117 6.91

American Express Co 44,468 USD 2,980,344 3,294,189 1.50

Amgen Inc 29,367 USD 4,653,709 4,293,749 1.95

Analog Devices Inc 14,375 USD 922,863 1,043,913 0.47

Autodesk Inc 91,242 USD 6,105,389 6,752,820 3.07

Automatic Data Processing Inc 21,298 USD 1,968,347 2,189,008 1.00

Cerner Corp 91,243 USD 5,256,231 4,322,181 1.97

Cisco Systems Inc 366,570 USD 11,142,511 11,077,745 5.04

Coca-Cola Co/The 169,881 USD 7,337,779 7,043,266 3.20

Deere & Co 55,954 USD 4,987,546 5,765,500 2.62

Expeditors International of Washington Inc 127,947 USD 6,570,569 6,776,073 3.08

Facebook Inc 117,141 USD 14,247,083 13,477,072 6.13

Factset Research Systems Inc 25,491 USD 4,219,306 4,165,994 1.90

Merck & Co Inc 50,314 USD 3,072,009 2,961,985 1.35

Microsoft Corp 97,379 USD 5,604,208 6,051,131 2.75

Monster Beverage Corp 190,744 USD 9,399,797 8,457,589 3.85

Oracle Corp 235,597 USD 9,508,182 9,058,705 4.12

Procter & Gamble Co/The 85,256 USD 7,289,439 7,168,325 3.26

QUALCOMM Inc 144,224 USD 9,023,275 9,403,405 4.28

Regeneron Pharmaceuticals Inc 16,438 USD 6,407,874 6,034,225 2.75

Schlumberger Ltd 68,187 USD 5,543,151 5,724,299 2.60

SEI Investments Co 132,697 USD 6,295,147 6,549,924 2.98

United Parcel Service Inc 54,615 USD 6,059,924 6,261,064 2.85

Varian Medical Systems Inc 57,905 USD 5,249,878 5,198,711 2.36

Visa Inc 138,565 USD 11,055,323 10,810,841 4.92

Yum China Holdings Inc 93,381 USD 2,398,686 2,439,112 1.11

Yum! Brands Inc 62,396 USD 3,932,488 3,951,539 1.80

189,473,200 188,452,854 85.73

Total - Shares 212,523,720 209,534,043 95.32




Statement of Investments (continued)


Other fransferable securities Shares

France

Danone SA ADR 551,285 USD 7,781,098 6,935,165 3.16

7,781,098 6,935,165 3.16

Total - Shares 7,781,098 6,935,165 3.16

Total – Other transferable securities 7,781,098 6,935,165 3.16


(1) See Note 1.




Loomis Sayles U.S. Research Fund


H-I/A (EUR)





H-N/A (EUR)





H-S/A (EUR)





I/A (USD)





I/A (EUR)





I/D (USD)





R/A (USD)





R/A (EUR)





R/D (USD)





S/A (USD)





S/A (EUR)






Loomis Sayles U.S. Research Fund


USD USD USD



H-I/A (EUR) 160.72 152.11 148.30

H-N/A (EUR) 133.75 126.61 123.23

H-S/A (EUR) - 113.27 109.94

I/A (USD) 230.97 215.98 210.33

I/A (EUR) 219.32 199.13 174.15

I/D (USD) - 77.91 94.87

R/A (USD) 203.26 191.45 187.82

R/A (EUR) 194.69 178.06 156.88

R/D (USD) 120.49 113.41 130.07

S/A (USD) 199.09 185.70 180.39

S/A (EUR) 191.90 173.80 151.62



Loomis Sayles U.S. Research Fund Statement of Investments



Ireland

Medtronic PLC 28,335 USD 2,310,518 2,018,302 0.56

2,310,518 2,018,302 0.56 United States

Aetna Inc 44,183 USD 4,959,443 5,479,134 1.54

Akamai Technologies Inc 23,488 USD 1,400,200 1,566,180 0.44

Alexion Pharmaceuticals Inc 41,892 USD 7,081,588 5,125,486 1.44

Allstate Corp/The 37,013 USD 2,269,105 2,743,404 0.77

Alphabet Inc - Class A 8,029 USD 4,565,926 6,362,581 1.78

Alphabet Inc - Class C 8,293 USD 4,631,240 6,400,703 1.80

Amazon.com Inc 11,561 USD 5,202,111 8,669,247 2.43

Anadarko Petroleum Corp 62,176 USD 4,218,729 4,335,532 1.22

Apple Inc 125,380 USD 11,130,443 14,521,512 4.07

AT&T Inc 38,009 USD 1,400,848 1,616,523 0.45

Baker Hughes Inc 27,423 USD 1,760,683 1,781,672 0.50

Bank of America Corp 229,601 USD 3,716,147 5,074,182 1.42

BB&T Corp 87,155 USD 3,442,685 4,098,028 1.15

Berkshire Hathaway Inc 36,405 USD 5,085,530 5,933,287 1.66

Biogen Inc 10,818 USD 3,430,704 3,067,768 0.86


Bristol-Myers Squibb Co 132,360 USD 7,452,826 7,735,118 2.17

CBRE Group Inc 161,713 USD 4,822,290 5,092,342 1.43

CenturyLink Inc 122,477 USD 3,027,430 2,912,503 0.82

Chevron Corp 24,078 USD 2,045,128 2,833,981 0.80

Coca-Cola Co/The 153,613 USD 6,924,967 6,368,795 1.79

Comcast Corp 145,876 USD 6,792,831 10,072,738 2.83

Constellation Brands Inc 25,825 USD 3,691,616 3,959,231 1.11

CSX Corp 37,850 USD 1,032,284 1,359,950 0.38

CVS Health Corp 65,406 USD 5,012,388 5,161,187 1.45

Cypress Semiconductor Corp 419,035 USD 4,337,163 4,793,760 1.34

Dover Corp 41,377 USD 2,907,856 3,100,379 0.87

EI du Pont de Nemours & Co 21,109 USD 1,376,118 1,549,401 0.44

Eli Lilly & Co 85,038 USD 6,691,589 6,254,545 1.75

Exelon Corp 51,092 USD 1,628,926 1,813,255 0.51

Exxon Mobil Corp 82,190 USD 7,074,822 7,418,469 2.08

Facebook Inc 73,819 USD 6,255,163 8,492,876 2.38

FedEx Corp 12,723 USD 1,996,312 2,369,023 0.66

Fortive Corp 51,830 USD 2,500,615 2,779,643 0.78

General Electric Co 122,269 USD 3,062,771 3,863,700 1.08

Guidewire Software Inc 17,826 USD 909,814 879,357 0.25

Halliburton Co 49,188 USD 2,027,813 2,660,579 0.75

Hilton Worldwide Holdings Inc 253,415 USD 6,533,044 6,892,888 1.93

Home Depot Inc/The 44,257 USD 3,755,370 5,933,979 1.66

Honeywell International Inc 50,796 USD 5,667,586 5,884,717 1.65

Johnson & Johnson 21,468 USD 2,479,955 2,473,328 0.69

Johnson Controls International PLC 101,948 USD 3,916,968 4,199,238 1.18


Kinder Morgan Inc/DE 95,845 USD 1,659,395 1,984,950 0.56



Loomis Sayles U.S. Research Fund Statement of Investments (continued) As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net Description Assets

Kroger Co/The 125,612 USD 3,418,218 4,334,870 1.22

McDonald's Corp 45,022 USD 5,665,932 5,480,078 1.54

Mead Johnson Nutrition Co 37,613 USD 3,016,289 2,661,496 0.75

MetLife Inc 50,523 USD 2,266,191 2,722,684 0.76

Microsoft Corp 117,512 USD 5,526,806 7,302,196 2.05

Monsanto Co 5,792 USD 517,160 609,376 0.17

NextEra Energy Inc 27,790 USD 2,679,393 3,319,793 0.93

Oracle Corp 255,912 USD 9,956,212 9,839,816 2.76

Palo Alto Networks Inc 9,685 USD 1,341,539 1,211,109 0.34

PDC Energy Inc 65,093 USD 4,418,677 4,724,450 1.33

PepsiCo Inc 49,932 USD 4,459,960 5,224,385 1.47

Pfizer Inc 210,160 USD 6,811,476 6,825,997 1.91

PG&E Corp 49,710 USD 2,664,259 3,020,877 0.85

PNC Financial Services Group Inc/The 39,765 USD 3,175,755 4,650,914 1.30

PPG Industries Inc 30,517 USD 3,132,932 2,891,791 0.81

QUALCOMM Inc 94,128 USD 5,206,555 6,137,146 1.72

Raytheon Co 24,410 USD 3,316,563 3,466,220 0.97

Reynolds American Inc 82,589 USD 3,996,172 4,628,288 1.30

Rice Energy Inc 103,213 USD 2,532,775 2,203,598 0.62

Roper Technologies Inc 20,647 USD 3,495,709 3,780,053 1.06

Sempra Energy 26,668 USD 2,672,101 2,683,867 0.75

Southwest Airlines Co 57,731 USD 2,499,933 2,877,313 0.81

Splunk Inc 10,182 USD 542,896 520,809 0.15

Travelers Cos Inc/The 35,892 USD 3,280,872 4,393,899 1.23

Trinseo SA 49,935 USD 2,700,086 2,961,145 0.83

United Technologies Corp 25,871 USD 2,525,577 2,835,979 0.80

UnitedHealth Group Inc 43,272 USD 3,928,549 6,925,251 1.94

US Bancorp 104,310 USD 4,456,398 5,358,405 1.50

Verizon Communications Inc 52,310 USD 2,526,575 2,792,308 0.78

Visa Inc 52,302 USD 3,248,322 4,080,602 1.14

Visteon Corp 57,268 USD 3,876,632 4,600,911 1.29

Vonage Holdings Corp 309,155 USD 1,820,327 2,117,712 0.59


WestRock Co 42,015 USD 1,708,206 2,133,102 0.60

Whirlpool Corp 27,870 USD 5,021,147 5,065,930 1.42

299,916,654 347,584,644 97.49

Total - Shares 302,227,172 349,602,946 98.05

Investment Funds

United States

Boston Properties Inc REIT 13,437 USD 1,907,368 1,690,106 0.47

Simon Property Group Inc REIT 17,553 USD 2,951,549 3,118,641 0.88

4,858,917 4,808,747 1.35








I/A (EUR)





I/D (EUR)





R/A (EUR)





R/A (SGD)





H-R/A (USD)





H-RE/A (USD)





R/D (EUR)








EUR EUR EUR



I/A (EUR) 145.66 156.10 122.86

I/D (EUR) 145.66 156.10 -

R/A (EUR) 125.33 135.71 107.93

R/A (SGD) 108.38 118.69 98.21

H-R/A (USD) 93.14 99.71 -

H-RE/A (USD) 94.07 101.29 -

R/D (EUR) 53.20 57.61 69.07


(2) See Note 15.


Natixis Europe Smaller Companies Fund Statement of Investments

As at December 31, 2016 (expressed in EUR) Quantity Currency Cost Evaluation % of Net Description Assets


Austria

BUWOG AG 70,271 EUR 1,693,382 1,552,286 0.92

Immofinanz AG2F2F

* 190,000 EUR 0 0 0.00

1,693,382 1,552,286 0.92 Belgium

Ackermans & van Haaren NV 12,000 EUR 1,335,917 1,585,200 0.94

KBC Ancora 30,900 EUR 1,210,826 1,229,048 0.73

Kinepolis Group NV 33,300 EUR 1,298,724 1,415,250 0.83

Ontex Group NV 41,000 EUR 1,128,511 1,158,250 0.68

4,973,978 5,387,748 3.18 Bermuda Islands

Hiscox Ltd 103,000 GBP 1,286,929 1,227,168 0.72

1,286,929 1,227,168 0.72 Denmark

GN Store Nord A/S 72,000 DKK 1,236,192 1,416,661 0.83

Royal Unibrew A/S 26,800 DKK 794,844 982,539 0.58

2,031,036 2,399,200 1.41 Faroe Islands

Bakkafrost P/F 43,000 NOK 1,451,830 1,623,576 0.96

1,451,830 1,623,576 0.96 Finland

Amer Sports Oyj 83,000 EUR 1,646,456 2,098,240 1.24

Outokumpu Oyj 254,700 EUR 1,605,975 2,166,223 1.28

Valmet Oyj 177,000 EUR 1,611,662 2,474,460 1.46

4,864,093 6,738,923 3.98 France

Alten SA 24,700 EUR 952,215 1,647,984 0.97

Faurecia 26,000 EUR 841,607 957,710 0.56

LISI 57,800 EUR 1,358,782 1,771,570 1.05

Orpea 22,000 EUR 1,413,088 1,688,720 1.00

Rubis SCA 13,700 EUR 930,223 1,073,121 0.63

Sopra Steria Group 16,500 EUR 1,796,983 1,779,525 1.05

SPIE SA 100,000 EUR 1,684,048 2,001,500 1.18

Tarkett SA 48,600 EUR 1,358,597 1,656,774 0.98

Teleperformance 19,000 EUR 952,356 1,810,700 1.07

Worldline SA/France 144A(2) 32,700 EUR 810,680 875,706 0.52

12,098,579 15,263,310 9.01 Germany

ADO Properties SA 144A(2) 46,700 EUR 1,598,197 1,494,867 0.88

Duerr AG 21,900 EUR 1,393,175 1,672,065 0.99

GRENKE AG 13,300 EUR 1,499,272 1,981,700 1.17

KION Group AG 48,600 EUR 1,907,699 2,568,996 1.52

LEG Immobilien AG 26,700 EUR 1,810,560 1,970,460 1.16

MTU Aero Engines AG 19,900 EUR 1,772,166 2,185,020 1.29

* Due to a mandatory spin-off as of April 29, 2010, the shares of Immofinanz AG are recorded and posted to a different identification code, which has not yet been priced. The cost of the shares has therefore been set to zero in order not to incur any depreciation on the portfolio.


(2) See Note 15.


Natixis Europe Smaller Companies Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in EUR) Quantity Currency Cost Evaluation % of Net

Description Assets

Nemetschek SE 25,000 EUR 1,079,775 1,381,500 0.81

Nordex SE 53,700 EUR 1,205,557 1,094,943 0.65

Rheinmetall AG 34,400 EUR 2,147,850 2,198,160 1.30

Stroeer SE & Co KGaA 30,700 EUR 1,168,114 1,280,343 0.75

Wirecard AG 65,800 EUR 2,240,119 2,690,562 1.59

17,822,484 20,518,616 12.11 Great Britain

AA PLC 353,000 GBP 1,149,024 1,145,928 0.68

Balfour Beatty PLC 417,000 GBP 1,345,504 1,313,629 0.78

BBA Aviation PLC 429,000 GBP 1,138,324 1,423,803 0.84

Beazley PLC 287,000 GBP 1,113,216 1,302,865 0.77

Bodycote PLC 171,000 GBP 1,181,805 1,290,113 0.76

Booker Group PLC 727,000 GBP 1,366,367 1,494,712 0.88

Bovis Homes Group PLC 97,000 GBP 1,359,225 931,819 0.55

BTG PLC 175,000 GBP 1,562,858 1,209,584 0.71

Crest Nicholson Holdings PLC 173,000 GBP 843,607 918,100 0.54

Dialog Semiconductor PLC 45,400 EUR 1,711,788 1,823,491 1.08

Dignity PLC 37,000 GBP 1,218,071 1,071,076 0.63

DS Smith PLC 410,000 GBP 1,974,245 1,960,182 1.16

Fenner PLC 375,000 GBP 1,123,291 1,035,688 0.61

GB Group PLC 246,000 GBP 887,401 786,042 0.46

Greene King PLC 143,000 GBP 1,503,261 1,169,331 0.69

Halma PLC 131,000 GBP 1,591,535 1,377,373 0.81

Hays PLC 647,000 GBP 1,032,879 1,130,886 0.67

Henderson Group PLC 610,000 GBP 1,942,435 1,683,647 0.99

Informa PLC 259,000 GBP 1,979,021 2,063,263 1.22

John Wood Group PLC 128,600 GBP 1,275,580 1,319,748 0.78

Just Eat PLC 147,000 GBP 848,465 1,004,857 0.59

Man Group PLC 919,000 GBP 1,779,853 1,273,638 0.75

Morgan Advanced Materials PLC 336,000 GBP 1,125,536 1,123,412 0.66

Pennon Group PLC 161,000 GBP 1,702,627 1,559,830 0.92

Rightmove PLC 26,700 GBP 933,906 1,220,831 0.72

RPC Group PLC 184,000 GBP 1,447,978 2,295,691 1.35

Spirax-Sarco Engineering PLC 23,900 GBP 904,880 1,171,482 0.69

Spire Healthcare Group PLC 144A(2) 233,000 GBP 989,759 921,792 0.54

Tullow Oil PLC 336,000 GBP 849,651 1,230,873 0.73

Virgin Money Holdings UK PLC 290,000 GBP 1,109,334 1,028,386 0.61

WS Atkins PLC 54,300 GBP 953,878 927,477 0.55

39,945,304 40,209,549 23.72 Ireland

Glanbia PLC 95,000 EUR 1,222,863 1,508,600 0.89

Greencore Group PLC 544,815 GBP 1,877,909 1,573,301 0.93

Kingspan Group PLC 60,500 EUR 1,057,646 1,561,505 0.92

Smurfit Kappa Group PLC 57,400 GBP 1,129,905 1,266,889 0.74

UDG Healthcare PLC 211,700 GBP 1,647,468 1,657,938 0.98

6,935,791 7,568,233 4.46 Isle of Man

Paysafe Group PLC 315,000 GBP 1,564,727 1,370,192 0.81

Playtech PLC 140,000 GBP 1,499,089 1,354,734 0.80

3,063,816 2,724,926 1.61 Italy

Anima Holding SpA 144A(2) 314,000 EUR 1,803,335 1,620,240 0.96


(2) See Note 15.




Description Assets

BPER Banca 243,000 EUR 1,501,159 1,229,580 0.72

Cerved Information Solutions SpA 153,000 EUR 1,138,937 1,207,170 0.71

Datalogic SpA 100,000 EUR 1,079,140 1,869,000 1.10

FinecoBank Banca Fineco SpA 174,000 EUR 1,135,731 927,420 0.55

Mediaset SpA 192,000 EUR 771,007 789,120 0.47

Salvatore Ferragamo SpA 46,000 EUR 987,667 1,031,780 0.61

Yoox Net-A-Porter Group SpA 33,000 EUR 842,993 889,020 0.52

9,259,969 9,563,330 5.64 Luxembourg

Grand City Properties SA 65,000 EUR 1,140,547 1,123,850 0.66

Stabilus SA 35,600 EUR 1,077,130 1,817,024 1.07

2,217,677 2,940,874 1.73 Netherlands

Basic-Fit NV 144A(2) 86,600 EUR 1,301,718 1,388,198 0.82

PostNL NV 213,000 EUR 1,002,688 871,596 0.51

2,304,406 2,259,794 1.33 Norway

Aker BP ASA 112,000 NOK 1,317,379 1,905,943 1.12

Borregaard ASA 174,000 NOK 1,440,920 1,619,456 0.96

Skandiabanken ASA 144A(2) 136,000 NOK 1,069,972 1,052,322 0.62

TGS Nopec Geophysical Co ASA 75,100 NOK 1,384,710 1,585,716 0.94

XXL ASA 144A(2) 126,000 NOK 1,106,491 1,360,066 0.80

6,319,472 7,523,503 4.44 Portugal

NOS SGPS SA 149,000 EUR 856,676 840,062 0.50

856,676 840,062 0.50 Spain

Almirall SA 79,000 EUR 1,138,766 1,166,040 0.69

CIE Automotive SA 65,818 EUR 962,021 1,218,620 0.72

Gamesa Corp Tecnologica SA 58,400 EUR 1,194,075 1,125,368 0.66

Melia Hotels International SA 148,000 EUR 1,368,636 1,639,840 0.97

Tecnicas Reunidas SA 30,400 EUR 1,022,139 1,184,536 0.70

5,685,637 6,334,404 3.74 Sweden

AAK AB 21,900 SEK 1,249,022 1,370,181 0.81

AcadeMedia AB 144A(2) 183,000 SEK 1,085,969 954,917 0.56

Ahlsell AB 144A(2) 206,000 SEK 958,846 1,117,932 0.66

Alimak Group AB 144A(2) 157,500 SEK 1,540,113 2,124,495 1.25

Attendo AB 144A(2) 182,000 SEK 1,307,786 1,495,776 0.88

Bravida Holding AB 144A(2) 290,000 SEK 1,385,618 1,672,149 0.99

Com Hem Holding AB 119,000 SEK 888,499 1,079,223 0.64

Hoist Finance AB 144A(2) 211,000 SEK 1,550,368 1,866,237 1.10

Lifco AB 51,000 SEK 830,561 1,241,205 0.73

Loomis AB 49,500 SEK 1,274,912 1,400,488 0.83

Nibe Industrier AB 250,000 SEK 1,738,294 1,873,308 1.11

SSAB AB 467,000 SEK 1,370,437 1,403,147 0.83

Trelleborg AB 82,800 SEK 1,171,252 1,549,370 0.91

16,351,677 19,148,428 11.30 Switzerland

Flughafen Zuerich AG 6,800 CHF 734,355 1,198,252 0.71

Helvetia Holding AG 2,900 CHF 1,433,959 1,483,822 0.88

Investis Holding SA 30,400 CHF 1,496,570 1,616,425 0.95





Description Assets

Straumann Holding AG 4,260 CHF 1,298,965 1,579,625 0.93

Sunrise Communications Group AG 144A(2) 21,800 CHF 1,205,705 1,362,506 0.80

Temenos Group AG 30,500 CHF 1,007,328 2,017,220 1.19

VAT Group AG 144A(2) 22,000 CHF 982,664 1,741,332 1.03

8,159,546 10,999,182 6.49

Total - Shares 147,322,282 164,823,112 97.25

Investment Funds

Great Britain

Great Portland Estates PLC REIT 138,000 GBP 1,043,909 1,080,753 0.64

1,043,909 1,080,753 0.64 Spain

Merlin Properties Socimi SA REIT 120,300 EUR 1,248,373 1,242,699 0.73

1,248,373 1,242,699 0.73




(2) See Note 15.



Vaughan Nelson U.S. Mid Cap Equity Fund


H-N/A (EUR)





H-N/A (GBP)





I/A (USD)





N/A (USD)





Q/A (USD)





R/A (USD)





RE/A (USD)





S/A (USD)






Vaughan Nelson U.S. Mid Cap Equity Fund


USD USD USD

Total Net Asset Value 4,916,067 5,370,858 -


H-N/A (EUR) 92.84 89.53 -

H-N/A (GBP) 93.65 89.72 -

I/A (USD) 95.36 90.91 -

N/A (USD) 95.32 90.89 -

Q/A (USD) 96.80 91.51 -

R/A (USD) 94.51 90.44 -

RE/A (USD) 116.90 - -

S/A (USD) 95.69 91.05 -



Vaughan Nelson U.S. Mid Cap Equity Fund Statement of Investments



Great Britain

Pentair PLC 1,650 USD 97,745 92,515 1.88

97,745 92,515 1.88 Ireland

Endo International PLC 2,600 USD 97,560 42,822 0.87

97,560 42,822 0.87 Israel

Caesarstone Ltd 2,700 USD 98,975 77,355 1.57

Check Point Software Technologies Ltd 900 USD 72,956 76,014 1.55

171,931 153,369 3.12 Netherlands

Constellium NV 11,400 USD 121,075 67,260 1.37

121,075 67,260 1.37 United States

Alliance Data Systems Corp 375 USD 79,688 85,687 1.74

Aramark 2,800 USD 98,939 100,016 2.03

Ares Capital Corp 8,150 USD 132,424 134,393 2.73

Arthur J Gallagher & Co 2,575 USD 117,220 133,797 2.72

Avery Dennison Corp 900 USD 48,134 63,198 1.29

Baker Hughes Inc 875 USD 57,537 56,849 1.16

Broadridge Financial Solutions Inc 700 USD 37,507 46,410 0.94

CACI International Inc 675 USD 57,525 83,902 1.71

Catalent Inc 3,575 USD 103,379 96,382 1.96

Centene Corp 1,000 USD 69,055 56,510 1.15

Chemical Financial Corp 1,975 USD 67,029 106,986 2.18

CommScope Holding Co Inc 1,325 USD 40,195 49,290 1.00

Continental Resources Inc/OK 1,975 USD 87,943 101,791 2.07

Crown Holdings Inc 1,850 USD 92,662 97,254 1.98

Envision Healthcare Corp 1,875 USD 123,571 118,669 2.41

Fidelity National Information Services Inc 1,725 USD 108,467 130,479 2.65

First American Financial Corp 2,250 USD 81,315 82,417 1.68

First Data Corp 5,050 USD 80,070 71,659 1.46

Fiserv Inc 500 USD 40,305 53,140 1.08

Global Payments Inc 1,450 USD 80,286 100,645 2.05

Grand Canyon Education Inc 1,850 USD 70,993 108,133 2.20

Hartford Financial Services Group Inc/The 1,475 USD 58,496 70,284 1.43

HD Supply Holdings Inc 2,125 USD 66,797 90,334 1.84

Hertz Global Holdings Inc 800 USD 59,035 17,248 0.35

Investors Bancorp Inc 7,100 USD 84,486 99,045 2.01

KAR Auction Services Inc 1,475 USD 54,231 62,864 1.28

MEDNAX Inc 1,525 USD 103,938 101,656 2.07

Micron Technology Inc 3,150 USD 77,646 69,048 1.40

Milacron Holdings Corp 4,325 USD 75,351 80,575 1.64

Mohawk Industries Inc 500 USD 97,419 99,840 2.03

Nasdaq Inc 950 USD 49,260 63,764 1.30

NCR Corp 1,575 USD 44,264 63,882 1.30

Newell Brands Inc 2,579 USD 114,215 115,152 2.34



Vaughan Nelson U.S. Mid Cap Equity Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net

Description Assets

Packaging Corp of America 1,025 USD 75,664 86,940 1.77

PacWest Bancorp 1,750 USD 79,777 95,270 1.94

Premier Inc 2,850 USD 92,555 86,526 1.76

PVH Corp 550 USD 54,954 49,632 1.01

QEP Resources Inc 4,775 USD 84,030 87,908 1.79

Quintiles IMS Holdings Inc 830 USD 56,397 63,122 1.28

Reinsurance Group of America Inc 850 USD 78,037 106,956 2.18

Reliance Steel & Aluminum Co 1,175 USD 79,072 93,460 1.90

RingCentral Inc 2,275 USD 45,434 46,865 0.95

SEI Investments Co 1,500 USD 68,304 74,040 1.51

ServiceMaster Global Holdings Inc 1,950 USD 71,707 73,457 1.49

Signet Jewelers Ltd 650 USD 69,702 61,269 1.25

Snap-on Inc 500 USD 75,382 85,635 1.74

Synchrony Financial 3,275 USD 103,397 118,784 2.42

Tailored Brands Inc 1,325 USD 64,834 33,854 0.69

United Rentals Inc 575 USD 51,570 60,709 1.23

VWR Corp 4,000 USD 104,091 100,120 2.04

WestRock Co 925 USD 52,387 46,962 0.96

WPX Energy Inc 6,350 USD 75,609 92,520 1.88

3,942,285 4,275,328 86.97

Total - Shares 4,430,596 4,631,294 94.21

Investment Funds

United States

New Residential Investment Corp REIT 8,075 USD 97,026 126,939 2.58

97,026 126,939 2.58

Total - Investment Funds 97,026 126,939 2.58








H-I/A (EUR)





I/A (USD)





I/A (EUR)





R/A (USD)





S/A (USD)





C/A (USD)








USD USD USD



H-I/A (EUR) 159.96 137.68 138.98

I/A (USD) 344.82 293.10 295.73

I/A (EUR) 249.10 205.59 186.29

R/A (USD) 310.01 265.20 269.30

S/A (USD) - 180.41 181.66

C/A (USD) 304.20 263.24 270.40



Vaughan Nelson U.S. Small Cap Value Fund Statement of Investments



Bermuda Islands

Aspen Insurance Holdings Ltd 63,625 USD 3,070,207 3,499,375 2.13

RenaissanceRe Holdings Ltd 29,193 USD 3,506,752 3,976,671 2.41

6,576,959 7,476,046 4.54 United States

AdvanSix Inc 34,700 USD 632,619 768,258 0.47

Albany Molecular Research Inc 89,650 USD 1,552,025 1,681,834 1.02

American Woodmark Corp 25,450 USD 1,919,874 1,915,112 1.16

AMN Healthcare Services Inc 37,600 USD 1,459,756 1,445,720 0.88

Atkore International Group Inc 107,525 USD 2,298,594 2,570,923 1.56

Booz Allen Hamilton Holding Corp 91,400 USD 3,051,181 3,296,798 2.00

BroadSoft Inc 33,300 USD 1,265,458 1,373,625 0.83

Brown & Brown Inc 93,100 USD 3,718,764 4,176,466 2.54

CACI International Inc 26,400 USD 2,883,068 3,281,520 1.99

Callon Petroleum Co 117,925 USD 1,860,538 1,812,507 1.10

CommerceHub Inc 42,575 USD 642,833 639,051 0.39

Community Trust Bancorp Inc 11,875 USD 549,738 589,000 0.36

Continental Building Products Inc 63,650 USD 1,399,525 1,470,315 0.89

Cotiviti Holdings Inc 49,200 USD 1,429,298 1,692,480 1.03

Dun & Bradstreet Corp/The 23,400 USD 2,739,822 2,838,888 1.72

El Paso Electric Co 9,300 USD 418,507 432,450 0.26

Engility Holdings Inc 60,650 USD 2,010,310 2,043,905 1.24

Envision Healthcare Corp 59,850 USD 3,978,293 3,787,906 2.30

First American Financial Corp 104,075 USD 3,876,818 3,812,267 2.32

First Financial Bancorp 134,425 USD 3,278,620 3,824,391 2.32

First Merchants Corp 98,375 USD 3,180,668 3,703,819 2.25

FirstCash Inc 69,050 USD 3,166,480 3,245,350 1.97

Forum Energy Technologies Inc 85,650 USD 1,810,684 1,884,300 1.15

Franklin Electric Co Inc 44,275 USD 1,553,759 1,722,298 1.05

FS Investment Corp 250,625 USD 2,465,612 2,581,437 1.57

Genesee & Wyoming Inc 29,575 USD 2,116,270 2,052,801 1.25

Global Brass & Copper Holdings Inc 14,900 USD 462,284 511,070 0.31

Graphic Packaging Holding Co 260,925 USD 3,113,384 3,256,344 1.98

Group 1 Automotive Inc 28,400 USD 1,984,035 2,213,496 1.34

Hillenbrand Inc 104,600 USD 3,531,554 4,011,410 2.44

Hope Bancorp Inc 98,225 USD 1,904,796 2,150,145 1.31

Hostess Brands Inc 102,450 USD 1,327,395 1,331,850 0.81

ICF International Inc 58,650 USD 2,730,411 3,237,480 1.97

INC Research Holdings Inc 20,600 USD 1,061,540 1,083,560 0.66

Integra LifeSciences Holdings Corp 13,300 USD 928,469 1,141,007 0.69

Integrated Device Technology Inc 55,400 USD 1,388,948 1,305,224 0.79

KAR Auction Services Inc 84,100 USD 3,062,508 3,584,342 2.18

Kirby Corp 18,750 USD 1,215,212 1,246,875 0.76

Lakeland Financial Corp 35,600 USD 1,387,830 1,686,016 1.02

Laredo Petroleum Inc 199,375 USD 2,594,007 2,819,162 1.71

La-Z-Boy Inc 75,450 USD 2,147,994 2,342,722 1.42



Vaughan Nelson U.S. Small Cap Value Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in USD) Quantity Currency Cost Evaluation % of Net

Description Assets

Lincoln Electric Holdings Inc 17,025 USD 1,197,273 1,305,307 0.79

Littelfuse Inc 9,725 USD 1,280,228 1,475,963 0.90

Multi Packaging Solutions International Ltd 149,225 USD 2,150,446 2,127,949 1.29

Multi-Color Corp 30,025 USD 2,069,905 2,329,940 1.42

NorthWestern Corp 48,975 USD 2,743,289 2,785,208 1.69

Oasis Petroleum Inc 164,050 USD 2,081,153 2,483,717 1.51

Old National Bancorp/IN 109,600 USD 1,758,252 1,989,240 1.21

Pacific Premier Bancorp Inc 62,125 USD 1,897,927 2,196,119 1.33

PRA Health Sciences Inc 28,775 USD 1,384,309 1,586,078 0.96

Prosperity Bancshares Inc 81,550 USD 5,019,159 5,853,659 3.56

Reliance Steel & Aluminum Co 41,200 USD 3,131,162 3,277,048 1.99

Silgan Holdings Inc 33,025 USD 1,592,963 1,690,220 1.03

Silicon Laboratories Inc 54,275 USD 3,281,264 3,527,875 2.14

Spire Inc 22,650 USD 1,420,879 1,462,058 0.89

Steven Madden Ltd 53,575 USD 1,988,319 1,915,306 1.16

Surgery Partners Inc 36,650 USD 622,576 580,903 0.35

TCP Capital Corp 129,500 USD 2,149,417 2,188,550 1.33

Team Inc 29,625 USD 1,073,091 1,162,781 0.71

Thermon Group Holdings Inc 34,575 USD 712,902 660,037 0.40

Union Bankshares Corp 101,450 USD 3,151,175 3,625,823 2.20

Vectren Corp 48,375 USD 2,346,993 2,522,756 1.53

Verint Systems Inc 47,300 USD 1,799,337 1,667,325 1.01

Virtusa Corp 53,100 USD 1,257,632 1,333,872 0.81

Vista Outdoor Inc 62,750 USD 2,594,751 2,315,475 1.41

VWR Corp 138,300 USD 3,495,721 3,461,649 2.10

Webster Financial Corp 11,325 USD 488,445 614,721 0.37

WESCO International Inc 41,125 USD 2,611,717 2,736,869 1.66

Zebra Technologies Corp 28,875 USD 2,099,897 2,476,320 1.50

141,499,663 151,916,892 92.26

Total - Shares 148,076,622 159,392,938 96.80

Investment Funds

United States

Hersha Hospitality Trust REIT 85,306 USD 1,824,880 1,834,079 1.11

Ramco-Gershenson Properties Trust REIT 93,750 USD 1,653,358 1,554,375 0.95

3,478,238 3,388,454 2.06









H-I/A (EUR)





H-I/A (USD)





H-Q/A (NOK)





H-S/A (GBP)





I/A (USD)








USD USD USD



H-I/A (EUR) - 95.96 99.51

H-I/A (USD) 102.79 96.57 99.96

H-Q/A (NOK) 106.02 99.39 101.09

H-S/A (GBP) 103.62 97.31 100.18

I/A (USD) 94.65 90.63 96.55



Loomis Sayles Duration Hedged Global Corporate Bond Fund Statement of Investments

As at December 31, 2016 (expressed in USD) Face value Currency Cost Evaluation % of Net Description Assets

Transferable securities admitted to an official stock exchange listing Fixed rate bonds

Australia

Asciano Finance Ltd 5.000% 19/09/2023 EMTN 215,000 GBP 365,139 294,910 0.35

SGSP Australia Assets Pty Ltd 2.000% 30/06/2022 EMTN 350,000 EUR 460,827 390,491 0.47

825,966 685,401 0.82 Belgium

Anheuser-Busch InBev SA/NV/old 1.500% 17/03/2025 EMTN 200,000 EUR 220,833 219,440 0.26

Anheuser-Busch InBev SA/NV/old 2.750%

17/03/2036 EMTN 110,000 EUR 133,473 127,124 0.15

354,306 346,564 0.41 Bermuda Islands

Fidelity International Ltd 7.125% 13/02/2024 180,000 GBP 331,231 278,751 0.33

331,231 278,751 0.33 Brazil

Itau Unibanco Holding SA/Cayman Island 2.850% 26/05/2018 EMTN 200,000 USD 199,972 200,500 0.24

199,972 200,500 0.24 Canada

Alimentation Couche-Tard Inc 1.875% 06/05/2026 145,000 EUR 163,888 157,073 0.19

Great-West Lifeco Inc 1.750% 07/12/2026 235,000 EUR 248,859 250,588 0.30

412,747 407,661 0.49 Cayman Islands

CK Hutchison Finance 16 II Ltd 0.875% 03/10/2024 155,000 EUR 172,132 157,352 0.19

CK Hutchison International 16 Ltd 1.875% 03/10/2021 240,000 USD 238,498 229,829 0.27

Hutchison Whampoa Finance 14 Ltd 1.375% 31/10/2021 315,000 EUR 395,067 343,520 0.41

Noble Holding International Ltd 5.250% 15/03/2042 25,000 USD 12,652 16,500 0.02



833,610 768,026 0.92 Chile

Corp Nacional del Cobre de Chile 4.500% 16/09/2025 285,000 USD 281,173 289,317 0.34

Itau CorpBanca 3.875% 22/09/2019 200,000 USD 199,280 206,124 0.25

480,453 495,441 0.59 France

APRR SA 1.250% 06/01/2027 EMTN 200,000 EUR 211,057 211,300 0.25

APRR SA 1.875% 06/01/2031 EMTN 200,000 EUR 209,827 213,358 0.26

AXA SA 7.125% 15/12/2020 65,000 GBP 119,470 97,051 0.12

Credit Agricole SA 2.625% 17/03/2027 360,000 EUR 403,918 388,026 0.46

Credit Agricole SA/London 1.875% 20/12/2026 EMTN 200,000 EUR 211,768 211,615 0.25

Kering 1.250% 10/05/2026 EMTN 200,000 EUR 222,413 210,095 0.25

RTE Reseau de Transport d'Electricite SA 2.750% 20/06/2029 EMTN 100,000 EUR 134,253 120,357 0.14

Societe Generale SA 1.000% 01/04/2022 EMTN 100,000 EUR 106,298 105,914 0.13



(2) See Note 15.


Loomis Sayles Duration Hedged Global Corporate Bond Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in USD) Face value Currency Cost Evaluation % of Net

Description Assets

Societe Generale SA 4.750% 24/11/2025 144A(2) 235,000 USD 228,941 236,395 0.28

1,962,365 1,902,322 2.27 Germany

Bundesrepublik Deutschland 0.500% 15/02/2026 640,000 EUR 744,749 699,349 0.83

Commerzbank AG 4.000% 23/03/2026 EMTN 280,000 EUR 316,080 303,452 0.36

HeidelbergCement AG 2.250% 03/06/2024 EMTN 130,000 EUR 144,697 146,317 0.18

Unitymedia GmbH 3.750% 15/01/2027 225,000 EUR 215,842 224,489 0.27

1,421,368 1,373,607 1.64 Great Britain

Barclays PLC 2.875% 08/06/2020 270,000 USD 269,213 268,012 0.32

Barclays PLC 3.200% 10/08/2021 270,000 USD 265,593 266,866 0.32

Centrica PLC 4.375% 13/03/2029 EMTN 100,000 GBP 166,670 146,823 0.18

CRH Finance UK PLC 4.125% 02/12/2029 EMTN 135,000 GBP 198,724 190,869 0.23

FCE Bank PLC 1.114% 13/05/2020 EMTN 190,000 EUR 215,736 204,774 0.24

HSBC Holdings PLC 3.000% 30/06/2025 EMTN 270,000 EUR 299,584 302,949 0.36

HSBC Holdings PLC 3.400% 08/03/2021 385,000 USD 384,266 391,498 0.47


INEOS Grangemouth PLC 0.750% 30/07/2019 190,000 EUR 255,335 205,598 0.25

ITV PLC 2.000% 01/12/2023 100,000 EUR 105,588 106,287 0.13

Lloyds Bank PLC 2.700% 17/08/2020 390,000 USD 389,842 392,856 0.47

Lloyds Banking Group PLC 4.650% 24/03/2026 200,000 USD 199,577 202,578 0.24

National Grid Gas Finance PLC 0.625% 22/09/2024 EMTN 105,000 EUR 117,247 108,635 0.13

National Grid Gas Finance PLC 2.750% 22/09/2046 EMTN 150,000 GBP 195,014 180,057 0.21

NWEN Finance PLC 5.875% 21/06/2021 175,000 GBP 277,506 237,863 0.28

Royal Bank of Scotland Group PLC 5.125% 28/05/2024 170,000 USD 168,384 169,504 0.20


Sky PLC 1.500% 15/09/2021 EMTN 100,000 EUR 110,832 109,850 0.13

Sky PLC 2.250% 17/11/2025 EMTN 210,000 EUR 233,778 235,792 0.28

Standard Chartered PLC 3.950% 11/01/2023 430,000 USD 414,890 420,208 0.50

Standard Chartered PLC 3.950% 11/01/2023 144A(2) 425,000 USD 412,744 415,322 0.50

Tesco PLC 5.000% 24/03/2023 EMTN 300,000 GBP 486,451 399,713 0.48

Trinity Acquisition PLC 2.125% 26/05/2022 100,000 EUR 111,886 107,918 0.13

United Kingdom Gilt 2.000% 07/09/2025 90,000 GBP 133,778 119,505 0.14



Western Power Distribution PLC 3.625% 06/11/2023 105,000 GBP 160,258 140,143 0.17

WPP Finance 2010 5.625% 15/11/2043 310,000 USD 322,568 331,164 0.39

7,372,366 7,083,478 8.45 Ireland

AerCap Ireland Capital Ltd/AerCap Global Aviation Trust 3.950% 01/02/2022 150,000 USD 149,749 151,312 0.18

Eaton Capital Unlimited Co 0.750% 20/09/2024 110,000 EUR 122,999 114,045 0.14

272,748 265,357 0.32


(2) See Note 15.




Description Assets

Italy

Autostrade per l'Italia SpA 1.625% 12/06/2023 35,000 EUR 37,702 38,377 0.05

Autostrade per l'Italia SpA 1.750% 01/02/2027 EMTN 110,000 EUR 115,104 117,504 0.14

Buzzi Unicem SpA 2.125% 28/04/2023 190,000 EUR 214,161 203,535 0.24

366,967 359,416 0.43 Jersey

Delphi Automotive PLC 1.500% 10/03/2025 200,000 EUR 205,367 211,099 0.25

Delphi Automotive PLC 3.150% 19/11/2020 55,000 USD 54,908 55,881 0.07


446,798 458,515 0.55 Luxembourg

Telecom Italia Capital SA 7.200% 18/07/2036 110,000 USD 112,272 108,431 0.13

112,272 108,431 0.13 Mexico

America Movil SAB de CV 1.500% 10/03/2024 245,000 EUR 267,961 260,352 0.31

Cemex SAB de CV 7.750% 16/04/2026 225,000 USD 225,306 249,187 0.30

Mexichem SAB de CV 5.875% 17/09/2044 200,000 USD 198,431 178,250 0.21

Sigma Alimentos SA de CV 4.125% 02/05/2026 144A(2) 200,000 USD 199,621 190,000 0.23

891,319 877,789 1.05 Morocco

OCP SA 6.875% 25/04/2044 144A(2) 230,000 USD 237,692 231,179 0.27

237,692 231,179 0.27 Netherlands

ABN AMRO Bank NV 4.750% 28/07/2025 144A(2) 200,000 USD 199,543 203,423 0.24

EDP Finance BV 2.000% 22/04/2025 EMTN 435,000 EUR 455,072 450,218 0.54

Embraer Netherlands Finance BV 5.050% 15/06/2025 265,000 USD 260,608 263,410 0.31

Teva Pharmaceutical Finance Netherlands II BV 1.125% 15/10/2024 100,000 EUR 109,293 101,744 0.12

Teva Pharmaceutical Finance Netherlands III BV 2.800% 21/07/2023 220,000 USD 219,313 208,250 0.25

Vonovia Finance BV 1.500% 10/06/2026 EMTN 300,000 EUR 337,093 315,343 0.38

Ziggo Bond Finance BV 6.000% 15/01/2027 144A(2) 195,000 USD 195,000 189,150 0.23

1,775,922 1,731,538 2.07 New Zealand

Fonterra Co-operative Group Ltd 0.750% 08/11/2024 EMTN 270,000 EUR 297,868 279,196 0.33

297,868 279,196 0.33 Portugal

Galp Gas Natural Distribuicao SA 1.375% 19/09/2023 EMTN 100,000 EUR 111,595 104,398 0.12

111,595 104,398 0.12 Romania

Romanian Government International Bond 2.875% 26/05/2028 144A(2) 75,000 EUR 90,010 81,181 0.10

90,010 81,181 0.10 Singapore

BOC Aviation Ltd 3.000% 30/03/2020 EMTN 390,000 USD 388,632 390,035 0.46

388,632 390,035 0.46





Description Assets

Spain

Santander Issuances SAU 3.250% 04/04/2026 EMTN 300,000 EUR 338,036 322,645 0.38

Santander Issuances SAU 5.179% 19/11/2025 200,000 USD 181,316 201,881 0.24

Telefonica Emisiones SAU 1.930% 17/10/2031 EMTN 100,000 EUR 111,570 98,996 0.12

Telefonica Emisiones SAU 4.570% 27/04/2023 150,000 USD 156,493 157,370 0.19

Telefonica Emisiones SAU 5.375% 02/02/2026 EMTN 75,000 GBP 131,071 110,629 0.13



1,145,034 1,116,246 1.33 Supranational Organisations

Banque Ouest Africaine de Developpement 5.500% 06/05/2021 225,000 USD 222,902 231,808 0.28

Corp Andina de Fomento 4.375% 15/06/2022 135,000 USD 136,992 143,216 0.17

359,894 375,024 0.45 United Arab Emirates

Dubai Electricity & Water Authority 7.375% 21/10/2020 180,000 USD 210,690 207,889 0.25

Emirates Telecommunications Group Co PJSC 2.375% 18/06/2019 235,000 USD 235,301 233,569 0.28

445,991 441,458 0.53 United States

Aetna Inc 3.200% 15/06/2026 225,000 USD 224,206 222,586 0.27

Aetna Inc 4.375% 15/06/2046 70,000 USD 70,400 70,290 0.08

Air Lease Corp 4.250% 15/09/2024 100,000 USD 99,799 101,570 0.12

Albemarle Corp 1.875% 08/12/2021 380,000 EUR 471,372 420,372 0.50

Ally Financial Inc 3.500% 27/01/2019 75,000 USD 74,500 75,375 0.09





American International Group Inc 4.800% 10/07/2045 145,000 USD 143,983 150,498 0.18


Anadarko Petroleum Corp 5.550% 15/03/2026 315,000 USD 328,072 352,567 0.42

Anheuser-Busch InBev Finance Inc 2.650% 01/02/2021 95,000 USD 94,758 95,546 0.11





Arrow Electronics Inc 3.500% 01/04/2022 120,000 USD 119,324 118,805 0.14

AT&T Inc 2.750% 19/05/2023 120,000 EUR 148,364 139,305 0.17

AT&T Inc 4.125% 17/02/2026 350,000 USD 371,776 354,398 0.42





Description Assets

AT&T Inc 4.300% 15/12/2042 220,000 USD 200,753 196,938 0.23

AT&T Inc 4.450% 01/04/2024 465,000 USD 504,127 484,733 0.58

AT&T Inc 4.800% 15/06/2044 15,000 USD 15,152 14,174 0.02

AT&T Inc 5.150% 15/03/2042 180,000 USD 185,349 179,311 0.21

Avnet Inc 4.625% 15/04/2026 285,000 USD 285,998 277,684 0.33

Bank of America Corp 3.300% 11/01/2023 1,050,000 USD 1,030,824 1,053,507 1.26

Bank of America Corp 3.950% 21/04/2025 310,000 USD 308,439 308,602 0.37


Becton Dickinson and Co 1.900% 15/12/2026 260,000 EUR 275,033 282,106 0.34

Becton Dickinson and Co 3.250% 12/11/2020 20,000 USD 20,473 20,564 0.02


Brixmor Operating Partnership LP 3.875% 15/08/2022 200,000 USD 199,754 203,889 0.24

Burlington Northern Santa Fe LLC 5.050% 01/03/2041 195,000 USD 204,174 221,291 0.26

Cigna Corp 3.250% 15/04/2025 235,000 USD 223,795 228,877 0.27

Citigroup Inc 4.400% 10/06/2025 440,000 USD 439,403 450,142 0.54

Consolidated Edison Co of New York Inc 2.900% 01/12/2026 70,000 USD 69,719 68,789 0.08

Constellation Brands Inc 3.700% 06/12/2026 415,000 USD 414,625 405,472 0.48

Continental Airlines 6.125% 29/04/2018 75,000 USD 76,302 78,000 0.09

Continental Resources Inc/OK 3.800% 01/06/2024 80,000 USD 74,436 73,800 0.09

Crown Castle International Corp 3.400% 15/02/2021 130,000 USD 129,977 131,918 0.16



CVS Health Corp 2.875% 01/06/2026 285,000 USD 282,694 271,653 0.32


DDR Corp 3.375% 15/05/2023 100,000 USD 95,989 97,208 0.12

DDR Corp 3.625% 01/02/2025 215,000 USD 205,742 207,982 0.25

Diamond Offshore Drilling Inc 4.875% 01/11/2043 35,000 USD 22,707 24,862 0.03

Eaton Corp 4.000% 02/11/2032 50,000 USD 52,139 49,292 0.06

Energy Transfer Partners LP 3.600% 01/02/2023 155,000 USD 153,189 152,444 0.18




EOG Resources Inc 2.450% 01/04/2020 165,000 USD 164,445 165,248 0.20

FedEx Corp 1.625% 11/01/2027 515,000 EUR 582,599 551,278 0.66

FedEx Corp 4.550% 01/04/2046 205,000 USD 204,123 206,580 0.25

Ford Motor Credit Co LLC 4.375% 06/08/2023 550,000 USD 565,856 567,600 0.68

General Electric Co 4.125% 09/10/2042 236,000 USD 233,290 238,089 0.28

General Electric Co 4.625% 30/01/2043 EMTN 460,000 USD 458,615 460,506 0.55


General Motors Co 5.200% 01/04/2045 185,000 USD 183,779 178,324 0.21



General Motors Financial Co Inc 3.200% 13/07/2020 105,000 USD 104,981 105,316 0.13






Description Assets

Goldman Sachs Group Inc/The 1.625% 27/07/2026 EMTN 240,000 EUR 264,497 250,839 0.30

Goldman Sachs Group Inc/The 3.625% 22/01/2023 745,000 USD 742,496 760,952 0.91


HCA Holdings Inc 6.250% 15/02/2021 170,000 USD 175,653 182,962 0.22

HCA Inc 4.750% 01/05/2023 110,000 USD 111,407 112,612 0.13

HCA Inc 5.375% 01/02/2025 60,000 USD 60,831 60,150 0.07

HSBC USA Inc 2.750% 07/08/2020 115,000 USD 114,928 115,075 0.14

HSBC USA Inc 5.000% 27/09/2020 345,000 USD 363,237 366,519 0.44

International Lease Finance Corp 5.875% 15/08/2022 291,000 USD 319,196 315,735 0.38

JPMorgan Chase & Co 3.125% 23/01/2025 225,000 USD 223,948 219,950 0.26


Kimco Realty Corp 2.800% 01/10/2026 175,000 USD 173,599 162,707 0.19



Kinder Morgan Inc/DE 5.050% 15/02/2046 580,000 USD 578,822 574,145 0.68

Kraft Heinz Foods Co 2.000% 30/06/2023 105,000 EUR 116,560 116,361 0.14


Kraft Heinz Foods Co 4.125% 01/07/2027 100,000 GBP 146,472 138,141 0.16

McKesson Corp 4.883% 15/03/2044 120,000 USD 120,311 122,071 0.15

MetLife Inc 4.125% 13/08/2042 100,000 USD 90,577 98,417 0.12

Mohawk Industries Inc 2.000% 14/01/2022 350,000 EUR 388,729 389,769 0.47

Moody's Corp 1.750% 09/03/2027 135,000 EUR 151,406 144,915 0.17

Morgan Stanley 1.375% 27/10/2026 150,000 EUR 161,771 154,153 0.18

Morgan Stanley 3.750% 25/02/2023 740,000 USD 744,050 760,087 0.91


MPLX LP 4.500% 15/07/2023 65,000 USD 62,582 66,015 0.08

MPLX LP 4.875% 01/12/2024 55,000 USD 54,019 56,633 0.07

MPLX LP 4.875% 01/06/2025 90,000 USD 86,847 92,533 0.11

MPLX LP 5.500% 15/02/2023 65,000 USD 65,211 67,623 0.08

Noble Energy Inc 5.250% 15/11/2043 120,000 USD 124,916 122,234 0.15

Omega Healthcare Investors Inc 4.375% 01/08/2023 40,000 USD 39,903 39,608 0.05

Owens Corning 3.400% 15/08/2026 90,000 USD 89,643 85,494 0.10

Pacific Gas & Electric Co 3.500% 15/06/2025 300,000 USD 298,391 308,264 0.37

PPG Industries Inc 1.400% 13/03/2027 135,000 EUR 138,467 143,516 0.17

Principal Financial Group Inc 3.400% 15/05/2025 565,000 USD 563,528 561,381 0.67

Prologis LP 1.375% 13/05/2021 300,000 EUR 338,025 328,053 0.39

Prologis LP 3.000% 18/01/2022 EMTN 160,000 EUR 195,436 187,659 0.22

Public Service Electric & Gas Co 3.050% 15/11/2024 150,000 USD 149,558 151,177 0.18

Regency Energy Partners LP/Regency Energy Finance Corp 5.000% 01/10/2022 215,000 USD 231,531 227,836 0.27

Santander Holdings USA Inc 4.500% 17/07/2025 295,000 USD 294,898 293,155 0.35

Sempra Energy 3.750% 15/11/2025 140,000 USD 139,660 141,420 0.17

Tenet Healthcare Corp 4.500% 01/04/2021 255,000 USD 253,844 252,450 0.30



(3) See Note 13.




Description Assets

Time Warner Cable LLC 5.250% 15/07/2042 345,000 GBP 560,581 489,888 0.58

Time Warner Inc 3.400% 15/06/2022 40,000 USD 39,671 40,234 0.05


U.S. Treasury Bond 2.500% 15/02/2045 130,000 USD 127,309 115,796 0.14


U.S. Treasury Bond 2.500% 15/05/2046 1,005,000 USD 1,043,965 893,115 1.07

U.S. Treasury Bond 3.750% 15/11/2043(3) 160,000 USD 167,537 181,406 0.22

U.S. Treasury Inflation Indexed Note 0.125% 15/07/2026 1,709,340 USD 1,702,634 1,652,933 1.97

U.S. Treasury Note 1.125% 28/02/2021 1,305,000 USD 1,299,198 1,269,775 1.51

U.S. Treasury Note 1.375% 28/02/2019(3) 2,525,000 USD 2,543,752 2,532,100 3.02

U.S. Treasury Note 1.375% 30/06/2023 115,000 USD 114,795 109,241 0.13






UnitedHealth Group Inc 4.625% 15/07/2035 175,000 USD 206,864 190,757 0.23

Verizon Communications Inc 2.625% 15/08/2026 120,000 USD 117,538 110,466 0.13






Virginia Electric & Power Co 4.450% 15/02/2044 45,000 USD 48,114 47,244 0.06

Welltower Inc 4.000% 01/06/2025 55,000 USD 58,082 56,210 0.07

Whiting Petroleum Corp 5.000% 15/03/2019 225,000 USD 228,799 225,880 0.27


Williams Partners LP 4.000% 15/09/2025 430,000 USD 428,844 425,175 0.51

Worthington Industries Inc 4.550% 15/04/2026 140,000 USD 139,774 138,594 0.17

Xcel Energy Inc 3.350% 01/12/2026 190,000 USD 189,634 190,158 0.23

ZF North America Capital Inc 2.750% 27/04/2023 200,000 EUR 230,023 222,320 0.27

Zimmer Biomet Holdings Inc 2.425% 13/12/2026 325,000 EUR 348,839 350,137 0.42

Zimmer Biomet Holdings Inc 3.550% 01/04/2025 235,000 USD 232,721 228,887 0.27

38,447,974 38,042,380 45.39

Total - Fixed rate bonds 59,585,100 58,403,894 69.69

Variable rate bonds

France

AXA SA 3.375% 06/07/2047 EMTN 150,000 EUR 166,554 160,695 0.19

AXA SA 5.250% 16/04/2040 EMTN 250,000 EUR 348,718 293,480 0.35

BNP Paribas SA 2.625% 14/10/2027 EMTN 440,000 EUR 546,971 475,814 0.57

1,062,243 929,989 1.11 Germany

Allianz SE 2.241% 07/07/2045 400,000 EUR 428,056 409,814 0.49

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 6.000% 26/05/2041 EMTN 400,000 EUR 608,184 497,863 0.59

1,036,240 907,677 1.08 Great Britain

Aviva PLC 5.125% 04/06/2050 EMTN 130,000 GBP 196,643 161,024 0.19


(2) See Note 15.




Description Assets

Aviva PLC 6.125% 05/07/2043 EMTN 255,000 EUR 383,882 312,667 0.37

Barclays PLC 2.625% 11/11/2025 EMTN 100,000 EUR 104,282 104,684 0.13

Eurosail-UK PLC 0.537% 13/03/2045 38,284 GBP 48,135 45,988 0.05

Friary No 2 PLC 0.972% 21/10/2046 71,756 GBP 120,113 88,894 0.11

HBOS PLC 4.500% 18/03/2030 EMTN 15,000 EUR 20,787 17,386 0.02

Prudential PLC 5.000% 20/07/2055 EMTN 150,000 GBP 227,485 181,541 0.22

Residential Mortgage Securities 22 PLC 0.758% 14/11/2039 58,644 GBP 78,816 69,178 0.08

Standard Chartered PLC 4.000% 21/10/2025 EMTN 100,000 EUR 139,878 109,128 0.13

Towd Point Mortgage Funding PLC 1.802% 20/07/2046 120,000 GBP 164,058 148,283 0.18

Trinity Square PLC 1.551% 15/07/2051 86,851 GBP 130,683 107,759 0.13

1,614,762 1,346,532 1.61 Ireland

Aquarius and Investments PLC for Zurich Insurance Co Ltd 4.250% 02/10/2043 EMTN 630,000 EUR 869,711 732,107 0.87

869,711 732,107 0.87 Netherlands

Demeter Investments BV for Swiss Re Ltd 5.750% 15/08/2050 200,000 USD 200,989 200,520 0.24

ING Bank NV 3.000% 11/04/2028 EMTN 100,000 EUR 110,166 111,191 0.13


Volksbank NV 3.750% 05/11/2025 EMTN 225,000 EUR 256,939 248,222 0.30

873,066 852,533 1.02

Total - Variable rate bonds 5,456,022 4,768,838 5.69


Transferable securities dealt in on another regulated market Fixed rate bonds

Australia

Asciano Finance Ltd 4.625% 23/09/2020 145,000 USD 148,053 150,019 0.18

Sydney Airport Finance Co Pty Ltd 5.125% 22/02/2021 180,000 USD 189,430 195,430 0.23

Telstra Corp Ltd 3.125% 07/04/2025 144A(2) 35,000 USD 35,454 34,472 0.04

372,937 379,921 0.45 Barbados

Global SC Finance II Srl 3.190% 17/07/2029 144A(2) 417,083 USD 417,012 400,160 0.48

417,012 400,160 0.48 Brazil

Cielo SA/Cielo USA Inc 3.750% 16/11/2022 210,000 USD 196,224 195,825 0.23

196,224 195,825 0.23 Canada

Methanex Corp 3.250% 15/12/2019 80,000 USD 80,512 78,767 0.10

80,512 78,767 0.10 France

Air Liquide Finance SA 1.375% 27/09/2019 144A(2) 340,000 USD 339,256 333,847 0.40


Danone SA 2.947% 02/11/2026 144A(2) 405,000 USD 405,000 386,485 0.46


(2) See Note 15.




Description Assets

Pernod Ricard SA 3.250% 08/06/2026 144A(2) 175,000 USD 174,079 167,917 0.20


1,506,866 1,471,328 1.76 Great Britain

Centrica PLC 4.000% 16/10/2023 144A(2) 410,000 USD 417,961 417,461 0.50

Santander UK Group Holdings PLC 4.750% 15/09/2025 144A(2) 400,000 USD 392,609 391,600 0.47

Sky PLC 3.750% 16/09/2024 295,000 USD 296,196 295,936 0.35

Sky PLC 3.750% 16/09/2024 144A(2) 200,000 USD 195,806 200,635 0.24

WPP Finance 2010 4.750% 21/11/2021 65,000 USD 67,838 70,379 0.08

1,370,410 1,376,011 1.64 Hong Kong

AIA Group Ltd 3.200% 11/03/2025 144A(2) 200,000 USD 199,792 193,032 0.23

199,792 193,032 0.23 Italy

Intesa Sanpaolo SpA 3.875% 15/01/2019 465,000 USD 474,766 473,332 0.56

Intesa Sanpaolo SpA 5.710% 15/01/2026 144A(2) 200,000 USD 196,843 190,856 0.23

671,609 664,188 0.79 Luxembourg

Holcim US Finance Sarl & Cie SCS 5.150% 12/09/2023 380,000 USD 401,210 412,065 0.49

Ultrapar International SA 5.250% 06/10/2026 210,000 USD 206,099 205,779 0.25

607,309 617,844 0.74 Netherlands

Enel Finance International NV 6.000% 07/10/2039 144A(2) 320,000 USD 327,221 357,498 0.43

Koninklijke Ahold Delhaize NV 5.700% 01/10/2040 410,000 USD 434,617 454,318 0.54

Siemens Financieringsmaatschappij NV 2.350% 15/10/2026 144A(2) 265,000 USD 246,828 245,286 0.29


1,228,160 1,274,769 1.52 United States

21st Century Fox America Inc 4.750% 15/11/2046 144A(2) 40,000 USD 39,956 40,119 0.05

Activision Blizzard Inc 2.300% 15/09/2021 144A(2) 180,000 USD 179,793 175,653 0.21


Albertsons Cos LLC/Safeway Inc/New Albertson's Inc/Albertson's LLC 5.750% 15/03/2025 144A(2) 110,000 USD 110,000 108,900 0.13


American Airlines 5.250% 15/01/2024 199,360 USD 199,360 204,344 0.24

Aviation Capital Group Corp 4.875% 01/10/2025 144A(2) 165,000 USD 164,420 174,900 0.21

BAE Systems Holdings Inc 3.850% 15/12/2025 144A(2) 225,000 USD 222,628 229,472 0.27

Bayer US Finance LLC 3.375% 08/10/2024 144A(2) 325,000 USD 337,091 323,372 0.39

Celgene Corp 5.000% 15/08/2045 160,000 USD 158,859 166,357 0.20


CLI Funding V LLC 3.380% 18/10/2029 144A(2) 312,363 USD 312,265 300,307 0.36

Comcast Corp 4.200% 15/08/2034 535,000 USD 552,954 546,489 0.65



(2) See Note 15.




Description Assets

Credit Acceptance Auto Loan Trust 2.940% 15/10/2024 144A(2) 280,000 USD 279,969 275,682 0.33

CRH America Inc 3.875% 18/05/2025 144A(2) 410,000 USD 409,579 417,478 0.50

Crown Castle Towers LLC 6.113% 15/01/2020 144A(2) 290,000 USD 311,178 314,204 0.38

Delphi Corp 4.150% 15/03/2024 110,000 USD 111,054 113,380 0.14

Delta Air Lines 4.250% 30/07/2023 168,291 USD 168,291 171,717 0.20

ERAC USA Finance LLC 3.800% 01/11/2025 144A(2) 495,000 USD 495,602 498,466 0.59



Express Scripts Holding Co 3.400% 01/03/2027 70,000 USD 70,934 65,584 0.08


Five Corners Funding Trust 4.419% 15/11/2023 144A(2) 210,000 USD 221,383 222,016 0.27

Gilead Sciences Inc 4.150% 01/03/2047 125,000 USD 124,112 118,725 0.14



Hyundai Capital America 2.750% 27/09/2026 430,000 USD 429,635 390,593 0.47

Hyundai Capital America 3.000% 30/10/2020 EMTN 200,000 USD 199,909 200,017 0.24

INVISTA Finance LLC 4.250% 15/10/2019 370,000 USD 370,000 366,816 0.44

Kraft Heinz Foods Co 3.000% 01/06/2026 165,000 USD 164,322 154,908 0.18



Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp 7.375% 01/10/2017 85,000 USD 85,441 85,000 0.10

LafargeHolcim Finance US LLC 4.750% 22/09/2046 144A(2) 200,000 USD 195,872 193,424 0.23

Liberty Mutual Group Inc 4.850% 01/08/2044 255,000 USD 254,835 251,478 0.30

Liberty Mutual Group Inc 5.000% 01/06/2021 144A(2) 295,000 USD 313,960 320,951 0.38

Marriott International Inc/MD 2.300% 15/01/2022 430,000 USD 428,402 417,120 0.50

Meccanica Holdings USA Inc 6.250% 15/01/2040 144A(2) 100,000 USD 96,172 101,250 0.12

Medco Health Solutions Inc 4.125% 15/09/2020 70,000 USD 72,832 73,451 0.09

OneMain Financial Issuance Trust 4.100% 20/03/2028 144A(2) 400,000 USD 399,949 407,798 0.49

Orange Lake Timeshare Trust 3.450% 10/03/2027 144A(2) 26,217 USD 26,445 26,372 0.03

Quicken Loans Inc 5.750% 01/05/2025 144A(2) 115,000 USD 113,609 111,838 0.13

Spirit Airlines 4.450% 01/04/2024 197,758 USD 197,758 200,930 0.24

SpringCastle America Funding LLC 3.050% 25/04/2029 144A(2) 122,366 USD 122,362 122,978 0.15


TTX Co 2.600% 15/06/2020 144A(2) 385,000 USD 384,987 383,350 0.46

Universal Health Services Inc 4.750% 01/08/2022 144A(2) 90,000 USD 90,000 91,125 0.11

Verizon Owner Trust 1.680% 20/05/2021 144A(2) 155,000 USD 154,984 154,376 0.18

Wachovia Bank Commercial Mortgage Trust 5.342% 15/12/2043 61,720 USD 67,388 61,651 0.07

WEA Finance LLC/Westfield UK & Europe Finance PLC 3.250% 05/10/2020 144A(2) 210,000 USD 209,458 213,570 0.25





Description Assets

Westlake Chemical Corp 3.600% 15/08/2026 144A(2) 45,000 USD 44,784 43,282 0.05


10,861,323 10,802,907 12.89


Variable rate bonds

United States

Commerical Mortgage Trust 2.404% 13/05/2031 144A(2) 222,909 USD 222,909 221,925 0.27

JP Morgan Chase Commercial Mortgage Securities Trust 2.454% 15/12/2030 144A(2) 20,181 USD 20,243 20,125 0.02

243,152 242,050 0.29

Total - Variable rate bonds 243,152 242,050 0.29

Total - Transferable securities dealt in on another regulated market 17,755,306 17,696,802 21.12

Other transferable securities Fixed rate bonds

United States

Welltower Inc 4.800% 20/11/2028 140,000 GBP 198,500 199,297 0.24

198,500 199,297 0.24

Total - Fixed rate bonds 198,500 199,297 0.24

Total - Other transferable securities 198,500 199,297 0.24


(2) See Note 15.





H-I/A (EUR)





H-N/D (EUR)





H-Q/A (GBP)





I/A (USD)





Q/A (USD)





R/A (USD)





R/A (EUR)





R/D (USD)








USD USD USD



H-I/A (EUR) - 75.19 89.47

H-N/D (EUR) 70.72 70.02 88.24

H-Q/A (GBP) 95.06 - -

I/A (USD) 129.69 118.81 140.57

Q/A (USD) 142.14 129.22 151.66

R/A (USD) 81.65 - 89.96

R/A (EUR) 109.66 98.20 105.01

R/D (USD) 60.02 58.22 72.59



Loomis Sayles Emerging Debt and Currencies Fund Statement of Investments

As at December 31, 2016 (expressed in USD) Quantity / Face value Currency Cost Evaluation % of Net Description Assets


Argentina

Argentine Bonos del Tesoro 18.200% 03/10/2021 6,000,000 ARS 382,688 386,349 0.94

382,688 386,349 0.94 Brazil

Brazil Letras do Tesouro Nacional 0.000% 01/10/2018 1,500,000 BRL 396,337 383,599 0.94

Brazil Notas do Tesouro Nacional Serie B 6.000% 15/05/2019 460,000 BRL 372,445 419,003 1.02

Brazil Notas do Tesouro Nacional Serie F 10.000%

01/01/2021 6,000,000 BRL 1,522,873 1,775,882 4.33

Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/2023 2,700,000 BRL 744,697 781,439 1.91

Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/2025 4,100,000 BRL 1,156,271 1,172,782 2.86

Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/2027 1,280,000 BRL 364,575 362,791 0.89

4,557,198 4,895,496 11.95 Colombia

Emgesa SA ESP 8.750% 25/01/2021 1,260,000,000 COP 726,147 417,148 1.02

726,147 417,148 1.02 Hungary

Hungary Government Bond 5.500% 20/12/2018 204,430,000 HUF 843,378 768,251 1.88

Hungary Government Bond 7.000% 24/06/2022 340,920,000 HUF 1,560,623 1,471,568 3.59

2,404,001 2,239,819 5.47 India

Housing Development Finance Corp Ltd 7.000% 09/01/2020 EMTN 20,000,000 INR 295,311 291,090 0.71

NTPC Ltd 8.100% 27/05/2021 25,000,000 INR 384,676 386,005 0.94

679,987 677,095 1.65 Indonesia

Indonesia Treasury Bond 7.000% 15/05/2022 8,100,000,000 IDR 590,758 582,996 1.42


Indonesia Treasury Bond 8.250% 15/07/2021 14,675,000,000 IDR 1,396,128 1,115,943 2.72

Indonesia Treasury Bond 8.375% 15/03/2024 19,620,000,000 IDR 1,630,501 1,485,093 3.62


4,749,418 4,246,028 10.36 Mexico

America Movil SAB de CV 6.450% 05/12/2022 3,900,000 MXN 299,308 171,559 0.42

Mexican Bonos 5.750% 05/03/2026 15,757,800 MXN 839,349 678,674 1.66


Mexican Bonos 8.000% 11/06/2020 17,650,000 MXN 1,333,473 881,700 2.15



Mexican Udibonos 2.500% 10/12/2020 16,692,990 MXN 806,539 811,642 1.98

5,084,937 4,134,073 10.09 Peru

Peru Government Bond 6.350% 12/08/2028 492,000 PEN 145,180 144,665 0.35

Peru Government Bond 6.950% 12/08/2031 640,000 PEN 210,938 194,553 0.48

Peru Government Bond 8.200% 12/08/2026 1,384,000 PEN 446,540 464,834 1.13

802,658 804,052 1.96



Loomis Sayles Emerging Debt and Currencies Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in USD) Quantity / Face value Currency Cost Evaluation % of Net

Description Assets

Poland

Republic of Poland Government Bond 5.750% 25/10/2021 5,085,000 PLN 1,621,332 1,372,267 3.35

1,621,332 1,372,267 3.35 Romania

Romania Government Bond 5.900% 26/07/2017 1,000,000 RON 308,716 238,758 0.58

Romania Government Bond 5.950% 11/06/2021 3,660,000 RON 1,111,892 971,349 2.37

1,420,608 1,210,107 2.95 Russia

Russian Federal Bond - OFZ 6.400% 27/05/2020 52,525,000 RUB 879,599 815,120 1.99




2,344,502 2,534,453 6.19 South Africa

Republic of South Africa Government Bond 7.000% 28/02/2031 35,050,000 ZAR 1,997,157 2,096,633 5.12

Republic of South Africa Government Bond 10.500% 21/12/2026 24,100,000 ZAR 1,935,874 1,943,121 4.74

Transnet SOC Ltd 9.500% 13/05/2021 EMTN 2,580,000 ZAR 237,932 176,119 0.43

4,170,963 4,215,873 10.29

Turkey

Turkey Government Bond 8.500% 10/07/2019 1,645,000 TRY 684,778 448,007 1.09



Turkey Government Bond 9.500% 12/01/2022 3,585,000 TRY 1,657,992 961,069 2.35

3,864,892 2,564,565 6.26


Investment Funds

Luxembourg

Natixis International Funds Lux I-Loomis Sayles Short Term Emerging Markets Bond 20,041 USD 2,165,702 2,225,983 5.43

2,165,702 2,225,983 5.43




Colombia

Colombian TES 7.000% 04/05/2022 3,854,000,000 COP 1,524,479 1,302,254 3.18

Colombian TES 7.500% 26/08/2026 3,300,000,000 COP 1,143,232 1,129,388 2.76

Colombian TES 10.000% 24/07/2024 972,100,000 COP 386,578 382,252 0.93

3,054,289 2,813,894 6.87 Uganda

Republic of Uganda Government Bonds 16.125% 22/03/2018 1,000,000,000 UGX 297,213 276,047 0.67

297,213 276,047 0.67





Loomis Sayles Emerging Debt and Currencies Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in USD) Quantity / Face value Currency Cost Evaluation % of Net

Description Assets


Dominican Republic

Dominican Republic International Bond 10.400% 10/05/2019 144A(2) 30,600,000 DOP 690,422 665,678 1.63

690,422 665,678 1.63 Malaysia

Malaysia Government Bond 3.418% 15/08/2022 2,565,000 MYR 683,093 552,767 1.35




3,213,429 2,521,619 6.15 Mexico

Red de Carreteras de Occidente SAPIB de CV 9.000% 10/06/2028 144A EMTN(2) 3,800,000 MXN 308,120 168,992 0.41

308,120 168,992 0.41




(2) See Note 15.





H-I/A (EUR)





H-N/D (EUR)





H-S/A (CHF)





H-S/A (EUR)





I/A (USD)





I/A (EUR)





R/A (USD)





R/A (EUR)





R/D (USD)





R/D (SGD)





S/A (USD)








(continued)

H-S/A (USD)





H-S/D (USD)








USD USD USD



H-I/A (EUR) 121.88 117.01 118.10

H-N/D (EUR) 98.82 97.40 100.56

H-S/A (CHF) 107.53 103.32 105.20

H-S/A (EUR) 159.36 152.14 152.95

I/A (USD) 147.31 141.32 147.16

I/A (EUR) - 127.86 119.58

R/A (USD) 128.62 124.41 130.18

R/A (EUR) 122.98 115.43 108.45

R/D (USD) 71.47 70.65 76.63

R/D (SGD) 101.81 98.82 100.19

S/A (USD) 133.11 127.69 132.51

H-S/A (USD) 161.10 151.57 152.05

H-S/D (USD) 97.77 94.81 103.48


(2) See Note 15.


Loomis Sayles Global Credit Fund Statement of Investments



Australia

Holcim Finance Australia Pty Ltd 3.750% 19/03/2020 430,000 AUD 330,851 311,858 0.44

National Australia Bank Ltd 4.000% 27/11/2019 355,000 AUD 281,117 264,097 0.37

Queensland Treasury Corp 4.250% 21/07/2023 144A(2) 225,000 AUD 181,391 176,853 0.25

Queensland Treasury Corp 7.125% 18/09/2017 144A(2) 185,000 NZD 130,205 133,187 0.19

SGSP Australia Assets Pty Ltd 2.000% 30/06/2022

EMTN 145,000 EUR 180,964 161,775 0.23

SGSP Australia Assets Pty Ltd 3.250% 29/07/2026 EMTN 230,000 USD 228,792 217,486 0.30

Telstra Corp Ltd 4.500% 13/11/2018 310,000 AUD 259,400 230,968 0.32

1,592,720 1,496,224 2.10 Belgium



235,638 229,896 0.32 Bermuda Islands

Ooredoo International Finance Ltd 5.000% 19/10/2025 EMTN 295,000 USD 294,953 314,092 0.44

294,953 314,092 0.44 Brazil

Brazilian Government International Bond 2.875% 01/04/2021 105,000 EUR 143,749 112,825 0.16


503,701 473,725 0.66 Canada


Canadian Government Bond 1.750% 01/09/2019 660,000 CAD 561,361 503,864 0.71

Great-West Lifeco Inc 1.750% 07/12/2026 195,000 EUR 206,501 207,935 0.29

Province of Ontario Canada 1.950% 27/01/2023 545,000 CAD 384,934 405,716 0.57

1,373,197 1,328,751 1.86 Cayman Islands



358,609 338,149 0.47 Chile



609,301 628,338 0.88 Colombia

Colombia Government International Bond 2.625% 15/03/2023 320,000 USD 292,463 301,600 0.42

292,463 301,600 0.42


(2) See Note 15.


Loomis Sayles Global Credit Fund Statement of Investments (continued)


Description Assets

France

APRR SA 1.250% 06/01/2027 EMTN 100,000 EUR 105,620 105,650 0.15

AXA SA 7.125% 15/12/2020 125,000 GBP 215,540 186,636 0.26

BNP Paribas SA 5.750% 24/01/2022 EMTN 185,000 GBP 295,236 266,115 0.37

Credit Agricole SA 4.375% 17/03/2025 144A(2) 200,000 USD 197,118 197,015 0.28


French Republic Government Bond OAT 4.250% 25/10/2023 145,000 EUR 214,215 196,506 0.28

Kering 1.250% 10/05/2026 EMTN 300,000 EUR 336,316 315,142 0.44





2,119,434 2,003,059 2.81 Germany




Henkel AG & Co KGaA 1.500% 13/09/2019 EMTN 180,000 USD 179,760 178,384 0.25

WPP Finance Deutschland GmbH 1.625% 23/03/2030 EMTN 110,000 EUR 120,683 113,226 0.16

1,167,855 1,124,427 1.58 Great Britain

Barclays PLC 4.375% 11/09/2024 280,000 USD 264,803 277,727 0.39

BAT International Finance PLC 1.625% 09/09/2019 EMTN 435,000 USD 434,093 429,325 0.60



Imperial Brands Finance PLC 4.250% 21/07/2025 144A(2) 525,000 USD 528,962 541,919 0.76

INEOS Grangemouth PLC 0.750% 30/07/2019 245,000 EUR 318,061 265,113 0.37


National Grid Gas Finance PLC 0.625% 22/09/2024 EMTN 100,000 EUR 111,663 103,462 0.14



Santander UK PLC 0.875% 13/01/2020 EMTN 125,000 EUR 143,752 134,210 0.19

Sky PLC 1.500% 15/09/2021 EMTN 100,000 EUR 110,832 109,850 0.15

Sky PLC 2.250% 17/11/2025 EMTN 295,000 EUR 348,647 331,231 0.46

Sky PLC 4.000% 26/11/2029 EMTN 195,000 GBP 309,706 273,883 0.38


Standard Chartered PLC 3.950% 11/01/2023 500,000 USD 490,404 488,615 0.68

Tesco Corporate Treasury Services PLC 1.250% 13/11/2017 EMTN 220,000 EUR 301,220 234,048 0.33





(2) See Note 15.




Description Assets

WPP Finance 2010 5.625% 15/11/2043 125,000 USD 129,212 133,534 0.19

WPP Finance 2013 2.875% 14/09/2046 EMTN 100,000 GBP 132,245 111,723 0.16

6,365,037 6,083,441 8.53 Indonesia

Indonesia Government International Bond 5.125%

15/01/2045 EMTN 260,000 USD 257,248 259,417 0.36

257,248 259,417 0.36 Ireland

Eaton Capital Unlimited Co 0.750% 20/09/2024 100,000 EUR 111,817 103,677 0.15

111,817 103,677 0.15 Italy



136,956 139,717 0.20 Jersey




544,709 568,552 0.80 Luxembourg


142,055 134,125 0.19 Malaysia

Cagamas Global PLC 2.745% 10/12/2019 EMTN 300,000 USD 300,000 300,852 0.42

300,000 300,852 0.42 Mexico


Mexichem SAB de CV 5.875% 17/09/2044 200,000 USD 196,757 178,250 0.25

Mexico Government International Bond 4.750% 08/03/2044 346,000 USD 323,494 314,618 0.44


969,515 925,027 1.30 Morocco

OCP SA 6.875% 25/04/2044 144A(2) 200,000 USD 205,736 201,025 0.28

205,736 201,025 0.28 Netherlands

Cooperatieve Rabobank UA 4.625% 23/05/2029 EMTN 100,000 GBP 167,453 132,707 0.19

CRH Funding BV 1.875% 09/01/2024 EMTN 140,000 EUR 147,675 156,994 0.22



EDP Finance BV 4.900% 01/10/2019 144A(2) 235,000 USD 244,350 246,253 0.35


Enel Finance International NV 5.750% 14/09/2040 EMTN 120,000 GBP 183,914 195,866 0.27

Petrobras Global Finance BV 6.875% 20/01/2040 170,000 USD 167,994 145,894 0.20






Description Assets



2,117,312 2,042,763 2.86 New Zealand


Fonterra Co-operative Group Ltd 4.500% 30/06/2021 500,000 AUD 450,065 372,496 0.52

709,321 615,500 0.86 Peru

Corp Financiera de Desarrollo SA 3.250% 15/07/2019 220,000 USD 219,822 222,750 0.31

219,822 222,750 0.31 Portugal

Brisa Concessao Rodoviaria SA 2.000% 22/03/2023 EMTN 100,000 EUR 110,897 107,934 0.15


222,492 212,332 0.30 Romania

Romanian Government International Bond 2.875% 28/10/2024 EMTN 180,000 EUR 227,581 201,641 0.28

227,581 201,641 0.28 Singapore


259,086 260,023 0.37 Spain







900,359 870,822 1.22 Supranational Organisations




175,036 173,241 0.24





Description Assets

United States

Aetna Inc 2.400% 15/06/2021 160,000 USD 159,986 159,276 0.22

Aetna Inc 3.200% 15/06/2026 190,000 USD 189,329 187,961 0.26

Aetna Inc 4.375% 15/06/2046 90,000 USD 90,557 90,373 0.13


Altria Group Inc 4.000% 31/01/2024 125,000 USD 129,939 132,077 0.19






AT&T Inc 2.750% 19/05/2023 130,000 EUR 162,680 150,914 0.21

AT&T Inc 3.875% 15/08/2021 695,000 USD 751,332 717,550 1.01

AT&T Inc 4.125% 17/02/2026 290,000 USD 308,043 293,644 0.41

AT&T Inc 4.300% 15/12/2042 210,000 USD 191,048 187,987 0.26

AT&T Inc 4.450% 01/04/2024 160,000 USD 173,463 166,790 0.23

AT&T Inc 4.800% 15/06/2044 25,000 USD 25,254 23,623 0.03

AT&T Inc 5.150% 15/03/2042 100,000 USD 102,974 99,617 0.14

Avnet Inc 4.625% 15/04/2026 230,000 USD 230,787 224,096 0.31

Baltimore Gas & Electric Co 3.350% 01/07/2023 200,000 USD 203,191 204,731 0.29






Berkshire Hathaway Inc 1.125% 16/03/2027 450,000 EUR 481,095 465,562 0.65

BorgWarner Inc 1.800% 07/11/2022 195,000 EUR 214,459 214,282 0.30


Cigna Corp 3.250% 15/04/2025 175,000 USD 166,669 170,441 0.24

Citigroup Inc 1.500% 26/10/2028 EMTN 195,000 EUR 213,544 198,922 0.28


Citigroup Inc 4.090% 09/06/2025 275,000 CAD 219,184 208,946 0.29










DDR Corp 3.625% 01/02/2025 125,000 USD 124,253 120,920 0.17

Eaton Corp 4.000% 02/11/2032 120,000 USD 125,111 118,300 0.17





Description Assets





FedEx Corp 1.625% 11/01/2027 480,000 EUR 543,432 513,812 0.72

FedEx Corp 4.550% 01/04/2046 165,000 USD 164,295 166,272 0.23


GATX Corp 3.250% 30/03/2025 130,000 USD 128,875 124,921 0.18









HCA Inc 4.750% 01/05/2023 350,000 USD 356,185 358,313 0.50












Medtronic Inc 3.500% 15/03/2025 493,000 USD 491,009 507,649 0.71

MetLife Inc 4.125% 13/08/2042 120,000 USD 108,692 118,100 0.17

Mohawk Industries Inc 2.000% 14/01/2022 585,000 EUR 661,611 651,472 0.91

Moody's Corp 1.750% 09/03/2027 155,000 EUR 173,837 166,384 0.23


MPLX LP 4.500% 15/07/2023 65,000 USD 62,269 66,015 0.09

MPLX LP 4.875% 01/12/2024 60,000 USD 59,016 61,782 0.09

MPLX LP 4.875% 01/06/2025 75,000 USD 73,540 77,111 0.11


Northrop Grumman Corp 3.850% 15/04/2045 90,000 USD 89,976 85,376 0.12





Prologis LP 1.375% 13/05/2021 220,000 EUR 248,653 240,572 0.33


S&P Global Inc 4.000% 15/06/2025 295,000 USD 293,251 303,077 0.43


(3) See Note 13.




Description Assets






U.S. Treasury Bond 2.500% 15/05/2046 960,000 USD 1,001,482 853,125 1.20






















31,955,305 31,318,189 43.89


Variable rate bonds

France

AXA SA 3.375% 06/07/2047 EMTN 295,000 EUR 327,221 316,034 0.44

AXA SA 5.125% 04/07/2043 EMTN 135,000 EUR 191,260 163,991 0.23

518,481 480,025 0.67 Germany

Allianz SE 2.241% 07/07/2045 300,000 EUR 315,366 307,361 0.43

315,366 307,361 0.43 Great Britain





Eurosail-UK 2007-1nc PLC 0.537% 13/03/2045 30,627 GBP 38,509 36,791 0.05

HBOS PLC 4.500% 18/03/2030 EMTN 10,000 EUR 13,858 11,590 0.02

HSBC Bank PLC 5.375% 04/11/2030 EMTN 256,000 GBP 388,266 352,403 0.49



(2) See Note 15.




Description Assets


RMAC Securities No 1 PLC 0.000% 12/06/2044 48,113 EUR 47,964 47,329 0.07

RSA Insurance Group PLC 5.125% 10/10/2045 150,000 GBP 227,852 188,959 0.26

1,927,758 1,667,223 2.34

Ireland

Aquarius and Investments PLC for Zurich Insurance Co Ltd 4.250% 02/10/2043 EMTN 260,000 EUR 370,067 302,139 0.42

370,067 302,139 0.42 Netherlands



324,576 315,285 0.44 Switzerland

Raiffeisen Schweiz Genossenschaft 3.000% 31/12/2049 320,000 CHF 321,640 326,688 0.46

321,640 326,688 0.46




Australia

Asciano Finance Ltd 4.625% 23/09/2020 275,000 USD 274,766 284,517 0.40

Macquarie Bank Ltd 3.900% 15/01/2026 144A(2) 250,000 USD 247,144 255,081 0.36

Telstra Corp Ltd 3.125% 07/04/2025 144A(2) 50,000 USD 50,647 49,246 0.07

572,557 588,844 0.83 Bermuda Islands

Holcim Capital Corp Ltd 6.500% 12/09/2043 144A(2) 200,000 USD 206,709 231,759 0.32

206,709 231,759 0.32 Brazil

Cielo SA/Cielo USA Inc 3.750% 16/11/2022 200,000 USD 198,678 186,500 0.26

198,678 186,500 0.26 France



BNP Paribas SA 4.375% 12/05/2026 144A(2) 200,000 USD 199,671 197,120 0.28

Danone SA 2.947% 02/11/2026 144A(2) 355,000 USD 355,000 338,771 0.47


1,402,222 1,377,135 1.93 Great Britain



Sky PLC 3.750% 16/09/2024 144A(2) 200,000 USD 195,806 200,635 0.28

665,695 665,669 0.93 Italy


196,843 190,856 0.27


(2) See Note 15.




Description Assets

Netherlands





922,411 977,049 1.37 United States


A10 Securitization LLC 2.400% 15/11/2025 144A(2) 2,795 USD 2,795 2,794 0.00

A10 Term Asset Financing LLC 2.620% 15/11/2027 144A(2) 47,869 USD 47,862 47,672 0.07



Alta Wind Holdings LLC 7.000% 30/06/2035 144A(2) 237,373 USD 247,451 258,991 0.36



BAE Systems Holdings Inc 3.850% 15/12/2025 144A(2) 395,000 USD 396,873 402,851 0.56

Catholic Health Initiatives 4.350% 01/11/2042 435,000 USD 434,198 386,389 0.54

Celgene Corp 5.000% 15/08/2045 100,000 USD 100,144 103,973 0.15

Centre Point Funding LLC 2.610% 20/08/2021 228,166 USD 228,150 224,957 0.32


Commerical Mortgage Trust 3.819% 10/06/2047 80,000 USD 84,587 83,492 0.12



Delphi Corp 4.150% 15/03/2024 145,000 USD 146,395 149,455 0.21



Exeter Automobile Receivables Trust 2.770% 15/11/2019 144A(2) 40,000 USD 39,998 40,095 0.06







JP Morgan Chase Commercial Mortgage Securities Trust 5.716% 15/02/2051 197,293 USD 203,021 201,710 0.28





Memorial Sloan-Kettering Cancer Center 4.125% 01/07/2052 300,000 USD 298,328 289,690 0.41

Northrop Grumman Corp 3.200% 01/02/2027 235,000 USD 234,625 232,509 0.33

San Diego Gas & Electric Co 2.500% 15/05/2026 280,000 USD 279,147 268,361 0.38





Description Assets



Time Warner Cable LLC 4.500% 15/09/2042 145,000 USD 151,914 131,320 0.18

Trans-Allegheny Interstate Line Co 3.850%

01/06/2025 200,000 USD 201,341 202,606 0.28

United Airlines 4.625% 03/09/2022 131,113 USD 132,710 134,063 0.19





7,929,147 7,784,042 10.91


Variable rate bonds

United States

Commerical Mortgage Trust 2.404% 13/05/2031 144A(2) 151,578 USD 151,578 150,909 0.21


JP Morgan Resecuritization Trust 2.425% 26/09/2035 144A(2) 51,797 USD 52,328 51,974 0.07

Morgan Stanley Re-REMIC Trust 5.793% 15/08/2045 144A(2) 100,000 USD 102,135 100,367 0.14

RBSCF Trust 5.695% 16/09/2040 144A(2) 125,000 USD 126,540 125,533 0.18

465,114 461,127 0.64




Canada

Alimentation Couche-Tard Inc 3.319% 01/11/2019 310,000 CAD 311,918 240,177 0.34

Province of Ontario Canada 4.650% 02/06/2041 140,000 CAD 146,594 129,249 0.18

458,512 369,426 0.52 United States


167,075 170,826 0.24




(2) See Note 15.





H-S/A (GBP)





Q/A (USD)





H/Q-A (GBP)





H-S/D (GBP)








USD USD USD



H-I/A (GBP) - - 113.64

H-I/A (USD) - - 107.05

H-S/A (GBP) 143.86 133.42 134.77

Q/A (USD) 105.44 99.47 -

H/Q-A (GBP) 98.13 - -

H-S/D (GBP) 102.09 97.80 104.12



Loomis Sayles Institutional Global Corporate Bond Fund Statement of Investments

As at December 31, 2016 (expressed in USD)

Quantity / Face

value Currency Cost Evaluation % of Net Description Assets


Australia

Asciano Finance Ltd 5.000% 19/09/2023 EMTN 600,000 GBP 947,357 823,004 0.13

SGSP Australia Assets Pty Ltd 2.000% 30/06/2022 EMTN 4,065,000 EUR 4,681,755 4,535,277 0.73

5,629,112 5,358,281 0.86 Belgium

Anheuser-Busch InBev SA/NV/old 1.500% 17/03/2025 EMTN 1,000,000 EUR 1,104,167 1,097,201 0.18

1,104,167 1,097,201 0.18 Bermuda Islands

Fidelity International Ltd 6.875% 24/02/2017 EMTN 1,810,000 EUR 2,426,122 1,927,730 0.31

Ooredoo International Finance Ltd 5.000% 19/10/2025 EMTN 1,600,000 USD 1,636,783 1,703,552 0.27

4,062,905 3,631,282 0.58 Brazil

Itau Unibanco Holding SA/Cayman Island 2.850% 26/05/2018 EMTN 3,100,000 USD 3,099,581 3,107,750 0.50

3,099,581 3,107,750 0.50 Canada

Alimentation Couche-Tard Inc 1.875% 06/05/2026 1,965,000 EUR 2,266,504 2,128,605 0.34

Great-West Lifeco Inc 1.750% 07/12/2026 1,710,000 EUR 1,810,848 1,823,430 0.30

4,077,352 3,952,035 0.64 Cayman Islands

CK Hutchison Finance 16 II Ltd 0.875% 03/10/2024 1,265,000 EUR 1,404,823 1,284,200 0.21

CK Hutchison International 16 Ltd 1.875% 03/10/2021 1,925,000 USD 1,912,958 1,843,418 0.30

JAFZ Sukuk 2019 Ltd 7.000% 19/06/2019 855,000 USD 944,373 935,199 0.15




4,503,229 4,385,086 0.71 Chile

Corp Nacional del Cobre de Chile 4.500% 16/09/2025 1,305,000 USD 1,287,482 1,324,768 0.22

Itau CorpBanca 3.875% 22/09/2019 2,000,000 USD 1,992,815 2,061,236 0.33

3,280,297 3,386,004 0.55 France

APRR SA 1.250% 06/01/2027 EMTN 1,800,000 EUR 1,897,187 1,901,698 0.31

APRR SA 1.875% 06/01/2031 EMTN 1,200,000 EUR 1,258,397 1,280,150 0.21

Credit Agricole SA 2.625% 17/03/2027 2,140,000 EUR 2,407,189 2,306,599 0.37

Credit Agricole SA/London 1.875% 20/12/2026 EMTN 1,100,000 EUR 1,164,723 1,163,880 0.19

Engie SA 1.000% 13/03/2026 EMTN 2,500,000 EUR 2,737,555 2,653,163 0.43

Kering 1.250% 10/05/2026 EMTN 1,800,000 EUR 2,018,776 1,890,855 0.30

Pernod Ricard SA 1.500% 18/05/2026 1,200,000 EUR 1,364,962 1,286,551 0.21



(2) See Note 15.


Loomis Sayles Institutional Global Corporate Bond Fund Statement of Investments (continued)


Quantity / Face


Societe Generale SA 4.250% 14/04/2025 144A(2) 1,230,000 USD 1,214,103 1,194,458 0.19

Societe Generale SA 4.750% 24/11/2025 144A(2) 1,700,000 USD 1,616,935 1,710,095 0.27

16,530,211 16,234,757 2.62 Germany

Bundesrepublik Deutschland 0.500% 15/02/2025 6,880,000 EUR 7,548,781 7,580,255 1.22



Bundesrepublik Deutschland 4.000% 04/01/2037 820,000 EUR 1,376,578 1,396,430 0.22

Commerzbank AG 4.000% 23/03/2026 EMTN 2,205,000 EUR 2,480,268 2,389,681 0.39

HeidelbergCement AG 2.250% 03/06/2024 EMTN 1,105,000 EUR 1,229,845 1,243,695 0.20

Unitymedia GmbH 3.750% 15/01/2027 2,095,000 EUR 2,007,218 2,090,240 0.34

35,404,593 34,041,765 5.49 Great Britain

Barclays Bank PLC 5.140% 14/10/2020 1,310,000 USD 1,380,180 1,383,498 0.22

Barclays PLC 4.375% 11/09/2024 3,680,000 USD 3,583,929 3,650,126 0.59

BAT International Finance PLC 1.625% 09/09/2019 EMTN 3,370,000 USD 3,362,965 3,326,038 0.54

Centrica PLC 4.375% 13/03/2029 EMTN 1,370,000 GBP 2,260,515 2,011,480 0.32

FCE Bank PLC 1.114% 13/05/2020 EMTN 1,330,000 EUR 1,510,149 1,433,419 0.23

HSBC Holdings PLC 6.500% 15/09/2037 2,840,000 USD 3,048,260 3,520,731 0.57

Imperial Brands Finance PLC 4.250% 21/07/2025 144A(2) 2,770,000 USD 2,730,227 2,859,266 0.46

ITV PLC 2.000% 01/12/2023 900,000 EUR 950,292 956,585 0.15

Lloyds Banking Group PLC 1.000% 09/11/2023 EMTN 215,000 EUR 218,534 222,406 0.04

Lloyds Banking Group PLC 4.500% 04/11/2024 1,307,000 USD 1,349,815 1,330,067 0.21

National Grid Gas Finance PLC 2.750% 22/09/2046 EMTN 1,240,000 GBP 1,612,116 1,488,468 0.24

NWEN Finance PLC 5.875% 21/06/2021 1,260,000 GBP 1,879,972 1,712,611 0.28

Royal Bank of Scotland Group PLC 5.125% 28/05/2024 1,075,000 USD 1,068,740 1,071,862 0.17


Royal Bank of Scotland Group PLC 6.100% 10/06/2023 2,835,000 USD 2,877,944 2,967,423 0.48

Santander UK PLC 0.875% 13/01/2020 EMTN 2,385,000 EUR 2,742,788 2,560,733 0.41

Sky PLC 1.500% 15/09/2021 EMTN 710,000 EUR 815,887 779,937 0.13

Sky PLC 2.250% 17/11/2025 EMTN 100,000 EUR 107,063 112,282 0.02

Sky PLC 4.000% 26/11/2029 EMTN 1,700,000 GBP 2,702,127 2,387,695 0.38

Standard Chartered PLC 3.625% 23/11/2022 EMTN 2,130,000 EUR 2,551,715 2,396,480 0.39

Standard Chartered PLC 5.700% 26/03/2044 1,520,000 USD 1,517,243 1,522,485 0.24

Tesco PLC 5.000% 24/03/2023 EMTN 1,805,000 GBP 2,937,056 2,404,940 0.39

United Kingdom Gilt 1.250% 22/07/2018 2,975,000 GBP 3,749,348 3,744,132 0.60

United Kingdom Gilt 4.250% 07/12/2027 770,000 GBP 1,238,399 1,233,375 0.20


Virgin Media Finance PLC 4.500% 15/01/2025 144A(2) 795,000 EUR 936,629 865,778 0.14

Virgin Media Secured Finance PLC 4.875% 15/01/2027 1,015,000 GBP 1,478,593 1,230,669 0.20

Virgin Media Secured Finance PLC 5.500% 15/01/2025 459,000 GBP 774,608 584,887 0.09


(2) See Note 15.




Quantity / Face


WPP Finance 2.875% 14/09/2046 EMTN 1,420,000 GBP 1,881,850 1,586,467 0.26

52,220,967 50,192,983 8.09 Ireland


AerCap Ireland Capital Ltd/AerCap Global Aviation Trust 3.950% 01/02/2022 1,500,000 USD 1,497,496 1,513,125 0.24


Eaton Capital Unlimited Co 0.750% 20/09/2024 930,000 EUR 1,039,901 964,197 0.16

GE Capital International Funding Co Unlimited Co 3.373% 15/11/2025 2,326,000 USD 2,254,039 2,364,556 0.38

5,490,381 5,544,763 0.89 Italy



Buzzi Unicem SpA 2.125% 28/04/2023 1,255,000 EUR 1,430,560 1,344,404 0.22

Intesa Sanpaolo SpA 3.928% 15/09/2026 EMTN 155,000 EUR 181,428 168,104 0.03

2,718,871 2,641,629 0.43 Jersey

Delphi Automotive PLC 1.500% 10/03/2025 1,100,000 EUR 1,094,906 1,161,042 0.19


Delphi Automotive PLC 4.250% 15/01/2026 1,515,000 USD 1,526,832 1,568,521 0.25

Heathrow Funding Ltd 7.125% 14/02/2024 EMTN 1,585,000 GBP 2,944,710 2,538,101 0.41

6,035,661 5,745,189 0.93 Luxembourg

Prologis International Funding II SA 1.876% 17/04/2025 EMTN 1,440,000 EUR 1,566,386 1,554,988 0.25

Telecom Italia Capital SA 6.000% 30/09/2034 1,155,000 USD 1,030,418 1,068,375 0.17

2,596,804 2,623,363 0.42 Mexico

America Movil SAB de CV 1.500% 10/03/2024 2,195,000 EUR 2,400,710 2,332,540 0.38

America Movil SAB de CV 4.375% 16/07/2042 460,000 USD 459,300 425,921 0.07

Cemex SAB de CV 7.750% 16/04/2026 1,585,000 USD 1,586,245 1,755,387 0.28

Gruma SAB de CV 4.875% 01/12/2024 800,000 USD 851,422 836,400 0.13

Grupo Televisa SAB 5.000% 13/05/2045 915,000 USD 778,084 776,460 0.13

Mexichem SAB de CV 5.875% 17/09/2044 1,060,000 USD 1,051,676 944,725 0.15

Sigma Alimentos SA de CV 4.125% 02/05/2026 144A(2) 1,335,000 USD 1,332,471 1,268,250 0.20

8,459,908 8,339,683 1.34 Morocco

OCP SA 6.875% 25/04/2044 144A(2) 990,000 USD 1,016,592 995,075 0.16

1,016,592 995,075 0.16 Netherlands

Cooperatieve Rabobank UA 4.625% 23/05/2029 EMTN 2,400,000 GBP 4,018,863 3,184,964 0.51

EDP Finance BV 2.000% 22/04/2025 EMTN 2,730,000 EUR 2,806,159 2,825,506 0.45



Embraer Netherlands Finance BV 5.050% 15/06/2025 2,370,000 USD 2,300,161 2,355,780 0.38


(2) See Note 15.




Quantity / Face


Myriad International Holdings BV 5.500% 21/07/2025 1,105,000 USD 1,059,905 1,113,022 0.18


Petrobras Global Finance BV 8.375% 23/05/2021 955,000 USD 946,633 1,029,012 0.17

Schaeffler Finance BV 3.250% 15/05/2025 985,000 EUR 1,033,597 1,103,883 0.18


Teva Pharmaceutical Finance Netherlands III BV 2.800% 21/07/2023 1,890,000 USD 1,884,092 1,789,057 0.29


Vonovia Finance BV 1.500% 10/06/2026 EMTN 2,200,000 EUR 2,527,387 2,312,514 0.37

Ziggo Bond Finance BV 6.000% 15/01/2027 144A(2) 2,125,000 USD 2,121,843 2,061,250 0.33

20,636,009 19,558,369 3.15 New Zealand

BNZ International Funding Ltd/London 4.000% 08/03/2017 EMTN 980,000 EUR 1,328,084 1,041,238 0.17

Fonterra Co-operative Group Ltd 0.750% 08/11/2024 EMTN 2,275,000 EUR 2,509,995 2,352,486 0.38

3,838,079 3,393,724 0.55 Portugal

Brisa Concessao Rodoviaria SA 2.000% 22/03/2023 EMTN 1,100,000 EUR 1,222,968 1,187,271 0.19


1,892,537 1,813,660 0.29 Romania


708,079 638,623 0.10 Spain

Santander Issuances SAU 3.250% 04/04/2026 EMTN 1,200,000 EUR 1,352,179 1,290,581 0.21

Santander Issuances SAU 5.179% 19/11/2025 2,200,000 USD 2,123,350 2,220,686 0.36

Telefonica Emisiones SAU 1.930% 17/10/2031 EMTN 1,200,000 EUR 1,338,840 1,187,956 0.19

Telefonica Emisiones SAU 4.570% 27/04/2023 3,385,000 USD 3,547,098 3,551,312 0.57





Corp Andina de Fomento 4.375% 15/06/2022 2,140,000 USD 2,155,480 2,270,241 0.36

2,626,053 2,759,612 0.44 United Arab Emirates

Abu Dhabi National Energy Co PJSC 5.875% 13/12/2021 EMTN 1,365,000 USD 1,361,724 1,511,811 0.24

DP World Ltd 3.250% 18/05/2020 EMTN 590,000 USD 589,341 598,142 0.10

Dubai Electricity & Water Authority 7.375% 21/10/2020 1,495,000 USD 1,745,511 1,726,636 0.28

3,696,576 3,836,589 0.62





Quantity / Face


United States

Aetna Inc 3.200% 15/06/2026 2,005,000 USD 1,997,924 1,983,484 0.32

Aetna Inc 4.375% 15/06/2046 595,000 USD 598,520 597,467 0.10


Albemarle Corp 1.875% 08/12/2021 2,250,000 EUR 2,791,017 2,489,046 0.40


Ally Financial Inc 3.750% 18/11/2019 2,300,000 USD 2,288,092 2,309,844 0.37



Altria Group Inc 2.850% 09/08/2022 600,000 USD 601,524 600,735 0.10

American International Group Inc 4.800% 10/07/2045 1,100,000 USD 1,092,271 1,141,712 0.18

Anadarko Petroleum Corp 5.550% 15/03/2026 3,035,000 USD 3,171,348 3,396,954 0.55

Anheuser-Busch InBev Finance Inc 3.650% 01/02/2026 6,935,000 USD 6,963,654 7,040,343 1.13


Anheuser-Busch InBev Finance Inc 4.900% 01/02/2046 2,455,000 USD 2,449,412 2,653,536 0.43


AT&T Inc 2.750% 19/05/2023 925,000 EUR 1,151,937 1,073,811 0.17

AT&T Inc 4.125% 17/02/2026 2,970,000 USD 3,154,791 3,007,321 0.48

AT&T Inc 4.300% 15/12/2042 2,250,000 USD 2,018,629 2,014,144 0.32

AT&T Inc 4.450% 01/04/2024 2,705,000 USD 2,932,612 2,819,789 0.45

AT&T Inc 4.800% 15/06/2044 40,000 USD 40,409 37,797 0.01

AT&T Inc 5.150% 15/03/2042 1,040,000 USD 1,070,925 1,036,019 0.17

Avnet Inc 4.625% 15/04/2026 2,430,000 USD 2,438,328 2,367,624 0.38

Bank of America Corp 0.750% 26/07/2023 EMTN 100,000 EUR 109,758 104,036 0.02

Bank of America Corp 1.375% 26/03/2025 EMTN 1,500,000 EUR 1,634,737 1,602,933 0.26



Becton Dickinson and Co 1.900% 15/12/2026 1,275,000 EUR 1,348,717 1,383,402 0.22


Brown-Forman Corp 1.200% 07/07/2026 515,000 EUR 570,865 548,329 0.09

Citigroup Inc 1.500% 26/10/2028 EMTN 850,000 EUR 930,832 867,096 0.14

Citigroup Inc 3.875% 26/03/2025 1,725,000 USD 1,665,626 1,713,613 0.28





Crown Castle International Corp 3.400% 15/02/2021 1,110,000 USD 1,109,791 1,126,374 0.18



CVS Health Corp 2.875% 01/06/2026 2,425,000 USD 2,405,383 2,311,430 0.37

DDR Corp 3.625% 01/02/2025 1,350,000 USD 1,341,948 1,305,935 0.21






Quantity / Face


Eaton Corp 4.000% 02/11/2032 395,000 USD 411,822 389,405 0.06



Energy Transfer Partners LP 5.150% 01/02/2043 1,600,000 USD 1,649,484 1,490,979 0.24


Essex Portfolio LP 3.250% 01/05/2023 2,465,000 USD 2,451,832 2,455,798 0.40

Ford Motor Credit Co LLC 2.240% 15/06/2018 2,805,000 USD 2,805,000 2,808,801 0.45




Freeport-McMoRan Inc 5.450% 15/03/2043 585,000 USD 343,643 484,099 0.08

General Electric Co 4.125% 09/10/2042 1,780,000 USD 1,758,799 1,795,755 0.29

General Electric Co 4.625% 30/01/2043 EMTN 2,030,000 USD 2,006,941 2,032,233 0.33


General Motors Co 5.200% 01/04/2045 1,975,000 USD 1,962,761 1,903,726 0.31



General Motors Financial Co Inc 3.200% 13/07/2020 2,545,000 USD 2,544,497 2,552,655 0.41

General Motors Financial Co Inc 4.000% 15/01/2025 1,305,000 USD 1,246,599 1,273,212 0.21



Goldman Sachs Group Inc/The 3.625% 22/01/2023 2,505,000 USD 2,485,883 2,558,637 0.41



HCA Holdings Inc 6.250% 15/02/2021 1,035,000 USD 1,069,508 1,113,919 0.18

HCA Inc 5.375% 01/02/2025 735,000 USD 745,116 736,838 0.12

HSBC Bank USA NA/New York NY 5.625% 15/08/2035 775,000 USD 744,073 881,120 0.14

International Lease Finance Corp 5.875% 15/08/2022 1,407,000 USD 1,542,475 1,526,595 0.25

JPMorgan Chase & Co 1.500% 29/10/2026 EMTN 580,000 EUR 655,733 622,643 0.10

JPMorgan Chase & Co 3.125% 23/01/2025 1,220,000 USD 1,212,175 1,192,617 0.19


Kimco Realty Corp 2.800% 01/10/2026 1,475,000 USD 1,463,194 1,371,392 0.22



Kinder Morgan Inc/DE 5.050% 15/02/2046 3,560,000 USD 3,552,770 3,524,062 0.57


Kraft Heinz Foods Co 2.250% 25/05/2028 2,185,000 EUR 2,490,695 2,348,255 0.38

Kraft Heinz Foods Co 4.125% 01/07/2027 705,000 GBP 1,029,661 973,892 0.16

McKesson Corp 4.883% 15/03/2044 990,000 USD 992,556 1,007,089 0.16

MetLife Inc 4.125% 13/08/2042 540,000 USD 489,111 531,450 0.09

Mohawk Industries Inc 2.000% 14/01/2022 4,135,000 EUR 4,614,822 4,604,844 0.74

Moody's Corp 1.750% 09/03/2027 2,915,000 EUR 3,154,348 3,129,097 0.50



(2) See Note 15.

(3) See Note 13.




Quantity / Face


Morgan Stanley 3.750% 25/02/2023 4,450,000 USD 4,426,383 4,570,791 0.74




MPLX LP 4.500% 15/07/2023 640,000 USD 618,816 649,994 0.10

MPLX LP 4.875% 01/12/2024 525,000 USD 515,304 540,589 0.09

MPLX LP 4.875% 01/06/2025 755,000 USD 730,160 776,251 0.13

MPLX LP 5.500% 15/02/2023 500,000 USD 501,624 520,179 0.08

Noble Energy Inc 5.250% 15/11/2043 1,040,000 USD 1,034,694 1,059,359 0.17




Prologis LP 1.375% 13/05/2021 2,085,000 EUR 2,353,329 2,279,973 0.36

Prologis LP 3.000% 18/01/2022 EMTN 1,515,000 EUR 1,850,531 1,776,894 0.29

Reliance Steel & Aluminum Co 4.500% 15/04/2023 2,035,000 USD 2,029,697 2,047,381 0.33

Santander Holdings USA Inc 4.500% 17/07/2025 2,240,000 USD 2,239,236 2,225,991 0.36

Sempra Energy 3.750% 15/11/2025 1,230,000 USD 1,227,033 1,242,475 0.20

Solvay Finance America LLC 3.400% 03/12/2020 144A(2) 940,000 USD 939,896 956,443 0.15


Tenet Healthcare Corp 4.500% 01/04/2021 1,005,000 USD 1,000,417 994,950 0.16

Tenet Healthcare Corp 5.000% 01/03/2019 1,045,000 USD 1,045,000 1,018,875 0.16

Time Warner Cable LLC 5.250% 15/07/2042 735,000 GBP 992,693 1,043,674 0.17



Time Warner Inc 5.350% 15/12/2043 1,465,000 USD 1,479,247 1,551,473 0.25

Travelers Cos Inc/The 4.600% 01/08/2043 630,000 USD 628,562 681,174 0.11

U.S. Treasury Bond 2.500% 15/05/2046 11,865,000 USD 12,166,696 10,544,093 1.70

U.S. Treasury Bond 2.875% 15/05/2043(3) 2,295,000 USD 2,040,507 2,216,736 0.36



U.S. Treasury Bond 4.375% 15/11/2039 1,115,000 USD 1,394,814 1,376,415 0.22






UnitedHealth Group Inc 4.625% 15/07/2035 1,695,000 USD 2,003,675 1,847,616 0.30

Verizon Communications Inc 2.625% 15/08/2026 1,535,000 USD 1,503,511 1,413,047 0.23






Whiting Petroleum Corp 5.000% 15/03/2019 2,000,000 USD 2,000,000 2,007,820 0.32

Williams Partners LP 4.000% 15/09/2025 4,085,000 USD 4,074,036 4,039,162 0.65





Quantity / Face



Xcel Energy Inc 3.350% 01/12/2026 1,410,000 USD 1,407,288 1,411,170 0.23

ZF North America Capital Inc 2.750% 27/04/2023 1,400,000 EUR 1,441,004 1,556,241 0.25

Zimmer Biomet Holdings Inc 2.425% 13/12/2026 2,410,000 EUR 2,586,773 2,596,399 0.42

Zimmer Biomet Holdings Inc 3.550% 01/04/2025 2,095,000 USD 2,076,384 2,040,503 0.33

232,364,097 230,171,277 37.10


Variable rate bonds

France

AXA SA 3.375% 06/07/2047 EMTN 1,125,000 EUR 1,249,153 1,205,216 0.20

AXA SA 5.125% 04/07/2043 EMTN 875,000 EUR 1,149,523 1,062,906 0.17

AXA SA 5.250% 16/04/2040 EMTN 1,500,000 EUR 1,965,936 1,760,878 0.28

BNP Paribas SA 2.625% 14/10/2027 EMTN 1,555,000 EUR 1,933,047 1,681,570 0.27

Electricite de France SA 4.125% 31/12/2049 EMTN 300,000 EUR 307,063 311,570 0.05

Veolia Environnement SA 4.850% 31/12/2049 100,000 GBP 142,941 127,805 0.02

6,747,663 6,149,945 0.99 Germany

Allianz SE 2.241% 07/07/2045 2,600,000 EUR 2,736,233 2,663,793 0.43

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 6.000% 26/05/2041 EMTN 800,000 EUR 1,047,583 995,725 0.16

3,783,816 3,659,518 0.59 Great Britain

Aviva PLC 3.875% 03/07/2044 EMTN 1,500,000 EUR 2,032,720 1,629,873 0.26

Aviva PLC 5.125% 04/06/2050 EMTN 780,000 GBP 1,179,861 966,146 0.16

Aviva PLC 6.625% 03/06/2041 EMTN 849,000 GBP 1,372,824 1,162,091 0.19




Great Hall Mortgages PLC 0.521% 18/06/2038 104,320 GBP 130,747 124,191 0.02

HBOS PLC 4.500% 18/03/2030 EMTN 1,000,000 EUR 1,414,841 1,159,050 0.19

HSBC Bank PLC 5.375% 04/11/2030 EMTN 500,000 GBP 757,782 688,287 0.11

Ludgate Funding PLC 0.000% 01/01/2061 192,456 EUR 189,104 189,913 0.03

Prudential PLC 5.000% 20/07/2055 EMTN 1,025,000 GBP 1,554,482 1,240,529 0.20




RMAC Securities No 1 PLC 0.526% 12/06/2044 121,989 GBP 143,142 140,142 0.02

Royal Bank of Scotland Group PLC 3.625% 25/03/2024 EMTN 100,000 EUR 106,086 105,363 0.02

RSA Insurance Group PLC 5.125% 10/10/2045 410,000 GBP 622,795 516,487 0.08

Silverstone Master Issuer PLC 0.007% 21/01/2070 430,000 EUR 490,308 453,641 0.07


Taurus GMF1 PLC 0.738% 21/05/2024 1,723,111 EUR 2,269,940 1,821,911 0.29


Trinity Square PLC 1.551% 15/07/2051 699,154 GBP 1,051,996 867,464 0.14

17,159,563 14,535,021 2.34


(2) See Note 15.




Quantity / Face


Ireland

Aquarius and Investments PLC for Zurich Insurance Co Ltd 4.250% 02/10/2043 EMTN 3,560,000 EUR 4,585,649 4,136,983 0.67

4,585,649 4,136,983 0.67 Italy

Claris ABS Srl 0.137% 31/10/2060 1,119,425 EUR 1,377,627 1,178,491 0.19

1,377,627 1,178,491 0.19 Netherlands

Allianz Finance II BV 5.750% 08/07/2041 EMTN 500,000 EUR 697,762 613,058 0.10

Demeter Investments BV for Swiss Re Ltd 5.750% 15/08/2050 1,600,000 USD 1,634,773 1,604,160 0.26


ING Bank NV 3.625% 25/02/2026 EMTN 1,375,000 EUR 1,637,683 1,577,742 0.25

Volksbank NV 3.750% 05/11/2025 EMTN 1,595,000 EUR 1,821,609 1,759,621 0.28

6,452,824 6,221,727 1.00


Investment Funds

Luxembourg

Natixis International Funds Lux I-Loomis Sayles Short Term Emerging Markets Bond 266,965 USD 26,696,525 29,651,830 4.78

26,696,525 29,651,830 4.78




Australia

Asciano Finance Ltd 4.625% 23/09/2020 2,155,000 USD 2,136,747 2,229,585 0.36

2,136,747 2,229,585 0.36 Bermuda Islands

Holcim Capital Corp Ltd 6.500% 12/09/2043 144A(2) 890,000 USD 919,866 1,031,329 0.17

919,866 1,031,329 0.17 Canada


530,429 518,877 0.08 Chile

Transelec SA 4.250% 14/01/2025 965,000 USD 957,485 968,327 0.16

957,485 968,327 0.16 France

Air Liquide Finance SA 1.375% 27/09/2019 144A(2) 2,880,000 USD 2,873,694 2,827,878 0.46

Air Liquide Finance SA 1.750% 27/09/2021 144A(2) 2,875,000 USD 2,860,373 2,760,540 0.44

BNP Paribas SA 4.375% 28/09/2025 144A(2) 1,095,000 USD 1,086,207 1,088,705 0.18

Danone SA 2.947% 02/11/2026 144A(2) 3,175,000 USD 3,175,000 3,029,848 0.49

Pernod Ricard SA 4.450% 15/01/2022 144A(2) 1,175,000 USD 1,192,967 1,246,646 0.20

Pernod Ricard SA 5.500% 15/01/2042 144A(2) 1,435,000 USD 1,549,862 1,579,879 0.25

12,738,103 12,533,496 2.02


(2) See Note 15.




Quantity / Face


Great Britain

Centrica PLC 4.000% 16/10/2023 144A(2) 1,880,000 USD 1,918,011 1,914,210 0.31

Santander UK Group Holdings PLC 4.750% 15/09/2025 144A(2) 1,390,000 USD 1,386,661 1,360,812 0.22

3,304,672 3,275,022 0.53 Italy


Intesa Sanpaolo SpA 5.710% 15/01/2026 144A(2) 1,560,000 USD 1,546,590 1,488,675 0.24

2,280,051 2,177,193 0.35 Netherlands

ABN AMRO Bank NV 2.450% 04/06/2020 144A(2) 1,440,000 USD 1,437,831 1,433,174 0.23

EDP Finance BV 4.125% 15/01/2020 1,355,000 USD 1,353,316 1,384,702 0.22


Enel Finance International NV 6.000% 07/10/2039 144A(2) 2,560,000 USD 2,221,860 2,859,981 0.46

Koninklijke Ahold Delhaize NV 5.700% 01/10/2040 2,595,000 USD 2,757,675 2,875,501 0.46

LeasePlan Corp NV 2.500% 16/05/2018 1,475,000 USD 1,473,117 1,477,145 0.24

Siemens Financieringsmaatschappij NV 2.350% 15/10/2026 144A(2) 1,975,000 USD 1,838,702 1,828,076 0.30

Siemens Financieringsmaatschappij NV 3.300%

15/09/2046 144A(2) 1,755,000 USD 1,540,850 1,528,020 0.25

12,828,011 13,590,983 2.19 United States


A10 Securitization LLC 2.400% 15/11/2025 144A(2) 23,530 USD 23,530 23,528 0.00

Activision Blizzard Inc 2.300% 15/09/2021 144A(2) 1,510,000 USD 1,508,263 1,473,530 0.24

Activision Blizzard Inc 3.400% 15/09/2026 144A(2) 1,700,000 USD 1,604,700 1,613,514 0.26




American Airlines 5.250% 15/01/2024 1,809,189 USD 1,809,189 1,854,419 0.30

Anthem Inc 4.650% 15/08/2044 2,000,000 USD 1,996,153 2,024,572 0.33


BAE Systems Holdings Inc 3.850% 15/12/2025 144A(2) 2,045,000 USD 2,023,430 2,085,648 0.34

Celgene Corp 5.000% 15/08/2045 1,235,000 USD 1,226,200 1,284,067 0.21

Chevron Phillips Chemical Co LLC/Chevron Phillips Chemical Co LP 2.450% 01/05/2020 144A(2) 425,000 USD 424,909 422,060 0.07


CLI Funding V LLC 3.380% 18/10/2029 144A(2) 3,592,176 USD 3,591,049 3,453,529 0.56



Credit Acceptance Auto Loan Trust 2.940% 15/10/2024 144A(2) 1,395,000 USD 1,394,847 1,373,489 0.22

Delphi Corp 4.150% 15/03/2024 960,000 USD 969,226 989,498 0.16

Delta Air Lines 4.250% 30/07/2023 1,313,606 USD 1,313,606 1,340,344 0.22

Exeter Automobile Receivables Trust 2.770% 15/11/2019 144A(2) 1,275,000 USD 1,274,939 1,278,020 0.21


(2) See Note 15.




Quantity / Face



Express Scripts Holding Co 4.500% 25/02/2026 4,605,000 USD 4,795,287 4,740,723 0.76


Gilead Sciences Inc 4.500% 01/02/2045 1,745,000 USD 1,856,575 1,743,532 0.28


Hyundai Capital America 2.750% 27/09/2026 3,520,000 USD 3,517,018 3,197,410 0.52

Hyundai Capital America 3.000% 30/10/2020 EMTN 1,920,000 USD 1,919,118 1,920,163 0.31

INVISTA Finance LLC 4.250% 15/10/2019 3,150,000 USD 3,150,000 3,122,894 0.50

Kraft Heinz Foods Co 3.000% 01/06/2026 1,535,000 USD 1,528,685 1,441,115 0.23


Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp 7.375% 01/10/2017 1,125,000 USD 1,125,623 1,125,000 0.18


LafargeHolcim Finance US LLC 4.750% 22/09/2046 144A(2) 1,185,000 USD 1,160,544 1,146,040 0.18

Liberty Mutual Group Inc 4.850% 01/08/2044 1,110,000 USD 1,109,267 1,094,670 0.18


Liberty Mutual Group Inc 5.000% 01/06/2021 144A(2) 1,270,000 USD 1,351,622 1,381,722 0.22

Marriott International Inc/MD 2.300% 15/01/2022 3,720,000 USD 3,706,176 3,608,575 0.58

Meccanica Holdings USA Inc 6.250% 15/01/2040 144A(2) 1,725,000 USD 1,622,312 1,746,562 0.28

Nationwide Financial Services Inc 5.375% 25/03/2021 144A(2) 4,675,000 USD 5,048,604 5,106,227 0.82

Northrop Grumman Corp 3.200% 01/02/2027 2,025,000 USD 2,021,767 2,003,535 0.32

Quicken Loans Inc 5.750% 01/05/2025 144A(2) 1,055,000 USD 1,035,210 1,025,988 0.17

Spirit Airlines 4.450% 01/04/2024 1,541,405 USD 1,541,405 1,566,124 0.25

SpringCastle America Funding LLC 3.050% 25/04/2029 144A(2) 1,167,187 USD 1,167,143 1,173,023 0.19


Trans-Allegheny Interstate Line Co 3.850% 01/06/2025 1,070,000 USD 1,069,345 1,083,943 0.17



Verizon Owner Trust 1.680% 20/05/2021 144A(2) 1,115,000 USD 1,114,887 1,110,508 0.18

Wachovia Bank Commercial Mortgage Trust 5.342% 15/12/2043 210,111 USD 221,153 209,876 0.03

WEA Finance LLC/Westfield UK & Europe Finance PLC 2.700% 17/09/2019 2,300,000 USD 2,297,509 2,326,328 0.37

WEA Finance LLC/Westfield UK & Europe Finance PLC 3.250% 05/10/2020 144A(2) 1,900,000 USD 1,895,104 1,932,304 0.31



74,750,720 74,462,291 12.00






Quantity / Face


Variable rate bonds

United States

Commerical Mortgage Trust 2.404% 13/05/2031

144A(2) 1,413,244 USD 1,412,239 1,407,002 0.23


Morgan Stanley Re-REMIC Trust 5.793% 15/08/2045 144A(2) 1,100,000 USD 1,165,132 1,104,041 0.18

RBSCF Trust 5.695% 16/09/2040 144A(2) 1,110,000 USD 1,123,668 1,114,733 0.18

3,975,758 3,898,903 0.63




United States

Welltower Inc 4.800% 20/11/2028 870,000 GBP 1,251,094 1,238,489 0.20

1,251,094 1,238,489 0.20




(2) See Note 15.





H-I/A (GBP)





H-S/A (GBP)





H-S/A (SGD)





I/A (USD)





S/A (USD)





S/A (EUR)








USD USD USD



H-I/A (GBP) 131.88 110.07 122.86

H-S/A (GBP) 131.76 - -

H-S/A (SGD) 129.17 107.36 119.03

I/A (USD) - 89.89 100.43

S/A (USD) 171.99 143.05 159.67

S/A (EUR) 170.45 137.65 137.99

S/D (USD) - - 99.18


(2) See Note 15.


Loomis Sayles Institutional High Income Fund Statement of Investments As at December 31, 2016 (expressed in USD)

Quantity / Face



Luxembourg

ArcelorMittal 82,236 USD 963,979 600,323 0.43

963,979 600,323 0.43 United States

AES Trust III 6.750% 15/10/2029 Preferred Convertible 25,048 USD 1,243,515 1,262,419 0.92

Arconic Inc 5.375% 01/10/2017 Preferred Convertible 4,294 USD 208,355 129,464 0.09

Basic Energy Services Inc 9,266 USD 480,684 327,553 0.24

Belden Inc 6.750% 15/07/2019 Preferred Convertible 2,196 USD 219,600 232,051 0.17

Bristol-Myers Squibb Co 49,646 USD 1,298,700 2,901,312 2.11

Chesapeake Energy Corp 7,718 USD 180,972 54,180 0.04

Chesapeake Energy Corp 4.500% Preferred Convertible 12,763 USD 1,064,253 591,565 0.43

El Paso Energy Capital Trust I 4.750% 31/03/2028 Preferred Convertible 20,640 USD 907,293 1,024,776 0.74

Ford Motor Co 214,030 USD 2,409,332 2,596,184 1.89

Halcon Resources Corp 4,956 USD 180,165 46,289 0.03

Hercules Offshore Inc 41,869 USD 2,580,000 – 0.00

Hovnanian Enterprises Inc 7.625% Preferred 13,192 USD 116,543 95,246 0.07

Intel Corp 90,480 USD 1,844,473 3,281,710 2.38

iStar Inc 7.650% Preferred 546 USD 10,876 13,104 0.01

iStar Inc 7.800% Preferred 6,603 USD 131,532 160,981 0.12

iStar Inc 7.875% Preferred 10,963 USD 218,383 265,853 0.19

Navient Corp 6.000% 15/12/2043 Preferred 1,051 USD 18,424 23,338 0.02

Newell Brands Inc 3,549 USD 124,018 158,463 0.11

Rex Energy Corp 26,250 USD 232,668 12,369 0.01

Whiting Petroleum Corp 99,722 USD 876,062 1,198,659 0.87

14,345,848 14,375,516 10.44

Total - Shares 15,309,827 14,975,839 10.87

Fixed rate bonds

Australia

New South Wales Treasury Corp 3.500% 20/03/2019 160,000 AUD 139,847 119,530 0.09

139,847 119,530 0.09 Brazil

Brazilian Government International Bond 10.250% 10/01/2028 2,890,000 BRL 1,645,873 822,461 0.60

1,645,873 822,461 0.60

Canada

First Quantum Minerals Ltd 7.250% 15/10/2019 144A(2) 200,000 USD 192,429 202,000 0.15

Precision Drilling Corp 5.250% 15/11/2024 10,000 USD 8,375 9,350 0.01


(2) See Note 15.


Loomis Sayles Institutional High Income Fund Statement of Investments (continued)


Quantity / Face


Precision Drilling Corp 6.625% 15/11/2020 373,694 USD 328,424 379,299 0.27

529,228 590,649 0.43 Great Britain

Titan Global Finance PLC 4.250% 10/07/2019 EMTN 2,845,000 EUR 3,872,045 3,135,798 2.28

3,872,045 3,135,798 2.28 Greece

Hellenic Republic Government Bond 3.000% 24/02/2024 120,000 EUR 100,094 100,751 0.07

Hellenic Republic Government Bond 3.000% 24/02/2041 225,000 EUR 142,040 147,679 0.11

Hellenic Republic Government Bond 3.375% 17/07/2017 144A(2) 790,000 EUR 889,991 816,587 0.59

1,132,125 1,065,017 0.77 Luxembourg


842,875 846,375 0.61 Mexico



Mexican Bonos 8.000% 07/12/2023 49,034,600 MXN 4,330,925 2,468,903 1.79


Mexican Bonos 10.000% 05/12/2024 13,539,300 MXN 1,320,129 760,524 0.55

6,851,340 3,917,708 2.84 Netherlands

Portugal Telecom International Finance BV 5.000% 04/11/2019 EMTN 45,000 EUR 51,529 14,595 0.01

51,529 14,595 0.01 New Zealand

Fonterra Co-operative Group Ltd 4.500% 30/06/2021 1,700,000 AUD 1,592,859 1,266,486 0.92

New Zealand Government Bond 3.000% 15/04/2020 2,370,000 NZD 1,976,778 1,678,170 1.22

3,569,637 2,944,656 2.14 Norway

Norway Government Bond 3.750% 25/05/2021 144A(2) 1,563,000 NOK 229,448 202,210 0.15



823,090 669,890 0.49 United States

AK Steel Corp 7.625% 15/05/2020 180,000 USD 180,000 183,600 0.13

Bonanza Creek Energy Inc 5.750% 01/02/2023 410,000 USD 354,071 299,300 0.22


California Resources Corp 5.500% 15/09/2021 208,000 USD 207,773 163,280 0.12


Chesapeake Energy Corp 2.250% 15/12/2038 200,000 USD 194,542 196,500 0.14







Quantity / Face


CHS/Community Health Systems Inc 6.875% 01/02/2022 1,050,000 USD 892,134 729,750 0.53

Cincinnati Bell Telephone Co LLC 6.300% 01/12/2028 525,000 USD 437,248 511,875 0.37

Citigroup Inc 6.250% 29/06/2017 140,000 NZD 110,093 99,090 0.07



DPL Inc 6.750% 01/10/2019 451,000 USD 451,000 458,892 0.33

Eclipse Resources Corp 8.875% 15/07/2023 1,965,000 USD 1,931,457 2,050,969 1.49

Foot Locker Inc 8.500% 15/01/2022 435,000 USD 418,035 510,038 0.37

General Electric Co 5.500% 01/02/2017 EMTN 25,000 NZD 20,153 17,473 0.01

HCA Inc 7.750% 15/07/2036 405,000 USD 374,185 428,287 0.31

Hecla Mining Co 6.875% 01/05/2021 1,160,000 USD 1,158,008 1,186,100 0.86

iHeartCommunications Inc 9.000% 01/03/2021 1,890,000 USD 1,840,164 1,398,600 1.02

iStar Inc 5.000% 01/07/2019 355,000 USD 355,000 356,331 0.26

iStar Inc 5.850% 15/03/2017 675,000 USD 671,419 678,037 0.49

JC Penney Corp Inc 5.650% 01/06/2020 230,000 USD 219,555 226,837 0.17

JC Penney Corp Inc 6.375% 15/10/2036 90,000 USD 78,945 75,712 0.06

Kindred Healthcare Inc 8.000% 15/01/2020 595,000 USD 574,903 592,025 0.43

Kindred Healthcare Inc 8.750% 15/01/2023 1,090,000 USD 1,090,000 1,019,150 0.74

Morgan Stanley 8.000% 09/05/2017 590,000 AUD 608,024 434,880 0.32

New Albertsons Inc 6.625% 01/06/2028 1,080,000 USD 929,118 966,600 0.70

New Albertsons Inc 7.450% 01/08/2029 1,535,000 USD 1,333,202 1,450,575 1.05

New Albertsons Inc 7.750% 15/06/2026 245,000 USD 204,825 242,856 0.18

New Albertsons Inc 8.000% 01/05/2031 1,890,000 USD 1,731,059 1,809,675 1.31

New Albertsons Inc 8.700% 01/05/2030 720,000 USD 638,437 723,600 0.53

Oasis Petroleum Inc 6.875% 15/03/2022 375,000 USD 341,144 384,375 0.28

Pioneer Energy Services Corp 6.125% 15/03/2022 1,855,000 USD 1,855,000 1,706,600 1.24

QEP Resources Inc 5.250% 01/05/2023 195,000 USD 188,888 195,487 0.14

Qwest Capital Funding Inc 6.875% 15/07/2028 285,000 USD 255,000 258,638 0.19

Qwest Capital Funding Inc 7.625% 03/08/2021 135,000 USD 129,741 139,725 0.10

Qwest Capital Funding Inc 7.750% 15/02/2031 1,400,000 USD 1,296,601 1,274,000 0.93

Qwest Corp 7.250% 15/09/2025 200,000 USD 193,722 214,549 0.16

Qwest Corp 7.250% 15/10/2035 935,000 USD 907,456 885,403 0.64

Sanchez Energy Corp 6.125% 15/01/2023 140,000 USD 140,000 133,000 0.10

ServiceMaster Co LLC/The 7.450% 15/08/2027 545,000 USD 467,741 573,613 0.42

SM Energy Co 5.000% 15/01/2024 285,000 USD 253,864 268,613 0.20

SM Energy Co 5.625% 01/06/2025 120,000 USD 102,407 115,800 0.08

SM Energy Co 6.125% 15/11/2022 193,000 USD 193,000 195,413 0.14

SM Energy Co 6.500% 15/11/2021 35,000 USD 33,574 35,700 0.03

Southwestern Energy Co 6.700% 23/01/2025 190,000 USD 180,318 194,275 0.14

Springleaf Finance Corp 5.250% 15/12/2019 485,000 USD 480,672 488,638 0.36

Springleaf Finance Corp 7.750% 01/10/2021 1,295,000 USD 1,295,000 1,366,225 0.99


Sprint Capital Corp 6.875% 15/11/2028 2,731,000 USD 2,411,661 2,696,863 1.96

Sprint Capital Corp 8.750% 15/03/2032 15,000 USD 13,972 16,500 0.01

Sprint Communications Inc 6.000% 15/11/2022 225,000 USD 223,826 226,688 0.16


(2) See Note 15.




Quantity / Face


Sprint Corp 7.125% 15/06/2024 300,000 USD 293,879 309,000 0.22

SUPERVALU Inc 7.750% 15/11/2022 525,000 USD 522,686 529,594 0.38




United States Steel Corp 7.375% 01/04/2020 940,000 USD 627,984 1,008,150 0.73

United States Steel Corp 6.650% 01/06/2037 955,000 USD 838,591 823,687 0.60

United States Steel Corp 7.500% 15/03/2022 880,000 USD 880,000 908,600 0.66




39,594,322 39,688,201 28.82


Warrants

United States

Halcon Resources Corp 9,420 USD 8,039 21,666 0.02

8,039 21,666 0.02

Total - Warrants 8,039 21,666 0.02


Transferable securities dealt in on another regulated market

Fixed rate bonds

Argentina

Pan American Energy LLC/Argentine Branch 7.875% 07/05/2021 144A(2) 335,000 USD 331,795 351,750 0.26

331,795 351,750 0.26 Australia

Virgin Australia Holdings Ltd 8.500% 15/11/2019 144A(2) 585,000 USD 585,000 606,938 0.44

585,000 606,938 0.44 Canada

1839688 Alberta ULC defaulted 14.000% 13/02/2020 1,860,143 USD 1,860,143 744 0.00

Air Canada 5.375% 15/05/2021 144A(2) 111,581 USD 111,581 114,370 0.08

Baytex Energy Corp 5.125% 01/06/2021 144A(2) 90,000 USD 75,880 81,225 0.06


Bellatrix Exploration Ltd 8.500% 15/05/2020 144A(2) 1,550,000 USD 1,529,376 1,511,250 1.10

Bombardier Inc 6.125% 15/01/2023 144A(2) 120,000 USD 118,882 114,408 0.08

Bombardier Inc 7.450% 01/05/2034 1,285,000 USD 1,209,210 1,129,194 0.82

First Quantum Minerals Ltd 7.000% 15/02/2021 144A(2) 115,000 USD 107,312 114,379 0.08

First Quantum Minerals Ltd 7.250% 15/05/2022 144A(2) 1,610,000 USD 1,582,056 1,585,850 1.15


(2) See Note 15.




Quantity / Face


MEG Energy Corp 6.375% 30/01/2023 144A(2) 200,000 USD 186,657 178,000 0.13



7,445,706 5,512,970 4.00

Cayman Islands

Transocean Proteus Ltd 6.250% 01/12/2024 144A(2) 1,075,000 USD 1,059,008 1,085,083 0.79

1,059,008 1,085,083 0.79 Great Britain

Paragon Offshore PLC defaulted 6.750% 15/07/2022 144A(2) 431,000 USD 431,000 75,425 0.05

Paragon Offshore PLC defaulted 7.250% 15/08/2024 144A(2) 992,000 USD 992,000 173,600 0.13

1,423,000 249,025 0.18 Ireland

Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc 6.000% 30/06/2021 144A(2) 290,000 USD 290,000 295,075 0.21

290,000 295,075 0.21

Multinational

Hexion Inc/Hexion Nova Scotia Finance ULC 9.000% 15/11/2020 195,000 USD 185,349 152,100 0.11

185,349 152,100 0.11 Netherlands

Oi Brasil Holdings Cooperatief UA defaulted 5.750% 10/02/2022 144A(2) 360,000 USD 334,111 113,850 0.08

334,111 113,850 0.08 United States

Advanced Micro Devices Inc 7.000% 01/07/2024 279,000 USD 279,000 289,462 0.21

Amsted Industries Inc 5.000% 15/03/2022 144A(2) 270,000 USD 270,000 270,000 0.20

Atrium Windows & Doors Inc 7.750% 01/05/2019 144A(2) 1,280,000 USD 1,273,935 1,182,400 0.86

BioMarin Pharmaceutical Inc 0.750% 15/10/2018 75,000 USD 75,000 83,859 0.06

BioMarin Pharmaceutical Inc 1.500% 15/10/2020 105,000 USD 105,000 123,047 0.09

CalAtlantic Group Inc 0.250% 01/06/2019 1,335,000 USD 1,279,942 1,243,219 0.90

CalAtlantic Group Inc 1.250% 01/08/2032 490,000 USD 490,000 504,394 0.37

California Resources Corp 8.000% 15/12/2022

144A(2) 330,000 USD 236,844 293,700 0.21

Calumet Specialty Products Partners LP/Calumet Finance Corp 7.625% 15/01/2022 385,000 USD 381,410 326,287 0.24

CE Generation LLC 7.416% 15/12/2018 60,773 USD 60,795 56,822 0.04

Chesapeake Energy Corp 5.500% 15/09/2026 144A(2) 30,000 USD 26,714 32,475 0.02



Ciena Corp 3.750% 15/10/2018 144A(2) 855,000 USD 840,379 1,154,784 0.84

Cincinnati Bell Inc 7.000% 15/07/2024 144A(2) 485,000 USD 485,000 512,887 0.37

Cleaver-Brooks Inc 8.750% 15/12/2019 144A(2) 195,000 USD 194,475 203,044 0.15

Communications Sales & Leasing Inc/CSL Capital LLC 8.250% 15/10/2023 940,000 USD 917,842 996,400 0.72




(2) See Note 15.




Quantity / Face


DISH DBS Corp 5.000% 15/03/2023 1,145,000 USD 1,108,577 1,139,275 0.83

DISH DBS Corp 5.875% 15/11/2024 126,000 USD 126,000 129,654 0.09

DISH Network Corp 3.375% 15/08/2026 144A(2) 2,270,000 USD 2,270,000 2,583,544 1.88

Donnelley Financial Solutions Inc 8.250%

15/10/2024 144A(2) 385,000 USD 385,000 391,737 0.28

Evolent Health Inc 2.000% 01/12/2021 144A(2) 280,000 USD 280,000 268,625 0.20

Frontier Communications Corp 6.875% 15/01/2025 485,000 USD 430,773 411,038 0.30



Frontier Communications Corp 7.875% 15/01/2027 1,145,000 USD 1,080,947 947,487 0.69


FTS International Inc 6.250% 01/05/2022 1,155,000 USD 1,112,175 952,875 0.69

GCP Applied Technologies Inc 9.500% 01/02/2023 144A(2) 305,000 USD 305,000 349,988 0.25

Hexion Inc 7.875% 15/02/2023 1,355,000 USD 1,223,251 542,000 0.39

Hexion Inc 8.875% 01/02/2018 1,050,000 USD 1,035,564 1,044,750 0.76

Hexion Inc 9.200% 15/03/2021 545,000 USD 501,136 234,350 0.17

Hologic Inc 2.000% 01/03/2042 1,600,000 USD 1,589,328 2,170,000 1.58

Iconix Brand Group Inc 1.500% 15/03/2018 800,000 USD 798,452 752,000 0.55

iHeartCommunications Inc 9.000% 15/09/2022 600,000 USD 600,000 441,000 0.32

Intercept Pharmaceuticals Inc 3.250% 01/07/2023 160,000 USD 160,000 142,600 0.10

Ironwood Pharmaceuticals Inc 2.250% 15/06/2022 60,000 USD 56,048 68,662 0.05

K Hovnanian Enterprises Inc 8.000% 01/11/2019 144A(2) 1,342,000 USD 1,342,000 1,029,985 0.75

KB Home 1.375% 01/02/2019 255,000 USD 252,975 248,147 0.18

Kraton Polymers LLC/Kraton Polymers Capital Corp 10.500% 15/04/2023 144A(2) 1,145,000 USD 1,083,731 1,290,988 0.94

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp 5.875% 01/08/2021 144A(2) 2,268,000 USD 2,268,000 2,154,600 1.56

Liberty Interactive LLC 3.500% 15/01/2031 216,519 USD 153,369 203,087 0.15

MBIA Insurance Corp 12.140% 15/01/2033 95,000 USD 56,850 43,700 0.03

MBIA Insurance Corp 12.140% 15/01/2033 144A(2) 15,000 USD 6,394 6,900 0.00


Micron Technology Inc 3.000% 15/11/2043 2,175,000 USD 1,652,987 2,160,047 1.57

Microsemi Corp 9.125% 15/04/2023 144A(2) 640,000 USD 640,000 745,600 0.54

Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance Inc 7.875% 01/10/2022 144A(2) 865,000 USD 841,871 893,113 0.65

Navient Corp 5.000% 15/06/2018 717,000 USD 689,810 717,000 0.52

Navient Corp 5.500% 15/01/2019 160,000 USD 160,437 166,000 0.12

Navient Corp 5.500% 25/01/2023 90,000 USD 89,583 87,300 0.06

Navient Corp 5.625% 01/08/2033 1,830,000 USD 1,526,703 1,509,750 1.10

Navient Corp 8.000% 25/03/2020 1,590,000 USD 1,526,963 1,763,946 1.28

Navistar International Corp 4.500% 15/10/2018 460,000 USD 426,988 453,388 0.33

Navistar International Corp 4.750% 15/04/2019 35,000 USD 31,355 34,563 0.03


(2) See Note 15.




Quantity / Face


Nine West Holdings Inc 6.125% 15/11/2034 965,000 USD 819,066 151,988 0.11

Nuance Communications Inc 1.000% 15/12/2035 1,970,000 USD 1,909,976 1,784,349 1.30

Nuance Communications Inc 1.500% 01/11/2035 1,004,000 USD 990,804 973,253 0.71


Rain CII Carbon LLC/CII Carbon Corp 8.250% 15/01/2021 144A(2) 395,000 USD 395,000 392,531 0.28

Rex Energy Corp 1.000% 01/10/2020 1,750,000 USD 1,537,114 910,000 0.66

Rovi Corp 0.500% 01/03/2020 490,000 USD 450,620 494,520 0.36

RTI International Metals Inc 1.625% 15/10/2019 410,000 USD 393,194 424,094 0.31

Sidewinder Drilling Inc 9.750% 15/11/2019 1,415,000 USD 1,415,000 88,438 0.06

Sidewinder Drilling Inc 9.750% 15/11/2019 144A(2) 110,000 USD 104,147 6,875 0.00

TPC Group Inc 8.750% 15/12/2020 144A(2) 2,020,000 USD 2,020,000 1,706,900 1.24

Trinity Industries Inc 3.875% 01/06/2036 1,395,000 USD 1,351,922 1,784,728 1.30

US Airways 8.500% 22/04/2017 60,592 USD 60,592 61,207 0.04

US Airways 9.750% 22/10/2018 339,550 USD 339,550 374,900 0.27

Viavi Solutions Inc 0.625% 15/08/2033 310,000 USD 308,922 320,462 0.23

Windstream Services LLC 7.500% 01/06/2022 190,000 USD 158,775 186,200 0.14




47,790,055 45,850,369 33.30


Variable rate bonds

Bermuda Islands

Sirius International Group Ltd 7.506% 31/12/2049 144A(2) 1,355,000 USD 1,228,941 1,363,469 0.99

1,228,941 1,363,469 0.99 United States

AGFC Capital Trust I 6.000% 15/01/2067 405,000 USD 294,545 196,931 0.14


GS Mortgage Securities Trust 5.790% 10/08/2045 80,000 USD 77,142 79,026 0.06

414,809 322,194 0.23




Spain

Repsol SA ADR 18,549 USD 458,863 261,541 0.19

458,863 261,541 0.19 United States

Chesapeake Energy Corp 5.000% Preferred Convertible 8,274 USD 742,174 384,576 0.28

Chesapeake Energy Corp 5.750% Preferred Convertible 30 USD 14,900 16,481 0.01





Quantity / Face


Chesapeake Energy Corp 5.750% Preferred Convertible 70 USD 32,856 39,112 0.03

iStar Inc 4.500% Preferred Convertible 1,006 USD 50,300 52,312 0.04

840,230 492,481 0.36

Total - Shares 1,299,093 754,022 0.55

Fixed rate bonds

Canada

Bombardier Inc 7.350% 22/12/2026 144A(2) 590,000 CAD 537,270 401,458 0.29

Gibson Energy Inc 5.375% 15/07/2022 144A(2) 365,000 CAD 334,693 271,834 0.20

871,963 673,292 0.49 United States

Meccanica Holdings USA Inc 7.375% 15/07/2039 915,000 USD 755,954 989,344 0.72

755,954 989,344 0.72




(2) See Note 15.





H-I/A (EUR)





H-R/A (EUR)





H-RE/A (EUR)





H-S/A (EUR)





H-S/A (GBP)





I/A (USD)





I/D (USD)





Q/A (USD)





R/A (USD)





R/D (USD)





RE/A (USD)








(continued)

S/A (USD)





H-I/A (CHF)





H-I/D (EUR)





H-R/D (EUR)








USD USD USD



H-I/A (EUR) 101.08 98.04 -

H-R/A (EUR) 102.40 99.80 -

H-RE/A (EUR) 100.08 98.17 -

H-S/A (EUR) 101.39 97.84 -

H-S/A (GBP) 100.04 - -

I/A (USD) 109.14 104.20 103.27

I/D (USD) 98.65 97.03 99.61

Q/A (USD) 111.07 105.46 104.00

R/A (USD) 102.92 98.85 98.56

R/D (USD) 100.34 98.71 -

RE/A (USD) 102.22 98.66 98.87

S/A (USD) 104.99 99.94 -

H-I/A (CHF) 100.70 97.93 -

H-I/D (EUR) 99.15 - -

H-R/D (EUR) 99.40 98.94 -


(2) See Note 15.


Loomis Sayles Short Term Emerging Markets Bond Fund Statement of Investments



Argentina

Argentine Republic Government International Bond 6.250% 22/04/2019 2,465,000 USD 2,530,056 2,631,388 0.70

Cablevision SA/Argentina 6.500% 15/06/2021 880,000 USD 903,297 894,300 0.24

YPF SA 8.500% 23/03/2021 2,460,000 USD 2,645,986 2,638,596 0.71

6,079,339 6,164,284 1.65 Bangladesh

Banglalink Digital Communications Ltd 8.625% 06/05/2019 1,450,000 USD 1,513,839 1,531,490 0.41

1,513,839 1,531,490 0.41 Barbados

Columbus International, Ltd 7.375% 30/03/2021 2,050,000 USD 2,173,044 2,181,487 0.58

Columbus International, Ltd 7.375% 30/03/2021 144A(2) 200,000 USD 207,875 212,828 0.06

2,380,919 2,394,315 0.64 Bermuda Islands

GeoPark Latin America Ltd Agencia en Chile 7.500% 11/02/2020 2,370,000 USD 2,174,103 2,200,664 0.59

2,174,103 2,200,664 0.59 Brazil

Banco do Brasil SA/Cayman 3.875% 23/01/2017 1,295,000 USD 1,296,279 1,294,624 0.35

Banco do Brasil SA/Cayman 6.000% 22/01/2020 1,000,000 USD 1,075,152 1,057,500 0.28

Brazilian Government International Bond 4.875% 22/01/2021 1,915,000 USD 1,986,392 1,972,450 0.53

Itau Unibanco Holding SA/Cayman Island 2.850% 26/05/2018 EMTN 2,520,000 USD 2,516,408 2,526,300 0.67

6,874,231 6,850,874 1.83 British Virgin Islands

Bestgain Real Estate Ltd 2.625% 13/03/2018 890,000 USD 885,123 884,015 0.24

Bluestar Finance Holdings Ltd 3.125% 30/09/2019 2,545,000 USD 2,550,842 2,543,959 0.68

China Great Wall International Holdings II Ltd 2.500% 18/06/2018 650,000 USD 648,649 651,454 0.18

China Shenhua Overseas Capital Co Ltd 2.500% 20/01/2018 1,095,000 USD 1,095,671 1,095,820 0.29

China Shenhua Overseas Capital Co Ltd 3.125% 20/01/2020 590,000 USD 604,236 592,365 0.16

Double Rosy Ltd 3.625% 18/11/2019 2,005,000 USD 2,047,543 2,044,398 0.55

Midea Investment Development Co Ltd 2.375% 03/06/2019 EMTN 2,135,000 USD 2,143,063 2,135,636 0.57

Skyland Mining BVI Ltd 3.500% 17/07/2017 2,235,000 USD 2,243,996 2,240,284 0.60

Star Energy Geothermal Wayang Windu Ltd 6.125% 27/03/2020 1,405,000 USD 1,446,793 1,433,100 0.38

13,665,916 13,621,031 3.65 Cayman Islands

Agricola Senior Trust 6.750% 18/06/2020 965,000 USD 977,757 975,856 0.26

Baidu Inc 3.000% 30/06/2020 1,645,000 USD 1,688,277 1,648,234 0.44


(2) See Note 15.


Loomis Sayles Short Term Emerging Markets Bond Fund Statement of Investments (continued)


Description Assets

Cementos Progreso Trust 7.125% 06/11/2023 925,000 USD 973,541 970,233 0.26

China Hongqiao Group Ltd 6.875% 03/05/2018 1,415,000 USD 1,459,823 1,452,863 0.39

China Hongqiao Group Ltd 7.625% 26/06/2017 650,000 USD 650,966 658,119 0.18

China Mengniu Dairy Co Ltd 3.500% 27/11/2018 990,000 USD 1,009,394 1,011,631 0.27

China Overseas Finance Cayman IV Ltd 4.875% 15/02/2017 660,000 USD 662,085 661,780 0.18

CK Hutchison International 16 Ltd 1.875% 03/10/2021 1,830,000 USD 1,818,552 1,752,445 0.47

Country Garden Holdings Co Ltd 7.500% 09/03/2020 885,000 USD 948,990 941,806 0.25

Country Garden Holdings Co Ltd 7.875% 27/05/2019 495,000 USD 519,750 521,528 0.14

Greenland Hong Kong Holdings Ltd 4.375% 07/08/2017 600,000 USD 598,874 600,076 0.16

Kuwait Projects Co 4.800% 05/02/2019 EMTN 1,805,000 USD 1,880,471 1,869,763 0.50

Longfor Properties Co Ltd 6.750% 29/01/2023 2,845,000 USD 3,046,133 3,011,464 0.81

Ooredoo Tamweel Ltd 3.039% 03/12/2018 2,195,000 USD 2,234,170 2,224,633 0.60

QNB Finance Ltd 2.750% 31/10/2018 1,455,000 USD 1,473,037 1,461,547 0.39

QNB Finance Ltd 2.875% 29/04/2020 1,715,000 USD 1,753,825 1,716,139 0.46

Saudi Electricity Global Sukuk Co 2.665% 03/04/2017 2,075,000 USD 2,081,529 2,076,548 0.56

Shimao Property Holdings Ltd 8.125% 22/01/2021 1,600,000 USD 1,737,951 1,729,202 0.46

Tencent Holdings Ltd 3.375% 02/05/2019 EMTN 1,875,000 USD 1,922,556 1,917,330 0.51

Three Gorges Finance I Cayman Islands Ltd 2.300% 02/06/2021 1,145,000 USD 1,144,616 1,115,539 0.30

Tingyi Cayman Islands Holding Corp 3.875% 20/06/2017 2,010,000 USD 2,025,625 2,021,859 0.54

Vale Overseas Ltd 4.625% 15/09/2020 890,000 USD 887,842 910,915 0.24



Yestar International Holdings Co Ltd 6.900% 15/09/2021 1,060,000 USD 1,082,980 1,082,339 0.29

Yuzhou Properties Co Ltd 9.000% 08/12/2019 920,000 USD 979,415 991,800 0.26

35,327,000 35,122,748 9.40 Chile

Corp Nacional del Cobre de Chile 3.875% 03/11/2021 144A(2) 1,745,000 USD 1,783,023 1,779,865 0.47

Itau CorpBanca 3.875% 22/09/2019 2,745,000 USD 2,839,958 2,829,047 0.76

4,622,981 4,608,912 1.23 Colombia

Banco de Bogota SA 5.000% 15/01/2017 1,020,000 USD 1,021,021 1,020,683 0.27

Ecopetrol SA 4.250% 18/09/2018 1,875,000 USD 1,932,928 1,926,563 0.52

Ecopetrol SA 7.625% 23/07/2019 1,885,000 USD 2,118,146 2,113,462 0.57

Empresa de Energia de Bogota SA ESP 6.125% 10/11/2021 635,000 USD 653,527 654,050 0.17

Oleoducto Central SA 4.000% 07/05/2021 144A(2) 2,745,000 USD 2,693,624 2,731,275 0.73

8,419,246 8,446,033 2.26 Costa Rica

Instituto Costarricense de Electricidad 6.950% 10/11/2021 950,000 USD 950,246 989,425 0.26

950,246 989,425 0.26





Description Assets

Croatia

Croatia Government International Bond 6.250% 27/04/2017 1,760,000 USD 1,781,195 1,784,640 0.48

Croatia Government International Bond 6.375% 24/03/2021 725,000 USD 798,316 788,438 0.21

2,579,511 2,573,078 0.69 Cyprus

Global Ports Finance PLC 6.872% 25/01/2022 1,720,000 USD 1,779,893 1,771,600 0.47

1,779,893 1,771,600 0.47 Dominican Republic

Dominican Republic International Bond 7.500% 06/05/2021 1,555,000 USD 1,716,130 1,686,488 0.45

Dominican Republic International Bond 9.040% 23/01/2018 332,811 USD 342,938 344,160 0.09

2,059,068 2,030,648 0.54 Georgia

Georgian Oil & Gas Corp JSC 6.750% 26/04/2021 1,680,000 USD 1,724,401 1,749,636 0.47

1,724,401 1,749,636 0.47 Great Britain

Hikma Pharmaceuticals PLC 4.250% 10/04/2020 2,170,000 USD 2,181,283 2,167,287 0.58

ICBC Standard Bank PLC 8.125% 02/12/2019 EMTN 1,175,000 USD 1,274,860 1,286,613 0.34

Petra Diamonds US Treasury PLC 8.250% 31/05/2020 2,490,000 USD 2,568,320 2,570,925 0.69

Vedanta Resources PLC 6.000% 31/01/2019 3,075,000 USD 3,038,017 3,082,688 0.83

9,062,480 9,107,513 2.44 Hong Kong

Bright Food Hong Kong Ltd 3.000% 21/05/2018 530,000 USD 529,821 530,767 0.14

Goldwind New Energy HK Investment Ltd 2.500% 24/07/2018 1,420,000 USD 1,422,194 1,417,215 0.38

Weichai International Hong Kong Energy Group Co Ltd 4.125% 30/09/2020 1,425,000 USD 1,445,878 1,444,212 0.39

Zhejiang Energy Group Hong Kong Ltd 2.300% 30/09/2017 1,855,000 USD 1,853,830 1,853,049 0.49

5,251,723 5,245,243 1.40 Hungary

Magyar Export-Import Bank Zrt 4.000%

30/01/2020 2,660,000 USD 2,725,207 2,727,846 0.73

2,725,207 2,727,846 0.73 India

Adani Ports & Special Economic Zone Ltd 3.500% 29/07/2020 2,720,000 USD 2,729,583 2,706,430 0.72

Axis Bank Ltd/Dubai 3.250% 21/05/2020 EMTN 1,965,000 USD 2,000,708 1,972,072 0.53

Axis Bank Ltd/Dubai 5.125% 05/09/2017 EMTN 1,035,000 USD 1,053,467 1,052,868 0.28

ICICI Bank Ltd/Dubai 3.125% 12/08/2020 EMTN 1,820,000 USD 1,823,812 1,817,847 0.49

ICICI Bank Ltd/Dubai 3.500% 18/03/2020 EMTN 1,735,000 USD 1,772,189 1,760,147 0.47

IDBI Bank Ltd/DIFC Dubai 5.000% 25/09/2019 EMTN 1,680,000 USD 1,740,383 1,749,082 0.47

Oil India Ltd 3.875% 17/04/2019 980,000 USD 1,002,769 1,005,966 0.27

Tata Motors Ltd 4.625% 30/04/2020 2,535,000 USD 2,627,116 2,608,616 0.70

14,750,027 14,673,028 3.93 Indonesia

Astra Sedaya Finance PT 2.875% 01/04/2018 EMTN 2,145,000 USD 2,153,466 2,144,357 0.57


(2) See Note 15.




Description Assets

Lembaga Pembiayaan Ekspor Indonesia 3.750% 26/04/2017 EMTN 965,000 USD 970,507 967,895 0.26

3,123,973 3,112,252 0.83 Ireland

MMC Norilsk Nickel OJSC via MMC Finance DAC 4.375% 30/04/2018 1,710,000 USD 1,732,696 1,748,287 0.47

MMC Norilsk Nickel OJSC via MMC Finance DAC 5.550% 28/10/2020 2,535,000 USD 2,642,004 2,696,363 0.72

Vimpel Communications Via VIP Finance Ireland Ltd OJSC 9.125% 30/04/2018 1,280,000 USD 1,377,924 1,377,587 0.37

5,752,624 5,822,237 1.56 Isle of Man

AngloGold Ashanti Holdings PLC 5.375% 15/04/2020 2,110,000 USD 2,172,190 2,168,025 0.58

2,172,190 2,168,025 0.58 Israel

Israel Electric Corp Ltd 5.625% 21/06/2018 144A(2) 2,055,000 USD 2,140,862 2,140,365 0.57

Israel Electric Corp Ltd 6.700% 10/02/2017 EMTN 750,000 USD 753,720 751,737 0.20

Israel Electric Corp Ltd 7.250% 15/01/2019 EMTN 1,265,000 USD 1,382,350 1,366,063 0.37

4,276,932 4,258,165 1.14 Kazakhstan

KazMunayGas National Co JSC 6.375% 09/04/2021 EMTN 2,285,000 USD 2,485,768 2,475,478 0.66

KazMunayGas National Co JSC 9.125% 02/07/2018 EMTN 2,450,000 USD 2,633,015 2,622,170 0.72

5,118,783 5,097,648 1.38 Luxembourg

Altice Financing SA 6.500% 15/01/2022 144A(2) 1,190,000 USD 1,207,376 1,240,575 0.33

Gazprom OAO Via Gaz Capital SA 3.850% 06/02/2020 144A(2) 1,805,000 USD 1,750,084 1,828,660 0.49

Sberbank of Russia Via SB Capital SA 5.717% 16/06/2021 2,065,000 USD 2,217,709 2,192,865 0.59

5,175,169 5,262,100 1.41 Malaysia

Axiata SPV2 Bhd 3.466% 19/11/2020 EMTN 1,265,000 USD 1,280,755 1,272,486 0.34

Cagamas Global PLC 2.745% 10/12/2019 EMTN 2,295,000 USD 2,330,210 2,301,518 0.62

Export-Import Bank of Malaysia Bhd 2.875% 14/12/2017 EMTN 945,000 USD 954,187 951,121 0.26

Malayan Banking Bhd 3.000% 10/02/2017 575,000 USD 575,706 575,516 0.15

Petronas Global Sukuk Ltd 2.707% 18/03/2020 1,955,000 USD 1,985,079 1,951,966 0.52

7,125,937 7,052,607 1.89 Mauritius

HT Global IT Solutions Holdings Ltd 7.000% 14/07/2021 1,395,000 USD 1,423,120 1,438,594 0.38

UPL Corp Ltd 3.250% 13/10/2021 1,910,000 USD 1,909,160 1,864,026 0.50

3,332,280 3,302,620 0.88 Mexico

America Movil SAB de CV 5.000% 16/10/2019 1,700,000 USD 1,820,854 1,821,866 0.49

Cemex SAB de CV 7.250% 15/01/2021 2,955,000 USD 3,159,272 3,147,075 0.84

Coca-Cola Femsa SAB de CV 2.375% 26/11/2018 1,800,000 USD 1,814,569 1,812,501 0.48


(2) See Note 15.




Description Assets

Grupo Televisa SAB 6.000% 15/05/2018 635,000 USD 668,386 668,826 0.18

Nacional Financiera SNC 3.375% 05/11/2020 144A(2) 2,410,000 USD 2,467,429 2,410,899 0.65

Petroleos Mexicanos 5.500% 04/02/2019 EMTN 1,605,000 USD 1,621,776 1,670,746 0.45

11,552,286 11,531,913 3.09

Morocco

BMCE Bank 6.250% 27/11/2018 2,340,000 USD 2,428,055 2,408,936 0.65

2,428,055 2,408,936 0.65 Namibia

Namibia International Bonds 5.500% 03/11/2021 2,070,000 USD 2,211,893 2,157,975 0.58

2,211,893 2,157,975 0.58 Netherlands

Greenko Dutch BV 8.000% 01/08/2019 2,560,000 USD 2,685,613 2,707,200 0.73

GTH Finance BV 6.250% 26/04/2020 1,775,000 USD 1,793,825 1,861,531 0.50

IHS Netherlands Holdco BV 9.500% 27/10/2021 2,095,000 USD 2,106,658 2,144,907 0.57

Lukoil International Finance BV 3.416% 24/04/2018 3,590,000 USD 3,599,456 3,625,900 0.97

Majapahit Holding BV 7.250% 28/06/2017 505,000 USD 515,106 516,363 0.14

Majapahit Holding BV 7.750% 20/01/2020 1,165,000 USD 1,331,442 1,307,713 0.35

Majapahit Holding BV 8.000% 07/08/2019 1,365,000 USD 1,542,830 1,528,800 0.41


Petrobras Global Finance BV 4.875% 17/03/2020 3,565,000 USD 3,525,806 3,524,715 0.94




22,899,192 22,888,303 6.13 Oman

Oman Government International Bond 3.625% 15/06/2021 1,725,000 USD 1,739,814 1,725,117 0.46

1,739,814 1,725,117 0.46 Panama

AES Panama Srl 6.000% 25/06/2022 144A(2) 1,225,000 USD 1,268,313 1,267,875 0.34

1,268,313 1,267,875 0.34 Peru

Corp Financiera de Desarrollo SA 3.250% 15/07/2019 144A(2) 2,195,000 USD 2,244,073 2,222,438 0.60

InRetail Consumer 5.250% 10/10/2021 1,780,000 USD 1,831,562 1,820,050 0.49

Union Andina de Cementos SAA 5.875% 30/10/2021 1,605,000 USD 1,652,525 1,661,175 0.44

5,728,160 5,703,663 1.53 Philippines

BDO Unibank Inc 2.625% 24/10/2021 EMTN 2,400,000 USD 2,403,464 2,329,531 0.62

PLDT Inc 8.350% 06/03/2017 EMTN 500,000 USD 505,325 504,375 0.14

SM Investments Corp 5.500% 13/10/2017 2,109,000 USD 2,158,774 2,157,642 0.58

5,067,563 4,991,548 1.34 Saudi Arabia

Saudi Government International Bond 2.375% 26/10/2021 EMTN 2,425,000 USD 2,379,853 2,354,520 0.63

2,379,853 2,354,520 0.63


(2) See Note 15.




Description Assets

Singapore

ABJA Investment Co Pte Ltd 4.850% 31/01/2020 760,000 USD 751,461 764,043 0.20

BOC Aviation Ltd 2.375% 15/09/2021 EMTN 2,595,000 USD 2,581,767 2,492,069 0.67

Olam International Ltd 5.750% 20/09/2017 EMTN 1,285,000 USD 1,309,040 1,304,885 0.35

SingTel Group Treasury Pte Ltd 2.375% 08/09/2017

EMTN 740,000 USD 745,074 743,480 0.20

TBG Global Pte Ltd 4.625% 03/04/2018 1,180,000 USD 1,188,312 1,190,620 0.32

TBG Global Pte Ltd 4.625% 03/04/2018 144A(2) 360,000 USD 356,867 363,240 0.10

TBG Global Pte Ltd 5.250% 10/02/2022 340,000 USD 354,543 339,051 0.09

7,287,064 7,197,388 1.93 South Africa

Eskom Holdings SOC Ltd 5.750% 26/01/2021 2,165,000 USD 2,174,115 2,165,173 0.58

FirstRand Bank Ltd 4.250% 30/04/2020 EMTN 1,510,000 USD 1,543,358 1,532,979 0.41

Investec Bank Ltd 3.875% 24/07/2017 945,000 USD 950,003 945,756 0.25

South Africa Government International Bond 5.500% 09/03/2020 1,995,000 USD 2,120,972 2,112,306 0.57

6,788,448 6,756,214 1.81 South Korea

Export-Import Bank of Korea 1.750% 26/05/2019 1,175,000 USD 1,173,742 1,168,268 0.31

Export-Import Bank of Korea 2.625% 30/12/2020 500,000 USD 499,502 500,402 0.13

Hyundai Capital Services Inc 2.875% 16/03/2021 EMTN 1,970,000 USD 1,974,737 1,959,449 0.52

Hyundai Capital Services Inc 3.500% 13/09/2017 EMTN 715,000 USD 723,422 722,212 0.19

KEB Hana Bank 1.750% 18/10/2019 1,000,000 USD 997,001 988,741 0.27

Korea Gas Corp 1.875% 18/07/2021 EMTN 825,000 USD 823,396 791,978 0.21

Korea Land & Housing Corp 1.875% 02/08/2017 590,000 USD 590,109 589,436 0.16

NongHyup Bank 1.875% 12/09/2021 1,155,000 USD 1,150,162 1,100,636 0.30

Shinhan Bank 2.250% 15/04/2020 1,580,000 USD 1,594,731 1,558,866 0.42

SK Broadband Co Ltd 2.875% 29/10/2018 930,000 USD 936,057 937,961 0.25

10,462,859 10,317,949 2.76 Sri Lanka

Sri Lanka Government International Bond 5.125% 11/04/2019 144A(2) 1,830,000 USD 1,842,233 1,848,876 0.50


Africa Finance Corp 4.375% 29/04/2020 EMTN 2,302,000 USD 2,403,832 2,356,097 0.63

Banque Ouest Africaine de Developpement 5.500% 06/05/2021 2,605,000 USD 2,682,817 2,683,814 0.72

5,086,649 5,039,911 1.35 Thailand

Bangkok Bank PCL/Hong Kong 2.750% 27/03/2018 144A(2) 1,780,000 USD 1,798,957 1,791,412 0.48

Bangkok Bank PCL/Hong Kong 4.800% 18/10/2020 895,000 USD 980,403 955,194 0.25

PTT Exploration & Production PCL 3.707% 16/09/2018 750,000 USD 765,965 768,486 0.21

Siam Commercial Bank PCL/Cayman Islands 3.500% 07/04/2019 EMTN 2,700,000 USD 2,793,826 2,770,057 0.74

6,339,151 6,285,149 1.68 Turkey

Akbank TAS 4.000% 24/01/2020 EMTN 1,880,000 USD 1,833,606 1,820,592 0.49

Coca-Cola Icecek AS 4.750% 01/10/2018 1,920,000 USD 1,977,765 1,975,957 0.53

KOC Holding AS 3.500% 24/04/2020 2,210,000 USD 2,191,070 2,176,187 0.58


(2) See Note 15.




Description Assets

TC Ziraat Bankasi AS 4.750% 29/04/2021 EMTN 1,225,000 USD 1,233,493 1,170,488 0.31

Turk Telekomunikasyon AS 3.750% 19/06/2019 2,185,000 USD 2,204,665 2,166,427 0.58

9,440,599 9,309,651 2.49 United Arab Emirates

Abu Dhabi National Energy Co PJSC 2.500%

12/01/2018 345,000 USD 345,156 345,339 0.09

Abu Dhabi National Energy Co PJSC 4.125% 13/03/2017 144A(2) 600,000 USD 602,958 602,688 0.16

Abu Dhabi National Energy Co PJSC 6.250% 16/09/2019 EMTN 1,175,000 USD 1,301,090 1,288,047 0.35

Burgan Senior SPC Ltd 3.125% 14/09/2021 EMTN 2,210,000 USD 2,204,302 2,173,027 0.58

DP World Ltd 3.250% 18/05/2020 EMTN 2,915,000 USD 3,004,827 2,955,227 0.79

Dubai Electricity & Water Authority 7.375% 21/10/2020 144A(2) 1,465,000 USD 1,698,307 1,691,987 0.45

Emirates NBD PJSC 3.250% 19/11/2019 EMTN 3,270,000 USD 3,344,561 3,299,208 0.89

Emirates Telecommunications Group Co PJSC 2.375% 18/06/2019 2,665,000 USD 2,689,976 2,648,770 0.71

15,191,177 15,004,293 4.02 United States

Southern Copper Corp 5.375% 16/04/2020 600,000 USD 637,479 652,145 0.17

637,479 652,145 0.17


Variable rate bonds

Chile

Banco Santander Chile 1.776% 11/04/2017 725,000 USD 724,753 724,130 0.19

724,753 724,130 0.19 Malaysia

Malayan Banking Bhd 3.250% 20/09/2022 EMTN 1,300,000 USD 1,305,747 1,305,415 0.35

1,305,747 1,305,415 0.35 Netherlands


2,560,842 2,599,857 0.70 Singapore

Oversea-Chinese Banking Corp Ltd 3.750% 15/11/2022 EMTN 1,430,000 USD 1,448,899 1,445,373 0.39

United Overseas Bank Ltd 2.875% 17/10/2022 EMTN 1,060,000 USD 1,066,174 1,064,121 0.28

2,515,073 2,509,494 0.67 South Korea

Shinhan Bank 1.526% 08/04/2017 EMTN 275,000 USD 275,000 274,933 0.07

275,000 274,933 0.07




Argentina

Pan American Energy LLC/Argentine Branch 7.875% 07/05/2021 2,265,000 USD 2,414,521 2,378,250 0.64


(2) See Note 15.




Description Assets

2,414,521 2,378,250 0.64 Bermuda Islands

Digicel Ltd 6.000% 15/04/2021 144A(2) 2,295,000 USD 2,126,798 2,075,759 0.55

Digicel Ltd 7.000% 15/02/2020 555,000 USD 561,108 522,610 0.14

2,687,906 2,598,369 0.69

British Virgin Islands

Central American Bottling Corp 6.750% 09/02/2022 550,000 USD 569,772 561,000 0.15

GTL Trade Finance Inc 7.250% 20/10/2017 3,055,000 USD 3,159,083 3,157,953 0.84

3,728,855 3,718,953 0.99 Cayman Islands

Banco Continental SA via Continental Senior Trustees Cayman Ltd 5.500% 18/11/2020 2,540,000 USD 2,758,976 2,754,630 0.74

Braskem Finance Ltd 5.750% 15/04/2021 1,720,000 USD 1,817,644 1,810,300 0.48

CAR Inc 6.125% 04/02/2020 144A(2) 1,715,000 USD 1,761,415 1,787,887 0.48

DP World Sukuk Ltd 6.250% 02/07/2017 144A(2) 510,000 USD 519,735 521,217 0.14

Geely Automobile Holdings Ltd 5.250% 06/10/2019 144A(2) 1,425,000 USD 1,470,026 1,471,312 0.39

GrupoSura Finance SA 5.700% 18/05/2021 144A(2) 1,075,000 USD 1,126,209 1,139,500 0.30

HPHT Finance 15 Ltd 2.250% 17/03/2018 580,000 USD 579,872 579,691 0.16

Hutchison Whampoa International 14 Ltd 1.625% 31/10/2017 770,000 USD 769,737 768,210 0.21

Marfrig Overseas Ltd 9.500% 04/05/2020 645,000 USD 656,992 664,350 0.18

Raizen Energy Finance Ltd 7.000% 01/02/2017 144A(2) 655,000 USD 657,284 654,345 0.17

Suzano Trading Ltd 5.875% 23/01/2021 860,000 USD 846,113 888,552 0.24

12,964,003 13,039,994 3.49 Chile

AES Gener SA 5.250% 15/08/2021 144A(2) 780,000 USD 835,661 817,778 0.22

Banco de Credito e Inversiones 3.000% 13/09/2017 535,000 USD 536,618 537,782 0.14

Cencosud SA 5.500% 20/01/2021 1,865,000 USD 2,008,070 2,006,434 0.54

Inversiones CMPC SA/Cayman Islands Branch 4.750% 19/01/2018 144A(2) 755,000 USD 767,674 767,967 0.21

Inversiones CMPC SA 6.125% 05/11/2019 144A(2) 1,535,000 USD 1,691,103 1,655,946 0.44

Latam Airlines Group SA 7.250% 09/06/2020 1,880,000 USD 1,935,840 1,931,700 0.52

7,774,966 7,717,607 2.07 China

Industrial & Commercial Bank of China Ltd/New York 2.452% 20/10/2021 1,200,000 USD 1,200,000 1,170,534 0.31

Industrial & Commercial Bank of China Ltd/New York 2.905% 13/11/2020 1,030,000 USD 1,030,000 1,027,107 0.28

2,230,000 2,197,641 0.59 Colombia

Transportadora de Gas Internacional SA ESP 5.700% 20/03/2022 2,545,000 USD 2,630,090 2,621,350 0.70

2,630,090 2,621,350 0.70 Costa Rica

Banco Nacional de Costa Rica 5.875% 25/04/2021 2,350,000 USD 2,396,800 2,379,375 0.64

2,396,800 2,379,375 0.64 Croatia

Agrokor dd 8.875% 01/02/2020 405,000 USD 423,735 411,075 0.11

423,735 411,075 0.11 Hong Kong

Bank of China Hong Kong Ltd 5.550% 11/02/2020 1,995,000 USD 2,191,191 2,128,970 0.57


(2) See Note 15.




Description Assets

HKCG Finance Ltd 6.250% 07/08/2018 144A(2) 1,050,000 USD 1,124,015 1,116,524 0.30

3,315,206 3,245,494 0.87 Luxembourg

Millicom International Cellular SA 4.750% 22/05/2020 2,200,000 USD 2,144,440 2,227,500 0.60

2,144,440 2,227,500 0.60 Mexico

BBVA Bancomer SA/Texas 6.500% 10/03/2021 1,465,000 USD 1,590,527 1,577,805 0.42

BBVA Bancomer SA/Texas 7.250% 22/04/2020 590,000 USD 642,426 647,525 0.17

Grupo Bimbo SAB de CV 4.875% 30/06/2020 1,485,000 USD 1,593,814 1,577,562 0.42

Petroleos Mexicanos 3.500% 23/07/2020 2,005,000 USD 2,028,928 1,962,394 0.53

Sigma Alimentos SA de CV 5.625% 14/04/2018 685,000 USD 701,207 710,687 0.19

Sigma Alimentos SA de CV 6.875% 16/12/2019 144A(2) 1,000,000 USD 1,109,659 1,109,000 0.30

7,666,561 7,584,973 2.03 Netherlands

Marfrig Holdings Europe BV 8.375% 09/05/2018 790,000 USD 821,909 827,762 0.22


2,038,925 2,034,025 0.54 Panama

Banco Latinoamericano de Comercio Exterior SA 3.750% 04/04/2017 920,000 USD 924,226 923,417 0.25

924,226 923,417 0.25 Peru

Banco de Credito del Peru/Panama 2.250% 25/10/2019 2,075,000 USD 2,069,064 2,060,143 0.55

Banco de Credito del Peru 2.750% 09/01/2018 778,000 USD 776,376 780,723 0.21

2,845,440 2,840,866 0.76 Qatar

Ras Laffan Liquefied Natural Gas Co Ltd II 5.298% 30/09/2020 144A(2) 2,761,848 USD 2,945,251 2,899,940 0.78

2,945,251 2,899,940 0.78 South Korea

Doosan Heavy Industries & Construction Co Ltd 2.125% 27/04/2020 2,085,000 USD 2,087,235 2,033,661 0.54

Shinhan Bank 1.875% 30/07/2018 505,000 USD 504,079 503,323 0.14

SK Telecom Co Ltd 2.125% 01/05/2018 144A(2) 1,525,000 USD 1,534,856 1,524,834 0.41

4,126,170 4,061,818 1.09 Turkey

Turkiye Garanti Bankasi AS 4.000% 13/09/2017 2,610,000 USD 2,625,209 2,617,047 0.70

2,625,209 2,617,047 0.70 United States

Hyundai Capital America 1.750% 27/09/2019 1,145,000 USD 1,143,726 1,124,867 0.30

Hyundai Capital America 2.500% 18/03/2019 144A(2) 200,000 USD 199,899 200,474 0.05


1,977,214 1,955,902 0.52






Description Assets

Variable rate bonds

Mexico

Petroleos Mexicanos 4.607% 11/03/2022 3,410,000 USD 3,410,000 3,516,563 0.94

3,410,000 3,516,563 0.94 Singapore

DBS Bank Ltd 3.625% 21/09/2022 144A(2) 1,700,000 USD 1,721,522 1,714,856 0.46

1,721,522 1,714,856 0.46




Chile

Corp Nacional del Cobre de Chile 7.500% 15/01/2019 144A(2) 785,000 USD 869,061 861,791 0.23

869,061 861,791 0.23


Term Loans

Trinidad and Tobago

Methanol Holdings (Trinidad) Ltd 4.270% 30/06/2022 797,850 USD 791,815 778,901 0.21

791,815 778,901 0.21 United States

Coral-US Co-Borrower LLC 5.748% 03/01/2023 Term B-1 Loan 731,000 USD 724,526 739,684 0.20

Coral-US Co-Borrower LLC 5.748% 03/01/2023 Term B-2 Loan 297,000 USD 291,957 300,529 0.08

1,016,483 1,040,213 0.28

Total - Term Loans 1,808,298 1,819,114 0.49



(2) See Note 15.






H-N/D (GBP)





H-R/A (EUR)





H-S/A (EUR)





I/A (USD)





I/A (EUR)





R/A (USD)





R/A (SGD)





S/A (USD)





C/A (USD)





H-S1/A (GBP)








USD USD USD



H-N/D (GBP) 99.86 96.40 99.46

H-R/A (EUR) 111.59 107.27 110.03

H-S/A (EUR) 103.59 - -

I/A (USD) 119.35 112.38 113.95

I/A (EUR) 112.53 102.88 -

R/A (USD) 115.27 109.34 111.70

R/A (SGD) 107.01 99.70 -

S/A (USD) 106.66 100.23 101.42

C/A (USD) 101.71 97.15 99.95

H-S1/A (GBP) 103.25 97.14 -


(2) See Note 15.


Loomis Sayles Strategic Alpha Bond Fund Statement of Investments


Quantity / Face



Brazil

OGX Petroleo e Gas SA ADR 9,562 USD 0 6,072 0.00

0 6,072 0.00 Colombia

Pacific Exploration & Production Corp 6,750 USD 1,051,680 274,691 0.13

1,051,680 274,691 0.13 Ireland

Allergan PLC 5.500% 01/03/2018 Preferred

Convertible 96 USD 77,512 73,196 0.04

77,512 73,196 0.04 United States

Belden Inc 6.750% 15/07/2019 Preferred Convertible 4,448 USD 433,808 470,020 0.23

Bristol-Myers Squibb Co 6,910 USD 431,551 403,821 0.20

Halliburton Co 4,233 USD 175,429 228,963 0.11

Whiting Petroleum Corp 158,116 USD 1,243,586 1,900,554 0.93

2,284,374 3,003,358 1.47

Total - Shares 3,413,566 3,357,317 1.64

Fixed rate bonds

Argentina

Cablevision SA/Argentina 6.500% 15/06/2021 144A(2) 250,000 USD 250,000 254,062 0.12

Provincia de Buenos Aires/Argentina 5.750% 15/06/2019 144A(2) 485,000 USD 498,839 505,710 0.25

748,839 759,772 0.37 Brazil

Brazil Letras do Tesouro Nacional 0.000% 01/07/2017 7,700,000 BRL 2,188,481 2,233,530 1.09

BRF SA 7.750% 22/05/2018 300,000 BRL 147,936 86,183 0.04

2,336,417 2,319,713 1.13 Canada

Canadian Natural Resources Ltd 3.900% 01/02/2025 45,000 USD 42,847 45,133 0.02

42,847 45,133 0.02 Cayman Islands


242,400 316,800 0.16 Colombia

Financiera de Desarrollo Territorial SA Findeter 7.875% 12/08/2024 144A(2) 640,000,000 COP 333,594 197,491 0.10

333,594 197,491 0.10 Luxembourg

Cosan Luxembourg SA 7.000% 20/01/2027 144A(2) 610,000 USD 599,360 611,525 0.30

599,360 611,525 0.30


(2) See Note 15.


Loomis Sayles Strategic Alpha Bond Fund Statement of Investments (continued)


Quantity / Face


Mexico

Cemex SAB de CV 6.125% 05/05/2025 144A(2) 1,050,000 USD 1,044,560 1,073,625 0.52


Petroleos Mexicanos 7.650% 24/11/2021 9,700,000 MXN 714,328 432,256 0.21

2,659,087 2,324,194 1.13 Netherlands






Ziggo Secured Finance BV 5.500% 15/01/2027 144A(2) 515,000 USD 512,645 502,022 0.24

2,521,551 2,791,907 1.36 Poland

Republic of Poland Government Bond 4.750% 25/04/2017 7,900,000 PLN 2,080,120 1,910,701 0.93

2,080,120 1,910,701 0.93 United States

Alcatel-Lucent USA Inc 6.450% 15/03/2029 1,290,000 USD 1,353,724 1,344,825 0.66

Alcatel-Lucent USA Inc 6.500% 15/01/2028 210,000 USD 214,241 216,825 0.11



American Honda Finance Corp 0.950% 05/05/2017 1,900,000 USD 1,899,707 1,898,197 0.93

AmeriGas Partners LP/AmeriGas Finance Corp 5.500% 20/05/2025 480,000 USD 480,000 484,800 0.24








Clear Channel Worldwide Holdings Inc 7.625%

15/03/2020 725,000 USD 721,721 724,543 0.35

Concho Resources Inc 5.500% 01/10/2022 190,000 USD 189,573 196,887 0.10




Continental Resources Inc/OK 5.000% 15/09/2022 2,365,000 USD 2,248,016 2,387,207 1.16

Corning Inc 1.500% 08/05/2018 1,925,000 USD 1,924,196 1,919,327 0.94

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp 6.125% 01/03/2022 420,000 USD 407,199 430,500 0.21

Devon Energy Corp 5.000% 15/06/2045 187,000 USD 126,291 183,697 0.09



EnLink Midstream Partners LP 5.050% 01/04/2045 180,000 USD 135,498 163,179 0.08


(2) See Note 15.

(3) See Note 13.




Quantity / Face


EnLink Midstream Partners LP 5.600% 01/04/2044 105,000 USD 67,922 101,126 0.05

Kinder Morgan Energy Partners LP 4.700% 01/11/2042 160,000 USD 111,462 149,071 0.07




Matador Resources Co 6.875% 15/04/2023 630,000 USD 633,175 661,500 0.32

MPLX LP 4.000% 15/02/2025 60,000 USD 47,775 58,320 0.03

MPLX LP 4.500% 15/07/2023 105,000 USD 89,626 106,640 0.05

MPLX LP 4.875% 01/12/2024 200,000 USD 196,133 205,939 0.10

MPLX LP 4.875% 01/06/2025 275,000 USD 271,247 282,740 0.14

MPLX LP 5.500% 15/02/2023 600,000 USD 614,376 624,215 0.30

NGL Energy Partners LP/NGL Energy Finance Corp 5.125% 15/07/2019 505,000 USD 463,351 500,581 0.24

NGL Energy Partners LP/NGL Energy Finance Corp 6.875% 15/10/2021 80,000 USD 52,817 81,800 0.04

Oasis Petroleum Inc 6.875% 15/03/2022 400,000 USD 393,525 410,000 0.20

PulteGroup Inc 5.000% 15/01/2027 525,000 USD 525,000 498,750 0.24

RSP Permian Inc 6.625% 01/10/2022 1,335,000 USD 1,326,885 1,411,763 0.69

Santander Holdings USA Inc 4.500% 17/07/2025 1,820,000 USD 1,819,379 1,808,618 0.88

SM Energy Co 5.000% 15/01/2024 215,000 USD 203,363 202,638 0.10

SM Energy Co 6.125% 15/11/2022 240,000 USD 185,869 243,000 0.12

SM Energy Co 6.500% 01/01/2023 30,000 USD 29,853 30,488 0.01

SM Energy Co 6.750% 15/09/2026 105,000 USD 105,000 108,150 0.05

Targa Resources Partners LP/Targa Resources Partners Finance Corp 6.750% 15/03/2024 845,000 USD 845,000 906,263 0.44

U.S. Treasury Note 0.500% 28/02/2017(3) 1,000,000 USD 999,903 1,000,092 0.49

Western Refining Logistics LP/WNRL Finance Corp 7.500% 15/02/2023 40,000 USD 40,000 43,200 0.02







26,621,654 28,029,537 13.68


Variable rate bonds

Argentina

Banco Hipotecario SA 24.729% 12/01/2020 144A(2) 7,935,000 ARS 522,065 506,436 0.25

522,065 506,436 0.25 Great Britain

BP Capital Markets PLC 1.327% 13/02/2018 220,000 USD 219,943 220,217 0.11

Dukinfield 2 PLC 1.615% 20/12/2052 618,222 GBP 799,390 765,124 0.37


(2) See Note 15.




Quantity / Face




Ludgate Funding PLC 0.983% 01/01/2061 401,175 GBP 471,858 471,182 0.23

Newgate Funding 0.284% 15/12/2050 161,928 EUR 172,645 163,590 0.08

Rmac PLC 0.042% 12/06/2043 48,641 EUR 51,165 48,333 0.02



2,324,331 2,274,787 1.11 Italy

Enel SpA 8.750% 24/09/2073 144A(2) 1,825,000 USD 2,139,180 2,075,938 1.01

2,139,180 2,075,938 1.01 Netherlands

Shell International Finance BV 1.303% 12/09/2019 1,055,000 USD 1,055,000 1,055,310 0.51

1,055,000 1,055,310 0.51 South Korea

Hyundai Capital Services Inc 1.793% 18/03/2017 EMTN 400,000 USD 400,000 400,113 0.20

400,000 400,113 0.20 United States


Exxon Mobil Corp 1.003% 15/03/2017 215,000 USD 215,000 214,994 0.10

430,000 430,021 0.21


Treasury Bills

Mexico

Mexico Cetes 0.000% 05/01/2017 405,000,000 MXN 2,115,651 1,964,911 0.96

2,115,651 1,964,911 0.96

United States

United States Treasury Bill 0.000% 06/04/2017 2,010,000 USD 2,007,531 2,007,264 0.98

United States Treasury Bill 0.000% 01/06/2017 4,100,000 USD 4,089,837 4,089,414 1.99

6,097,368 6,096,678 2.97

Total - Treasury Bills 8,213,019 8,061,589 3.93



Austria

BRF GmbH 4.350% 29/09/2026 144A(2) 1,080,000 USD 1,056,494 1,001,380 0.49

OGX Austria GmbH defaulted 8.375% 01/04/2022 200,000 USD 200,000 0 0.00

OGX Austria GmbH defaulted 8.375% 01/04/2022 144A(2) 400,000 USD 328,306 0 0.00

1,584,800 1,001,380 0.49 Canada

Air Canada 5.000% 15/12/2023 144A(2) 1,082,030 USD 1,082,030 1,085,021 0.53


(2) See Note 15.




Quantity / Face







Open Text Corp 5.875% 01/06/2026 144A(2) 1,245,000 USD 1,245,000 1,313,475 0.64

Valeant Pharmaceuticals International Inc 5.500% 01/03/2023 144A(2) 250,000 USD 250,690 187,500 0.09

Valeant Pharmaceuticals International Inc 5.875% 15/05/2023 144A(2) 1,369,000 USD 1,154,152 1,033,595 0.50

4,404,426 4,325,604 2.11 Cayman Islands

AIM Aviation Finance Ltd 5.072% 15/02/2040 144A(2) 738,690 USD 700,264 710,990 0.35

Colony American Finance Ltd 4.638% 15/06/2048 144A(2) 140,000 USD 139,998 140,101 0.07


Embraer Overseas Ltd 5.696% 16/09/2023 144A(2) 200,000 USD 195,099 209,000 0.10


Shenton Aircraft Investment I Ltd 4.750% 15/10/2042 144A(2) 830,362 USD 819,431 834,265 0.41

Transocean Proteus Ltd 6.250% 01/12/2024 144A(2) 350,000 USD 344,793 353,283 0.17

3,018,153 3,045,209 1.48 Chile

Latam Airlines 4.500% 15/11/2023 1,014,356 USD 1,014,356 978,853 0.48

1,014,356 978,853 0.48 Luxembourg

Ultrapar International SA 5.250% 06/10/2026 144A(2) 325,000 USD 318,962 318,467 0.15

318,962 318,467 0.15 Multinational

JBS USA LUX SA/JBS USA Finance Inc 5.750% 15/06/2025 144A(2) 535,000 USD 514,818 541,688 0.27

JBS USA LUX SA/JBS USA Finance Inc 7.250% 01/06/2021 144A(2) 25,000 USD 25,824 25,875 0.01

540,642 567,563 0.28 United States

Ajax Mortgage Loan Trust 4.000% 25/10/2057 144A(2) 251,601 USD 251,601 252,135 0.12

Ajax Mortgage Loan Trust 4.000% 25/09/2065 144A(2) 339,199 USD 338,454 338,515 0.17

Ally Auto Receivables Trust 1.440% 17/08/2020 400,000 USD 399,967 399,972 0.20

Alternative Loan Trust 5.500% 25/02/2025 47,753 USD 49,080 48,652 0.02







(2) See Note 15.




Quantity / Face





American Homes 4 Rent 5.639% 17/04/2052

144A(2) 200,000 USD 193,611 200,461 0.10

American Homes 4 Rent Trust 6.231% 17/10/2036 144A(2) 105,000 USD 110,180 109,656 0.05

American Homes 4 Rent Trust 6.418% 17/12/2036 144A(2) 100,000 USD 105,918 105,637 0.05

AmeriCredit Automobile Receivables 1.260% 08/11/2019 57,004 USD 56,868 57,004 0.03


AmeriCredit Automobile Receivables Trust 3.650% 09/05/2022 50,000 USD 49,988 50,957 0.02

Avis Budget Rental Car Funding AESOP LLC 2.500% 20/07/2021 144A(2) 105,000 USD 105,382 104,201 0.05

BA Credit Card Trust 1.360% 15/09/2020 940,000 USD 939,951 939,567 0.46

Banc of America Alternative Loan Trust 5.250% 25/07/2035 36,459 USD 33,556 33,232 0.02



Banc of America Funding Trust 5.500% 25/11/2034 23,874 USD 23,604 23,665 0.01



Bayview Opportunity Master Fund IIa Trust 3.475% 28/07/2031 144A(2) 75,460 USD 75,460 75,018 0.04

Bayview Opportunity Master Fund IIIa Trust 3.598% 29/09/2031 144A(2) 182,311 USD 182,311 181,631 0.09

Bayview Opportunity Master Fund Trust 3.475% 28/10/2031 144A(2) 293,723 USD 293,723 292,562 0.14

BCAP LLC Trust 6.000% 25/03/2022 195,758 USD 193,982 193,535 0.09

Brookdale Senior Living Inc 2.750% 15/06/2018 215,000 USD 211,469 209,222 0.10

BXHTL Mortgage Trust 8.400% 15/07/2029 430,256 USD 430,256 418,628 0.20

CalAmp Corp 1.625% 15/05/2020 80,000 USD 75,267 77,100 0.04

CalAtlantic Group Inc 0.250% 01/06/2019 50,000 USD 45,934 46,563 0.02

California Resources Corp 8.000% 15/12/2022 144A(2) 470,000 USD 332,948 418,300 0.20

Callon Petroleum Co 6.125% 01/10/2024 144A(2) 490,000 USD 495,627 504,700 0.25

CAM Mortgage LLC 3.500% 15/07/2064 144A(2) 8,048 USD 8,048 8,048 0.00

CAM Mortgage Trust 4.000% 15/01/2056 144A(2) 101,121 USD 100,920 100,639 0.05

Capital One Multi-Asset Execution Trust 1.260% 15/01/2020 985,000 USD 985,479 985,547 0.48




(2) See Note 15.




Quantity / Face


Chase Issuance Trust 1.270% 15/07/2021 525,000 USD 524,875 517,999 0.25





Chase Issuance Trust 1.840% 15/04/2022 1,000,000 USD 999,784 995,135 0.49



CHL Mortgage Pass-Through Trust 5.500% 25/10/2035 34,317 USD 32,235 30,620 0.02

Citibank Credit Card Issuance Trust 1.020% 22/02/2019 110,000 USD 109,999 109,996 0.05



Citimortgage Alternative Loan Trust 6.000% 25/09/2036 59,937 USD 52,394 53,410 0.03

Communications Sales & Leasing Inc/CSL Capital LLC 7.125% 15/12/2024 144A(2) 335,000 USD 335,000 338,350 0.17

Cox Communications Inc 4.500% 30/06/2043 144A(2) 410,000 USD 323,482 347,183 0.17

Cox Communications Inc 4.700% 15/12/2042 144A(2) 200,000 USD 163,562 173,909 0.08

CPS Auto Receivables Trust 4.350% 16/11/2020 144A(2) 100,000 USD 97,475 100,567 0.05

CPS Auto Receivables Trust 8.140% 15/05/2023 144A(2) 520,000 USD 515,252 540,046 0.26

Credit Suisse First Boston Mortgage Securities Corp 5.250% 25/11/2020 209,321 USD 210,507 204,558 0.10


Credit Suisse First Boston Mortgage Securities Corp

5.750% 25/11/2033 49,305 USD 51,597 51,505 0.03

Cypress Semiconductor Corp 4.500% 15/01/2022 144A(2) 140,000 USD 139,985 157,412 0.08

Diamond 1 Finance Corp/Diamond 2 Finance Corp 6.020% 15/06/2026 144A(2) 2,065,000 USD 2,068,488 2,237,006 1.09

Discover Card Execution Note Trust 1.670% 18/01/2022 300,000 USD 299,598 298,859 0.15


DISH DBS Corp 5.875% 15/11/2024 345,000 USD 343,830 355,005 0.17

DISH DBS Corp 7.750% 01/07/2026 280,000 USD 280,000 315,700 0.15

Donnelley Financial Solutions Inc 8.250% 15/10/2024 144A(2) 605,000 USD 605,000 615,587 0.30


(2) See Note 15.




Quantity / Face


Drive Auto Receivables Trust 3.020% 15/11/2021 144A(2) 375,000 USD 374,960 375,230 0.18

DT Auto Owner Trust 4.470% 15/11/2021 144A(2) 95,000 USD 94,415 96,878 0.05



Evolent Health Inc 2.000% 01/12/2021 144A(2) 105,000 USD 105,000 100,734 0.05

First Investors Auto Owner Trust 3.280% 15/04/2021 144A(2) 40,000 USD 39,032 40,100 0.02





Flagship Credit Auto Trust 3.760% 15/06/2021 144A(2) 90,000 USD 86,204 89,726 0.04




Ford Credit Auto Owner Trust 0.790% 15/05/2018 73,059 USD 73,055 73,041 0.04




Halcon Resources Corp 8.625% 01/02/2020 144A(2) 155,000 USD 155,000 161,200 0.08

Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower Inc 6.125% 01/12/2024 144A(2) 125,000 USD 125,000 129,844 0.06

Honda Auto Receivables Owner Trust 0.770% 19/03/2018 264,742 USD 264,686 264,519 0.13




Hyundai Auto Receivables Trust 1.120% 15/11/2019 915,000 USD 914,995 913,326 0.45

Impax Laboratories Inc 2.000% 15/06/2022 705,000 USD 591,210 556,509 0.27

Ionis Pharmaceuticals Inc 1.000% 15/11/2021 490,000 USD 416,265 493,981 0.24

JP Morgan Mortgage Trust 6.000% 25/01/2036 66,644 USD 62,014 55,704 0.03

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp 5.875% 01/08/2021 144A(2) 575,000 USD 551,632 546,250 0.27

Liberty Media Corp 2.250% 30/09/2046 144A(2) 155,000 USD 155,000 163,331 0.08

MASTR Alternative Loan Trust 5.250% 25/11/2033 17,838 USD 18,202 18,418 0.01




(2) See Note 15.




Quantity / Face



Meccanica Holdings USA Inc 6.250% 15/01/2040 180,000 USD 157,532 182,250 0.09


Merlin Aviation Holdings DAC 4.500% 15/12/2032 144A(2) 415,000 USD 399,099 399,437 0.19

Motel 6 Trust 5.279% 05/02/2030 144A(2) 550,000 USD 537,610 547,314 0.27

National City Mortgage Capital Trust 6.000% 25/03/2038 115,269 USD 119,456 119,606 0.06

NBCUniversal Enterprise Inc 5.250% 31/12/2049 144A(2) 475,000 USD 494,433 498,750 0.24

NGL Energy Partners LP/NGL Energy Finance Corp 7.500% 01/11/2023 144A(2) 440,000 USD 440,000 454,300 0.22

Nissan Auto Receivables Owner Trust 1.050% 15/10/2019 545,311 USD 545,239 544,448 0.27

Nissan Auto Receivables Owner Trust 1.180% 15/01/2021 175,000 USD 174,985 173,359 0.08

NYMT Residential 4.000% 25/03/2021 144A(2) 156,962 USD 156,344 155,788 0.08







Parsley Energy LLC/Parsley Finance Corp 6.250% 01/06/2024 144A(2) 370,000 USD 372,857 389,351 0.19

PDC Energy Inc 6.125% 15/09/2024 144A(2) 135,000 USD 135,000 138,037 0.07

Prestige Auto Receivables Trust 5.150% 15/11/2021 144A(2) 430,000 USD 429,894 440,709 0.22

Quicken Loans Inc 5.750% 01/05/2025 144A(2) 1,045,000 USD 1,019,448 1,016,263 0.50

Residential Asset Securitization Trust 5.375% 25/07/2035 95,053 USD 82,443 83,365 0.04

RFMSI Trust 5.750% 25/01/2036 33,044 USD 33,154 32,061 0.02

Rialto Holdings LLC/Rialto Corp 7.000% 01/12/2018 144A(2) 934,000 USD 949,179 945,675 0.46

RWT Holdings Inc 5.625% 15/11/2019 105,000 USD 98,371 105,788 0.05

Sabine Pass Liquefaction LLC 5.625% 01/03/2025 605,000 USD 598,536 647,350 0.32

Sierra Timeshare Receivables Funding LLC 1.590% 20/11/2029 144A(2) 21,421 USD 21,395 21,316 0.01



(2) See Note 15.




Quantity / Face


SoFi Professional Loan Program LLC 3.020% 25/10/2027 144A(2) 34,632 USD 35,214 35,041 0.02

Sofi Professional Loan Program LLC 3.570% 26/01/2038 144A(2) 450,000 USD 435,182 450,520 0.22


Springleaf Funding Trust 2.410% 15/12/2022 144A(2) 31,582 USD 31,581 31,594 0.02

Starwood Property Trust Inc 5.000% 15/12/2021 144A(2) 135,000 USD 135,000 136,809 0.07

Structured Asset Securities Corp Mortgage Pass-Through Certificates 5.750% 25/11/2034 27,393 USD 28,658 27,696 0.01

Structured Asset Securities Corp Trust 5.500% 25/02/2035 13,841 USD 14,026 14,036 0.01

TAL Advantage V LLC 3.550% 20/11/2038 144A(2) 79,542 USD 79,517 77,202 0.04



Targa Resources Partners LP/Targa Resources

Partners Finance Corp 6.375% 01/08/2022 35,000 USD 36,983 36,225 0.02


Toyota Auto Receivables 1.140% 17/08/2020 140,000 USD 139,996 139,080 0.07

Toyota Auto Receivables Owner Trust 1.270% 15/05/2019 1,045,000 USD 1,044,973 1,044,982 0.51

Toyota Auto Receivables Owner Trust 1.300% 15/04/2020 1,340,000 USD 1,339,946 1,335,704 0.65

Toyota Auto Receivables Owner Trust 1.340% 17/06/2019 450,000 USD 449,959 450,023 0.22

US Residential Opportunity Fund III Trust 3.475% 27/07/2036 144A(2) 152,020 USD 152,020 151,390 0.07

USAA Auto Owner Trust 1.200% 15/06/2020 245,000 USD 244,964 244,012 0.12

Viavi Solutions Inc 0.625% 15/08/2033 305,000 USD 300,417 315,294 0.15

VOLT XL LLC 4.875% 27/11/2045 144A(2) 280,000 USD 273,177 266,838 0.13

VOLT XLVIII LLC 3.500% 25/07/2046 144A(2) 518,993 USD 519,004 517,221 0.25

VOLT XXVI LLC 3.125% 25/09/2043 144A(2) 417,584 USD 417,493 416,994 0.20

VOLT XXX LLC 3.625% 25/10/2057 144A(2) 77,809 USD 77,959 77,816 0.04

VOLT XXXI LLC 3.375% 25/02/2055 144A(2) 152,666 USD 153,064 153,035 0.07

VOLT XXXIII LLC 3.500% 25/03/2055 144A(2) 162,669 USD 162,795 163,137 0.08

VOLT XXXIV LLC 3.250% 25/02/2055 144A(2) 67,903 USD 67,839 67,724 0.03

VOLT XXXIX LLC 4.125% 25/10/2045 144A(2) 272,886 USD 273,892 274,529 0.13

VOLT XXXV 3.500% 25/09/2046 144A(2) 194,234 USD 194,234 193,781 0.09

WaMu Mortgage Pass-Through CertificatesTrust 5.500% 25/07/2034 13,676 USD 14,006 14,368 0.01

Wells Fargo Mortgage Backed Securities Trust 6.000% 25/01/2036 38,742 USD 38,616 38,327 0.02

World Financial Network Credit Card Master Trust 1.760% 17/05/2021 945,000 USD 947,558 947,062 0.46

49,611,080 50,415,155 24.60



(2) See Note 15.




Quantity / Face


Variable rate bonds

Argentina

YPF SA 26.333% 07/07/2020 144A(2) 365,000 USD 365,000 412,450 0.20

365,000 412,450 0.20 Australia

Westpac Banking Corp 1.471% 19/08/2019 1,040,000 USD 1,040,000 1,040,844 0.51

1,040,000 1,040,844 0.51 Great Britain

BAT International Finance PLC 1.473% 15/06/2018 144A(2) 1,000,000 USD 1,000,000 1,000,192 0.49

1,000,000 1,000,192 0.49 Japan

Bank of Tokyo-Mitsubishi UFJ Ltd/The 1.979% 14/09/2018 144A(2) 1,020,000 USD 1,020,000 1,024,671 0.50

1,020,000 1,024,671 0.50 Netherlands

Siemens Financieringsmaatschappij NV 1.210% 25/05/2018 144A(2) 1,030,000 USD 1,030,000 1,030,481 0.50

1,030,000 1,030,481 0.50 United States

Adjustable Rate Mortgage Trust 3.278% 25/03/2035 27,895 USD 26,597 26,841 0.01

Aetna Inc 1.601% 08/12/2017 1,070,000 USD 1,070,000 1,073,689 0.52

Alliance Bancorp Trust 0.996% 25/07/2037 761,986 USD 543,824 550,199 0.27

American Express Credit Account Master Trust 1.074% 15/12/2021 215,000 USD 215,000 215,391 0.11

American Express Credit Account Master Trust 1.124% 16/02/2021 100,000 USD 100,000 100,311 0.05

American Express Credit Account Secured Note Trust 0.944% 15/05/2020 720,000 USD 720,298 720,004 0.35

American Express Issuance Trust II 1.134% 15/08/2019 490,000 USD 491,427 491,869 0.24

American Home Mortgage Investment Trust 0.864% 25/03/2046 353,974 USD 284,634 290,619 0.14

American Home Mortgage Investment Trust 0.884% 25/09/2045 190,033 USD 156,941 156,645 0.08

American Homes 4 Rent 3.236% 17/06/2031 144A(2) 500,000 USD 500,000 497,113 0.24

Apple Inc 0.952% 12/05/2017 950,000 USD 950,000 950,190 0.46

BA Credit Card Trust 0.974% 16/09/2019 1,010,000 USD 1,010,093 1,010,198 0.49







Bank of America NA 1.392% 05/06/2017 1,000,000 USD 1,000,000 1,001,090 0.49

Bear Stearns ARM Trust 3.322% 25/09/2034 68,594 USD 61,060 62,896 0.03


(2) See Note 15.




Quantity / Face


Berkshire Hathaway Inc 1.031% 06/08/2018 1,050,000 USD 1,050,000 1,050,681 0.51

BLCP Hotel Trust 4.374% 15/08/2029 144A(2) 100,000 USD 99,797 99,247 0.05

BMW US Capital LLC 1.373% 13/09/2019 144A(2) 1,055,000 USD 1,055,000 1,054,742 0.51

CAM Mortgage LLC 4.750% 15/07/2064 144A(2) 220,000 USD 217,854 217,820 0.11

CAM Mortgage Trust 5.000% 15/01/2056 144A(2) 330,000 USD 320,210 316,420 0.15

Capital One Multi-Asset Execution Trust 0.784% 16/12/2019 1,045,000 USD 1,044,894 1,045,000 0.51

Capital One Multi-Asset Execution Trust 1.154% 15/02/2022 1,150,000 USD 1,150,000 1,154,672 0.56

Caterpillar Financial Services Corp 1.121% 09/06/2017 1,015,000 USD 1,015,000 1,015,496 0.50

Caterpillar Financial Services Corp 1.172% 03/03/2017 125,000 USD 125,000 125,058 0.06

Caterpillar Financial Services Corp 1.620% 23/02/2018 1,035,000 USD 1,040,896 1,040,167 0.51

CCRESG Commercial Mortgage Trust 5.488% 10/04/2029 144A(2) 155,000 USD 155,819 152,037 0.07

CDGJ Commercial Mortgage Trust 2.389% 15/12/2027 144A(2) 600,000 USD 600,000 600,753 0.29

CDGJ Commercial Mortgage Trust 3.039% 15/12/2027 144A(2) 750,000 USD 750,000 747,177 0.36

CFCRE Commercial Mortgage Trust 6.180% 15/04/2044 144A(2) 525,000 USD 527,409 535,757 0.26

CGBAM Commercial Mortgage Trust 2.138% 15/02/2031 144A(2) 300,000 USD 298,720 293,911 0.14



Chase Issuance Trust 0.954% 15/05/2019 1,200,000 USD 1,200,000 1,200,429 0.59





CHL Mortgage Pass-Through Trust 1.026% 25/04/2035 51,209 USD 36,622 40,025 0.02

CHL Mortgage Pass-Through Trust 3.223%

25/08/2034 28,473 USD 26,300 24,461 0.01

Cisco Systems Inc 1.222% 03/03/2017 215,000 USD 215,000 215,101 0.10

Cisco Systems Inc 1.273% 15/06/2018 1,000,000 USD 1,000,000 1,002,191 0.49

Cisco Systems Inc 1.337% 20/09/2019 250,000 USD 250,000 250,617 0.12



Citigroup Mortgage Loan Trust 0.784% 25/06/2047 144A(2) 88,328 USD 81,665 76,617 0.04

Citigroup Mortgage Loan Trust 0.990% 25/08/2036 144A(2) 380,404 USD 355,041 343,516 0.17

Citigroup Mortgage Loan Trust Inc 2.967% 25/05/2035 449,551 USD 413,126 418,011 0.20


(2) See Note 15.




Quantity / Face


Citigroup Mortgage Loan Trust Inc 3.005% 25/08/2035 355,020 USD 338,622 305,571 0.15


Colony American Homes 3.960% 17/07/2031 144A(2) 465,000 USD 465,000 467,200 0.23

Commercial Mortgage Trust 3.704% 15/10/2034 144A(2) 315,000 USD 315,000 315,744 0.15

ConocoPhillips Co 1.236% 15/05/2018 1,000,000 USD 1,000,000 996,927 0.49



CSFB Mortgage-Backed Pass-Through Certificates 3.085% 25/05/2034 53,119 USD 50,759 49,820 0.02

CSMC Trust 1.954% 15/03/2017 144A(2) 1,000,000 USD 999,903 1,000,609 0.49

CSMC Trust 3.904% 15/03/2017 144A(2) 700,000 USD 694,677 696,126 0.34

Deutsche Alternative-A Securities Inc Mortgage Loan Trust 5.500% 25/11/2035 27,176 USD 25,011 25,818 0.01

Deutsche Mortgage Securities Inc Mortgage Loan Trust 1.106% 25/06/2034 103,360 USD 94,046 93,938 0.05



DSLA Mortgage Loan Trust 1.066% 19/09/2045 270,161 USD 195,188 200,739 0.10

Duke Energy Corp 1.378% 03/04/2017 100,000 USD 100,000 100,075 0.05

Duke Energy Progress LLC 1.146% 06/03/2017 100,000 USD 100,000 100,024 0.05

Ford Credit Auto Owner Trust 1.014% 15/03/2019 1,259,145 USD 1,260,405 1,259,833 0.61




Freddie Mac Structured Agency Credit Risk Debt Notes 2.606% 25/10/2027 500,000 USD 495,666 507,159 0.25




Government National Mortgage Association 0.611% 16/01/2053 1,676,262 USD 167,904 69,064 0.03

GP Portfolio Trust 1.654% 15/02/2027 144A(2) 72,789 USD 72,830 72,947 0.04

GS Mortgage Securities Trust 5.793% 10/08/2045 1,075,000 USD 1,002,858 1,061,906 0.52

GSR Mortgage Loan Trust 3.118% 25/07/2035 84,458 USD 71,617 74,774 0.04



HarborView Mortgage Loan Trust 0.916% 19/11/2036 591,624 USD 487,149 486,691 0.24

Harborview Mortgage Loan Trust 1.476% 19/10/2033 435,305 USD 409,622 406,407 0.20


(2) See Note 15.




Quantity / Face


HarborView Mortgage Loan Trust 3.027% 19/05/2034 508,691 USD 508,691 510,653 0.25

IndyMac INDX Mortgage Loan Trust 0.966% 25/02/2046 741,429 USD 591,504 583,740 0.28




Invitation Homes Trust 4.936% 17/03/2032 144A(2) 125,000 USD 125,263 125,375 0.06

JP Morgan Alternative Loan Trust 2.901% 25/03/2036 496,620 USD 421,396 406,690 0.20









JPMorgan Chase Bank NA 1.588% 23/09/2019 1,055,000 USD 1,055,000 1,055,793 0.52

Lehman XS Trust 1.016% 25/02/2046 148,030 USD 109,548 109,238 0.05

Lehman XS Trust 1.036% 25/12/2035 180,019 USD 112,634 135,158 0.07

MASTR Adjustable Rate Mortgages Trust 2.854% 25/07/2034 59,736 USD 58,967 57,673 0.03



Merck & Co Inc 1.007% 10/02/2017 175,000 USD 175,000 175,039 0.09

Merrill Lynch Mortgage Investors Trust 3.014% 25/02/2036 91,084 USD 88,795 83,842 0.04

Metropolitan Life Global Funding I 1.299% 14/09/2018 144A(2) 1,055,000 USD 1,055,000 1,056,340 0.52

Morgan Stanley Capital I Trust 5.775% 31/12/2049 186,889 USD 186,571 186,856 0.09

Morgan Stanley Capital I Trust - Class D 5.472% 15/06/2044 144A(2) 205,000 USD 219,382 211,200 0.10

Morgan Stanley Capital I Trust - Class E 5.472% 15/06/2044 144A(2) 345,000 USD 318,114 352,851 0.17

New York Mortgage Trust 3.112% 25/05/2036 63,762 USD 54,817 57,377 0.03

PepsiCo Inc 1.268% 04/10/2019 520,000 USD 520,000 520,572 0.25

RALI Trust 0.946% 25/04/2046 202,110 USD 163,836 162,552 0.08

RALI Trust 0.946% 25/05/2047 159,784 USD 133,299 133,015 0.06

RCO Depositor II LLC 4.500% 25/11/2045 144A(2) 224,593 USD 223,683 224,340 0.11

RCO Depositor II LLC 5.000% 25/11/2045 144A(2) 400,000 USD 380,496 381,549 0.19

SCG Trust 3.204% 15/11/2026 144A(2) 100,000 USD 100,000 95,529 0.05


(2) See Note 15.




Quantity / Face


SCG Trust 3.954% 15/11/2026 144A(2) 100,000 USD 100,000 97,297 0.05

SCG Trust 4.048% 15/11/2026 144A(2) 460,000 USD 460,000 441,058 0.22



Structured Adjustable Rate Mortgage Loan Trust 1.066% 25/07/2035 709,102 USD 533,960 518,579 0.25



Toyota Auto Receivables Owner Trust 0.834% 15/05/2019 360,000 USD 360,000 360,027 0.18

Toyota Motor Credit Corp 1.322% 18/10/2019 500,000 USD 500,000 502,460 0.25


WaMu Mortgage Pass-Through Certificates Trust 1.848% 25/01/2047 291,397 USD 264,268 271,268 0.13

WaMu Mortgage Pass-Through Certificates Trust 2.400% 25/05/2037 497,105 USD 430,158 412,430 0.20

Wedgewood Real Estate Trust 5.000% 15/07/2046 144A(2) 155,000 USD 154,330 154,535 0.08

Wells Fargo & Co 1.234% 02/06/2017 235,000 USD 234,988 235,092 0.11



WFRBS Commercial Mortgage Trust 5.248% 15/06/2044 144A(2) 705,000 USD 724,049 724,882 0.35

WFRBS Commercial Mortgage Trust 5.589% 15/04/2045 144A(2) 325,000 USD 329,245 325,465 0.16


58,769,459 58,753,497 28.67




Bermuda Islands

Bunge Ltd 4.875% Preferred Convertible 4,790 USD 447,313 485,886 0.24

447,313 485,886 0.24 Israel

Teva Pharmaceutical Industries Ltd 7.000% 15/12/2018 Preferred Convertible 374 USD 332,747 242,090 0.12

332,747 242,090 0.12

Total - Shares 780,060 727,976 0.36





Quantity / Face


Variable rate bonds

United States

Toyota Auto Receivables Owner Trust 0.954%

15/10/2018 500,000 USD 500,297 500,319 0.24

500,297 500,319 0.24


Options

United States Call Option USDC TWDP Morgan Stanley JAN17 @ 31.78 6,975,000 USD 128,821 151,909 0.08 Put Option EURP TRYC Merrill Lynch JAN17 @ 3.4 7,020,000 EUR 148,953 422 0.00

277,774 152,331 0.08

Total - Options 277,774 152,331 0.08

Term Loans

Canada

GFL Environmental Inc 3.750% 29/09/2023 139,650 USD 138,975 139,940 0.07

138,975 139,940 0.07 Luxembourg

Signode Industrial Group Lux SA 4.000% 01/05/2021 49,583 USD 49,338 49,955 0.02

49,338 49,955 0.02 Netherlands

NXP BV 3.270% 07/12/2020 49,875 USD 49,875 50,100 0.02

Ziggo BV 3.700% 15/01/2022 15,879 USD 15,860 15,945 0.01

Ziggo BV Facility US$ B1 3.500% 15/01/2022 279,929 USD 279,587 281,096 0.14

Ziggo BV Facility US$ B2 3.500% 15/01/2022 52,652 USD 52,587 52,872 0.02

397,909 400,013 0.19 United Kingdom

Hyperion Insurance Group Ltd 5.500% 29/04/2022 196,570 USD 195,819 196,816 0.10

195,819 196,816 0.10 United States

Albertson's LLC 0.000% 25/08/2021 625,000 USD 625,000 631,900 0.31

Allied Universal Holdco LLC 4.750% 28/07/2022 683,782 USD 674,565 686,135 0.34

Altice US Finance I Corp 3.880% 15/01/2025 46,729 USD 46,729 47,196 0.02

AMC Entertainment Holdings Inc 3.510% 15/12/2023 55,000 USD 54,865 55,509 0.03

Bass Pro Group LLC 5.970% 15/12/2023 400,000 USD 396,057 396,000 0.19

Boyd Gaming Corp 0.000% 15/09/2023 132,067 USD 131,910 133,505 0.07


Camelot U.S. Acquisition 1 Co 4.750% 03/10/2023 266,981 USD 265,697 269,928 0.13

Cavium Inc 3.750% 16/08/2022 154,613 USD 153,162 155,965 0.08

CBS Radio Inc 4.500% 17/10/2023 185,660 USD 184,759 187,285 0.09






Quantity / Face


Conduent Inc 6.250% 07/12/2023 885,000 USD 868,324 894,956 0.44

Consolidated Communications Inc 0.000% 05/10/2023 200,000 USD 199,002 201,000 0.10

CSC Holdings LLC 3.880% 11/10/2024 40,000 USD 39,903 40,392 0.02

Donnelley Financial Solutions Inc 5.000% 29/09/2023 230,000 USD 228,890 232,109 0.11

Electric Lightwave Holdings Inc 5.250% 14/08/2020 694,846 USD 689,445 696,062 0.34

Energy Transfer Equity LP 3.390% 02/12/2019 186,340 USD 184,740 186,340 0.09

Energy Transfer Equity LP 4.140% 02/12/2019 1,102,041 USD 1,101,663 1,106,868 0.54

Engility Corp 5.750% 14/08/2023 215,099 USD 214,079 218,164 0.11

Envision Healthcare Corp 4.000% 01/12/2023 155,000 USD 153,470 156,454 0.08

Flex Acquisition Co Inc 8.000% 16/12/2017 540,000 USD 540,000 538,650 0.26

Gates Global LLC 4.250% 06/07/2021 466,354 USD 455,687 466,354 0.23

GTT Communications Inc 0.000% 13/12/2023 109,000 USD 108,457 110,499 0.05

Harbor Freight Tools USA Inc 3.890% 18/08/2023 241,401 USD 240,255 244,619 0.12

HD Supply Inc 3.750% 17/10/2023 289,275 USD 287,882 291,204 0.14

Headwaters Inc 4.000% 24/03/2022 376,535 USD 375,655 378,301 0.19

Inventiv Group Holdings Inc 4.750% 09/11/2023 985,000 USD 980,233 993,087 0.48

Lonestar Intermediate Super Holdings LLC 10.000% 31/08/2021 535,000 USD 531,761 549,712 0.27

Men's Wearhouse Inc/The 4.500% 18/06/2021 199,772 USD 198,189 199,522 0.10

PetSmart Inc 4.000% 11/03/2022 498,734 USD 498,734 499,981 0.24

Ply Gem Industries Inc 4.000% 01/02/2021 121,543 USD 121,320 122,506 0.06

Power Buyer LLC 4.250% 06/05/2020 107,957 USD 107,102 107,822 0.05

Quikrete Holdings Inc 4.000% 15/11/2023 405,000 USD 403,158 408,714 0.20

Rackspace Hosting Inc 0.000% 03/11/2023 170,000 USD 170,000 172,054 0.08

Rackspace Hosting Inc Term B Loan (First Lien) 0.000% 03/11/2023 170,000 USD 169,576 172,054 0.08

Serta Simmons Bedding LLC 4.500% 08/11/2023 506,042 USD 503,125 511,259 0.25

Southcross Energy Partners LP 5.250% 04/08/2021 470,352 USD 461,932 369,226 0.18

Talbots Inc 5.500% 19/03/2020 66,797 USD 66,617 64,826 0.03

Transdigm Inc 3.770% 09/06/2023 409,731 USD 407,811 413,623 0.20

Transdigm Inc 3.850% 14/05/2022 48,615 USD 48,437 49,002 0.02

Uber Technologies Inc 5.000% 13/07/2023 528,675 USD 528,675 529,336 0.26

Virgin Media Bristol LLC 3.490% 31/01/2025 460,000 USD 458,852 461,785 0.23

Western Digital Corp 4.520% 29/04/2023 355,089 USD 355,089 360,525 0.18

15,299,430 15,490,943 7.56

Total - Term Loans 16,081,471 16,277,667 7.94








H-I/A (EUR)





H-Q/A (NOK)





I/A (USD)





H-S/A (SEK)








USD USD USD



H-I/A (EUR) 100.67 96.33 -

H-Q/A (NOK) 115.14 108.38 108.10

I/A (USD) 100.40 96.36 101.21

H-S/A (SEK) 99.38 - -


(2) See Note 15.


Loomis Sayles Sustainable Global Corporate Bond Fund Statement of Investments



Australia

SGSP Australia Assets Pty Ltd 2.000% 30/06/2022 EMTN 570,000 EUR 666,129 635,943 0.44



1,095,185 991,528 0.69 Belgium




1,069,134 1,015,793 0.71 Brazil


449,940 451,125 0.32 Canada


446,794 417,055 0.29 Cayman Islands



Hutchison Whampoa Finance 14 Ltd 1.375% 31/10/2021 440,000 EUR 544,373 479,838 0.34




1,276,671 1,184,252 0.83 Chile



490,320 505,592 0.35 France

APRR SA 1.250% 06/01/2027 EMTN 500,000 EUR 526,897 528,249 0.37

APRR SA 1.875% 06/01/2031 EMTN 300,000 EUR 314,741 320,038 0.22


Carrefour SA 1.750% 15/07/2022 EMTN 300,000 EUR 364,245 335,855 0.24

Credit Agricole SA 4.375% 17/03/2025 144A(2) 840,000 USD 835,984 827,465 0.58


Kering 1.250% 10/05/2026 EMTN 600,000 EUR 680,604 630,285 0.44




(2) See Note 15.


Loomis Sayles Sustainable Global Corporate Bond Fund Statement of Investments (continued)


Description Assets


4,006,939 3,913,967 2.74 Germany



Unitymedia GmbH 3.750% 15/01/2027 240,000 EUR 229,493 239,455 0.17

1,040,377 1,033,623 0.72 Great Britain

Barclays PLC 3.250% 12/02/2027 EMTN 480,000 GBP 626,373 577,542 0.40

Barclays PLC 4.375% 11/09/2024 405,000 USD 398,130 401,712 0.28


Centrica PLC 6.375% 10/03/2022 EMTN 640,000 GBP 1,075,696 981,880 0.69

CRH Finance UK PLC 4.125% 02/12/2029 EMTN 160,000 GBP 236,487 226,215 0.16

FCE Bank PLC 1.114% 13/05/2020 EMTN 185,000 EUR 210,058 199,385 0.14

HSBC Holdings PLC 3.000% 30/06/2025 EMTN 275,000 EUR 305,602 308,559 0.22




ITV PLC 2.000% 01/12/2023 200,000 EUR 211,176 212,575 0.15




NWEN Finance PLC 5.875% 21/06/2021 300,000 GBP 446,141 407,764 0.29




Sky PLC 1.500% 15/09/2021 EMTN 670,000 EUR 752,215 735,997 0.51

Sky PLC 2.250% 17/11/2025 EMTN 195,000 EUR 208,773 218,950 0.15

Sky PLC 2.500% 15/09/2026 EMTN 100,000 EUR 113,811 113,985 0.08

Sky PLC 4.000% 26/11/2029 EMTN 200,000 GBP 310,807 280,905 0.20


Standard Chartered PLC 5.125% 06/06/2034 EMTN 435,000 GBP 611,947 533,694 0.37



Virgin Media Finance PLC 4.500% 15/01/2025 EMTN 100,000 EUR 117,815 108,903 0.08

Western Power Distribution PLC 3.625% 06/11/2023 115,000 GBP 175,521 153,490 0.11

WPP Finance 2010 3.750% 19/09/2024 45,000 USD 45,380 45,289 0.03

WPP Finance 2010 5.625% 15/11/2043 485,000 USD 504,085 518,111 0.36

WPP Finance 2013 2.875% 14/09/2046 EMTN 100,000 GBP 132,447 111,723 0.08

10,853,581 10,378,800 7.26 Ireland




(2) See Note 15.




Description Assets



2,429,227 2,490,385 1.74 Italy



Buzzi Unicem SpA 2.125% 28/04/2023 100,000 EUR 112,716 107,124 0.08

365,700 365,192 0.26 Jersey




468,173 474,045 0.33 Luxembourg

Simon International Finance SCA 1.375% 18/11/2022 500,000 EUR 550,894 547,400 0.38

550,894 547,400 0.38 Mexico


Cemex SAB de CV 7.750% 16/04/2026 200,000 USD 199,975 221,500 0.15

Mexichem SAB de CV 5.875% 17/09/2044 144A(2) 345,000 USD 299,409 307,481 0.22


1,660,502 1,630,707 1.14 Morocco

OCP SA 6.875% 25/04/2044 144A(2) 250,000 USD 258,359 251,281 0.18

258,359 251,281 0.18 Netherlands

ABN AMRO Bank NV 4.750% 28/07/2025 144A(2) 405,000 USD 420,815 411,931 0.29



Enel Finance International NV 5.750% 14/09/2040

EMTN 70,000 GBP 121,315 114,255 0.08

innogy Finance BV 4.750% 31/01/2034 EMTN 100,000 GBP 141,596 148,234 0.10





Ziggo Bond Finance BV 6.000% 15/01/2027 144A(2) 330,000 USD 330,000 320,100 0.22

3,757,120 3,633,608 2.54 New Zealand


518,511 486,008 0.34


(2) See Note 15.




Description Assets

Portugal

Brisa Concessao Rodoviaria SA 2.000% 22/03/2023 EMTN 100,000 EUR 110,897 107,934 0.08


222,492 212,332 0.15 Romania


150,017 135,301 0.10 Singapore


378,667 380,034 0.27 Spain









Corp Andina de Fomento 4.375% 15/06/2022 110,000 USD 112,621 116,695 0.08



Emirates Telecommunications Group Co PJSC 2.375% 18/06/2019 220,000 USD 220,247 218,660 0.15

518,277 513,170 0.36 United States

Aetna Inc 2.400% 15/06/2021 250,000 USD 249,977 248,868 0.17

Aetna Inc 3.200% 15/06/2026 305,000 USD 303,923 301,727 0.21

Aetna Inc 4.375% 15/06/2046 90,000 USD 90,557 90,373 0.06






American International Group Inc 5.000% 26/04/2023 EMTN 150,000 GBP 257,826 212,711 0.15








Description Assets




Anthem Inc 2.250% 15/08/2019 135,000 USD 135,292 134,727 0.09


AT&T Inc 2.750% 19/05/2023 120,000 EUR 148,364 139,305 0.10

AT&T Inc 3.000% 15/02/2022 710,000 USD 733,513 703,070 0.49

AT&T Inc 4.125% 17/02/2026 445,000 USD 472,688 450,592 0.32

AT&T Inc 4.300% 15/12/2042 295,000 USD 265,119 264,077 0.19

AT&T Inc 4.450% 01/04/2024 675,000 USD 736,200 703,644 0.49

AT&T Inc 4.750% 15/05/2046 357,000 USD 336,208 338,229 0.24

AT&T Inc 4.800% 15/06/2044 15,000 USD 15,152 14,174 0.01

AT&T Inc 5.150% 15/03/2042 130,000 USD 133,863 129,502 0.09

Avnet Inc 4.625% 15/04/2026 495,000 USD 499,877 482,294 0.34

Baltimore Gas & Electric Co 3.350% 01/07/2023 890,000 USD 942,959 911,055 0.64








Berkshire Hathaway Inc 1.125% 16/03/2027 355,000 EUR 387,305 367,277 0.26






Citigroup Inc 4.090% 09/06/2025 340,000 CAD 270,990 258,333 0.18


CMS Energy Corp 2.950% 15/02/2027 450,000 USD 448,454 427,091 0.30




Corning Inc 2.900% 15/05/2022 470,000 USD 469,160 471,331 0.33











Description Assets


DDR Corp 3.625% 01/02/2025 125,000 USD 124,252 120,920 0.08


Dominion Resources Inc/VA 2.850% 15/08/2026 1,455,000 USD 1,386,872 1,362,216 0.95

Eaton Corp 4.000% 02/11/2032 100,000 USD 104,251 98,584 0.07





FedEx Corp 0.500% 09/04/2020 650,000 EUR 736,561 692,450 0.48

FedEx Corp 1.625% 11/01/2027 880,000 EUR 999,234 941,989 0.66

FedEx Corp 4.550% 01/04/2046 375,000 USD 373,396 377,891 0.26


Ford Motor Credit Co LLC 3.588% 02/06/2020 280,000 AUD 215,878 202,753 0.14




GATX Corp 3.250% 30/03/2025 105,000 USD 104,092 100,898 0.07














HCA Inc 4.500% 15/02/2027 40,000 USD 40,000 39,300 0.03

HCA Inc 4.750% 01/05/2023 65,000 USD 65,537 66,544 0.05

HCA Inc 5.000% 15/03/2024 230,000 USD 229,672 236,613 0.17

HCA Inc 5.375% 01/02/2025 55,000 USD 55,635 55,138 0.04

Home Depot Inc/The 2.625% 01/06/2022 1,370,000 USD 1,370,830 1,376,602 0.96

HSBC Bank USA NA/New York NY 5.875% 01/11/2034 250,000 USD 278,984 291,058 0.20

HSBC USA Inc 2.750% 07/08/2020 105,000 USD 104,934 105,068 0.07







(2) See Note 15.

(3) See Note 13.




Description Assets








Medtronic Inc 3.500% 15/03/2025 130,000 USD 130,198 133,863 0.09

MetLife Inc 4.125% 13/08/2042 205,000 USD 194,894 201,754 0.14

Mohawk Industries Inc 2.000% 14/01/2022 1,115,000 EUR 1,282,659 1,241,693 0.87

Moody's Corp 1.750% 09/03/2027 385,000 EUR 436,400 413,515 0.29




MPLX LP 4.500% 15/07/2023 25,000 USD 24,510 25,390 0.02

MPLX LP 4.875% 01/12/2024 5,000 USD 4,952 5,148 0.00

MPLX LP 4.875% 01/06/2025 445,000 USD 423,569 457,525 0.32

MPLX LP 5.500% 15/02/2023 50,000 USD 50,165 52,018 0.04






PPL Capital Funding Inc 3.950% 15/03/2024 685,000 USD 731,428 708,911 0.50


Prologis LP 1.375% 13/05/2021 1,600,000 EUR 1,801,728 1,749,619 1.22


Prudential Financial Inc 2.350% 15/08/2019 370,000 USD 371,075 373,569 0.26

Public Service Enterprise Group Inc 2.000% 15/11/2021 720,000 USD 718,672 697,162 0.49


Santander Holdings USA Inc 4.500% 17/07/2025 290,000 USD 289,900 288,186 0.20


Solvay Finance America LLC 3.400% 03/12/2020

144A(2) 290,000 USD 289,967 295,073 0.21


Southwestern Electric Power Co 3.550% 15/02/2022 150,000 USD 153,389 155,496 0.11





U.S. Treasury Bond 2.500% 15/05/2046(3) 1,340,000 USD 1,367,124 1,190,820 0.83






Description Assets





















ZF North America Capital Inc 2.750% 27/04/2023 100,000 EUR 116,548 111,160 0.08



64,288,946 63,071,597 44.15


Variable rate bonds

France

AXA SA 3.375% 06/07/2047 EMTN 615,000 EUR 684,145 658,851 0.46

AXA SA 5.125% 04/07/2043 EMTN 235,000 EUR 341,207 285,466 0.20

AXA SA 5.250% 16/04/2040 EMTN 50,000 EUR 72,183 58,696 0.04

Electricite de France SA 4.125% 31/12/2049 EMTN 100,000 EUR 102,354 103,857 0.07

1,199,889 1,106,870 0.77 Germany

Allianz SE 2.241% 07/07/2045 700,000 EUR 741,105 717,175 0.50

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 6.000% 26/05/2041 EMTN 200,000 EUR 281,462 248,931 0.18

1,022,567 966,106 0.68 Great Britain





Great Hall Mortgages PLC 0.521% 18/06/2038 28,195 GBP 35,337 33,565 0.02

HBOS PLC 4.500% 18/03/2030 EMTN 10,000 EUR 13,858 11,590 0.01



(2) See Note 15.




Description Assets




Trinity Square PLC 1.551% 15/07/2051 130,277 GBP 196,024 161,639 0.11

Uropa Securities PLC 0.000% 10/10/2040 113,881 EUR 118,301 119,275 0.08

1,675,200 1,465,931 1.02 Netherlands

Cooperatieve Rabobank UA 2.500% 26/05/2026 625,000 EUR 717,204 684,313 0.48

Demeter Investments BV for Zurich Insurance Co Ltd 3.500% 01/10/2046 EMTN 535,000 EUR 641,668 583,000 0.41




2,594,009 2,468,303 1.73 Switzerland

Raiffeisen Schweiz Genossenschaft 3.000% 31/12/2049 265,000 CHF 266,358 270,539 0.19

266,358 270,539 0.19




Australia

Asciano Finance Ltd 4.625% 23/09/2020 144A(2) 155,000 USD 157,674 160,364 0.11

Macquarie Bank Ltd 3.900% 15/01/2026 144A(2) 555,000 USD 548,405 566,280 0.40

706,079 726,644 0.51 Barbados

Global SC Finance II Srl 3.190% 17/07/2029 144A(2) 189,583 USD 189,552 181,891 0.13

189,552 181,891 0.13 Canada

Canadian Pacific Railway Co 2.900% 01/02/2025 1,450,000 USD 1,478,193 1,421,192 0.99

Fortis Inc/Canada 3.055% 04/10/2026 144A(2) 745,000 USD 733,496 696,781 0.49

2,211,689 2,117,973 1.48 France


Danone SA 2.947% 02/11/2026 144A(2) 1,380,000 USD 1,380,000 1,316,911 0.92

Engie SA 2.875% 10/10/2022 400,000 USD 410,413 398,345 0.28



3,664,875 3,568,675 2.50 Great Britain



402,131 399,440 0.28


(2) See Note 15.




Description Assets

Hong Kong

AIA Group Ltd 3.200% 11/03/2025 144A(2) 200,000 USD 199,792 193,032 0.13

199,792 193,032 0.13 Italy

Intesa Sanpaolo SpA 3.875% 15/01/2019 435,000 USD 444,107 442,795 0.31


850,060 838,821 0.59 Netherlands



LeasePlan Corp NV 2.500% 16/05/2018 330,000 USD 331,453 330,480 0.23




2,092,826 2,120,585 1.48 United States

21st Century Fox America Inc 3.700% 15/09/2024 590,000 USD 592,243 597,407 0.42

21st Century Fox America Inc 4.000% 01/10/2023 725,000 USD 760,050 748,920 0.52

A10 Term Asset Financing LLC 2.620% 15/11/2027 144A(2) 47,869 USD 48,425 47,672 0.03







Anthem Inc 4.650% 15/08/2044 195,000 USD 194,627 197,396 0.14


BAE Systems Holdings Inc 3.850% 15/12/2025

144A(2) 445,000 USD 445,765 453,845 0.32

Bayer US Finance LLC 3.375% 08/10/2024 144A(2) 720,000 USD 742,256 716,394 0.50

Celgene Corp 3.550% 15/08/2022 275,000 USD 292,616 282,037 0.20

Celgene Corp 5.000% 15/08/2045 160,000 USD 158,859 166,357 0.12


CLI Funding V LLC 3.380% 18/10/2029 144A(2) 257,700 USD 257,618 247,753 0.17

Comcast Corp 4.200% 15/08/2034 610,000 USD 631,134 623,099 0.44

Comcast Corp 4.650% 15/07/2042 20,000 USD 21,325 20,822 0.01



Credit Acceptance Auto Loan Trust 2.940% 15/10/2024 144A(2) 310,000 USD 309,966 305,220 0.21


Daimler Finance North America LLC 2.200% 30/10/2021 144A(2) 875,000 USD 874,763 855,061 0.60

Delphi Corp 4.150% 15/03/2024 115,000 USD 116,105 118,534 0.08


(2) See Note 15.




Description Assets









FRS I LLC 1.800% 15/04/2043 144A(2) 38,619 USD 38,577 37,824 0.03



Hyundai Capital America 2.450% 15/06/2021 144A(2) 1,090,000 USD 1,108,426 1,065,107 0.74


Hyundai Capital America 3.000% 30/10/2020 EMTN 820,000 USD 820,803 820,070 0.57

INVISTA Finance LLC 4.250% 15/10/2019 250,000 USD 250,000 247,849 0.17








Longtrain Leasing III LLC 2.980% 15/01/2045 144A(2) 216,568 USD 216,555 210,108 0.15




Medco Health Solutions Inc 4.125% 15/09/2020 300,000 USD 322,208 314,791 0.22

NBCUniversal Enterprise Inc 1.974% 15/04/2019 144A(2) 295,000 USD 294,535 296,066 0.21



Retail Opportunity Investments Partnership LP 4.000% 15/12/2024 205,000 USD 204,043 196,574 0.14

SG Commercial Mortgage Securities Trust 3.055% 10/10/2048 195,000 USD 200,579 189,206 0.13






Trans-Allegheny Interstate Line Co 3.850% 01/06/2025 80,000 USD 79,954 81,042 0.06





Description Assets

TTX Co 2.600% 15/06/2020 144A(2) 600,000 USD 599,981 597,429 0.42




WEA Finance LLC/Westfield UK & Europe Finance PLC 2.700% 17/09/2019 230,000 USD 230,715 232,633 0.16






23,860,457 23,520,449 16.46


Variable rate bonds

United States

Credit Suisse Commercial Mortgage Trust 5.695% 15/09/2040 155,094 USD 157,800 157,310 0.11


Merrill Lynch Mortgage Trust 5.826% 12/06/2050 93,019 USD 94,405 93,803 0.07

Morgan Stanley Capital I Trust 6.275% 11/01/2043 39,927 USD 41,570 41,367 0.03

308,235 306,855 0.22




Canada

Alimentation Couche-Tard Inc 3.319% 01/11/2019 330,000 CAD 304,346 255,673 0.18

Canadian Government Bond 5.000% 01/06/2037 180,000 CAD 220,872 193,006 0.13

525,218 448,679 0.31 United States


336,706 341,652 0.24




(2) See Note 15.



(1) See Note 1.


Changes in the number of Shares for the period ended July 29, 2016

H-S/A (EUR)





I/A (USD)






(1) See Note 1.


Statistics

December 31, 2016 December 31, 2015 December 31, 2014

USD USD USD

Total Net Asset Value – 48,572,035 -


H-S/A (EUR) - 99.36 -

I/A (USD) - 99.35 -




I/A (USD)





I/D (USD)





Q/A (USD)





R/A (USD)





R/D (USD)





RE/A (USD)





S1/A (USD)








USD USD USD

Total Net Asset Value 34,223,358 28,552,317 –


I/A (USD) 103.33 97.20 -

I/D (USD) 97.95 - -

Q/A (USD) 104.16 97.32 -

R/A (USD) 102.57 97.10 -

R/D (USD) 97.89 - -

RE/A (USD) 102.26 97.03 -

S1/A (USD) 103.98 97.30 -


(2) See Note 15.


Loomis Sayles U.S. Core Plus Bond Fund Statement of Investments



Argentina

Argentine Republic Government International Bond 7.500% 22/04/2026 144A(2) 150,000 USD 155,845 157,441 0.46

155,845 157,441 0.46 Bermuda Islands

Aircastle Ltd 5.000% 01/04/2023 15,000 USD 15,000 15,300 0.05

Aircastle Ltd 5.500% 15/02/2022 30,000 USD 31,556 31,800 0.09

Ooredoo International Finance Ltd 3.250% 21/02/2023 144A(2) 200,000 USD 196,500 195,750 0.57

243,056 242,850 0.71 Brazil

Votorantim Cimentos SA 7.250% 05/04/2041 144A(2) 200,000 USD 167,348 186,100 0.54

167,348 186,100 0.54 Canada

Goldcorp Inc 2.125% 15/03/2018 55,000 USD 54,871 54,974 0.16

54,871 54,974 0.16 Cayman Islands

CK Hutchison International 16 Ltd 2.750% 03/10/2026 144A(2) 200,000 USD 184,980 185,888 0.55

Tencent Holdings Ltd 3.375% 02/05/2019 144A(2) 265,000 USD 269,302 270,983 0.79

454,282 456,871 1.34 Chile

Enel Americas SA 4.000% 25/10/2026 20,000 USD 19,679 19,094 0.06

SACI Falabella 3.750% 30/04/2023 144A(2) 200,000 USD 197,054 198,273 0.58

216,733 217,367 0.64 Colombia

Colombia Government International Bond 4.500% 28/01/2026 225,000 USD 224,702 231,750 0.68

224,702 231,750 0.68 Great Britain

Barclays PLC 2.875% 08/06/2020 255,000 USD 256,477 253,123 0.74

Ensco PLC 4.500% 01/10/2024 40,000 USD 34,622 34,300 0.10

Ensco PLC 5.750% 01/10/2044 30,000 USD 24,227 21,750 0.06


Virgin Media Finance PLC 5.750% 15/01/2025 144A(2) 200,000 USD 196,071 200,500 0.59

713,160 712,361 2.08 India

Bharti Airtel Ltd 4.375% 10/06/2025 144A(2) 200,000 USD 201,102 197,239 0.58

201,102 197,239 0.58 Indonesia

Indonesia Government International Bond 3.700% 08/01/2022 144A(2) 200,000 USD 201,957 200,449 0.59

Pertamina Persero PT 6.450% 30/05/2044 144A(2) 235,000 USD 226,329 237,903 0.69

428,286 438,352 1.28 Luxembourg

ArcelorMittal 7.750% 01/03/2041 80,000 USD 70,386 85,200 0.25

70,386 85,200 0.25


(2) See Note 15.


Loomis Sayles U.S. Core Plus Bond Fund Statement of Investments (continued)


Description Assets

Mexico

El Puerto de Liverpool SAB de CV 3.875% 06/10/2026 144A(2) 200,000 USD 197,815 185,000 0.54



Mexichem SAB de CV 5.875% 17/09/2044 144A(2) 200,000 USD 179,479 178,250 0.52

Mexico Government International Bond 4.000% 15/03/2115 100,000 EUR 98,867 88,326 0.26

Petroleos Mexicanos 6.375% 04/02/2021 144A(2) 50,000 USD 50,000 53,250 0.15

1,648,924 1,404,024 4.10 Morocco

OCP SA 5.625% 25/04/2024 144A(2) 200,000 USD 207,250 206,799 0.60

207,250 206,799 0.60 Netherlands




Shell International Finance BV 3.750% 12/09/2046 125,000 USD 124,426 115,018 0.34

312,544 327,298 0.96 Peru

BBVA Banco Continental SA 3.250% 08/04/2018 144A(2) 100,000 USD 101,028 100,750 0.29

101,028 100,750 0.29 Philippines

Philippine Government International Bond 3.900% 26/11/2022 10,000,000 PHP 214,044 189,505 0.55

214,044 189,505 0.55 Saudi Arabia

Saudi Government International Bond 3.250% 26/10/2026 144A(2) 200,000 USD 197,406 189,605 0.55

Saudi Government International Bond 4.500% 26/10/2046 144A(2) 200,000 USD 196,054 191,566 0.56

393,460 381,171 1.11 Spain



Abu Dhabi National Energy Co PJSC 2.500% 12/01/2018 144A(2) 200,000 USD 200,600 200,197 0.59

200,600 200,197 0.59 United States


AmeriGas Partners LP/AmeriGas Finance Corp 5.500% 20/05/2025 40,000 USD 40,000 40,400 0.12


Asbury Automotive Group Inc 6.000% 15/12/2024 75,000 USD 78,313 76,687 0.22

AT&T Inc 4.350% 15/06/2045 5,000 USD 4,762 4,455 0.01

AT&T Inc 4.500% 09/03/2048 25,000 USD 23,859 22,464 0.07

AT&T Inc 4.750% 15/05/2046 5,000 USD 5,042 4,737 0.01


CBRE Services Inc 5.000% 15/03/2023 40,000 USD 41,282 41,264 0.12

Centene Corp 4.750% 15/01/2025 80,000 USD 80,000 78,100 0.23





Description Assets

Centene Corp 5.625% 15/02/2021 65,000 USD 65,000 68,341 0.20




Embarq Corp 7.995% 01/06/2036 125,000 USD 132,056 117,187 0.34


FirstEnergy Corp 2.750% 15/03/2018 70,000 USD 70,632 70,636 0.21









iStar Inc 5.000% 01/07/2019 5,000 USD 5,055 5,019 0.01

iStar Inc 6.500% 01/07/2021 155,000 USD 155,000 159,650 0.47



Kindred Healthcare Inc 8.000% 15/01/2020 80,000 USD 82,463 79,600 0.23

Level 3 Financing Inc 5.375% 15/01/2024 35,000 USD 35,000 35,350 0.10


Molina Healthcare Inc 5.375% 15/11/2022 30,000 USD 30,000 30,450 0.09



Nabors Industries Inc 5.100% 15/09/2023 165,000 USD 150,916 165,000 0.48

Newfield Exploration Co 5.375% 01/01/2026 90,000 USD 86,610 91,764 0.27


Phillips 66 5.875% 01/05/2042 60,000 USD 71,749 71,043 0.21

PolyOne Corp 5.250% 15/03/2023 40,000 USD 40,356 40,600 0.12

QEP Resources Inc 5.250% 01/05/2023 100,000 USD 90,282 100,250 0.29


Reynolds American Inc 6.150% 15/09/2043 150,000 USD 175,952 180,993 0.53

Rowan Cos Inc 7.375% 15/06/2025 115,000 USD 115,000 117,300 0.34

SM Energy Co 5.000% 15/01/2024 160,000 USD 144,233 150,800 0.44

Southern Copper Corp 5.875% 23/04/2045 90,000 USD 78,260 88,355 0.26


Sprint Capital Corp 6.875% 15/11/2028 85,000 USD 70,272 83,938 0.25

Tennessee Valley Authority 4.250% 15/09/2065 60,000 USD 60,539 61,765 0.18

Tesoro Logistics LP/Tesoro Logistics Finance Corp 5.250% 15/01/2025 35,000 USD 35,000 35,744 0.10

Toll Brothers Finance Corp 4.875% 15/11/2025 20,000 USD 20,000 19,650 0.06



U.S. Treasury Inflation Indexed Note 0.125% 15/07/2024 773,710 USD 749,942 760,089 2.22



(2) See Note 15.




Description Assets

U.S. Treasury Inflation Indexed Bonds 0.750% 15/02/2045 862,285 USD 772,214 811,360 2.37


U.S. Treasury Inflation Indexed Bonds 1.375% 15/02/2044 985,340 USD 1,021,868 1,075,312 3.14















13,997,471 14,172,949 41.41


Treasury Bills

United States

United States Treasury Bill 0.000% 05/01/2017 160,000 USD 159,992 159,992 0.47

159,992 159,992 0.47

Total - Treasury Bills 159,992 159,992 0.47



Austria

Suzano Austria GmbH 5.750% 14/07/2026 144A(2) 200,000 USD 198,217 192,750 0.56

198,217 192,750 0.56 Canada

Bombardier Inc 5.750% 15/03/2022 144A(2) 10,000 USD 9,302 9,400 0.03



124,117 123,581 0.36 Cayman Islands


96,583 96,283 0.28 Chile

Banco Santander Chile 3.875% 20/09/2022 144A(2) 200,000 USD 201,639 205,592 0.60

Celulosa Arauco y Constitucion SA 4.750% 11/01/2022 90,000 USD 92,328 93,631 0.28

293,967 299,223 0.88


(2) See Note 15.




Description Assets

Great Britain

Anglo American Capital PLC 4.875% 14/05/2025 144A(2) 200,000 USD 202,957 202,750 0.59

202,957 202,750 0.59 Hong Kong

HKCG Finance Ltd 6.250% 07/08/2018 144A(2) 100,000 USD 106,588 106,336 0.31

106,588 106,336 0.31 Luxembourg

Ultrapar International SA 5.250% 06/10/2026 144A(2) 210,000 USD 206,099 205,779 0.60

206,099 205,779 0.60 Mexico

Petroleos Mexicanos 5.500% 21/01/2021 110,000 USD 115,518 113,162 0.33

115,518 113,162 0.33 Netherlands

Myriad International Holdings BV 6.000% 18/07/2020 144A(2) 200,000 USD 213,194 216,370 0.63

213,194 216,370 0.63 Singapore

Flex Ltd 4.750% 15/06/2025 50,000 USD 49,085 52,901 0.16

49,085 52,901 0.16 South Korea

SK Telecom Co Ltd 2.125% 01/05/2018 144A(2) 200,000 USD 200,633 199,978 0.59

200,633 199,978 0.59 Thailand

Bangkok Bank PCL/Hong Kong 3.300% 03/10/2018 144A(2) 255,000 USD 259,412 260,208 0.76

Thai Oil PCL 4.875% 23/01/2043 144A(2) 200,000 USD 191,868 199,626 0.58


Dolphin Energy Ltd 5.500% 15/12/2021 144A(2) 200,000 USD 221,000 219,980 0.64

221,000 219,980 0.64 United States


AmeriCredit Automobile Receivables 2.880%

08/07/2021 45,000 USD 44,992 45,484 0.13



Avis Budget Rental Car Funding AESOP LLC 2.990% 20/06/2022 144A(2) 100,000 USD 99,994 99,785 0.29

Biogen Inc 2.900% 15/09/2020 30,000 USD 30,399 30,383 0.09

Braskem America Finance Co 7.125% 22/07/2041 144A(2) 200,000 USD 157,074 201,500 0.59

California Republic Auto Receivables Trust 2.040% 15/01/2020 144A(2) 25,000 USD 24,999 25,157 0.07

COMM Mortgage Trust 3.694% 10/08/2047 135,000 USD 139,597 139,696 0.41

Commercial Mortgage Trust 5.736% 31/12/2049 164,816 USD 167,535 167,174 0.49


Diamond 1 Finance Corp/Diamond 2 Finance Corp 7.125% 15/06/2024 144A(2) 25,000 USD 25,000 27,754 0.08


(2) See Note 15.




Description Assets



DISH DBS Corp 5.875% 15/11/2024 80,000 USD 76,784 82,320 0.24



EnerSys 5.000% 30/04/2023 144A(2) 30,000 USD 30,566 30,300 0.09





Goodyear Tire & Rubber Co 5.000% 31/05/2026 5,000 USD 5,000 4,977 0.01

Hewlett Packard Enterprise Co 3.600% 15/10/2020 144A(2) 150,000 USD 151,358 152,597 0.45

Hewlett Packard Enterprise Co 6.200% 15/10/2035 144A(2) 75,000 USD 74,060 76,372 0.22

Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower Inc 6.125% 01/12/2024 144A(2) 10,000 USD 10,000 10,387 0.03

Hyundai Capital America 3.000% 30/10/2020 144A(2) 125,000 USD 124,942 125,011 0.37


Kinder Morgan Inc/DE 5.625% 15/11/2023 144A(2) 70,000 USD 69,237 76,833 0.22

MEDNAX Inc 5.250% 01/12/2023 144A(2) 15,000 USD 15,000 15,450 0.05

Micron Technology Inc 5.500% 01/02/2025 85,000 USD 81,109 84,575 0.25

Molex Electronic Technologies LLC 2.878% 15/04/2020 144A(2) 50,000 USD 49,419 49,887 0.15

Molex Electronic Technologies LLC 3.900% 15/04/2025 144A(2) 25,000 USD 24,619 24,593 0.07

MSBAM Commercial Mortgage Securities Trust 3.277% 15/10/2030 144A(2) 220,000 USD 220,991 217,498 0.64

Nabors Industries Inc 5.500% 15/01/2023 144A(2) 10,000 USD 10,000 10,412 0.03

Navient Corp 8.000% 25/03/2020 140,000 USD 144,045 155,316 0.45


President & Fellows of Harvard College 3.300% 15/07/2056 55,000 USD 54,594 48,369 0.14


Range Resources Corp 5.000% 15/03/2023 144A(2) 60,000 USD 57,130 59,400 0.17

Santander Drive Auto Receivables Trust 2.460% 15/06/2020 250,000 USD 250,818 251,926 0.74

Starwood Property Trust Inc 5.000% 15/12/2021 144A(2) 35,000 USD 35,000 35,469 0.10

Tennessee Valley Authority 3.500% 15/12/2042 170,000 USD 166,586 166,127 0.49

Tesoro Corp 4.750% 15/12/2023 144A(2) 135,000 USD 135,000 135,928 0.40




(2) See Note 15.




Description Assets

UBS-Citigroup Commercial Mortgage Trust 5.154% 10/01/2045 144A(2) 15,000 USD 16,555 16,470 0.05


Viacom Inc 5.250% 01/04/2044 25,000 USD 22,450 22,744 0.07

WestRock RKT Co 4.000% 01/03/2023 50,000 USD 51,350 51,632 0.15

Wolverine World Wide Inc 5.000% 01/09/2026 144A(2) 40,000 USD 40,060 38,500 0.11


4,229,829 4,327,108 12.65


Variable rate bonds

United States

COMM Mortgage Trust 2.424% 15/10/2034 144A(2) 100,000 USD 100,000 100,471 0.29

Fannie Mae Pool 3.000% 01/02/2047 740,000 USD 724,745 734,013 2.15


Fannie Mae Pool 4.000% 01/02/2047 955,000 USD 994,065 1,002,657 2.93



Ginnie Mae II Pool 3.000% 01/02/2047 305,000 USD 304,309 308,318 0.90






Government National Mortgage Association 1.156% 20/03/2060 376,604 USD 374,885 375,529 1.10

Home Partners of America Trust 2.386% 17/03/2033 144A(2) 86,973 USD 86,128 87,588 0.26

LB Commercial Mortgage Trust 5.918% 15/07/2044 78,951 USD 80,031 80,000 0.23

Mill City Mortgage Trust 3.000% 25/09/2057 144A(2) 67,936 USD 68,191 68,358 0.20

ML-CFC Commercial Mortgage Trust 6.852% 12/08/2049 198,246 USD 201,594 200,653 0.59

Morgan Stanley Capital I Trust 5.200% 15/06/2044 144A(2) 100,000 USD 108,570 107,406 0.31

National Rural Utilities Cooperative Finance Corp 4.750% 30/04/2043 75,000 USD 75,095 75,411 0.22

Towd Point Mortgage Trust 2.750% 25/08/2055 144A(2) 87,162 USD 87,163 86,980 0.25

Towd Point Mortgage Trust 2.750% 25/11/2060 144A(2) 74,763 USD 76,044 74,743 0.22

WFCG Commercial Mortgage Trust 1.826% 15/11/2029 144A(2) 95,829 USD 95,829 95,802 0.28

5,514,027 5,538,639 16.18







Description Assets


United States

Federal Home Loan Bank Discount Notes 0.000% 05/01/2017 145,000 USD 144,995 144,995 0.43



1,144,777 1,144,777 3.35








I/A (EUR)





R/A (EUR)





RE/A (EUR)





RE/D (EUR)








EUR EUR EUR



I/A (EUR) 321.56 311.90 310.37

R/A (EUR) 305.60 297.72 297.57

RE/A (EUR) 123.95 121.48 122.16

RE/D (EUR) 84.23 82.68 88.15


(2) See Note 15.


Natixis Euro Aggregate Plus Fund Statement of Investments

As at December 31, 2016 (expressed in EUR)

Quantity / Face



Austria

Republic of Austria Government Bond 6.250% 15/07/2027 50,000 EUR 66,908 80,397 1.09

66,908 80,397 1.09 Belgium

Kingdom of Belgium Government Bond 4.000% 28/03/2032 125,000 EUR 139,465 178,558 2.41

139,465 178,558 2.41 France


Caisse des Depots et Consignations 4.125% 20/02/2019 EMTN 200,000 EUR 200,098 220,044 2.97

Danone SA 1.250% 06/06/2018 EMTN 100,000 EUR 101,461 101,946 1.38



Gecina SA 1.500% 20/01/2025 EMTN 100,000 EUR 99,398 103,525 1.40

HSBC SFH France SA 2.000% 16/10/2023 EMTN 200,000 EUR 197,992 223,945 3.03

Sanofi 1.875% 04/09/2020 EMTN 100,000 EUR 104,463 106,202 1.44

Schneider Electric SE 2.500% 06/09/2021 EMTN 100,000 EUR 106,759 110,861 1.50

1,229,436 1,323,858 17.91 Germany


119,943 168,759 2.28 Italy

A2A SpA 1.750% 25/02/2025 EMTN 100,000 EUR 99,363 103,532 1.40

Intesa Sanpaolo SpA 3.000% 28/01/2019 EMTN 100,000 EUR 104,008 105,211 1.42

Italy Buoni Poliennali Del Tesoro 4.500% 01/03/2019 150,000 EUR 159,011 164,836 2.23

Italy Buoni Poliennali Del Tesoro 4.750% 01/08/2023 144A(2) 400,000 EUR 425,593 493,163 6.67

Italy Buoni Poliennali Del Tesoro 5.000% 01/03/2025 144A(2) 200,000 EUR 197,503 253,662 3.43


1,271,933 1,513,036 20.46 Luxembourg

European Financial Stability Facility 2.250% 05/09/2022 EMTN 350,000 EUR 371,206 398,016 5.38

Harman Finance International SCA 2.000% 27/05/2022 100,000 EUR 99,700 105,624 1.43

Nestle Finance International Ltd 0.750% 08/11/2021 EMTN 200,000 EUR 201,710 207,453 2.81

672,616 711,093 9.62



Natixis Euro Aggregate Plus Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in EUR)

Quantity / Face


Netherlands

BMW Finance NV 0.500% 05/09/2018 EMTN 100,000 EUR 99,605 101,053 1.37

Netherlands Government Bond 4.000% 15/01/2037 144A(2) 50,000 EUR 54,448 79,932 1.08

154,053 180,985 2.45 Spain

Banco Bilbao Vizcaya Argentaria SA 3.875% 30/01/2023 EMTN 100,000 EUR 101,445 120,860 1.63

FADE - Fondo de Amortizacion del Deficit Electrico 5.900% 17/03/2021 300,000 EUR 358,456 369,327 5.00

Instituto de Credito Oficial 0.500% 26/10/2023 189,000 EUR 181,230 184,706 2.50


Spain Government Bond 5.500% 30/04/2021 144A(2) 135,000 EUR 145,501 165,662 2.24

Spain Government Bond 5.750% 30/07/2032 250,000 EUR 317,402 380,544 5.15


European Investment Bank 4.500% 15/10/2025 EMTN 250,000 EUR 282,026 342,278 4.63

282,026 342,278 4.63 Sweden

Molnlycke Holding AB 1.500% 28/02/2022 125,000 EUR 126,837 128,927 1.74

126,837 128,927 1.74 Switzerland

UBS AG/London 0.500% 15/05/2018 EMTN 200,000 EUR 199,971 201,691 2.73

199,971 201,691 2.73 United States

3M Co 0.375% 15/02/2022 250,000 EUR 249,029 252,138 3.41

249,029 252,138 3.41


Investment Funds

France

Natixis Asset Management Natixis Convertibles Europe 1 EUR 159,475 167,156 2.26

159,475 167,156 2.26 Luxembourg

Natixis International Funds Lux I- Natixis Euro High Income Fund 2,637 EUR 373,592 400,608 5.42

373,592 400,608 5.42

Total - Investment Funds 533,067 567,764 7.68



(2) See Note 15.






H-I/A (USD)





I/A (EUR)





I/D (EUR)





Q/A (EUR)





R/A (EUR)





RE/A (EUR)





S/A (EUR)





H-I/D (USD)





H-R/A (USD)





H-R/D (SGD)





H-R/D (USD)








(continued)

H-RE/A (USD)





R/D (EUR)





S/D (EUR)








EUR EUR EUR



H-I/A (USD) 116.25 106.57 105.84

I/A (EUR) 147.47 137.21 136.49

I/D (EUR) 96.14 92.83 102.44

Q/A (EUR) 151.90 140.97 139.74

R/A (EUR) 139.29 130.56 130.84

RE/A (EUR) 133.82 125.80 126.49

S/A (EUR) 148.49 138.02 137.15

H-I/D (USD) - 97.78 -

H-R/A (USD) 104.42 96.57 -

H-R/D (SGD) 50.15 47.70 98.45

H-R/D (USD) 99.78 94.93 -

H-RE/A (USD) 105.51 97.76 -

R/D (EUR) 91.77 88.61 98.03

S/D (EUR) 101.53 98.03 107.84



Natixis Euro High Income Fund Statement of Investments

As at December 31, 2016 (expressed in EUR) Face value Currency Cost Evaluation % of Net Description Assets


Austria

Sappi Papier Holding GmbH 3.375% 01/04/2022 5,000,000 EUR 4,965,635 5,176,000 1.00

4,965,635 5,176,000 1.00 Belgium

Barry Callebaut Services NV 2.375% 24/05/2024 2,400,000 EUR 2,380,130 2,456,760 0.47

2,380,130 2,456,760 0.47 Cayman Islands

UPCB Finance IV Ltd 4.000% 15/01/2027 1,000,000 EUR 999,734 997,500 0.19

999,734 997,500 0.19 Croatia

Agrokor dd 9.125% 01/02/2020 EMTN 4,700,000 EUR 4,923,643 4,871,550 0.94

Agrokor dd 9.875% 01/05/2019 2,000,000 EUR 2,065,614 2,069,000 0.40

6,989,257 6,940,550 1.34 France

3AB Optique Developpement SAS 5.625% 15/04/2019 3,200,000 EUR 3,182,152 3,248,000 0.62

BiSoho SAS 5.875% 01/05/2023 3,750,000 EUR 3,810,972 4,040,501 0.78

Casino Guichard Perrachon SA 3.248% 07/03/2024 EMTN 6,000,000 EUR 6,175,295 6,411,852 1.23


Cerba European Lab SAS 7.000% 01/02/2020 2,750,000 EUR 2,786,481 2,813,663 0.54

Crown European Holdings SA 3.375% 15/05/2025 4,000,000 EUR 4,053,860 4,041,200 0.78

Elis SA 3.000% 30/04/2022 2,000,000 EUR 2,001,089 2,060,000 0.40

Faurecia 3.125% 15/06/2022 3,000,000 EUR 2,954,729 3,090,000 0.59

HomeVi SAS 6.875% 15/08/2021 5,200,000 EUR 5,419,991 5,551,000 1.07

Loxam SAS 3.500% 03/05/2023 1,500,000 EUR 1,500,000 1,489,200 0.29

Loxam SAS 7.000% 23/07/2022 3,000,000 EUR 2,992,970 3,200,310 0.62

Mobilux Finance SAS 5.500% 15/11/2024 EMTN 4,000,000 EUR 4,000,000 4,195,696 0.81

NEW Areva Holding SA 3.250% 04/09/2020 EMTN 5,000,000 EUR 4,407,958 5,007,700 0.96




Nexans SA 3.250% 26/05/2021 2,500,000 EUR 2,500,000 2,614,358 0.50

Oberthur Technologies Group SAS 9.250% 30/04/2020 2,000,000 EUR 2,026,760 2,092,500 0.40

Paprec Holding SA 5.250% 01/04/2022 2,000,000 EUR 2,000,000 2,117,500 0.41

Paprec Holding SA 7.375% 01/04/2023 2,000,000 EUR 2,036,565 2,065,000 0.40

Rexel SA 3.500% 15/06/2023 3,500,000 EUR 3,500,000 3,655,750 0.70

SFR Group SA 5.375% 15/05/2022 1,000,000 EUR 1,019,763 1,047,500 0.20

SFR Group SA 5.625% 15/05/2024 4,000,000 EUR 4,100,166 4,213,760 0.81

SPCM SA 2.875% 15/06/2023 7,000,000 EUR 6,890,226 6,982,500 1.34

Tereos Finance Groupe I SA 4.125% 16/06/2023 3,500,000 EUR 3,540,601 3,596,250 0.69

THOM Europe SAS 7.375% 15/07/2019 2,000,000 EUR 2,071,757 2,110,000 0.41

Vallourec SA 2.250% 30/09/2024 1,000,000 EUR 676,139 794,170 0.15

Vallourec SA 3.250% 02/08/2019 1,000,000 EUR 892,894 1,013,700 0.20

87,145,633 91,052,377 17.51



Natixis Euro High Income Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in EUR) Face value Currency Cost Evaluation % of Net

Description Assets

Germany

IHO Verwaltungs GmbH 2.750% 15/09/2021 1,200,000 EUR 1,200,000 1,234,560 0.24



Techem Energy Metering Service GmbH & Co KG

7.875% 01/10/2020 EMTN 3,500,000 EUR 3,620,459 3,640,000 0.70

thyssenkrupp AG 2.750% 08/03/2021 EMTN 4,900,000 EUR 4,876,439 5,115,355 0.98

thyssenkrupp AG 5.000% 04/04/2022 EMTN 500,000 EUR 571,119 560,778 0.11

Trionista TopCo GmbH 6.875% 30/04/2021 4,000,000 EUR 4,159,925 4,218,720 0.81

Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 5.125% 21/01/2023 EMTN 338,580 EUR 357,309 358,048 0.07

Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 5.625% 15/04/2023 EMTN 5,600,000 EUR 5,961,956 5,999,000 1.15

Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 5.750% 15/01/2023 1,174,500 EUR 1,258,471 1,256,645 0.24

Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 6.250% 15/01/2029 2,000,000 EUR 2,133,738 2,210,300 0.43

32,150,422 32,741,606 6.30 Great Britain

Anglo American Capital PLC 1.750% 20/11/2017 EMTN 2,833,000 EUR 2,738,907 2,868,008 0.55



Ineos Finance PLC 4.000% 01/05/2023 5,000,000 EUR 4,984,505 5,169,600 1.00

Inovyn Finance PLC 6.250% 15/05/2021 1,000,000 EUR 1,000,000 1,060,230 0.20

International Game Technology PLC 4.750% 15/02/2023 7,900,000 EUR 7,932,276 8,611,158 1.66

Synlab Bondco PLC 6.250% 01/07/2022 1,300,000 EUR 1,295,668 1,417,000 0.27

Synlab Unsecured Bondco PLC 8.250% 01/07/2023 3,500,000 EUR 3,500,000 3,806,250 0.73

26,005,559 27,671,880 5.32 Ireland

Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc 4.250% 15/01/2022 5,050,000 EUR 5,074,784 5,220,437 1.00

Smurfit Kappa Acquisitions 3.250% 01/06/2021 1,000,000 EUR 1,032,218 1,073,750 0.21

6,107,002 6,294,187 1.21 Italy

Intesa Sanpaolo SpA 6.625% 13/09/2023 EMTN 6,000,000 EUR 6,984,974 7,098,492 1.37

Leonardo-Finmeccanica SpA 4.500% 19/01/2021 EMTN 1,000,000 EUR 1,097,431 1,126,114 0.22

Leonardo-Finmeccanica SpA 4.875% 24/03/2025 EMTN 4,000,000 EUR 4,650,010 4,598,544 0.88

Leonardo-Finmeccanica SpA 5.250% 21/01/2022 3,000,000 EUR 3,316,319 3,485,904 0.67

Schumann SpA 7.000% 31/07/2023 3,000,000 EUR 3,041,138 3,114,234 0.60

Snai SpA 6.375% 07/11/2021 2,100,000 EUR 2,100,000 2,199,750 0.42

Telecom Italia SpA/Milano 3.625% 19/01/2024 EMTN 4,000,000 EUR 4,143,679 4,258,400 0.82

UniCredit SpA 6.950% 31/10/2022 EMTN 6,000,000 EUR 6,926,129 6,886,872 1.32

32,259,680 32,768,310 6.30





Description Assets

Jersey

Adient Global Holdings Ltd 3.500% 15/08/2024 6,000,000 EUR 6,004,450 6,087,000 1.17

6,004,450 6,087,000 1.17 Luxembourg

Altice Financing SA 6.500% 15/01/2022 3,000,000 EUR 3,143,980 3,152,250 0.61

Altice Luxembourg SA 7.250% 15/05/2022 6,000,000 EUR 6,068,794 6,413,220 1.23

CNH Industrial Finance Europe SA 2.750% 18/03/2019 EMTN 3,500,000 EUR 3,457,222 3,622,500 0.70

CNH Industrial Finance Europe SA 2.875% 17/05/2023 EMTN 3,500,000 EUR 3,481,765 3,597,713 0.69

Dufry Finance SCA 4.500% 15/07/2022 EMTN 2,250,000 EUR 2,324,794 2,364,748 0.45

Fiat Chrysler Finance Europe 4.750% 22/03/2021 EMTN 5,000,000 EUR 5,132,639 5,487,500 1.05



Gestamp Funding Luxembourg SA 3.500% 15/05/2023 2,500,000 EUR 2,500,000 2,594,600 0.50

Hanesbrands Finance Luxembourg SCA 3.500% 15/06/2024 2,000,000 EUR 2,000,000 2,086,000 0.40

Matterhorn Telecom SA 3.875% 01/05/2022 3,500,000 EUR 3,488,397 3,609,900 0.69

Play Finance 1 SA 6.500% 01/08/2019 3,000,000 EUR 3,077,065 3,105,150 0.60


Telecom Italia Finance SA 7.750% 24/01/2033 EMTN 5,000,000 EUR 6,855,779 6,381,600 1.23

Telenet Finance V Luxembourg SCA 6.750% 15/08/2024 4,600,000 EUR 4,923,085 5,094,960 0.98

Trinseo Materials Operating SCA/Trinseo Materials Finance Inc 6.375% 01/05/2022 1,000,000 EUR 1,003,500 1,070,000 0.21

Wind Acquisition Finance SA 4.000% 15/07/2020 5,500,000 EUR 5,514,252 5,601,035 1.08


65,924,876 67,301,101 12.94 Netherlands

Cable Communications Systems NV 5.000% 15/10/2023 2,500,000 EUR 2,500,000 2,640,625 0.51

LGE HoldCo VI BV 7.125% 15/05/2024 5,400,000 EUR 5,837,137 6,129,000 1.18

OI European Group BV 3.125% 15/11/2024 7,000,000 EUR 7,000,000 6,957,888 1.34

Petrobras Global Finance BV 5.875% 07/03/2022 EMTN 7,000,000 EUR 7,098,587 7,366,849 1.42

United Group BV 7.875% 15/11/2020 4,750,000 EUR 4,925,012 4,971,825 0.95

UPC Holding BV 6.375% 15/09/2022 6,000,000 EUR 6,239,415 6,375,000 1.22

Ziggo Secured Finance BV 4.250% 15/01/2027 3,500,000 EUR 3,500,000 3,487,942 0.67

37,100,151 37,929,129 7.29 Norway

Lock AS 7.000% 15/08/2021 1,000,000 EUR 1,041,065 1,061,860 0.20

1,041,065 1,061,860 0.20 Spain

Banco de Sabadell SA 5.625% 06/05/2026 EMTN 4,000,000 EUR 4,000,000 4,280,960 0.82

Campofrio Food Group SA 3.375% 15/03/2022 1,000,000 EUR 1,006,543 1,037,500 0.20

NH Hotel Group SA 3.750% 01/10/2023 2,600,000 EUR 2,600,000 2,680,600 0.52

7,606,543 7,999,060 1.54





Description Assets

United States

Axalta Coating Systems LLC 4.250% 15/08/2024 6,000,000 EUR 6,250,480 6,222,600 1.19

Cemex Finance LLC 5.250% 01/04/2021 2,500,000 EUR 2,501,202 2,589,500 0.50

PVH Corp 3.625% 15/07/2024 3,000,000 EUR 3,000,000 3,164,817 0.61

Quintiles IMS Inc 3.500% 15/10/2024 4,000,000 EUR 4,000,000 4,145,880 0.80

Sealed Air Corp 4.500% 15/09/2023 EMTN 1,000,000 EUR 1,008,297 1,087,500 0.21

16,759,979 17,210,297 3.31


Variable rate bonds

Belgium

KBC Group NV 5.625% 31/12/2049 4,500,000 EUR 4,498,514 4,533,750 0.87

4,498,514 4,533,750 0.87 Denmark

TDC A/S 3.500% 26/02/3015 1,300,000 EUR 1,240,853 1,235,000 0.24

1,240,853 1,235,000 0.24 France

Arkema SA 4.750% 31/12/2049 3,500,000 EUR 3,587,963 3,717,186 0.71

AXA SA 3.941% 31/12/2049 EMTN 2,500,000 EUR 2,484,546 2,588,875 0.50


Credit Agricole SA 6.500% 31/12/2049 4,500,000 EUR 4,495,024 4,646,250 0.89

Dry Mix Solutions Investissements SAS 3.934% 15/06/2021 1,000,000 EUR 1,000,000 1,000,950 0.19

Electricite de France SA 5.000% 31/12/2049 EMTN 4,000,000 EUR 4,312,786 3,813,888 0.73

Groupama SA 6.375% 31/12/2049 4,500,000 EUR 4,221,448 4,207,725 0.81

Groupama SA 7.875% 27/10/2039 4,500,000 EUR 4,869,396 4,812,750 0.93

Promontoria MCS SAS 5.431% 30/09/2021 800,000 EUR 792,416 815,174 0.16

Societe Generale SA 6.750% 31/12/2049 4,500,000 EUR 4,471,909 4,612,500 0.89

Solvay Finance SA 5.118% 31/12/2049 800,000 EUR 800,000 856,466 0.16

Solvay Finance SA 5.869% 31/12/2049 2,900,000 EUR 3,000,629 3,172,548 0.61

TOTAL SA 3.369% 31/12/2049 EMTN 3,000,000 EUR 2,987,656 2,887,500 0.56

39,480,695 39,506,812 7.60 Italy

Enel SpA 5.000% 15/01/2075 4,000,000 EUR 4,174,777 4,234,400 0.82

Enel SpA 6.500% 10/01/2074 3,050,000 EUR 3,197,520 3,283,124 0.63


Intesa Sanpaolo SpA 8.047% 31/12/2049 3,000,000 EUR 3,192,596 3,172,500 0.61

Intesa Sanpaolo SpA 8.375% 31/12/2049 3,000,000 EUR 3,345,356 3,360,000 0.65

UniCredit SpA 5.750% 28/10/2025 EMTN 7,000,000 EUR 7,310,595 7,394,520 1.42

Unione di Banche Italiane SpA 4.250% 05/05/2026 EMTN 5,000,000 EUR 5,000,000 4,950,000 0.95

30,844,112 31,233,294 6.01 Netherlands

ABN AMRO Bank NV 5.750% 31/12/2049 2,000,000 EUR 1,993,814 2,037,500 0.39

Gas Natural Fenosa Finance BV 3.375% 31/12/2049 2,500,000 EUR 2,262,475 2,335,450 0.45

Gas Natural Fenosa Finance BV 4.125% 31/12/2049 6,000,000 EUR 5,970,568 6,090,000 1.17





Description Assets

Repsol International Finance BV 3.875% 31/12/2049 6,000,000 EUR 5,804,606 5,945,568 1.14

Repsol International Finance BV 4.500% 25/03/2075 5,000,000 EUR 4,729,397 4,708,100 0.91

Telefonica Europe BV 5.000% 31/12/2049 10,000,000 EUR 10,330,689 10,362,500 1.99

Telefonica Europe BV 6.500% 31/12/2049 4,000,000 EUR 4,229,723 4,259,040 0.82

35,321,272 35,738,158 6.87 Portugal

EDP - Energias de Portugal SA 5.375% 16/09/2075 6,400,000 EUR 6,320,620 6,670,809 1.28

6,320,620 6,670,809 1.28 Spain

Banco Bilbao Vizcaya Argentaria SA 7.000% 31/12/2049 5,200,000 EUR 4,930,844 4,985,500 0.96

Banco Santander SA 6.250% 31/12/2049 4,900,000 EUR 4,725,990 4,581,500 0.88

Bankia SA 4.000% 22/05/2024 6,500,000 EUR 6,295,177 6,596,629 1.27

Ibercaja Banco SA 5.000% 28/07/2025 4,000,000 EUR 3,727,094 3,860,656 0.74

19,679,105 20,024,285 3.85








DH-I/A (EUR)





I/A (EUR)





I/D (EUR)





R/A (EUR)





R/D (EUR)








EUR EUR EUR



DH-I/A (EUR) 92.50 89.38 93.95

I/A (EUR) 150.15 139.97 142.97

I/D (EUR) 84.10 78.77 80.86

R/A (EUR) 142.46 133.33 136.72

R/D (EUR) 78.17 73.30 75.27


(2) See Note 15.

(3) See Note 13.


Natixis Global Inflation Fund Statement of Investments

As at December 31, 2016 (expressed in EUR) Face value Currency Cost Evaluation % of Net Description Assets


Australia

Australia Government Bond 1.250% 21/02/2022 1,000,000 AUD 770,339 778,397 2.10

Australia Government Bond 1.250% 21/08/2040 80,000 AUD 58,126 57,602 0.15

828,465 835,999 2.25 France

French Republic Government Bond OAT 0.250% 25/07/2018 1,674,032 EUR 1,725,026 1,726,444 4.65


French Republic Government Bond OAT 0.700% 25/07/2030 144A(2) 30,266 EUR 30,025 35,380 0.09



French Republic Government Bond OAT 3.150% 25/07/2032(3) 248,770 EUR 351,127 395,870 1.07


SNCF Reseau 2.450% 28/02/2023 EMTN 383,737 EUR 400,935 461,509 1.24

3,125,607 3,284,514 8.85 Germany

Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond 0.750% 15/04/2018 1,710,720 EUR 1,750,260 1,749,906 4.71

Deutsche Bundesrepublik Inflation Linked Bond 0.100% 15/04/2023 208,342 EUR 221,167 228,818 0.62



2,178,785 2,199,894 5.93 Great Britain

United Kingdom Gilt Inflation Linked 0.125% 22/11/2019 1,060,020 GBP 1,291,372 1,358,050 3.66

United Kingdom Gilt Inflation Linked 0.125% 22/03/2024 382,312 GBP 519,910 528,034 1.42












(2) See Note 15.


Natixis Global Inflation Fund Statement of Investments (continued)


Description Assets













9,948,142 11,811,694 31.82 Italy


Italy Buoni Poliennali Del Tesoro 2.100% 15/09/2021 1,035,481 EUR 1,132,722 1,148,674 3.09




2,691,607 2,689,008 7.24 New Zealand

New Zealand Government Bond 2.000% 20/09/2025 100,000 NZD 58,560 69,661 0.19

New Zealand Government Bond 2.500% 20/09/2035 250,000 NZD 150,265 171,162 0.46

208,825 240,823 0.65 Spain

Spain Government Inflation Linked Bond 1.000% 30/11/2030 144A(2) 251,163 EUR 243,350 264,848 0.71

Spain Government Inflation Linked Bond 1.800% 30/11/2024 144A(2) 604,452 EUR 665,578 687,184 1.85

908,928 952,032 2.56 Sweden

Sweden Inflation Linked Bond 0.125% 01/06/2026 4,000,000 SEK 476,065 483,949 1.30



1,482,306 1,526,412 4.11 United States












Natixis Global Inflation Fund Statement of Investments (continued)


Description Assets


U.S. Treasury Inflation Indexed Bonds 3.875% 15/04/2029(3) 544,059 USD 515,852 704,057 1.90


U.S. Treasury Inflation Indexed Note 0.125% 15/01/2023(4) 1,989,775 USD 1,659,203 1,870,889 5.04






10,568,640 11,872,994 31.98




United States


U.S. Treasury Inflation Indexed Note 0.625% 15/01/2024(4) 1,968,381 USD 1,804,256 1,896,441 5.11

2,130,810 2,245,819 6.05




Canada

Canadian Government Real Return Bond 2.000% 01/12/2041 185,725 CAD 170,142 176,651 0.47




1,023,847 1,133,187 3.05 Japan

Japanese Government CPI Linked Bond 0.100% 10/09/2024 49,806,500 JPY 419,349 430,268 1.16

Japanese Government CPI Linked Bond 0.100% 10/03/2026 19,942,000 JPY 170,732 173,092 0.47

590,081 603,360 1.63




(3) See Note 13.

(4) See Note 12.





H-I/A (EUR)





H-R/A (EUR)





H-RE/A (EUR)





I/A (USD)





R/A (USD)





RE/A (USD)





H-R/D (EUR)








USD USD USD



H-I/A (EUR) 109.16 104.27 102.99

H-R/A (EUR) 104.88 101.02 100.65

H-RE/A (EUR) 100.51 - -

I/A (USD) 110.67 104.25 102.70

Q/A (USD) - - 103.07

R/A (USD) 104.23 98.91 -

RE/A (USD) 103.37 98.38 -

H-R/D (EUR) 100.30 - -



Natixis Short Term Global High Income Fund Statement of Investments

As at December 31, 2016 (expressed in USD) Quantity / Face Currency Cost Evaluation % of Net Description value Assets


Austria

Sappi Papier Holding GmbH 3.375% 01/04/2022 500,000 EUR 575,401 545,939 0.37

Sappi Papier Holding GmbH 7.750% 15/07/2017 1,800,000 USD 1,821,055 1,833,750 1.23

2,396,456 2,379,689 1.60 Croatia

Agrokor dd 9.125% 01/02/2020 EMTN 600,000 EUR 696,351 655,949 0.44

Agrokor dd 9.875% 01/05/2019 1,500,000 EUR 2,130,582 1,636,708 1.11

2,826,933 2,292,657 1.55 France

3AB Optique Developpement SAS 5.625% 15/04/2019 800,000 EUR 850,513 856,457 0.58


Cerba European Lab SAS 7.000% 01/02/2020 1,300,000 EUR 1,499,870 1,402,918 0.95

Elis SA 3.000% 30/04/2022 1,100,000 EUR 1,264,011 1,195,032 0.81

Faurecia 3.125% 15/06/2022 1,000,000 EUR 1,117,721 1,086,392 0.73

HomeVi SAS 6.875% 15/08/2021 1,100,000 EUR 1,307,878 1,238,540 0.83

Italcementi Finance SA 6.625% 19/03/2020 EMTN 700,000 EUR 861,804 851,407 0.57

La Financiere Atalian SAS 7.250% 15/01/2020 1,100,000 EUR 1,232,335 1,207,017 0.81

NEW Areva Holding SA 3.250% 04/09/2020 EMTN 400,000 EUR 418,377 422,550 0.29


NEW Areva Holding SA 4.625% 05/10/2017 EMTN 200,000 EUR 224,507 217,198 0.15

Nexans SA 3.250% 26/05/2021 600,000 EUR 672,300 661,798 0.45

Nexans SA 4.250% 19/03/2018 500,000 EUR 591,508 550,210 0.37

Oberthur Technologies Group SAS 9.250% 30/04/2020 500,000 EUR 585,108 551,766 0.37

SFR Group SA 5.375% 15/05/2022 1,000,000 EUR 1,141,668 1,104,851 0.74

THOM Europe SAS 7.375% 15/07/2019 900,000 EUR 1,048,988 1,001,485 0.67

Vallourec SA 3.250% 02/08/2019 600,000 EUR 613,888 641,520 0.43

15,967,253 15,563,457 10.48 Germany


Techem Energy Metering Service GmbH & Co KG 7.875% 01/10/2020 EMTN 1,700,000 EUR 1,968,158 1,864,798 1.26

ThyssenKrupp AG 2.750% 08/03/2021 EMTN 1,300,000 EUR 1,440,378 1,431,438 0.96

Trionista TopCo GmbH 6.875% 30/04/2021 1,500,000 EUR 1,720,347 1,668,636 1.12


Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 5.500% 15/09/2022 162,000 EUR 186,424 180,016 0.12


Unitymedia Hessen GmbH & Co KG/Unitymedia NRW GmbH 5.750% 15/01/2023 324,000 EUR 392,937 365,640 0.25

7,888,336 7,589,654 5.11 Great Britain

Anglo American Capital PLC 1.750% 20/11/2017 EMTN 909,000 EUR 994,874 970,615 0.65

Inovyn Finance PLC 6.250% 15/05/2021 400,000 EUR 456,920 447,311 0.30


(2) See Note 15.


Natixis Short Term Global High Income Fund Statement of Investments (continued)

As at December 31, 2016 (expressed in USD) Quantity / Face Currency Cost Evaluation % of Net

Description value Assets

International Game Technology PLC 4.125% 15/02/2020 1,100,000 EUR 1,224,991 1,249,428 0.84

International Game Technology PLC 5.625% 15/02/2020 300,000 USD 319,720 315,000 0.21

Jaguar Land Rover Automotive PLC 3.500% 15/03/2020 200,000 USD 196,145 202,000 0.14

Jaguar Land Rover Automotive PLC 3.500% 15/03/2020 144A(2) 1,500,000 USD 1,500,000 1,513,125 1.02

Synlab Bondco PLC 6.250% 01/07/2022 600,000 EUR 721,756 689,807 0.47

Virgin Media Secured Finance PLC 6.000% 15/04/2021 900,000 GBP 1,251,753 1,156,568 0.78

6,666,159 6,543,854 4.41 Ireland

Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc 4.250% 15/01/2022 200,000 EUR 231,236 218,070 0.15

231,236 218,070 0.15 Italy


Leonardo-Finmeccanica SpA 4.500% 19/01/2021 EMTN 100,000 EUR 117,571 118,777 0.08

Snai SpA 6.375% 07/11/2021 300,000 EUR 327,525 331,455 0.22

Telecom Italia SpA/Milano 6.375% 24/06/2019 EMTN 1,000,000 GBP 1,594,421 1,351,156 0.91

3,187,445 2,937,459 1.98 Japan

SoftBank Group Corp 4.500% 15/04/2020 2,200,000 USD 2,214,060 2,233,000 1.50

2,214,060 2,233,000 1.50 Jersey

Lincoln Finance Ltd 6.875% 15/04/2021 1,000,000 EUR 1,150,891 1,144,720 0.77

1,150,891 1,144,720 0.77 Luxembourg

Altice Financing SA 6.500% 15/01/2022 1,600,000 USD 1,617,900 1,668,000 1.12

Altice Luxembourg SA 7.250% 15/05/2022 1,000,000 EUR 1,177,352 1,127,391 0.76

Dufry Finance SCA 4.500% 15/07/2022 EMTN 500,000 EUR 570,094 554,271 0.37

Empark Funding SA 6.750% 15/12/2019 500,000 EUR 581,526 546,492 0.37


HeidelbergCement Finance Luxembourg SA 7.500% 03/04/2020 400,000 EUR 519,835 518,179 0.35

HeidelbergCement Finance Luxembourg SA 8.500% 31/10/2019 600,000 EUR 763,980 779,389 0.53

Matterhorn Telecom SA 3.875% 01/05/2022 1,200,000 EUR 1,353,731 1,305,443 0.88



Telenet Finance V Luxembourg SCA 6.250% 15/08/2022 500,000 EUR 719,140 559,017 0.38

UniCredit Luxembourg Finance SA 6.000% 31/10/2017 1,000,000 USD 1,007,944 1,016,250 0.68

Wind Acquisition Finance SA 7.000% 23/04/2021 400,000 EUR 458,034 438,877 0.30

13,465,285 12,596,687 8.49 Netherlands

Carlson Wagonlit BV 7.500% 15/06/2019 1,000,000 EUR 1,410,656 1,095,539 0.74

Fiat Chrysler Automobiles NV 4.500% 15/04/2020 1,000,000 USD 1,000,000 1,020,000 0.69

Petrobras Global Finance BV 2.750% 15/01/2018 800,000 EUR 899,448 852,282 0.57


United Group BV 7.875% 15/11/2020 1,300,000 EUR 1,525,115 1,435,209 0.97

UPC Holding BV 6.375% 15/09/2022 2,000,000 EUR 2,329,687 2,241,344 1.51

7,660,525 7,183,124 4.84 Spain

Campofrio Food Group SA 3.375% 15/03/2022 600,000 EUR 688,849 656,582 0.44

688,849 656,582 0.44






Sweden

Hoist Kredit AB 3.125% 09/12/2019 EMTN 500,000 EUR 557,225 553,363 0.37

Volvo Car AB 3.250% 18/05/2021 700,000 EUR 800,310 794,401 0.54

1,357,535 1,347,764 0.91 United States



Ashland LLC 3.875% 15/04/2018 2,200,000 USD 2,242,272 2,257,750 1.52

Celanese US Holdings LLC 3.250% 15/10/2019 1,000,000 EUR 1,193,215 1,140,674 0.77

Cemex Finance LLC 5.250% 01/04/2021 500,000 EUR 570,215 546,255 0.37

CenturyLink Inc 5.625% 01/04/2020 700,000 USD 714,739 740,250 0.50


Constellation Brands Inc 7.250% 15/05/2017 1,200,000 USD 1,221,032 1,224,000 0.82

DaVita Inc 5.750% 15/08/2022 2,500,000 USD 2,606,996 2,612,500 1.76

Fiat Chrysler Finance North America Inc 5.625% 12/06/2017 EMTN 500,000 EUR 555,997 538,988 0.36



HCA Inc 6.500% 15/02/2020 1,200,000 USD 1,307,784 1,312,800 0.88

HCA Inc 8.000% 01/10/2018 1,400,000 USD 1,496,826 1,526,000 1.03

International Lease Finance Corp 6.250% 15/05/2019 2,000,000 USD 2,116,331 2,150,000 1.45

L Brands Inc 6.625% 01/04/2021 700,000 USD 783,390 785,750 0.53

L Brands Inc 7.000% 01/05/2020 200,000 USD 224,716 225,000 0.15

L Brands Inc 8.500% 15/06/2019 900,000 USD 997,159 1,035,000 0.70

Lennar Corp 4.750% 15/12/2017 1,300,000 USD 1,311,646 1,319,500 0.89

Lennar Corp 4.750% 01/04/2021 200,000 USD 204,356 206,500 0.14


Level 3 Financing Inc 5.625% 01/02/2023 1,300,000 USD 1,358,406 1,332,500 0.90

Spirit AeroSystems Inc 5.250% 15/03/2022 500,000 USD 513,683 522,232 0.35





United Rentals North America Inc 4.625% 15/07/2023 700,000 USD 704,383 714,000 0.48

United Rentals North America Inc 7.625% 15/04/2022 110,000 USD 115,303 115,775 0.08

28,786,863 28,877,905 19.45


Variable rate bonds

France

Dry Mix Solutions Investissements SAS 3.934% 15/06/2021 1,300,000 EUR 1,759,125 1,372,478 0.92

HomeVi SAS 4.250% 15/11/2021 300,000 EUR 327,525 321,803 0.22

Kerneos Corporate SAS 4.436% 01/03/2021 500,000 EUR 684,075 529,209 0.36

Picard Groupe SAS 4.250% 01/08/2019 1,220,925 EUR 1,428,212 1,295,883 0.87

Promontoria MCS SAS 5.431% 30/09/2021 500,000 EUR 551,710 537,378 0.36

4,750,647 4,056,751 2.73 Great Britain

Innovia Group Finance PLC 4.684% 31/03/2020 778,025 EUR 957,961 822,592 0.55

New Look Secured Issuer PLC 4.500% 01/07/2022 2,000,000 EUR 2,240,303 1,998,447 1.35

3,198,264 2,821,039 1.90


(2) See Note 15.





Italy

Enel SpA 6.500% 10/01/2074 900,000 EUR 1,082,083 1,021,832 0.69

Schumann SpA 6.625% 31/07/2022 400,000 EUR 442,430 431,177 0.29

Snai SpA 6.000% 07/11/2021 400,000 EUR 432,461 430,338 0.29

1,956,974 1,883,347 1.27

Luxembourg

Empark Funding SA 5.184% 15/12/2019 700,000 EUR 962,610 739,086 0.50


Xefin Lux SCA 3.750% 01/06/2019 EMTN 1,000,000 EUR 1,294,814 1,056,859 0.71

4,044,393 3,274,441 2.21 Netherlands

Telefonica Europe BV 6.500% 31/12/2049 600,000 EUR 706,377 673,833 0.45

706,377 673,833 0.45


Investment Funds

France

Natixis Asset Management Natixis Credit Subordinated 108 USD 1,102,160 1,134,182 0.76

1,102,160 1,134,182 0.76




Austria

Sappi Papier Holding GmbH 7.750% 15/07/2017 144A(2) 800,000 USD 803,598 810,000 0.54

803,598 810,000 0.54 Croatia

Agrokor dd 8.875% 01/02/2020 500,000 USD 524,306 507,500 0.34

524,306 507,500 0.34 France

Rexel SA 5.250% 15/06/2020 858,000 USD 886,820 890,175 0.60

886,820 890,175 0.60 Ireland

Smurfit Kappa Acquisitions 4.875% 15/09/2018 500,000 USD 508,774 516,250 0.35

508,774 516,250 0.35 United States

CIT Group Inc 5.500% 15/02/2019 300,000 USD 310,764 316,125 0.21

DISH DBS Corp 4.625% 15/07/2017 1,400,000 USD 1,413,230 1,415,750 0.95

Fresenius Medical Care US Finance II Inc 4.125% 15/10/2020 700,000 USD 715,980 723,625 0.49

Fresenius Medical Care US Finance II Inc 5.625% 31/07/2019 2,100,000 USD 2,214,879 2,233,875 1.51


Meccanica Holdings USA Inc 6.250% 15/07/2019 1,000,000 USD 1,054,866 1,075,000 0.72

Sealed Air Corp 6.500% 01/12/2020 500,000 USD 543,406 563,125 0.38

Smithfield Foods Inc 5.250% 01/08/2018 46,000 USD 46,267 46,347 0.03

Smithfield Foods Inc 6.625% 15/08/2022 1,200,000 USD 1,255,633 1,264,500 0.85

Smithfield Foods Inc 7.750% 01/07/2017 1,019,000 USD 1,042,515 1,047,023 0.71

Sprint Communications Inc 9.000% 15/11/2018 144A(2) 2,100,000 USD 2,265,746 2,315,250 1.56

T-Mobile USA Inc 5.250% 01/09/2018 2,400,000 USD 2,418,727 2,436,000 1.64






T-Mobile USA Inc 6.633% 28/04/2021 500,000 USD 520,359 521,875 0.35

T-Mobile USA Inc 6.836% 28/04/2023 300,000 USD 321,235 321,375 0.22

ZF North America Capital Inc 4.000% 29/04/2020 2,000,000 USD 2,043,576 2,072,500 1.40

16,874,041 17,097,870 11.52


Variable rate bonds

Ireland

Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc 3.963% 15/12/2019 1,700,000 USD 1,690,595 1,733,818 1.17

1,690,595 1,733,818 1.17




Austria

UniCredit Bank Austria AG 7.250% 15/02/2017 144A(2) 600,000 USD 602,556 602,520 0.41

602,556 602,520 0.41 United States

CIT Group Inc 5.000% 15/05/2018 2,000,000 USD 2,013,534 2,037,500 1.37

Newell Brands Inc 3.750% 01/10/2021 500,000 EUR 565,495 588,473 0.40

2,579,029 2,625,973 1.77


Variable rate bonds

Spain

BBVA International Preferred SAU 5.919% 31/12/2049 2,000,000 USD 1,920,021 1,980,000 1.33

1,920,021 1,980,000 1.33




(2) See Note 15.



(1) See Note 1.



H-I/A (GBP)





H-S/A (GBP)





I/A (USD)





Q/A (USD)





R/A (USD)





S/A (USD)






(1) See Note 1.



USD USD USD

Total Net Asset Value 72,828,557 - -


H-I/A (GBP) 94.86 - -

H-S/A (GBP) 100.25 - -

I/A (USD) 95.04 - -

Q/A (USD) 95.70 - -

R/A (USD) 94.64 - -

S/A (USD) 95.18 - -


(1) See Note 1.


ASG Managed Futures Fund(1) Statement of Investments

As at December 31, 2016 (expressed in USD) Quantity / Face Currency Cost Evaluation % of Net Description value Assets

Transferable securities admitted to an official stock exchange listing Investment Funds

Jersey

ETFS Aluminium 513,972 USD 1,400,141 1,403,914 1.93

ETFS Brent 1mth Oil Securities 27,212 USD 631,625 675,742 0.93

ETFS Copper 55,627 USD 1,276,162 1,360,915 1.87

ETFS Gasoline 21,524 USD 556,277 574,906 0.79

ETFS Heating Oil 44,199 USD 434,116 472,266 0.65

ETFS Silver 12,570 USD 236,759 207,248 0.28

ETFS WTI Crude Oil 34,484 USD 276,190 285,657 0.39

4,811,270 4,980,648 6.84



Other transferable securities Money Market Instruments Certificates of Deposits Fixed rate bonds

Germany

Landesbank Hessen-Thueringen/New York 0.570% 05/01/2017 3,000,000 USD 3,000,000 3,000,000 4.12

3,000,000 3,000,000 4.12 Total – Fixed rate bonds 3,000,000 3,000,000 4.12

Variable rate bonds

Canada

Bank of Montreal/Chicago IL 1.302% 12/05/2017 2,500,000 USD 2,500,529 2,503,092 3.44

Bank of Nova Scotia/Houston 1.087% 14/06/2017 2,500,000 USD 2,500,000 2,500,030 3.43

Royal Bank of Canada/New York NY 1.049% 08/05/2017 500,000 USD 500,000 500,263 0.68

Royal Bank of Canada/New York NY 1.336% 17/02/2017 2,000,000 USD 2,000,000 2,000,000 2.75

7,500,529 7,503,385 10.30 Chile

Banco Del Estado de Chile/New York 1.252% 05/07/2017 2,500,000 USD 2,500,000 2,500,750 3.44

2,500,000 2,500,750 3.44 Japan

Mizuho Bank Ltd/NY 1.436% 17/02/2017 2,000,000 USD 2,000,000 2,000,000 2.75

Mizuho Bank Ltd/NY 1.436% 18/04/2017 800,000 USD 800,129 800,736 1.10

Sumitomo Mitsui Banking Corp/New York 1.370% 13/04/2017 1,000,000 USD 1,000,534 1,001,062 1.37

Sumitomo Mitsui Trust Bank Limited/New York 1.135% 03/01/2017 1,500,000 USD 1,500,000 1,500,000 2.06

5,300,663 5,301,798 7.28



ASG Managed Futures Fund(1) Statement of Investments (continued)



Sweden

Skandinaviska Enskilda Banken AB/New York NY 1.254% 09/02/2017 2,000,000 USD 2,000,000 2,000,000 2.75

Svenska Handelsbanken/New York NY 1.027% 06/01/2017 2,500,000 USD 2,500,079 2,500,079 3.43

4,500,079 4,500,079 6.18 United States

Abbey National Treasury Services PLC 0.680% 05/01/2017 2,900,000 USD 2,900,002 2,900,002 3.98

Bank of America 0.820% 02/02/2017 2,500,000 USD 2,500,000 2,500,000 3.43

Bank of Tokyo-Mitsubishi 1.300% 21/04/2017 2,000,000 USD 2,000,030 2,001,899 2.75

Credit Agricole 0.650% 12/01/2017 2,900,000 USD 2,900,000 2,900,000 3.98

Credit Industriel et Commercial 1.020% 15/03/2017 2,500,000 USD 2,500,000 2,502,262 3.43

DG Bank/New York 1.150% 09/03/2017 2,600,000 USD 2,600,000 2,600,094 3.57

KBC BANK N.V. 0.610% 04/01/2017 2,500,000 USD 2,500,000 2,500,000 3.43

National Australia Bank Ltd 1.100% 08/02/2017 2,000,000 USD 2,000,000 2,000,000 2.75

National Bank of Canada 0.860% 05/01/2017 1,700,000 USD 1,700,000 1,700,000 2.33

Norinchukin Bank 1.200% 10/02/2017 2,000,000 USD 2,000,438 2,000,438 2.75

Norinchukin Bank 1.300% 19/06/2017 900,000 USD 900,000 900,338 1.24

Oversea Chinese 0.890% 11/01/2017 2,000,000 USD 2,000,000 2,000,000 2.75

Oversea Chinese Banking Corp 0.700% 05/01/2017 900,000 USD 900,000 900,000 1.24

Sumitomo Mitsui Bank 0.690% 06/01/2017 1,000,000 USD 1,000,000 1,000,000 1.37

Sumitomo Mitsui Banking Corp/New York 1.063%

04/01/2017 2,000,000 USD 2,000,001 2,000,001 2.75

Toronto-Dominion Bank/The 1.060% 05/04/2017 2,500,000 USD 2,500,033 2,500,183 3.43

32,900,504 32,905,217 45.18

Total – Variable rate bonds 52,701,775 52,711,229 72.38

Total – Certificates of Deposits 55,701,775 55,711,229 76.50

Commercial Papers

United States COFCO Capital 0.700% 04/01/2017 2,600,000 USD 2,599,848 2,599,848 3.57

2,599,848 2,599,848 3.57

Total – Commercial Papers 2,599,848 2,599,848 3.57

Total - Money market instruments 58,301,623 58,311,077 80.07



(1) See Note 1.




(1) See Note 1.



I/A (USD)





N/A (USD)





Q/A (USD)





R/A (USD)





R/D (USD)






(1) See Note 1.



USD USD USD

Total Net Asset Value 15,633,435 - -


I/A (USD) 103.90 - -

N/A (USD) 103.80 - -

Q/A (USD) 104.14 - -

R/A (USD) 103.45 - -

R/D (USD) 102.84 - -


(1) See Note 1.

(2) See Note 15.


Loomis Sayles Global Multi Asset Income Fund(1) Statement of Investments


Quantity / Face



Belgium

bpost SA 891 EUR 22,017 21,145 0.14

22,017 21,145 0.14 Bermuda Islands

Assured Guaranty Ltd 607 USD 22,301 22,927 0.15

Golar LNG Ltd 1,030 USD 15,984 23,628 0.15

38,285 46,555 0.30 Canada

Bank of Montreal 200 CAD 12,682 14,402 0.09

Bank of Nova Scotia/The 200 CAD 11,567 11,150 0.07

Canadian Imperial Bank of Commerce 300 CAD 22,439 24,509 0.16

Enbridge Income Fund Holdings Inc 400 CAD 10,112 10,371 0.07

Encana Corp 2,332 USD 23,372 27,378 0.17

Genworth MI Canada Inc 900 CAD 22,709 22,590 0.14

MEG Energy Corp 6,500 CAD 38,234 44,737 0.29

National Bank of Canada 600 CAD 20,894 24,397 0.16

162,009 179,534 1.15 Denmark

Royal Unibrew A/S 95 DKK 4,466 3,673 0.02

4,466 3,673 0.02 Finland

Neste Oyj 359 EUR 14,277 13,821 0.09

14,277 13,821 0.09

Great Britain

British American Tobacco PLC 393 GBP 24,912 22,442 0.14

Delphi Automotive PLC 247 USD 16,086 16,635 0.11

GlaxoSmithKline PLC 1,152 GBP 25,003 22,235 0.14

Imperial Brands PLC 538 GBP 27,547 23,550 0.15

93,548 84,862 0.54 Hong Kong

BOC Hong Kong Holdings Ltd 2,000 HKD 6,898 7,158 0.05

CLP Holdings Ltd 2,000 HKD 20,564 18,380 0.12

HK Electric Investments & HK Electric Investments Ltd 144A(2) 21,500 HKD 20,076 17,748 0.11

HKT Trust & HKT Ltd 16,000 HKD 23,206 19,625 0.12

70,744 62,911 0.40 Ireland

Accenture PLC 183 USD 20,731 21,435 0.14

Medtronic PLC 300 USD 25,274 21,369 0.13

46,005 42,804 0.27 Japan

Astellas Pharma Inc 1,500 JPY 23,021 20,879 0.13

Benesse Holdings Inc 800 JPY 22,271 22,086 0.14

Canon Marketing Japan Inc 300 JPY 5,368 5,057 0.03

Daiichi Sankyo Co Ltd 1,000 JPY 23,680 20,504 0.13

Hitachi Chemical Co Ltd 600 JPY 14,199 15,036 0.10


(1) See Note 1.


Loomis Sayles Global Multi Asset Income Fund(1) Statement of Investments (continued)


Quantity / Face


ITOCHU Corp 1,600 JPY 20,899 21,290 0.14

Itochu Techno-Solutions Corp 700 JPY 17,493 18,245 0.12

Mitsubishi Corp 1,000 JPY 21,913 21,349 0.14

Mitsui & Co Ltd 1,600 JPY 21,563 22,045 0.14

Sega Sammy Holdings Inc 700 JPY 10,272 10,437 0.07

Sojitz Corp 8,700 JPY 20,706 21,184 0.13

Taisei Corp 2,000 JPY 14,575 14,027 0.09

215,960 212,139 1.36 Jersey

Centamin PLC 6,870 GBP 12,910 11,757 0.07

12,910 11,757 0.07 New Zealand

Fletcher Building Ltd 3,089 NZD 22,492 22,832 0.15

22,492 22,832 0.15 Norway

Salmar ASA 743 NOK 22,355 22,279 0.14

22,355 22,279 0.14 Portugal

EDP - Energias de Portugal SA 972 EUR 3,135 2,967 0.02

3,135 2,967 0.02 Sweden

Intrum Justitia AB 696 SEK 21,107 23,551 0.15

Peab AB 2,650 SEK 22,111 21,090 0.13

Skanska AB 965 SEK 19,870 22,849 0.15

63,088 67,490 0.43 Switzerland

Chubb Ltd 290 USD 37,258 38,315 0.25

Pargesa Holding SA 245 CHF 15,825 15,982 0.10

53,083 54,297 0.35 United States

AbbVie Inc 126 USD 7,868 7,890 0.05

Altria Group Inc 448 USD 30,784 30,294 0.19

Amgen Inc 137 USD 21,237 20,031 0.13

Apple Inc 433 USD 42,331 50,150 0.32

AT&T Inc 1,084 USD 39,953 46,102 0.30

B&G Foods Inc 455 USD 21,441 19,929 0.13

Bank of America Corp 15,100 USD 289,811 333,710 2.13

Bank of America Corp 6.200% Preferred 800 USD 21,040 20,152 0.13

BB&T Corp 827 USD 29,077 38,886 0.25

Best Buy Co Inc 486 USD 16,027 20,738 0.13

BGC Partners Inc 2,282 USD 19,041 23,345 0.15

Boeing Co/The 155 USD 19,698 24,130 0.15

Bristol-Myers Squibb Co 932 USD 65,752 54,466 0.35

Campbell Soup Co 395 USD 23,006 23,886 0.15

CenterPoint Energy Inc 943 USD 22,517 23,235 0.15

CenturyLink Inc 1,221 USD 32,279 29,035 0.19

Chevron Corp 546 USD 57,145 64,264 0.41

Citigroup Inc 5,700 USD 304,719 338,751 2.17

Coca-Cola Co/The 2,085 USD 94,158 86,444 0.55

Comcast Corp 530 USD 34,350 36,596 0.23

Consolidated Edison Inc 327 USD 23,061 24,093 0.15


(1) See Note 1.




Quantity / Face


Constellation Brands Inc 209 USD 34,054 32,042 0.21

Cracker Barrel Old Country Store Inc 136 USD 22,979 22,709 0.15

CSX Corp 804 USD 20,759 28,888 0.19

Cummins Inc 160 USD 22,976 21,867 0.14

CVS Health Corp 416 USD 39,498 32,827 0.21

Cypress Semiconductor Corp 3,388 USD 35,370 38,759 0.25

Darden Restaurants Inc 291 USD 18,068 21,161 0.14

Dover Corp 448 USD 30,681 33,569 0.22

Eastman Chemical Co 230 USD 17,843 17,298 0.11

eBay Inc 6.000% 01/02/2056 Preferred 3,000 USD 80,154 77,820 0.50

EI du Pont de Nemours & Co 557 USD 36,711 40,884 0.26

Eli Lilly & Co 562 USD 44,230 41,335 0.26

EQT Corp 247 USD 18,620 16,154 0.10

Exelon Corp 969 USD 32,869 34,390 0.22

Exxon Mobil Corp 1,501 USD 138,243 135,480 0.87

FirstEnergy Corp 756 USD 25,540 23,413 0.15

General Electric Co 6,451 USD 199,515 203,852 1.30

General Motors Co 871 USD 24,386 30,346 0.19

Great Plains Energy Inc 466 USD 12,716 12,745 0.08

Halliburton Co 527 USD 23,792 28,505 0.18

Hilton Worldwide Holdings Inc 1,551 USD 34,795 42,187 0.27

Honeywell International Inc 386 USD 42,867 44,718 0.29

Intel Corp 829 USD 29,616 30,068 0.19

International Paper Co 1,019 USD 43,922 54,068 0.35

j2 Global Inc 287 USD 23,027 23,477 0.15

JM Smucker Co/The 160 USD 21,765 20,490 0.13

Johnson & Johnson 1,442 USD 173,227 166,133 1.06

Johnson Controls International PLC 1,249 USD 55,883 51,446 0.33

JPMorgan Chase & Co 1,674 USD 104,915 144,449 0.92

Kinder Morgan Inc/DE 1,663 USD 31,940 34,441 0.22

Kroger Co/The 976 USD 35,469 33,682 0.22

Leidos Holdings Inc 411 USD 17,556 21,019 0.13

LyondellBasell Industries NV 256 USD 19,173 21,960 0.14

Macquarie Infrastructure Corp 279 USD 23,067 22,794 0.15

Maxim Integrated Products Inc 564 USD 20,344 21,753 0.14

McDonald's Corp 414 USD 49,621 50,392 0.32

Mead Johnson Nutrition Co 359 USD 32,426 25,403 0.16

MetLife Inc 2,458 USD 105,802 132,462 0.85

Microsoft Corp 3,427 USD 184,271 212,954 1.36

Morgan Stanley 5,600 USD 236,818 236,600 1.51

NextEra Energy Inc 588 USD 75,717 70,242 0.45

ONEOK Inc 75 USD 3,834 4,306 0.03

Oracle Corp 1,463 USD 59,922 56,252 0.36

Packaging Corp of America 264 USD 18,259 22,392 0.14

Paychex Inc 121 USD 7,183 7,366 0.05

PDC Energy Inc 226 USD 15,568 16,403 0.11

PepsiCo Inc 793 USD 83,713 82,972 0.53

Pfizer Inc 2,695 USD 95,202 87,534 0.56

PG&E Corp 1,319 USD 83,019 80,156 0.51


(1) See Note 1.




Quantity / Face


Philip Morris International Inc 661 USD 66,633 60,475 0.39

PNC Financial Services Group Inc/The 430 USD 34,891 50,293 0.32

PPG Industries Inc 182 USD 18,656 17,246 0.11

QUALCOMM Inc 1,719 USD 104,991 112,079 0.72

Quest Diagnostics Inc 266 USD 21,638 24,445 0.16

Range Resources Corp 1,400 USD 53,401 48,104 0.31

Reynolds American Inc 903 USD 48,532 50,604 0.32

Roper Technologies Inc 295 USD 49,967 54,009 0.35

Science Applications International Corp 264 USD 18,129 22,387 0.14

Seagate Technology PLC 238 USD 8,183 9,084 0.06

Sempra Energy 701 USD 78,660 70,549 0.45

Southwest Airlines Co 971 USD 37,627 48,395 0.31

Target Corp 48 USD 3,748 3,467 0.02

Texas Instruments Inc 150 USD 10,435 10,945 0.07

Trinseo SA 270 USD 15,071 16,011 0.10

United Technologies Corp 1,499 USD 159,270 164,320 1.05

US Bancorp 821 USD 32,955 42,175 0.27

Vail Resorts Inc 34 USD 5,476 5,485 0.04

Valero Energy Corp 553 USD 30,637 37,781 0.24

Vector Group Ltd 1,059 USD 22,586 24,082 0.15

Verizon Communications Inc 1,677 USD 89,821 89,518 0.57

Visa Inc 258 USD 19,368 20,129 0.13

Waste Management Inc 328 USD 22,045 23,258 0.15

Wells Fargo & Co 2,143 USD 100,479 118,101 0.76

Western Union Co/The 1,040 USD 21,583 22,589 0.14

WestRock Co 318 USD 15,327 16,145 0.10

Whirlpool Corp 128 USD 21,044 23,267 0.15

4,934,373 5,213,233 33.35

Total - Shares 5,778,747 6,062,299 38.78

Fixed rate bonds

Brazil

Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/2027 550,000 BRL 146,398 155,887 1.00

146,398 155,887 1.00 Cayman Islands



Transocean Inc 6.000% 15/03/2018 110,000 USD 110,620 111,375 0.71

Transocean Inc 6.800% 15/03/2038 55,000 USD 36,415 42,625 0.27

221,637 241,037 1.54 Netherlands


150,699 161,812 1.03 United States


Dynegy Inc 5.875% 01/06/2023 75,000 USD 70,522 65,062 0.42


Hercules LLC 6.500% 30/06/2029 80,000 USD 75,242 77,700 0.50


(1) See Note 1.

(2) See Note 15.




Quantity / Face


Koppers Inc 7.875% 01/12/2019 150,000 USD 151,802 152,063 0.97

Old Republic International Corp 3.875% 26/08/2026 70,000 USD 69,877 66,585 0.43

Plains All American Pipeline LP/PAA Finance Corp 6.650% 15/01/2037 70,000 USD 75,050 76,403 0.49

Sprint Corp 7.250% 15/09/2021 115,000 USD 117,452 122,188 0.78

Western Refining Logistics LP/WNRL Finance Corp 7.500% 15/02/2023 60,000 USD 64,346 64,800 0.41

813,999 822,551 5.26


Variable rate bonds

France



650,000 654,832 4.19

Great Britain

Barclays PLC 6.625% 31/12/2049 300,000 USD 269,108 280,912 1.80


471,005 486,912 3.12 Spain

Banco Bilbao Vizcaya Argentaria SA 9.000% 31/12/2049 400,000 USD 412,983 416,398 2.66

Banco Santander SA 6.375% 31/12/2049 200,000 USD 177,240 185,792 1.19

590,223 602,190 3.85 Switzerland

UBS Group AG 6.875% 31/12/2049 200,000 USD 190,367 197,642 1.26

190,367 197,642 1.26


Investment Funds

Canada

Inter Pipeline Ltd REIT 300 CAD 6,342 6,631 0.04

6,342 6,631 0.04 Ireland

iShares S&P 500 UCITS ETF USD Dist 49,100 GBP 1,066,261 1,105,415 7.07

iShares S&P Small Cap 600 UCITS ETF USD Dist 7,900 GBP 429,582 445,622 2.85

1,495,843 1,551,037 9.92 United States

Chimera Investment Corp REIT 1,348 USD 22,134 22,943 0.15

JPMorgan Alerian MLP Index ETN 40,800 USD 1,273,762 1,289,688 8.25

1,295,896 1,312,631 8.40




(1) See Note 1.

(2) See Note 15.




Quantity / Face



Argentina

Cia Latinoamericana de Infraestructura & Servicios SA 9.500% 20/07/2023 144A(2) 45,000 USD 44,475 43,650 0.28

44,475 43,650 0.28 Canada



106,681 112,525 0.72 United States

Cincinnati Bell Inc 7.000% 15/07/2024 144A(2) 45,000 USD 45,000 47,587 0.30

CSC Holdings LLC 6.750% 15/11/2021 140,000 USD 142,862 150,500 0.96




DISH DBS Corp 7.750% 01/07/2026 75,000 USD 80,925 84,563 0.54

DISH Network Corp 3.375% 15/08/2026 144A(2) 75,000 USD 79,204 85,359 0.55

Dynegy Inc 8.000% 15/01/2025 144A(2) 80,000 USD 80,000 75,000 0.48



Hexion Inc 8.875% 01/02/2018 50,000 USD 45,544 49,750 0.32

NRG Energy Inc 7.250% 15/05/2026 144A(2) 75,000 USD 75,175 74,625 0.48

Qwest Corp 6.875% 15/09/2033 110,000 USD 109,045 105,029 0.67

Western Digital Corp 10.500% 01/04/2024 144A(2) 85,000 USD 90,150 100,513 0.64

1,224,628 1,265,549 8.09


Variable rate bonds

Great Britain

Standard Chartered PLC 6.500% 31/12/2049 144A(2) 200,000 USD 189,593 182,590 1.17

189,593 182,590 1.17







Quantity / Face


Other transferable securities Term Loans

United States

ASP Chromaflo Intermediate Holdings Inc Initial Tranche B-1 Term Loan (First Lien) 5.000% 20/11/2023 42,396 USD 42,605 42,687 0.27

ASP Chromaflo Intermediate Holdings Inc Initial Tranche B-2 Term Loan (First Lien) 5.000% 20/11/2023 32,605 USD 32,766 32,829 0.21

Camelot U.S. Acquisition 1 Co 0.000% 03/10/2023 74,813 USD 74,981 75,638 0.48


Dell International LLC 4.020% 07/09/2023 150,000 USD 150,176 152,471 0.98

Dynegy Finance IV Inc 5.000% 27/06/2023 150,000 USD 148,950 151,812 0.97

Kraton Polymers LLC 0.000% 06/01/2022 75,000 USD 75,645 75,790 0.49

PetSmart Inc 0.000% 11/03/2022 75,000 USD 75,184 75,188 0.48

Quikrete Holdings Inc 0.000% 15/11/2023 10,000 USD 9,975 10,092 0.06

Uber Technologies Inc 5.000% 13/07/2023 224,438 USD 224,701 224,718 1.44

883,368 893,823 5.72

Total - Term Loans 883,368 893,823 5.72



(1) See Note 1.



Notes to the Financial Statements

as at December 31, 2016

Note 1 – GENERAL

Natixis International Funds (Lux) I (the “Umbrella Fund”) is a Société d’Investissement à Capital Variable

incorporated under the laws of the Grand Duchy of Luxembourg on December 1, 1995 and is currently

governed by Part I of the Luxembourg Law of December 17, 2010 on Undertakings for Collective

Investment, as amended, implementing the Directive 2009/65/EC of the European Parliament and of the

Council of July 13, 2009 (“UCITS Directive”), as amended.

The registered office of the Umbrella Fund is located at 80, route d’Esch, L-1470 Luxembourg. The

Umbrella Fund is recorded in the Luxembourg Registre de Commerce under number B.53023.

Natixis International Funds (Lux) I is an umbrella fund and as such provides investors access to a

diversified management expertise through a range of several separate sub-funds each having its own

objective and policy.

As at December 31, 2016 shares are offered in thirty sub-funds (each, a “Fund”):

- Emerise Asia Equity Fund, - Emerise Emerging Europe Equity Fund, - Emerise Latin America Equity Fund, - Emerise Pacific Rim Equity Fund, - Harris Associates Concentrated U.S. Equity Fund, - Harris Associates Global Equity Fund,

- Harris Associates U.S. Equity Fund, - IDFC India Equities Fund, - Loomis Sayles Global Growth Equity Fund (launched on June 8, 2016), - Loomis Sayles U.S. Growth Equity Fund (launched on June 8, 2016), - Loomis Sayles U.S. Research Fund, - Natixis Europe Smaller Companies Fund,

- Vaughan Nelson U.S. Mid Cap Equity Fund,

- Vaughan Nelson U.S. Small Cap Value Fund, - Loomis Sayles Duration Hedged Global Corporate Bond Fund, - Loomis Sayles Emerging Debt and Currencies Fund, - Loomis Sayles Global Credit Fund, - Loomis Sayles Institutional Global Corporate Bond Fund, - Loomis Sayles Institutional High Income Fund, - Loomis Sayles Short Term Emerging Markets Bond Fund,

- Loomis Sayles Strategic Alpha Bond Fund, - Loomis Sayles Sustainable Global Corporate Bond Fund, - Loomis Sayles U.S. Core Plus Bond Fund, - Natixis Euro Aggregate Plus Fund, - Natixis Euro High Income Fund, - Natixis Global Inflation Fund,

- Natixis Short Term Global High Income Fund, - ASG Managed Futures Fund (launched on June 10, 2016), - Loomis Sayles Global Multi Asset Income Fund (launched on June 30, 2016),

- Dorval Lux Convictions Fund (launched on December 30, 2016)*. On July 29, 2016, the Loomis Sayles U.S. Aggregate Bond Fund was liquidated.

* The initial subscription occurred on December 30, 2016 and was equal to 150,000 EUR and this has only been reflected in the NAV calculated on January 3, 2017.



as at December 31, 2016 (continued)

Note 1 – GENERAL (continued)

Dorval Lux Convictions Fund is a feeder fund (the “Feeder”) of Dorval Convictions, a French domiciled fonds commun de placement, organized in accordance with the Directive 2009/65/EC (as amended), registered

with the Autorités des Marchés Financiers, which has appointed Dorval Asset Management as its management company and which qualifies as a master fund (the “Master”). The Feeder intends to meet its investment objective by investing a substantial portion of its assets into the M units of the Master. The investment objective of the Master is to outperform the benchmark (50% EONIA Capitalization Index

7-Day and 50% EURO STOXX 50 Index NR (EUR)) (the “Composite Benchmark”) over an investment period of a minimum of 3 years, via a flexible allocation between equity and fixed-income securities. The Master is

managed on a fully discretionary basis.

The Umbrella Fund has appointed NGAM S.A. (the “Management Company”) as its management company and delegated to the Management Company all powers related to the investment management, administration and distribution of the Umbrella Fund with effect on April 30, 2006.

NGAM S.A. is a Société Anonyme incorporated under Luxembourg law on April 25, 2006 for an unlimited period of time and licensed as a management company under Chapter 15 of the Luxembourg Law of December 17, 2010 on Undertakings for Collective Investment, as amended. Since July 22, 2014 NGAM S.A. is also authorised by the CSSF to act as an alternative investment fund manager under Chapter 2 of the law of July 12, 2013 on alternative investment fund managers.

Investors have the flexibility to convert between Funds.

The Umbrella Fund has been established for an unlimited period of time.

Note 2 – SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

a) Presentation of financial statements The financial statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment.

Cross-Funds investments were not eliminated from the combined figures. At December 31, 2016, the total of cross-Funds investments amounts to EUR 30,623,707 and therefore the total combined NAV at year-end without cross-investments would amount to EUR 5,732,757,584.

b) Method of calculation

The value of each Fund’s assets shall be determined as follows:

a. Securities and money market instruments traded on exchanges and Regulated Markets – last market price, unless the Umbrella Fund believes that an occurrence after the publication of the last market price and before any Fund next calculates its net asset value will materially affect the security’s

value. In that case, the security may be fair valued at the time the Administrative Agent determines

its net asset value by or pursuant to procedures approved by the Umbrella Fund. The value of Indian securities shall be determined by using the closing price (defined as the weighted average price of all trades executed during the last 30 minutes of a trading session).

b. Securities and money market instruments not traded on a Regulated Market (other than short-term

money market instruments) – based upon valuations provided by pricing vendors, which valuations are determined based on normal, institutional-size trading of such securities using market

information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.




Note 2 – SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

b) Method of calculation (continued) c. Short-term money market instruments (with remaining maturities of 60 days or less) – amortized

cost (which approximates market value under normal conditions). d. Futures, options and forwards – unrealized gain or loss on the contract using current settlement

price. When a settlement price is not used, future and forward contracts will be valued at their fair value as determined pursuant to procedures approved by the Umbrella Fund, as used on a consistent basis.

e. Shares of open-ended funds – last published net asset value.

f. Cash on hand or deposit, bills, demand notes, accounts receivable, prepaid expenses, cash dividends

and interest declared or accrued and not yet received – full amount, unless in any case such amount is unlikely to be paid or received in full, in which case the value thereof is arrived at after the Umbrella Fund or its agent makes such discount as it may consider appropriate in such case to reflect the true value thereof.

g. Credit Default Swaps (CDS) and Interest Rate Swaps (IRS) – Swaps are marked to market based upon daily prices obtained from third party pricing agents and verified against the value from the counterparty. Realised appreciation/(depreciation) and change in unrealised appreciation/ (depreciation) resulting there from are included in the statement of changes in net assets respectively under the heading “Net realised appreciation/(depreciation) on swaps” and “Change in net unrealised appreciation/(depreciation) on swaps”.

h. Swaptions – when the Fund writes a swaption, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the swaption written. Premiums received from the written swaptions which expire unexercised are treated by the Fund on the expiration dates as realised gains.

i. Term loans – the Fund may invest in fixed and floating rate loans from one or more financial institutions by way of an assignment/transfer or for a participation in the whole or part of the loan amount outstanding. The Fund will invest only in loans that qualify as money market instruments. When purchasing loan participations, a Fund assumes the economic risk associated with the corporate borrower and the credit risk associated with an interposed bank or other financial intermediary. The loan participations or assignments in which a Fund intends to invest may not be

rated by any internationally recognised rating service. When purchasing loan assignments, a Fund assumes the credit risk associated with the corporate borrower only. The value of a term loan is determined prudently and in good faith by the Board of Directors on the basis of foreseeable purchase and sales prices. Realised appreciation/(depreciation) and changes in unrealised appreciation/(depreciation) as a result thereof are included in the statement of changes in net assets respectively under “Net realised appreciation/(depreciation) on sales of investments” and “Change in net unrealised appreciation/(depreciation) on investments”.

j. To Be Announced securities - the Fund may purchase or sell debt securities in a “To Be Announced”

(TBA) transactions, with delivery or payment to occur at a later date beyond the normal settlement

period. TBA securities resulting from these transactions are included in the Schedule of Investments. At the time that the Fund enters into a commitment to purchase or sell a security, the transaction is recorded and the value of the security is reflected in the Fund’s net asset value. The price of such

security and the date that the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations.

k. All other assets – fair market value as determined pursuant to procedures approved by the Umbrella

Fund’s Board of Directors.




Note 2 – SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued)

b) Method of calculation (continued)

l. Time deposit – the Fund may invest in time deposit with credit institutions. Such deposits may be

withdrawn at any time and must have maturity of less than twelve (12) months. The value of time deposits shall be determined by using amortized cost.

c) Foreign exchange translation

The value of all assets and liabilities not expressed in the Reference Currency of a Fund will be converted

into the Reference Currency of such Fund at rates last quoted by any major bank.

The exchange rate used as at December 31, 2016:

1 EUR = 1.054749 USD

d) Swing Pricing Adjustment

In its wish to safeguard the interests of its long-term holders, Board of the Fund has decided to introduce

the “swing pricing” mechanism. The price at which Shares may be subscribed for or redeemed at is the net asset value per Share. Shares are “single priced” such that the same Share price applies whether investors are subscribing or redeeming on any full bank business day (unswung NAV). However, for certain Funds, in the event of large subscriptions, redemptions and/or conversions in and/or out of a Fund on a same full bank business day, and in order to take into account the dilution impacts and to protect the Shareholders’ interests, the Board of the Fund will, on an automatic and systematic basis, apply a “swing pricing” mechanism as part of its daily valuation policy. If on any full bank business day, the aggregate transactions

in Shares of a Fund exceed a threshold determined by the Board of the Fund, the net asset value of the Fund may be adjusted by an amount, not exceeding 2% of the relevant net asset value, in order to reflect both the estimated fiscal charges and dealing costs that may be incurred by the Fund and the estimated dealing spread of the assets in which the Fund invests/disinvests. In such event, the official net asset value

per Share, as published, will have been adjusted to take account of the swing price mechanism (swung NAV). Where a dilution adjustment is made, it will typically increase the net asset value per Share, when

there are important net inflows into the Fund and decrease the net asset value per Share, when there are important net outflows. Net asset values and the net asset values per share in the Statement of Net Assets are unswung. As of December 31, 2016, none of the Sub-Funds net asset values per share were swung.




Note 3 – FEES PAID TO THE MANAGEMENT COMPANY

The Management Company is entitled to receive from the Funds a Management Fee calculated and payable monthly in arrears. The Management Fee due to each Share class and for each month shall be calculated as follows:

Where: “Value” means the average daily net asset value of all Shares issued in each Fund during the relevant month; “Rate of Management Fee” shall be calculated according to the following formula:

Rate of Management Fee Share class = TER Share class – Administration Expenses Share class

Rate of Management Fee Share class means the applicable Rate of Management Fee for the

relevant Share class; expressed as an annualized percentage;

TER Share class means the Total Expense Ratio of the relevant Share class as disclosed in the current Prospectus; expressed as an annualized percentage; and

Administration Expenses Share class means the total operating expenses owed, and forecasted to be owed, by the relevant Fund to service providers, government regulators and agencies for services

and benefits rendered to the relevant Share class; expressed as an annualized percentage.

The Rate of Management Fee accrued to a Share class can never be greater than its Total Expense Ratio, as disclosed in the current Prospectus;

D month shall be the number of calendar days during such month; and D year shall be the number of calendar days during the applicable calendar year.

Note 4 – DISTRIBUTION FEES The fees paid out of the Fund’s assets to cover marketing and selling fund shares may cover advertising costs, compensating brokers and others who sell the Fund’s shares, payments for printing and mailing prospectuses to new investors, and providing sales literature to prospective investors.

Note 5 – TAXATION

The Umbrella Fund is not subject to any Luxembourg tax on interest or dividends received by any Fund, any realized or unrealized capital appreciation of Fund assets or any distribution paid by any Fund to Shareholders. The Umbrella Fund is not subject to any Luxembourg stamp tax or other duty payable on the issuance of Shares. The Umbrella Fund is subject to the Luxembourg taxe d’abonnement of 0.01% per year

of each Fund’s net asset value with respect to class “I” Shares, class “Q” Shares, class “S” Shares, class “Z” shares and class “S1” Shares and of 0.05% per year of each Fund’s net asset value with respect to class “R” Shares, class “RE” Shares, class “C” Shares, class “N” Shares, class “F” Shares and class “P” Shares. These taxes are payable quarterly on the basis of the value of the aggregate net assets of the Funds at the end of the relevant calendar quarter. No tax is due on the assets held by the Umbrella Fund in other UCITS that are already subject to subscription tax in Luxembourg.

(Value x Rate of Management Fee) x D month

D year

Management Fee =




Note 6 – TOTAL EXPENSE RATIO

As at December 31, 2016 the amount of expenses (in %) to be incurred annually by each Fund including the remuneration to the Management Company, the depositary, the independent auditors, the outside

counsels, the other professionals and the administrative expenses are:

I R S C RE F N P Q (2) Z S1 CW Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares Shares

Emerise Asia Equity Fund(10)(11) 1.00 1.70 - 2.75 2.70 - - - 0.35 - - -

Emerise Emerging Europe Equity Fund(11)(12)(14) 1.00 1.70 - 2.75 2.70 - 1.10 - 0.35 - - -

Emerise Latin America Equity Fund(11)(14) 1.00 1.70 - 2.75 2.70 - - - 0.35 - - -

Emerise Pacific Rim Equity Fund 1.20 1.80 1.00 2.20 2.40 - - - 0.35 - - -

Harris Associates Concentrated U.S. Equity Fund 1.25 2.10 0.85 2.55 2.70 1.40 1.20 - 0.35 - - -

Harris Associates Global Equity Fund(3) 1.10 2.15 0.80 2.95 2.70 1.35 1.10 1.75 0.35 - 0.72 -

Harris Associates U.S. Equity Fund 1.20 1.95 0.70 2.55 2.60 1.65 1.20 1.75 0.35 - - -

IDFC India Equities Fund 1.30 1.80 - - 2.50 - - - 0.35 - - -

Loomis Sayles Global Growth Equity Fund(1) 1.00 1.75 0.80 - 2.25 - 1.10 - 0.25 - 0.60 -

Loomis Sayles U.S. Growth Equity Fund(1) 1.00 1.75 0.80 - 2.25 1.50 1.10 - 0.25 - 0.60 -

Loomis Sayles U.S. Research Fund 1.00 1.70 0.75 2.40 2.30 - 1.00 - 0.35 - - -

Natixis Europe Smaller Companies Fund 1.20 2.20 - - 2.70 - 1.20 - 0.35 - - -

Vaughan Nelson U.S. Mid Cap Equity Fund 1.20 1.80 1.00 2.95 2.70 - 1.20 - 0.35 - - -

Vaughan Nelson U.S. Small Cap Value Fund 1.20 1.80 1.00 2.95 2.70 - - - 0.35 - - -

Loomis Sayles Duration Hedged Global Corporate Bond(4)(5) (Fund(4)(5)

0.70 1.15 0.35 - 1.45 - 0.80 - 0.28 - - -

Loomis Sayles Emerging Debt and Currencies Fund(13) 1.00 1.60 0.70 - 1.95 - 1.00 - 0.15 - - -

Loomis Sayles Global Credit Fund(6) 0.70 1.15 0.35 2.10 1.45 - 0.80 - 0.20 - - -

Loomis Sayles Institutional Global Corporate Bond Fund(5)(7) 0.45 - 0.25 - - - - - 0.15 - - -

Loomis Sayles Institutional High Income Fund (8) 0.75 - 0.65 - - - - - - - - -

Loomis Sayles Short Term Emerging Markets Bond Fund(9) 0.75 1.30 0.45 - 1.80 - 0.75 - 0.15 0.00 - -

Loomis Sayles Strategic Alpha Bond Fund 1.00 1.70 0.80 2.40 2.10 1.25 1.00 - 0.35 0.00 0.60 -

Loomis Sayles Sustainable Global Corporate Bond Fund(5) 0.70 1.30 0.45 - - - 0.80 - 0.25 - - -

Loomis Sayles U.S. Aggregate Bond Fund(1) 0.50 0.90 0.35 - - - 0.55 - 0.20 - - -

Loomis Sayles U.S. Core Plus Bond Fund 0.85 1.40 0.40 - 1.70 - 0.90 - 0.20 - 0.35 -

Natixis Euro Aggregate Plus Fund 0.60 1.00 - - 1.60 - 0.60 - 0.35 - - -

Natixis Euro High Income Fund 0.60 1.30 0.50 - 1.60 - 0.70 - 0.35 - - -

Natixis Global Inflation Fund 0.65 1.00 - 1.70 1.40 - 0.65 - 0.35 - - -

Natixis Short Term Global High Income Fund 0.65 1.35 0.55 - 1.65 - 0.75 - 0.35 - - -

ASG Managed Futures Fund(1) 1.50 2.15 1.25 - - - 1.60 - 0.25 - - -

Loomis Sayles Global Multi Asset Income Fund(1) 0.75 1.60 0.55 - 1.95 - 0.90 - 0.25 - - -

Dorval Lux Convictions Fund(1) 1.10 2.00 - - 2.40 - 1.50 - - - - 2.40

(1) See Note 1. (2) No management fee is charged by the Management Company on this Share class. However, this

Share class will pay other expenses such as administrative fees and depositary fees. (3) As from May 31, 2016, decrease of the Total Expense Ratio for the following Share Classes in the

Harris Associates Global Equity Fund: “I” Share Class and “N” Share Class from 1.40% p.a. to 1.10% p.a.

(4) As from May 31, 2016, the Total Expense Ratio for the Loomis Sayles Duration Hedged Global Corporate Bond Fund “RE” Share Class was set at 1.45% p.a.

(5) In the event that any subscription or redemption represents more that 10% of the Fund’s net asset value on any subscription/redemption date, and to the extent that the Management Company

considers it in the best interest of the Fund, an additional dilution levy of up to 2% may be applied

at the discretion of the Management Company to such subscriptions or redemptions. (6) As from May 31, 2016, the Total Expense Ratio for the Loomis Sayles Global Credit Fund “RE”

Share Class was set at 1.45% p.a. (7) As from May 31, 2016, decrease of the Total Expense Ratio for the following Share Class in the

Loomis Sayles Institutional Global Corporate Bond Fund: “Q” Share Class from 0.35% p.a. to

0.15% p.a. (8) In the event that any subscription or redemption represents more than 2% of the Fund’s net asset

value on any subscription/redemption date, and to the extent that the Management Company considers it in the best interest of the Fund, an additional dilution levy of up to 2% may be applied at the discretion of the Management Company to such subscriptions or redemptions.




Note 6 – TOTAL EXPENSE RATIO (continued)

(9) As from May 31, 2016, decrease of the Total Expense Ratio for the following Share Class in the Loomis Sayles Short Term Emerging Markets Bond Fund: “Q” Share Class from 0.25% p.a. to 0.15% p.a.

(10) As from December 21, 2016, decrease of the Total Expense Ratio for the following Share Class in the Emerise Asia Equity Fund: “I” Share Class from 1.35% p.a. to 1.00% p.a.

(11) As from December 21, 2016, decrease of the Total Expense Ratio for the following Share Class in the Emerise Asia Equity Fund, Emerise Emerging Europe Equity Fund and Emerise Latin America Equity Fund: “R” Share Class from 2.20% p.a. to 1.70% p.a.

(12) As from December 21, 2016, decrease of the Total Expense Ratio for the following Share Class in the Emerise Emerging Europe Equity Fund: “N” Share Class from 1.25% p.a. to 1.10% p.a.

(13) As from December 21, 2016, decrease of the Total Expense Ratio for the following Share Class in the Loomis Sayles Emerging Debt and Currencies Fund: “Q” Share Class from 0.20% p.a. to 0.15%

p.a. (14) As from December 21, 2016, decrease of the Total Expense Ratio for the following Share Class in

the Emerise Emerging Europe Equity Fund and Emerise Latin America Equity Fund: “I” Share Class from 1.20% p.a. to 1.00% p.a.

The Total Expense Ratio by Share class, as indicated in each Fund’s description, does not necessarily

include all the expenses linked to the Fund’s investments (such as brokerage fees, Luxembourg taxe d’abonnement, expenses linked to withholding tax reclaims) that are paid by such fund. If the total real expenses paid by each Fund exceed the Total Expense Ratio, the Management Company will support the difference and the corresponding income will be presented under the “Other income” and the corresponding “Other assets” caption; if the total real expenses paid by each Fund are lower than the Total Expense Ratio, the difference will be paid to the Management Company and the corresponding charge

will be presented under the “Other charges” caption and the corresponding “Other liabilities” caption. At December 31, 2016, total real expenses were lower than total expenses ratio for 14 funds for an amount of EUR 750,139; at December 31, 2016, total real expenses exceed the Total Expense Ratio for 15 funds for an amount of EUR 283,978.




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

Note 7 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FORWARD FOREIGN

EXCHANGE CONTRACTS

As at December 31, 2016, Emerise Pacific Rim Equity Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 7,693,810 HKD 63,670,455 H-I/A (EUR) 30/01/2017 (74,257) EUR 353,085 USD 376,823 H-I/A (EUR) 30/01/2017 (3,385) EUR 311,999 NZD 462,028 H-I/A (EUR) 30/01/2017 8,628 EUR 3,029,482 SGD 4,601,117 H-I/A (EUR) 30/01/2017 20,393 EUR 16,379,040 AUD 23,315,947 H-I/A (EUR) 30/01/2017 488,900

USD 440,279 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Harris Associates Concentrated U.S. Equity Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 3,975 USD 4,240 H-N/A (EUR) 30/01/2017 (40) GBP 4,803 USD 6,107 H-N/A (GBP) 30/01/2017 (168)

USD (208)

All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Harris Associates Global Equity Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 11,453,798 USD 11,970,564 H-I/A (EUR) 30/01/2017 128,337 EUR 2,953 USD 3,087 H-N/A (EUR) 30/01/2017 33 GBP 35,452,687 USD 43,415,685 H-N/A (GBP) 30/01/2017 425,864 EUR 1,342,985 USD 1,403,307 H-RE/A (EUR) 30/01/2017 15,318 EUR 5,656,374 USD 5,912,042 H-S/A (EUR) 30/01/2017 62,912


As at December 31, 2016, Harris Associates U.S. Equity Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 30,756,235 USD 32,780,393 H-I/A (EUR) 30/01/2017 (290,940) EUR 932,636 USD 994,629 H-N/A (EUR) 30/01/2017 (9,435) SGD 4,347 USD 3,053 H-P/A (SGD) 30/01/2017 (44) SGD 5,548 USD 3,896 H-R/A (SGD) 30/01/2017 (57)

USD (300,476) All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.




(1) See note 1.



EXCHANGE CONTRACTS (continued)

As at December 31, 2016, Loomis Sayles Global Growth Equity Fund(1) had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 2,945 USD 3,141 H-R/A (EUR) 30/01/2017 (30) USD (30) All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Loomis Sayles U.S. Growth Equity Fund(1) had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 707,063 USD 749,885 H-R/A (EUR) 30/01/2017 (2,982) GBP 2,770,985 USD 3,523,529 H-S1/A (GBP) 30/01/2017 (96,767) CHF 434,663 USD 431,590 H-R/A (CHF) 30/01/2017 (3,023)


As at December 31, 2016, Loomis Sayles U.S. Research Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 6,409,266 USD 6,835,296 H-I/A (EUR) 30/01/2017 (64,840) EUR 3,929 USD 4,190 H-N/A (EUR) 30/01/2017 (40)


As at December 31, 2016, Natixis Europe Smaller Companies Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

USD 1,502,859 EUR 1,409,540 H-R/A (USD) 30/01/2017 13,185 USD 103,880 EUR 97,405 H-RE/A (USD) 30/01/2017 935

EUR 14,120 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.







As at December 31, 2016, Vaughan Nelson U.S. Mid Cap Equity Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 2,761 USD 2,945 H-N/A (EUR) 30/01/2017 (28) GBP 2,762 USD 3,512 H-N/A (GBP) 30/01/2017 (96)

USD (124) All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Vaughan Nelson U.S. Small Cap Value Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 3,982,972 USD 4,247,724 H-I/A (EUR) 30/01/2017 (40,294) USD (40,294) All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Loomis Sayles Duration Hedged Global Corporate Bond Fund had the following forward foreign exchange contracts outstanding:

Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/

Purchases Sales Class Maturity Date (depreciation) (*)

USD 763 EUR 730 H-I/A (USD) 30/01/2017 (8) USD 194 GBP 158 H-I/A (USD) 30/01/2017 (2) USD 64 JPY 7,414 H-I/A (USD) 30/01/2017 0 NOK 102,927,459 EUR 11,338,121 H-Q/A (NOK) 30/01/2017 (15,976) NOK 25,897,269 GBP 2,434,640 H-Q/A (NOK) 30/01/2017 (1,300) NOK 8,748,397 JPY 117,569,706 H-Q/A (NOK) 30/01/2017 6,956 NOK 326,758,789 USD 37,638,084 H-Q/A (NOK) 30/01/2017 333,573 GBP 4,973,717 EUR 5,826,071 H-S/A (GBP) 30/01/2017 (3,652) GBP 16,139,901 USD 19,764,922 H-S/A (GBP) 30/01/2017 194,023 GBP 419,812 JPY 59,995,331 H-S/A (GBP) 30/01/2017 3,919


Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

EUR 2,085,000 USD 2,221,656 Credit Suisse 15/03/2017 (14,700) JPY 180,550,000 USD 1,588,628 Credit Suisse 15/03/2017 (35,159) USD 412,501 EUR 390,000 Credit Suisse 15/03/2017 (311) USD 128,553 JPY 15,000,000 Credit Suisse 15/03/2017 (508)

USD (50,678)

As at December 31, 2016, the net unrealised appreciation on forward foreign exchange contracts amounted to USD 466,855.






EXCHANGE CONTRACTS (continued) As at December 31, 2016, Loomis Sayles Emerging Debt and Currencies Fund had the following forward foreign exchange contracts outstanding:

Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 2,359 USD 2,516 H-N/D (EUR) 30/01/2017 (24) GBP 16,736,784 USD 21,281,089 H-Q/A (GBP) 30/01/2017 (583,402)

USD (583,426) All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co. Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

BRL 1,200,000 USD 362,220 UBS 17/01/2017 5,012 BRL 1,400,000 USD 400,000 Bank of America 05/01/2017 30,019 COP 2,045,000,000 USD 673,140 UBS 15/03/2017 314 PLN 650,000 USD 154,407 Credit Suisse 15/03/2017 1,116 PLN 9,500,000 USD 2,260,667 UBS 15/03/2017 12,361 THB 106,400,000 USD 2,989,352 Credit Suisse 15/03/2017 (19,124) USD 204,409 BRL 700,000 Bank of America 19/01/2017 (9,675) USD 410,437 BRL 1,400,000 Bank of America 05/01/2017 (19,582) USD 328,192 COP 1,000,000,000 UBS 15/03/2017 (1,126) USD 374,824 BRL 1,200,000 UBS 17/01/2017 7,592 USD 285,134 ZAR 4,000,000 Bank of America 17/01/2017 (6,641)

USD 266

As at December 31, 2016, the net unrealised depreciation on forward foreign exchange contracts amounted to USD (583,160).







As at December 31, 2016, Loomis Sayles Global Credit Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 97,671 CHF 104,645 H-I/A (EUR) 30/01/2017 (2) EUR 252,191 CAD 356,800 H-I/A (EUR) 30/01/2017 247 EUR 649,528 GBP 554,502 H-I/A (EUR) 30/01/2017 407 EUR 155,193 AUD 225,014 H-I/A (EUR) 30/01/2017 1,122 EUR 174,228 JPY 21,259,359 H-I/A (EUR) 30/01/2017 1,470 EUR 7,939,361 USD 8,298,220 H-I/A (EUR) 30/01/2017 88,305 USD 4,269,272 EUR 4,084,646 H-S/D (USD) 30/01/2017 (45,499) USD 1,028,387 GBP 839,774 H-S/D (USD) 30/01/2017 (10,103) USD 399,227 CAD 540,274 H-S/D (USD) 30/01/2017 (3,786) USD 154,655 CHF 158,552 H-S/D (USD) 30/01/2017 (1,672) USD 245,748 AUD 340,890 H-S/D (USD) 30/01/2017 (909) USD 275,808 JPY 32,195,054 H-S/D (USD) 30/01/2017 (678)

EUR 25 CHF 27 H-N/D (EUR) 30/01/2017 0 EUR 64 CAD 91 H-N/D (EUR) 30/01/2017 0 EUR 166 GBP 141 H-N/D (EUR) 30/01/2017 0 EUR 40 AUD 57 H-N/D (EUR) 30/01/2017 0 EUR 44 JPY 5,418 H-N/D (EUR) 30/01/2017 0 EUR 2,023 USD 2,115 H-N/D (EUR) 30/01/2017 22 CHF 1,417,563 EUR 1,323,094 H-S/A (CHF) 30/01/2017 25 CHF 132,616 CAD 175,094 H-S/A (CHF) 30/01/2017 144 CHF 341,568 GBP 272,123 H-S/A (CHF) 30/01/2017 257 CHF 81,624 AUD 110,436 H-S/A (CHF) 30/01/2017 568 CHF 91,613 JPY 10,432,024 H-S/A (CHF) 30/01/2017 737 CHF 4,175,457 USD 4,072,822 H-S/A (CHF) 30/01/2017 43,924 EUR 20,670 CHF 22,145 H-S/A (EUR) 30/01/2017 0 EUR 53,370 CAD 75,508 H-S/A (EUR) 30/01/2017 52 EUR 137,457 GBP 117,347 H-S/A (EUR) 30/01/2017 86 EUR 32,843 AUD 47,619 H-S/A (EUR) 30/01/2017 237 EUR 36,871 JPY 4,499,015 H-S/A (EUR) 30/01/2017 311 EUR 1,680,169 USD 1,756,112 H-S/A (EUR) 30/01/2017 18,687 USD 4,296,370 EUR 4,110,572 H-S/A (USD) 30/01/2017 (45,788) USD 1,034,914 GBP 845,104 H-S/A (USD) 30/01/2017 (10,167) USD 401,761 CAD 543,704 H-S/A (USD) 30/01/2017 (3,810) USD 155,636 CHF 159,558 H-S/A (USD) 30/01/2017 (1,682) USD 247,307 AUD 343,054 H-S/A (USD) 30/01/2017 (915) USD 277,559 JPY 32,399,405 H-S/A (USD) 30/01/2017 (682)

USD 30,908 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co. Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

CHF 295,000 USD 293,754 UBS 15/03/2017 (2,211) EUR 2,555,000 USD 2,734,489 Bank of America 15/03/2017 (30,041) JPY 82,204,687 AUD 975,000 Credit Suisse 15/03/2017 2,504 JPY 29,444,000 USD 259,073 Credit Suisse 15/03/2017 (5,734) USD 317,238 GBP 250,000 Bank Of Australia 15/03/2017 7,782

USD (27,700) As at December 31, 2016, the net unrealised appreciation on forward foreign exchange contracts amounted to USD 3,208.






EXCHANGE CONTRACTS (continued) As at December 31, 2016, Loomis Sayles Institutional Global Corporate Bond Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

GBP 101,045,726 EUR 118,362,102 H-S/A (GBP) 30/01/2017 (74,196) GBP 297,517,581 USD 364,340,030 H-S/A (GBP) 30/01/2017 3,576,556 GBP 6,449,619 EUR 7,554,901 H-S/D (GBP) 30/01/2017 (4,736) GBP 18,990,165 USD 23,255,356 H-S/D (GBP) 30/01/2017 228,287 GBP 8,268,808 EUR 9,685,848 H-Q/A (GBP) 30/01/2017 (6,072) GBP 24,346,560 USD 29,814,798 H-Q/A (GBP) 30/01/2017 292,678

USD 4,012,517 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co. Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

EUR 2,600,000 USD 2,782,663 Morgan Stanley 15/03/2017 (30,583) USD 11,491,931 GBP 9,060,000 Credit Suisse 15/03/2017 277,241 USD 2,463,333 EUR 2,350,000 Morgan Stanley 15/03/2017 (24,124)

USD 222,534

As at December 31, 2016, the net unrealised appreciation on forward foreign exchange contracts amounted to USD 4,235,051.

As at December 31, 2016, Loomis Sayles Institutional High Income Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

GBP 14,363,171 USD 18,262,877 H-I/A (GBP) 30/01/2017 (500,540) GBP 4,861,123 USD 6,116,776 H-S/A (GBP) 30/01/2017 (105,277) SGD 20,448,696 USD 14,360,241 H-S/A (SGD) 30/01/2017 (207,991)







EXCHANGE CONTRACTS (continued) As at December 31, 2016, Loomis Sayles Short Term Emerging Markets Bond Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

CHF 485,049 USD 473,126 H-I/A (CHF) 30/01/2017 5,102 EUR 48,722,013 USD 50,924,248 H-S/A (EUR) 30/01/2017 541,904 EUR 72,938,627 USD 76,235,453 H-I/A (EUR) 30/01/2017 811,251 GBP 51,400 USD 62,944 H-S/A (GBP) 30/01/2017 618 EUR 564,454 USD 589,967 H-RE/A (EUR) 30/01/2017 6,278 EUR 26,923,430 USD 28,140,369 H-R/A (EUR) 30/01/2017 299,452 EUR 287,054 USD 300,029 H-R/D (EUR) 30/01/2017 3,193 EUR 9,638,762 USD 10,074,434 H-I/D (EUR) 30/01/2017 107,206

USD 1,775,004 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

GBP 3,050 USD 3,735 H-N/D (GBP) 30/01/2017 37 EUR 1,733,615 USD 1,811,974 H-R/A (EUR) 30/01/2017 19,282 EUR 9,648,496 USD 10,084,608 H-S/A (EUR) 30/01/2017 107,314 GBP 123,503,508 USD 151,242,396 H-S1/A (GBP) 30/01/2017 1,484,676

USD 1,611,309 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.






EXCHANGE CONTRACTS (continued) As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following forward foreign exchange contracts outstanding: Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

BRL 6,800,000 USD 2,056,244 Morgan Stanley 05/01/2017 32,419 CNY 36,100,000 USD 5,119,986 Bank of America 19/09/2017 37,402 HUF 881,400,000 USD 3,003,936 Bank of America 10/01/2017 6,813 MXN 82,800,000 USD 3,965,859 Morgan Stanley 30/01/2017 37,731 NOK 25,630,000 USD 2,934,691 Morgan Stanley 27/01/2017 43,626 NOK 44,785,000 USD 5,146,281 Morgan Stanley 30/01/2017 58,029 SEK 28,170,000 USD 3,070,670 Morgan Stanley 17/01/2017 33,342 USD 400,429 EUR 375,000 Deutsche Bank 17/01/2017 4,574 USD 88,430 BRL 300,000 Bank of America 17/01/2017 (3,378) USD 5,765,155 EUR 5,500,000 Bank of America 30/01/2017 (44,426) USD 2,020,802 BRL 6,800,000 Morgan Stanley 05/01/2017 (67,861) USD 195,483 COP 625,400,000 Credit Suisse 27/01/2017 (11,969) USD 248,212 GBP 200,000 Morgan Stanley 09/02/2017 836 USD 5,258,175 CNH 36,100,000 Bank of America 19/09/2017 286,910 USD 3,040,084 EUR 2,835,000 Bank of America 10/01/2017 48,530 USD 5,184,670 CAD 7,025,000 Morgan Stanley 27/01/2017 (55,310) USD 1,948,569 IDR 26,900,000,000 Credit Suisse 23/02/2017 (32,771) USD 3,440,906 NZD 4,810,000 Bank Of Australia 17/01/2017 88,510 USD 1,413,720 GBP 1,122,000 Deutsche Bank 12/01/2017 26,926 USD 2,064,701 MXN 39,900,000 Morgan Stanley 09/01/2017 129,323

USD 473,529 MXN 9,660,000 Bank of America 17/01/2017 5,524 USD 1,962,199 BRL 6,800,000 Morgan Stanley 06/07/2017 (28,595) USD 4,324,497 CAD 5,835,000 Morgan Stanley 30/01/2017 (28,022) USD 3,252,796 KRW 3,810,000,000 Bank of America 17/01/2017 98,300 USD 2,102,667 PLN 8,100,000 Deutsche Bank 28/04/2017 165,790 USD 67,466 MXN 1,404,550 Morgan Stanley 27/01/2017 (478)

USD 831,775 As at December 31, 2016, the net unrealised appreciation on forward foreign exchange contracts amounted to USD 2,443,084.







As at December 31, 2016, Loomis Sayles Sustainable Global Corporate Bond Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 12,722 CHF 13,630 H-I/A (EUR) 30/01/2017 0 EUR 59,483 CAD 84,156 H-I/A (EUR) 30/01/2017 58 EUR 121,760 GBP 103,946 H-I/A (EUR) 30/01/2017 76 EUR 11,362 AUD 16,473 H-I/A (EUR) 30/01/2017 82 EUR 42,316 JPY 5,163,458 H-I/A (EUR) 30/01/2017 357 EUR 1,528,150 USD 1,597,222 H-I/A (EUR) 30/01/2017 16,996 NOK 224,863,729 EUR 24,770,184 H-Q/A (NOK) 30/01/2017 (34,903) NOK 57,322,334 GBP 5,388,957 H-Q/A (NOK) 30/01/2017 (2,877) NOK 5,982,704 CHF 706,090 H-Q/A (NOK) 30/01/2017 (944) NOK 28,056,163 CAD 4,370,663 H-Q/A (NOK) 30/01/2017 67 NOK 5,362,446 AUD 856,812 H-Q/A (NOK) 30/01/2017 3,193 NOK 19,866,446 JPY 266,985,171 H-Q/A (NOK) 30/01/2017 15,797

NOK 715,575,619 USD 82,424,394 H-Q/A (NOK) 30/01/2017 730,498 SEK 25,657,316 EUR 2,684,943 H-S/A (SEK) 30/01/2017 (6,649) SEK 6,511,228 GBP 581,879 H-S/A (SEK) 30/01/2017 (1,493) SEK 3,218,300 CAD 476,623 H-S/A (SEK) 30/01/2017 (610) SEK 685,736 CHF 76,883 H-S/A (SEK) 30/01/2017 (179) SEK 603,065 AUD 91,527 H-S/A (SEK) 30/01/2017 281 SEK 2,227,546 JPY 28,452,444 H-S/A (SEK) 30/01/2017 1,312 SEK 82,628,349 USD 9,040,400 H-S/A (SEK) 30/01/2017 71,914

USD 792,976 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co. Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

CAD 3,805,000 USD 2,903,915 Credit Suisse 15/03/2017 (64,200) CHF 484,000 USD 481,957 UBS 15/03/2017 (3,627) JPY 282,000,000 USD 2,481,269 Credit Suisse 15/03/2017 (54,914)


As at December 31, 2016, Loomis Sayles U.S. Core Plus Bond Fund had the following forward foreign exchange contracts outstanding: Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

USD 90,971 EUR 85,000 Bank of America 15/03/2017 999

USD 999







As at December 31, 2016, Natixis Euro High Income Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

USD 5,142,737 EUR 4,818,264 H-I/A (USD) 30/01/2017 50,264 USD 590,458 EUR 553,656 H-R/A (USD) 30/01/2017 5,318 SGD 198,483 EUR 130,687 H-R/D (SGD) 30/01/2017 (653) USD 113,675 EUR 106,590 H-R/D (USD) 30/01/2017 1,024 USD 305,255 EUR 286,230 H-RE/A (USD) 30/01/2017 2,750

EUR 58,703 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co.

As at December 31, 2016, Natixis Global Inflation Fund had the following forward foreign exchange contracts outstanding: Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

CAD 517,500 EUR 371,698 Credit Agricole 12/01/2017 (6,007) CAD 210,000 EUR 148,716 Natixis 12/01/2017 (319) EUR 16,227,228 GBP 13,900,000 Natixis 12/01/2017 (52,112) EUR 1,682,433 CAD 2,415,000 Natixis 12/01/2017 (24,124) EUR 32,453 NOK 296,000 Credit Agricole 12/01/2017 (136) EUR 545,659 GBP 460,000 Societe Generale 12/01/2017 6,919 EUR 174,970 NZD 264,000 Natixis 12/01/2017 590 EUR 826,118 AUD 1,180,000 Natixis 12/01/2017 16,684 EUR 571,995 GBP 480,000 Credit Commercial de France 12/01/2017 9,831 EUR 1,531,931 SEK 14,985,000 Credit Agricole 12/01/2017 (32,167) EUR 17,948,049 USD 19,100,000 Societe Generale 12/01/2017 (150,178) GBP 1,660,000 EUR 1,970,093 Credit Commercial de France 12/01/2017 (25,942) GBP 640,000 EUR 750,286 Natixis 12/01/2017 (734) GBP 2,000,000 EUR 2,384,475 Barclays 12/01/2017 (42,124) GBP 700,000 EUR 822,304 Credit Agricole 12/01/2017 (2,481) JPY 29,000,000 EUR 243,513 Societe Generale 12/01/2017 (7,759) USD 2,320,000 EUR 2,230,930 Credit Commercial de France 12/01/2017 (32,611) USD 785,000 EUR 750,246 Natixis 12/01/2017 (6,419) USD 835,009 JPY 96,200,000 Goldman Sachs 12/01/2017 9,161 USD 3,943,976 EUR 3,718,281 Societe Generale 12/01/2017 18,838

EUR (321,090)




(1) See Note 1.




As at December 31, 2016, Natixis Short Term Global High Income Fund had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

EUR 122,333,727 USD 127,863,211 H-I/A (EUR) 30/01/2017 1,360,641 EUR 108,488 USD 113,392 H-RE/A (EUR) 30/01/2017 1,207 EUR 12,889,344 USD 13,471,942 H-R/A (EUR) 30/01/2017 143,360 EUR 9,815 USD 10,259 H-R/D (EUR) 30/01/2017 109

USD 1,505,317 All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co. Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

USD 65,250,636 EUR 62,700,000 Credit Agricole 27/01/2017 (968,794) USD 419,227 EUR 400,000 Citibank 27/01/2017 (3,225) USD 2,577,504 GBP 2,080,000 Credit Agricole 27/01/2017 5,586


As at December 31, 2016, ASG Managed Futures Fund(1) had the following forward foreign exchange contracts outstanding: Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)

GBP 7,029 USD 8,937 H-I/A (GBP) 30/01/2017 (245) GBP 6,529,403 USD 8,302,193 H-S/A (GBP) 30/01/2017 (227,552)

USD (227,797) All Hedged Share Class Forward Foreign Exchange Contracts are held with BBH&Co. Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)

NOK 2,000,000 USD 237,766 UBS 15/03/2017 (5,307) SEK 10,000,000 USD 1,082,145 UBS 15/03/2017 23,158 SGD 500,000 USD 351,191 UBS 15/03/2017 (5,221) USD 3,940,135 SGD 5,625,000 UBS 15/03/2017 47,973 USD 5,929,949 SEK 54,000,000 UBS 15/03/2017 (38,691)

USD 2,616,222 TRY 9,300,000 UBS 15/03/2017 11,784 USD 105,358 ZAR 1,500,000 UBS 15/03/2017 (2,898) USD 691,936 NOK 6,000,000 UBS 15/03/2017 (5,441) ZAR 15,000,000 USD 1,081,033 UBS 15/03/2017 1,530

USD 26,887 As at December 31, 2016, the net unrealised depreciation on forward foreign exchange contracts amounted to USD (200,910).





Note 8 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FINANCIAL FUTURES

CONTRACTS

As at December 31, 2016, Loomis Sayles Duration Hedged Global Corporate Bond Fund had the following financial futures contracts outstanding:

Financial Futures Contracts

Number of contracts Maturity

Unrealised appreciation/

purchased/(sold) Index Counterparty Date Currency Commitments (depreciation) (*)

54 EURO-SCHATZ FUTURE JP Morgan 08/03/2017 EUR 6,395,645 6,550

(6) US 10YR NOTE (CBT) FUTURE JP Morgan 22/03/2017 USD (745,688) 4,130

45 US 2YR NOTE (CBT) FUTURE JP Morgan 31/03/2017 USD 9,750,938 (6,328)

USD 4,352

As at December 31, 2016, Loomis Sayles Global Credit Fund had the following financial futures contracts outstanding:





22 EURO-BOBL FUTURE JP Morgan 08/03/2017 EUR 3,100,817 21,116

(12) EURO-BUND FUTURE JP Morgan 08/03/2017 EUR (2,077,646) (30,377)

(87) US 10YR NOTE (CBT) FUTURE JP Morgan 22/03/2017 USD (10,812,469) 59,885


(6) US ULTRA BOND (CBT) FUTURE JP Morgan 22/03/2017 USD (961,500) 13,349

USD 59,614

As at December 31, 2016, Loomis Sayles Institutional Global Corporate Bond Fund had the following financial futures contracts outstanding:





111 EURO-BOBL FUTURE JP Morgan 08/03/2017 EUR 15,645,033 106,540

(257) EURO-BUND FUTURE JP Morgan 08/03/2017 EUR (44,496,263) (682,138) 268 EURO-SCHATZ FUTURE JP Morgan 08/03/2017 EUR 31,741,351 (18,374) (52) LONG GILT FUTURE JP Morgan 29/03/2017 GBP (8,085,055) (201,114)


(39) US 10YR ULTRA FUTURE JP Morgan 22/03/2017 USD (5,228,438) 37,545



45 US ULTRA BOND (CBT) FUTURE JP Morgan 22/03/2017 USD 7,211,250 (100,195)

USD (804,373)






CONTRACTS (continued)

As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following financial futures contracts outstanding:





28 CBOE VIX FUTURE JP Morgan 15/02/2017 USD 464,100 (28,450)


(40) US 10YR ULTRA FUTURE JP Morgan 22/03/2017 USD (5,362,500) 38,508

(103) US 5YR NOTE (CBT) FUTURE JP Morgan 31/03/2017 USD (12,119,398) (99,781)

(13) US ULTRA BOND (CBT) FUTURE JP Morgan 22/03/2017 USD (2,083,250) 28,923

USD 23,864

As at December 31, 2016, Loomis Sayles Sustainable Global Corporate Bond Fund had the following financial futures contracts outstanding:





(25) EURO-BUND FUTURE JP Morgan 08/03/2017 EUR (4,328,430) (63,285)




29 US ULTRA BOND (CBT) FUTURE JP Morgan 22/03/2017 USD 4,647,250 (12,305)

USD (15,054)

As at December 31, 2016, Natixis Euro Aggregate Plus Fund had the following financial futures contracts outstanding:





2 EURO-BUND FUTURE Caceis 08/03/2017 EUR 328,300 4,600

EUR 4,600




(1) See Note 1.



CONTRACTS (continued)

As at December 31, 2016, Natixis Global Inflation Fund had the following financial futures contracts outstanding:

Hedged Share Class Financial Futures Contracts




(5) EURO BUXL 30Y FUTURE Caceis 08/03/2017 EUR (867,600) (10,300)

(1) EURO-BOBL FUTURE Caceis 08/03/2017 EUR (133,630) (1,130) (2) EURO-BUND FUTURE Caceis 08/03/2017 EUR (328,300) (4,800) (77) LONG GILT FUTURE Caceis 29/03/2017 GBP (11,350,652) (204,874)

(11) US 10YR NOTE (CBT) FUTURE Caceis 22/03/2017 USD (1,296,131) (2,637)

(3) US 2YR NOTE (CBT) FUTURE Caceis 31/03/2017 USD (616,319) 356

(3) US 5YR NOTE (CBT) FUTURE Caceis 31/03/2017 USD (334,669) 1,022

(16) US LONG BOND(CBT) FUTURE Caceis 22/03/2017 USD (2,285,376) 14,199

EUR (208,164) Financial Futures Contracts



purchased/(sold) Index Counterparty Date Currency Commitments (depreciation) (*) 8 EURO-BUND FUTURE Caceis 08/03/2017 EUR 1,313,200 8,140

(13) US 10YR NOTE (CBT) FUTURE Caceis 22/03/2017 USD (1,531,791) 1,733

EUR 9,873

As at December 31, 2016, the net unrealised depreciation on futures contracts amounted to EUR (198,291).

As at December 31, 2016, ASG Managed Futures Fund(1) had the following financial futures contracts outstanding: Financial Futures Contracts

Number of contracts

purchased/(sold) Index Counterparty Maturity Date Currency Commitments

Unrealized appreciation/

(depreciation) (*)

4 3 MONTHS EUR EURIBOR FUTURE

Goldman Sachs 19/06/2017 EUR 1,057,914 53

(265) 90DAY EURO$ FUTURE Goldman

Sachs 13/03/2017 USD (65,561,000) 21,375

307 90DAY STERLING FUTURE

Goldman Sachs 15/03/2017 GBP 47,230,765 (22,249)

40 AMSTERDAM INDEX FUTURE

Goldman Sachs 20/01/2017 EUR 4,076,398 80,878

13 AUD$ CURRENCY FUTURE

Goldman Sachs 13/03/2017 USD 936,260 (36,260)




(1) See Note 1.



CONTRACTS (continued) As at December 31, 2016, ASG Managed Futures Fund(1) had the following financial futures contracts outstanding (continued):

Number of contracts



(depreciation) (*)

(28) AUST 10YR BOND FUTURE Goldman Sachs 15/03/2017 AUD (2,589,954) (18,956)

(172) AUST 3YR BOND FUTURE Goldman Sachs 15/03/2017 AUD (13,882,699) 24,302

(37) GBP CURRENCY FUTURE Goldman Sachs 13/03/2017 USD (2,857,788) 85,669 (5) C$ CURRENCY FUTURE Goldman Sachs 14/03/2017 USD (372,075) (2,555)

46 CAC40 10 EURO FUTURE Goldman Sachs 20/01/2017 EUR 2,359,455 45,159

(58) CAN 10YR BOND FUTURE Goldman Sachs 22/03/2017 CAD (5,948,130) (6,622)

(31) CHF CURRENCY FUTURE Goldman Sachs 13/03/2017 USD (3,823,075) 30,612 11 DAX INDEX FUTURE Goldman Sachs 17/03/2017 EUR 3,325,495 43,311

50 DJIA MINI E-CBOT FUTURE Goldman Sachs 17/03/2017 USD 4,930,000 38,220

(59) EURO FX CURRENCY FUTURE Goldman Sachs 13/03/2017 USD (7,798,325) 76,856

60 EURO STOXX 50 FUTURE Goldman Sachs 17/03/2017 EUR 2,073,849 43,962 88 EURO-BOBL FUTURE Goldman Sachs 08/03/2017 EUR 12,403,269 83,831 7 EURO-BTP FUTURE Goldman Sachs 08/03/2017 EUR 999,028 (1,213)

15 EURO-BUND FUTURE Goldman Sachs 08/03/2017 EUR 2,597,058 31,168 16 EURO-OAT FUTURE Goldman Sachs 08/03/2017 EUR 2,562,114 24,196 175 EURO-SCHATZ FUTURE Goldman Sachs 08/03/2017 EUR 20,726,628 17,071 24 FTSE 100 INDEX FUTURE Goldman Sachs 17/03/2017 GBP 2,090,720 51,372

(38) FTSE/JSE TOP 40 FUTURE Goldman Sachs 16/03/2017 ZAR (1,231,172) 20,563 8 FTSE/MIB INDEX FUTURE Goldman Sachs 17/03/2017 EUR 810,259 2,637

11 HANG SENG INDEX FUTURE Goldman Sachs 26/01/2017 HKD 1,557,960 19,521

13 IBEX 35 INDEX FUTURE Goldman Sachs 20/01/2017 EUR 1,277,030 11,530

(8) JPN YEN CURRENCY FUTURE Goldman Sachs 13/03/2017 USD (859,700) (6,431)

11 LONG GILT FUTURE Goldman Sachs 29/03/2017 GBP 1,710,300 29,816

(61) MEXICAN PESO CURRENCY FUTURE Goldman Sachs 13/03/2017 USD (1,463,085) 28,975

69 MSCI SING IX ETS FUTURE Goldman Sachs 27/01/2017 SGD 1,527,390 5,122

70 MSCI TAIWAN INDEX FUTURE Goldman Sachs 23/01/2017 USD 2,406,600 31,690

32 NASDAQ 100 E-MINI FUTURE Goldman Sachs 17/03/2017 USD 3,112,960 (910)

19 NIKKEI 225 (OSE) FUTURE Goldman Sachs 09/03/2017 JPY 3,111,416 72,204

18 NZD$ CURRENCY FUTURE Goldman Sachs 13/03/2017 USD 1,246,320 (46,935) 210 OMXS30 INDEX FUTURE Goldman Sachs 20/01/2017 SEK 3,511,327 (36,468)

45 RUSSELL 2000 MINI FUTURE Goldman Sachs 17/03/2017 USD 3,053,025 (68,093)




(1) See Note 1.



CONTRACTS (continued) As at December 31, 2016, ASG Managed Futures Fund(1) had the following financial futures contracts outstanding (continued):

Number of contracts



(depreciation) (*)

33 S&P/TSX 60 IX FUTURE Goldman Sachs 16/03/2017 CAD 4,414,108 (1,099)

25 S&P500 EMINI FUTURE Goldman Sachs 17/03/2017 USD 2,795,250 (23,125) 56 SGX NIFTY 50 FUTURE Goldman Sachs 25/01/2017 USD 916,664 26,880 24 SPI 200 FUTURE Goldman Sachs 16/03/2017 AUD 2,446,444 54,579 24 TOPIX INDX FUTURE Goldman Sachs 09/03/2017 JPY 3,123,591 39,311

(38) US 10YR NOTE (CBT) FUTURE Goldman Sachs 22/03/2017 USD (4,722,688) 8,438

(92) US 2YR NOTE (CBT) FUTURE Goldman Sachs 31/03/2017 USD (19,935,250) (21,859)

(63) US 5YR NOTE (CBT) FUTURE Goldman Sachs 31/03/2017 USD (7,412,836) 20,766

(10) US LONG BOND (CBT) FUTURE Goldman Sachs 22/03/2017 USD (1,506,562) (19,125)

(9) US ULTRA BOND (CBT) FUTURE Goldman Sachs 22/03/2017 USD (1,442,250) (13,969)

USD 744,198

Note 9 – CREDIT DEFAULT INDEX SWAPS, CREDIT DEFAULT SWAPS AND INTEREST

RATE SWAPS

As at December 31, 2016, Loomis Sayles Duration Hedged Global Corporate Bond Fund had the following interest rate swaps:

Floating Unrealized Pay/Receive Rate Fixed Maturity Notional appreciation/ Floating Rate Index Rate Date Counterparty Amount (depreciation) (*) Receive 6 Month EUR Euribor 0.03% 09/11/2021 Morgan Stanley 1,650,000 2,310 Pay 6 Month EUR Euribor 0.08% 15/01/2018 Citi 3,250,000 4,453 Pay 6 Month EUR Euribor 0.10% 01/06/2017 Morgan Stanley 7,000,000 10,023 Receive 6 Month EUR Euribor 0.40% 20/08/2020 Morgan Stanley 2,000,000 (34,946) Receive 6 Month EUR Euribor 0.52% 08/04/2026 Morgan Stanley 825,000 4,869 Receive 6 Month EUR Euribor 0.52% 09/11/2026 Morgan Stanley 2,000,000 25,951 Receive 6 Month EUR Euribor 0.56% 20/05/2026 Morgan Stanley 700,000 1,848 Receive 6 Month EUR Euribor 0.63% 14/07/2019 Morgan Stanley 2,970,400 (61,500) Receive 6 Month EUR Euribor 0.71% 17/06/2019 Citi 1,216,600 (26,934) Receive 6 Month EUR Euribor 0.89% 01/06/2025 Morgan Stanley 2,250,000 (82,548) Receive 6 Month EUR Euribor 0.99% 27/03/2019 Morgan Stanley 3,713,000 (100,404) Receive 6 Month GBP Libor 1.11% 16/09/2046 Morgan Stanley 177,000 17,259 Receive 6 Month GBP Libor 1.15% 07/11/2026 Morgan Stanley 350,000 3,083 Receive 3 Month USD Libor 1.32% 24/03/2021 Morgan Stanley 825,000 18,276 Receive 3 Month USD Libor 1.33% 09/11/2021 Morgan Stanley 1,500,000 42,904 Receive 3 Month USD Libor 1.42% 17/03/2021 Morgan Stanley 1,530,881 27,595 Receive 3 Month USD Libor 1.53% 20/09/2026 Morgan Stanley 730,000 50,601 Receive 3 Month USD Libor 1.59% 09/06/2026 Morgan Stanley 1,100,000 66,810 Receive 3 Month USD Libor 1.69% 09/11/2026 Morgan Stanley 1,800,000 100,798 Receive 3 Month USD Libor 1.69% 19/08/2020 JP Morgan 1,425,811 5,043 Receive 3 Month USD Libor 1.74% 16/06/2019 Citi 5,688,000 (24,489) Receive 3 Month USD Libor 1.81% 11/07/2019 Citi 5,158,700 (29,713) Receive 6 Month EUR Euribor 1.81% 27/03/2024 UBS 2,295,000 (259,298)






RATE SWAPS (continued) As at December 31, 2016, Loomis Sayles Duration Hedged Global Corporate Bond Fund had the following interest rate swaps (continued):

Floating Unrealized Pay/Receive Rate Fixed Maturity Notional appreciation/ Floating Rate Index Rate Date Counterparty Amount (depreciation) (*) Receive 3 Month USD Libor 1.81% 25/03/2019 Citi 5,013,575 (33,257) Receive 3 Month USD Libor 1.82% 17/03/2026 Morgan Stanley 450,000 17,697 Receive 3 Month USD Libor 1.82% 21/07/2046 Morgan Stanley 500,000 78,909 Receive 3 Month USD Libor 1.83% 04/04/2019 Morgan Stanley 5,135,000 (35,521) Receive 6 Month EUR Euribor 1.88% 06/02/2024 Citi 1,453,600 (170,705) Receive 3 Month USD Libor 1.88% 20/09/2046 Morgan Stanley 475,000 69,090 Receive 3 Month USD Libor 1.99% 09/11/2036 Morgan Stanley 600,000 53,549 Receive 3 Month USD Libor 2.00% 08/04/2036 Morgan Stanley 500,000 41,837 Receive 3 Month USD Libor 2.05% 09/11/2046 Morgan Stanley 600,000 66,810 Receive 3 Month USD Libor 2.14% 01/12/2026 Morgan Stanley 1,100,000 18,551 Receive 3 Month USD Libor 2.20% 24/03/2046 Morgan Stanley 200,000 15,774 Receive 6 Month GBP Libor 2.21% 13/06/2019 Morgan Stanley 1,264,000 (59,948) Receive 3 Month USD Libor 2.22% 16/09/2025 Morgan Stanley 1,400,000 7,078 Receive 3 Month USD Libor 2.23% 29/05/2025 Morgan Stanley 513,813 1,248 Receive 3 Month USD Libor 2.24% 06/03/2025 Citi 1,250,000 1,228 Receive 3 Month USD Libor 2.24% 17/03/2046 Morgan Stanley 200,000 13,863 Receive 3 Month USD Libor 2.25% 07/12/2026 Morgan Stanley 460,000 3,247 Receive 3 Month USD Libor 2.25% 27/04/2046 Morgan Stanley 315,000 21,188 Receive 6 Month EUR Euribor 2.52% 24/02/2034 Citi 197,500 (48,127) Receive 3 Month USD Libor 2.54% 07/12/2046 Morgan Stanley 195,000 1,827 Receive 3 Month USD Libor 2.57% 29/05/2035 Morgan Stanley 1,150,000 (450) Receive 3 Month USD Libor 2.65% 29/05/2045 Morgan Stanley 900,000 (6,533) Receive 3 Month USD Libor 2.68% 11/07/2024 Morgan Stanley 1,935,500 (64,013) Receive 3 Month USD Libor 2.77% 06/02/2024 Citi 4,977,000 (199,152) Receive 6 Month GBP Libor 2.80% 24/03/2024 Morgan Stanley 790,000 (120,877)

Receive 3 Month USD Libor 2.83% 20/02/2024 Citi 5,135,000 (226,373) Receive 6 Month GBP Libor 2.85% 21/02/2024 Citi 790,000 (123,149) Receive 3 Month USD Libor 2.86% 25/03/2024 Citi 7,663,000 (349,546) Receive 3 Month USD Libor 2.91% 23/07/2045 Morgan Stanley 750,000 (47,111) Receive 3 Month USD Libor 3.27% 16/06/2034 Morgan Stanley 807,127 (84,145) Receive 6 Month GBP Libor 3.30% 21/02/2034 Citi 237,000 (85,494) Receive 6 Month GBP Libor 3.33% 21/02/2044 Citi 79,000 (42,722) Receive 3 Month USD Libor 3.47% 06/02/2034 Citi 246,247 (32,406) Receive 3 Month USD Libor 3.53% 04/04/2044 Morgan Stanley 1,099,680 (208,271) USD (1,763,913)

As at December 31, 2016, Loomis Sayles Emerging Debt and Currencies Fund had the following interest rate swaps:

Floating Unrealized Pay/Receive Rate Fixed Maturity Notional appreciation/ Floating Rate Index Rate Date Counterparty Amount (depreciation) (*)

Pay Bloomberg Thailand 6 Month Fixing Rate 1.73% 23/03/2021 JP Morgan 37,800,000 (16,718)

Pay 6 Month PLN Libor 1.76% 25/08/2021 Bank Of America 3,600,000 (20,582)

Pay Bloomberg Thailand 6

Month Fixing Rate 1.81% 25/08/2021 HSBC 18,000,000 (8,734) Pay 6 Month PLN Libor 1.95% 14/11/2019 Citi 3,420,000 (1,971)


Month Fixing Rate 2.04% 23/03/2026 JP Morgan 32,400,000 (48,545)


Month Fixing Rate 2.11% 25/08/2026 HSBC 18,000,000 (25,866) Pay 6 Month PLN Libor 2.13% 25/08/2026 Bank Of America 900,000 (13,146)






RATE SWAPS (continued) As at December 31, 2016, Loomis Sayles Emerging Debt and Currencies Fund had the following interest rate swaps (continued):

Floating Unrealized Pay/Receive Rate Fixed Maturity Notional appreciation/ Floating Rate Index Rate Date Counterparty Amount (depreciation) (*) Pay 6 Month PLN Libor 2.21% 14/03/2026 Citi 1,350,000 (15,954) Pay 6 Month PLN Libor 2.94% 21/11/2026 Morgan Stanley 1,500,000 2,479

Pay 3 Month ZAR-JIBAR-

SAFEX 8.53% 28/11/2028 Deutsche Bank 3,500,000 1,905 USD (147,132)

As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following interest rate swaps:

Floating Unrealized Pay/Receive Rate Fixed Maturity Notional appreciation/ Floating Rate Index Rate Date Counterparty Amount (depreciation) (*) Pay 6 Month GBP Libor 0.50% 22/07/2018 Morgan Stanley 14,250,000 (22,643) Pay 6 Month GBP Libor 0.53% 21/07/2018 Morgan Stanley 14,250,000 (15,317) Receive 6 Month GBP Libor 0.59% 22/07/2021 Morgan Stanley 4,750,000 61,652 Receive 6 Month GBP Libor 0.62% 21/07/2021 Morgan Stanley 4,750,000 54,567

Receive 3 Month USD Libor 1.41% 18/07/2026 Morgan Stanley 3,348,000 270,059 Pay 28 Day TIIE 6.13% 03/07/2026 Bank Of America 57,695,000 (349,611) Pay 28 Day TIIE 6.14% 03/07/2026 Deutsche Bank 18,100,000 (109,370)

Receive 3 Month ZAR-JIBAR-

SAFEX 7.72% 17/04/2025 JP Morgan 7,310,000 15,202


SAFEX 7.95% 08/05/2025 Bank Of America 5,000,000 5,490


SAFEX 7.95% 05/05/2025 Barclays 37,500,000 41,044 USD (48,927)

As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following credit default index swaps: Unrealised Maturity appreciation/

Position Counterparty Underlying Index Rate Date Currency Nominal (depreciation) (*)

BUY Morgan Stanley iTRAXX Asia EXJP

series 25 100 1.00% 20/06/2021 USD 1,240,000 (23,720)

BUY Barclays iTRAXX Asia EXJP

series 25 100 1.00% 20/06/2021 USD 610,000 (11,240) BUY Morgan Stanley CDX.NA.HY series 500 5.00% 20/12/2021 USD 6,300,000 (138,020)

BUY Morgan Stanley CDX.NA.HY series 27

500 5.00% 20/12/2021 USD 2,200,000 (48,198)

BUY Morgan Stanley

CDX.NA.HY series 27 500 5.00% 20/12/2021 USD 2,200,000 (48,198)

USD (269,376) As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following credit default swaps:

Unrealised Maturity appreciation/

Position Counterparty Underlying Security Rate Date Currency Nominal (depreciation) (*)

BUY Deutsche Bank China Government

Bond 1.00% 20/06/2021 USD 1,000,000 (1,715)




(1) See Note 1.



RATE SWAPS (continued)

As at December 31, 2016, Loomis Sayles Strategic Alpha Bond Fund had the following credit default swaps (continued):

Unrealised Maturity appreciation/

Position Counterparty Underlying Security Rate Date Currency Nominal (depreciation) (*)

BUY Merrill Lynch Turkey Government

Bond 1.00% 20/12/2021 USD 2,000,000 (1,418) BUY JP Morgan Intesa Sanpaolo SpA 1.00% 20/12/2021 EUR 950,000 (16,892) BUY JP Morgan Enel SpA 1.00% 20/12/2021 EUR 950,000 (9,457) BUY Barclays Enel SpA 1.00% 20/12/2021 EUR 950,000 (8,974) BUY JP Morgan Intesa Sanpaolo SpA 1.00% 20/12/2021 EUR 950,000 (14,143)

USD (52,599)

As at December 31, 2016, the net unrealised depreciation on swaps amounted to USD (370,902).

As at December 31, 2016, Natixis Euro High Income Fund had the following credit default index swaps: Unrealised Maturity appreciation/

Position Counterparty Underlying Index Rate Date Currency Nominal (depreciation) (*)

BUY Societe Generale iTRAXX series 26 5.00% 20/12/2021 EUR 40,000,000 (807,825) EUR (807,825)

Note 10 – TIME DEPOSIT

As at December 31, 2016, ASG Managed Futures Fund(1) had the following time deposits outstanding:

Description Coupon Maturity date Face value Currency Evaluation

ICAP Corporates LLC 0.55% 03/1/2017 2,700,000 USD 2,700,000

CIBC World Markets Corp 0.52% 03/1/2017 2,000,000 USD 2,000,000

USD 4,700,000

Note 11 – COLLATERAL As at December 31, 2016, there was no collateral received from counterparties by any of the Sub-Funds for the purpose of transactions of OTC derivatives.

Note 12 – REPURCHASE AGREEMENTS

As at December 31, 2016 Natixis Global Inflation Fund is committed under the following repurchase

agreement operations:

on U.S. Treasury Inflation Indexed Note 0.125% 15/01/2023 with a value of EUR 1,504,402. The par

value of the repurchase contract amounted EUR 1,561,270. This contract will mature on 06/01/2017.

on U.S. Treasury Inflation Indexed Note 0.625% 15/01/2024 with a value of EUR 1,830,559. The par value of the repurchase contract amounted EUR 1,881,394. This contract will mature on 31/01/2017.

The above contracts outstanding as at December 31, 2016 were transacted through Royal Bank of Scotland.




Note 12 – REPURCHASE AGREEMENTS (continued)

For the year ended December 31, 2016 the net interest paid on Repurchase Agreements is EUR 5,892. The Fund uses repurchase agreement for Efficient Portfolio Management. The revenues and costs arising from it are included in the Statement of Changes in Net Assets under the captions “Interest on bonds, net” and “Interest paid”.

Note 13 – PLEDGED SECURITIES AND CASH As at December 31, 2016, the following serves as pledged assets for commitments on derivative instruments:

Fund name Securities

description Currency Quantity Market value Counterparty

Margin (in EUR)


U.S. Treasury Bond 3.750% 15/11/2043

USD

150,000

170,068

JP Morgan

-

U.S. Treasury Note 1.375% 28/02/2019

USD 1,620,000 1,624,555 Morgan Stanley -

Cash USD - 270,000 Credit Suisse -

- - - - JP Morgan (2,091)

Cash EUR - 795,266 Morgan Stanley -

Cash GBP - 333,112 Morgan Stanley -

Cash USD - 1,623,102 Morgan Stanley -


Cash USD - 17,000 Citibank -


Cash PLN - (17,041) Morgan Stanley -

Cash USD - 50,000 Morgan Stanley -


U.S. Treasury Bond 2.875% 15/05/2043

USD 500,000 482,949 JP Morgan (110,802)

Loomis Sayles

Institutional Global Corporate Bond Fund

U.S. Treasury Bond

2.875% 15/05/2043

USD 2,295,000 2,216,736 JP Morgan 544,404

- - - - Credit Suisse (246,504)


U.S. Treasury Note 0.500% 28/02/2017

USD

580,000

580,053

JP Morgan

(175,591)

USD - - (320,000) Bank of America -

GBP - - (62,832) Morgan Stanley -

USD - - 1,744,277 Morgan Stanley -




Note 13 – PLEDGED SECURITIES AND CASH (continued) As at December 31, 2016, the following serves as pledged assets for commitments on derivative instruments (continued):

Fund name Securities

description Currency Quantity Market value Counterparty

Margin (in EUR)


U.S. Treasury Bond 2.875% 15/05/2043

USD

125,000

120,737

JP Morgan

-

U.S. Treasury Bond 2.500% 15/05/2046

USD 500,000 444,336 JP Morgan -


- - - - JP Morgan 322,875


- - - - Caceis 197,244


Cash EUR - 753,651 Caceis -

Cash EUR - 3,813,000 Societe Generale -


French Government Bond OAT 3.150% 25/07/2032

EUR 100,000 159,131 Credit Agricole -

U.S. Treasury Inflation

Indexed Bonds 3.875% 15/04/2029

EUR 300,000 409,480 Credit Agricole -

- - - - Caceis 153,684

Cash EUR - 78,000 Natixis -

Cash EUR - 255,000 Societe Generale -

Natixis Global Inflation Duration Hedge Active Share Class

-

-

-

-

Caceis

553,082


Cash USD - 410,000 UBS -

- - - - Goldman Sachs 2,945,791

(1) See Note 1.




Note 14 – TRANSACTION COSTS

During the year ended December 31, 2016, the transaction costs which have been defined as brokerage transaction costs and depositary transaction costs have been charged to the Funds in relation to purchases

and sales of transferable securities, money market instrument, derivatives or any other eligible assets (brokerage transaction costs on fixed income or derivatives are excluded). Brokerage transaction costs are mainly included in the caption “Portfolio at cost” in the Statement of Net Assets of the report, and respectively in the captions “Net realised appreciation/(depreciation)” and “Change in net unrealised on appreciation/(depreciation)” in the Statement of Changes in Net Assets.

Depositary transaction costs are included in the caption “Taxes and expenses payable” in the Statement of Net Assets, and respectively in the caption “Depositary fees” in the Statement of Changes in Net Assets.

During the year ended December 31, 2016, transaction costs were as following:

Fund Currency Total Amount of Transaction Costs

Emerise Asia Equity Fund USD 549,997

Emerise Emerging Europe Equity Fund USD 112,354

Emerise Latin America Equity Fund USD 60,675

Emerise Pacific Rim Equity Fund USD 136,015

Harris Associates Concentrated U.S. Equity Fund USD 60,762

Harris Associates Global Equity Fund USD 1,426,622

Harris Associates U.S. Equity Fund USD 84,726

IDFC India Equities Fund USD 129,582

Loomis Sayles Global Growth Equity Fund(1) USD 9,084

Loomis Sayles U.S. Growth Equity Fund(1) USD 171,604

Loomis Sayles U.S. Research Fund USD 781,795

Natixis Europe Smaller Companies Fund EUR 1,144,884

Vaughan Nelson U.S. Mid Cap Equity Fund USD 9,792

Vaughan Nelson U.S. Small Cap Value Fund USD 164,869

Loomis Sayles Duration Hedged Global Corporate Bond Fund USD 30,265

Loomis Sayles Emerging Debt and Currencies Fund USD 38,112

Loomis Sayles Global Credit Fund USD 35,580

Loomis Sayles Institutional Global Corporate Bond Fund USD 59,650

Loomis Sayles Institutional High Income Fund USD 10,973

Loomis Sayles Short Term Emerging Markets Bond Fund USD 19,142

Loomis Sayles Strategic Alpha Bond Fund USD 93,080

Loomis Sayles Sustainable Global Corporate Bond Fund USD 30,829

Loomis Sayles U.S. Aggregate Bond Fund(1) USD 8,124

Loomis Sayles U.S. Core Plus Bond Fund USD 11,460

Natixis Euro Aggregate Plus Fund EUR 5,126

Natixis Euro High Income Fund EUR 125,972

Natixis Global Inflation Fund EUR 79,669

Natixis Short Term Global High Income Fund USD 77,202

ASG Managed Futures Fund(1) USD 242,667

Loomis Sayles Global Multi Asset Income Fund(1) USD 39,991

(1) See Note 1.




Note 15 – 144A RULE

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

Note 16 – GERMAN REPRESENTATIVE

LBBW Landesbank Baden-Württemberg

Depotbankkoordination / Fondskontrolle Große Bleiche 54-56 55098 Mainz Germany

A copy of the list of changes in the portfolio during the reference period may be obtained free of charge at the depositary or paying agents and at the paying and information agent in Germany.

Note 17 – DIVIDEND DISTRIBUTION

During the year ended December 31, 2016, the following dividends were declared: Income Dividend

Sub-Fund Share Class

Ex-date Share class

currency

Dividend per Share

(share class currency)

Emerise Emerging Europe Equity Fund R/D (USD) January 4, 2016 USD 0.521

Harris Associates Global Equity Fund S/D (GBP) January 4, 2016 GBP 0.737

Harris Associates Global Equity Fund S/D (USD) January 4, 2016 USD 1.177 Harris Associates U.S. Equity Fund I/D (USD) January 4, 2016 USD 0.220

Loomis Sayles U.S. Research Fund I/D (USD) January 4, 2016 USD 0.133

Loomis Sayles Emerging Debt and Currencies Fund H-N/D (EUR) January 4, 2016 EUR 0.952

Loomis Sayles Emerging Debt and Currencies Fund H-N/D (EUR) April 1, 2016 EUR 0.928

Loomis Sayles Emerging Debt and Currencies Fund H-N/D (EUR) July 1, 2016 EUR 1.226

Loomis Sayles Emerging Debt and Currencies Fund H-N/D (EUR) October 3, 2016 EUR 1.201

Loomis Sayles Emerging Debt and Currencies Fund R/D (USD) January 4, 2016 USD 0.649

Loomis Sayles Emerging Debt and Currencies Fund R/D (USD) April 1, 2016 USD 0.670

Loomis Sayles Emerging Debt and Currencies Fund R/D (USD) July 1, 2016 USD 0.908 Loomis Sayles Emerging Debt and Currencies Fund R/D (USD) October 3, 2016 USD 0.913

Loomis Sayles Global Credit Fund H-S/D (USD) January 4, 2016 USD 0.738

Loomis Sayles Global Credit Fund H-S/D (USD) April 1, 2016 USD 0.729

Loomis Sayles Global Credit Fund H-S/D (USD) July 1, 2016 USD 0.755

Loomis Sayles Global Credit Fund H-S/D (USD) October 3, 2016 USD 0.709

Loomis Sayles Global Credit Fund H-N/D (EUR) January 4, 2016 EUR 0.663

Loomis Sayles Global Credit Fund H-N/D (EUR) April 1, 2016 EUR 0.629

Loomis Sayles Global Credit Fund H-N/D (EUR) July 1, 2016 EUR 0.690

Loomis Sayles Global Credit Fund H-N/D (EUR) October 3, 2016 EUR 0.597

Loomis Sayles Global Credit Fund R/D (SGD) January 4, 2016 SGD 0.560 Loomis Sayles Global Credit Fund R/D (SGD) April 1, 2016 SGD 0.529

Loomis Sayles Global Credit Fund R/D (SGD) July 1, 2016 SGD 0.549

Loomis Sayles Global Credit Fund R/D (SGD) October 3, 2016 SGD 0.499

Loomis Sayles Global Credit Fund R/D (USD) January 4, 2016 USD 0.401

Loomis Sayles Global Credit Fund R/D (USD) April 1, 2016 USD 0.398

Loomis Sayles Global Credit Fund R/D (USD) July 1, 2016 USD 0.413

Loomis Sayles Global Credit Fund R/D (USD) October 3, 2016 USD 0.370

Loomis Sayles Institutional Global Corporate Bond Fund H-S/D (GBP) January 4, 2016 GBP 0.791

Loomis Sayles Institutional Global Corporate Bond Fund H-S/D (GBP) April 1, 2016 GBP 0.790 Loomis Sayles Institutional Global Corporate Bond Fund H-S/D (GBP) July 1, 2016 GBP 0.842

Loomis Sayles Institutional Global Corporate Bond Fund H-S/D (GBP) October 3, 2016 GBP 0.759

Loomis Sayles Short Term Emerging Markets Bond Fund I/D (USD) January 4, 2016 USD 0.723

Loomis Sayles Short Term Emerging Markets Bond Fund I/D (USD) April 1, 2016 USD 0.690

Loomis Sayles Short Term Emerging Markets Bond Fund I/D (USD) July 1, 2016 USD 0.727

Loomis Sayles Short Term Emerging Markets Bond Fund I/D (USD) October 3, 2016 USD 0.791

Loomis Sayles Short Term Emerging Markets Bond Fund H/R-D (EUR) January 4, 2016 EUR 0.619

Loomis Sayles Short Term Emerging Markets Bond Fund H/R-D (EUR) April 1, 2016 EUR 0.557

Loomis Sayles Short Term Emerging Markets Bond Fund H/R-D (EUR) July 1, 2016 EUR 0.602

Loomis Sayles Short Term Emerging Markets Bond Fund H/R-D (EUR) October 3, 2016 EUR 0.647




Note 17 – DIVIDEND DISTRIBUTION (continued) Income Dividend (continued)

During the year ended December 31, 2016, the following dividends were declared (continued):

Sub-Fund Share Class

Ex-date Share class

currency

Dividend per Share

(share class currency)

Loomis Sayles Short Term Emerging Markets Bond Fund R/D (USD) January 4, 2016 USD 0.589

Loomis Sayles Short Term Emerging Markets Bond Fund R/D (USD) April 1, 2016 USD 0.556

Loomis Sayles Short Term Emerging Markets Bond Fund R/D (USD) July 1, 2016 USD 0.588

Loomis Sayles Short Term Emerging Markets Bond Fund R/D (USD) October 3, 2016 USD 0.655

Loomis Sayles Short Term Emerging Markets Bond Fund H-I/D (EUR) October 3, 2016 EUR 0.400

Loomis Sayles Strategic Alpha Bond Fund H-N/D (GBP) January 4, 2016 GBP 0.531

Loomis Sayles Strategic Alpha Bond Fund H-N/D (GBP) April 1, 2016 GBP 0.579

Loomis Sayles Strategic Alpha Bond Fund H-N/D (GBP) July 1, 2016 GBP 0.581 Loomis Sayles Strategic Alpha Bond Fund H-N/D (GBP) October 3, 2016 GBP 0.567

Loomis Sayles U.S. Core Plus Bond Fund R/D (USD) October 3, 2016 USD 0.015

Natixis Euro Aggregate Plus Fund RE/D (EUR) January 4, 2016 EUR 0.065

Natixis Euro Aggregate Plus Fund RE/D (EUR) April 1, 2016 EUR 0.050

Natixis Euro Aggregate Plus Fund RE/D (EUR) July 1, 2016 EUR 0.013

Natixis Euro High Income Fund H-I/D (USD) January 4, 2016 USD 0.953

Natixis Euro High Income Fund H-I/D (USD) April 1, 2016 USD 1.023

Natixis Euro High Income Fund H-I/D (USD) July 1, 2016 USD 0.905

Natixis Euro High Income Fund H-R/D (SGD) January 4, 2016 SGD 0.393

Natixis Euro High Income Fund H-R/D (SGD) April 1, 2016 SGD 0.413 Natixis Euro High Income Fund H-R/D (SGD) July 1, 2016 SGD 0.369

Natixis Euro High Income Fund H-R/D (SGD) October 3, 2016 SGD 0.239

Natixis Euro High Income Fund H-R/D (USD) January 4, 2016 USD 0.784

Natixis Euro High Income Fund H-R/D (USD) April 1, 2016 USD 0.857

Natixis Euro High Income Fund H-R/D (USD) July 1, 2016 USD 0.742

Natixis Euro High Income Fund H-R/D (USD) October 3, 2016 USD 0.468

Natixis Euro High Income Fund I/D (EUR) January 4, 2016 EUR 0.941

Natixis Euro High Income Fund I/D (EUR) April 1, 2016 EUR 0.971

Natixis Euro High Income Fund I/D (EUR) July 1, 2016 EUR 0.906 Natixis Euro High Income Fund I/D (EUR) October 3, 2016 EUR 0.626

Natixis Euro High Income Fund S/D (EUR) January 4, 2016 EUR 1.019

Natixis Euro High Income Fund S/D (EUR) April 1, 2016 EUR 1.049

Natixis Euro High Income Fund S/D (EUR) July 1, 2016 EUR 0.979

Natixis Euro High Income Fund S/D (EUR) October 3, 2016 EUR 0.687

Natixis Euro High Income Fund R/D (EUR) January 4, 2016 EUR 0.731

Natixis Euro High Income Fund R/D (EUR) April 1, 2016 EUR 0.772

Natixis Euro High Income Fund R/D (EUR) July 1, 2016 EUR 0.701

Natixis Euro High Income Fund R/D (EUR) October 3, 2016 EUR 0.431

Natixis Global Inflation Fund I/D (EUR) July 1, 2016 EUR 0.195 Natixis Global Inflation Fund I/D (EUR) October 3, 2016 EUR 0.215

Natixis Global Inflation Fund R/D (EUR) July 1, 2016 EUR 0.037

Natixis Global Inflation Fund R/D (EUR) October 3, 2016 EUR 0.122

Loomis Sayles Global Multi Asset Income Fund R/D (USD) October 3, 2016 USD 0.590




Note 18 – SIGNIFICANT EVENTS DURING THE YEAR

The European Union Directive 2014/91/EU (known as "UCITS V Directive") was transposed into Luxembourg law by the law of May 10, 2016 which came into effect on June 1, 2016. A new Depositary agreement was signed with Brown Brothers Harriman (Luxembourg) S.C.A. to comply with the UCITS V Directive requirements. As a result, the Custodian is hereinafter referred to as the Depositary. A new prospectus entered into force in May 2016. The principle changes implemented in this prospectus

may be summarized as follows: o Five new Funds denominated “Loomis Sayles Global Growth Equity Fund”, “Loomis Sayles U.S.

Growth Equity Fund”, “ASG Managed Futures Fund”, “Loomis Sayles Global Multi Asset Income Fund” and Loomis Sayles Global Investment Grade Bond Fund have been created in June 2016. The Fund

“Loomis Sayles Global Investment Grade Bond Fund” has not been launched as at December 31, 2016.

The Loomis Sayles U.S. Aggregate Bond Fund was liquidated as at July 29, 2016.

A new prospectus entered into force in December 2016. The principle changes implemented in this

prospectus may be summarized as follows: o Fund denominated “Dorval Lux Convictions Fund” created on December 21, 2016.

There have been no other significant events affecting the Umbrella Fund during the year ended December 31, 2016.

Note 19 – SUBSEQUENT EVENTS

The Vaughan Nelson U.S. Mid Cap Equity Fund and the IDFC India Equities Fund were liquidated on March 20, 2017 and April 5, 2017 respectively, due to economic rationalization.

The Board of Directors of Natixis International Funds (Lux) I in agreement with the Luxembourg Stock

Exchange, has decided to de-list from the official list of the Luxembourg Stock Exchange the share classes

of Natixis International Funds (Lux) I. The withdrawal from the official list of the Luxembourg Stock

Exchange will be effective as of June 1, 2017.

There are no subsequent events to be disclosed as from December 31, 2016.


Appendix I

Additional Information

SAVINGS DIRECTIVE (unaudited) The Law of June 21, 2005, (the “Law”) has implemented into Luxembourg law the Council Directive 2003/48/EC on the taxation of savings income in the form of interest payments (the

“Savings Directive”). It seeks to ensure that individuals residents in an EU Member State who receive interest payments from another Member State are taxed in the Member State in which they are resident for the tax purposes. The Savings Directive targets payments in the form of interest payments from debt claims (“Taxable Income”) made in a member state of the European Union (a “Member State”) to

individuals (“Beneficiaries”) residing in another Member State. Under the Savings Directive,

Member States are required to provide the tax authorities of the Beneficiary’s Member State with details on payments of Taxable Income made and the identity of the respective Beneficiaries (“Exchange of Information”). For a transitional period some countries (amongst which Luxembourg) shall however apply a withholding tax system instead of an exchange of information. Although the territorial scope of the Directive is limited to the EU arrangements and agreements have been concluded with 7 dependent or associated territories –(Aruba, British Virgin Islands, Curaçao, Guernsey, Isle of Man, Jersey, Montserrat and Sint Maarten –

and 5 third countries – Switzerland, Liechtenstein, San Marino, Monaco and Andorra – to ensure a level playing field. However, on 24 March 2014, the Council of the European Union adopted a Council Directive which, inter alia, amends and broadens the scope of the EU Savings Directive to include

notably (i) payments made through certain intermediate structures (whether or not

established in a EU Member State) for the ultimate benefit of an European Union resident individual, and (ii) a wider range of income similar to interest. Luxembourg confirmed amendments to the EU Savings Directive and provide the required information on interest payments to the tax authorities of other EU Member States under the automatic information exchange as of 1 January 2015 and abolish the withholding tax system. Luxembourg, to that effect, adopted the law dated 25 November 2014 abolishing the withholding tax system as from 1 January 2015 and replacing it by the automatic exchange of

information. The amended EU Savings Directive transposed by Member States before 1 January 2016. Dividends distributed by the Umbrella Fund will fall into the scope of the Savings Directive if more than 15% of the relevant portfolio’s assets are invested in debt claims (as defined in the Law). Redemption proceeds realised by shareholders on the disposal of shares will fall into the

Scope of the Savings Directive if more than 40% of the relevant fund assets are invested in

debt claims. The Umbrella Fund is authorised to reject any application for shares if the applying investor does not provide the Umbrella Fund with complete and satisfactory information required by the Law.


Appendix I

Additional Information (continued)

SAVINGS DIRECTIVE (unaudited)

Name of the Funds Method used to determine

the status

Tax status for Tax status for

redemption

(2) distribution

(2)

Emerise Asia Equity Fund O O AT

Emerise Emerging Europe Equity Fund O O AT

Emerise Emerging Latin America Equity Fund O O AT

Emerise Pacific Rim Equities Fund O O AT

Harris Associates Concentrated U.S. Equity Fund O O AT

Harris Associates Global Equity Fund O O AT

Harris Associates U.S. Equity Fund O O AT

IDFC India Equities Fund O O AT

Loomis Sayles Global Growth Equity Fund (1) O O AT

Loomis Sayles U.S. Growth Equity Fund (1) O O AT

Loomis Sayles U.S. Research Fund O O AT

Natixis Europe Smaller Companies Fund O O AT

Vaughan Nelson U.S. Mid Cap Equity Fund O O AT

Vaughan Nelson U.S. Small Cap Value Fund O O AT

Loomis Sayles Duration Hedged Global Corporate Bond Fund I I AT

Loomis Sayles Emerging Debt and Currencies Fund I I AT

Loomis Sayles Global Credit Fund I I AT

Loomis Sayles Institutional Global Corporate Bond Fund I I AT

Loomis Sayles Institutional High Income Fund I I AT

Loomis Sayles Short Term Emerging Markets Bond Fund I I AT

Loomis Sayles Strategic Alpha Bond Fund I I AT

Loomis Sayles Sustainable Global Corporate Bond Fund I I AT

Loomis Sayles U.S. Aggregate Bond Fund(1) I I AT

Loomis Sayles U.S. Core Plus Bond Fund I I AT

Natixis Euro Aggregate Plus Fund I I AT

Natixis Euro High Income Fund I I AT

Natixis Global Inflation Fund I I AT

Natixis Short Term Global High Income Fund I I AT

ASG Managed Futures Fund (1) I I AT

Loomis Sayles Global Multi Asset Income Fund (1) I I AT I = in scope of the law O = out of scope of the law AT = asset testing (1) See Note 1. (2) For the fiscal year of 2016.


Appendix II

INFORMATION ON GLOBAL MARKET RISK EXPOSURE (unaudited) The Management Company monitored the global market risk exposure of the Funds for the year ended December 31, 2016 utilizing the commitment approach except for the ASG Managed Futures Fund where the absolute Value at Risk (VaR) approach was used. VaR

During the year, the model utilized to calculate the absolute VaR is an historical model based on a 99% confident level for a holding period of 20 days and an observation period of 500 days. The ASG Managed Futures Fund’s global exposure is limited by a VaR limit of 15%. From June 13, 2016 to December 31, 2016, based on NGAM internal model, the low, high and average monthly VaR of the ASG Managed

Futures Fund were 4.49%, 12.12%, and 8.43%, respectively.

Leverage In managing the strategy of the ASG Managed Futures Fund, the Investment Manager does not utilize bank borrowing or efficient portfolio management transactions. However, the use of derivatives results in leverage. The level of leverage is calculated as the sum of the notional amounts of the derivatives used. As such, the level of leverage for the strategy from June 13, 2016 to December 31, 2016 averaged 719.81% of its net assets based on daily input data.


Appendix III (unaudited)

Securities Financing Transaction Regulation (“SFTR”) introduces reporting requirements for securities

financing transactions (“SFTs”) and total return swaps.

A Securities Financing Transaction (SFT) is defined as per Article 3(11) of the SFTR as:

a repurchase/reverse repurchase agreement

securities or commodities lending and securities or commodities borrowing

a buy-sell back transaction or sell-buy back transaction, or

a margin lending transaction

As at December 31, 2016 the Funds held repurchase agreements as type of instruments under the scope

of the SFTR.

a. Global Data

The amount of assets across all SFTs as at December 31, 2016 is as follows:


Type of Asset Market Value % of NAV

Repurchase agreements € 3,442,664 9.27%

b. Concentration data

The largest (and unique) issuer for collateral securities as at December 31, 2016 is as follows:


Collateral Issuer Amount

1 US Goverment € 3,442,664

The largest (and unique) counterparty as at December 31, 2016 is as follows:


Security type Counterparty Amount

Repurchase agreements Royal Bank of Scotland € 3,442,664

c. Safekeeping of collateral granted

The proportion of collateral held in segregated, pooled or other accounts as at December 31, 2016 is as

follows:


% of Total Collateral

Segregated Accounts 100.00%

Pooled Accounts 00.00%

Other 00.00%

100.00%

The custodian of these assets is Brown Brothers Harriman (Luxembourg) S.C.A.


Appendix IV (unaudited)

Remuneration disclosure for Natixis International Funds (Lux) I Annual Report

“The European Union Directive 2014/91/EU (known as the “UCITS V Directive”) came into effect on 18

March, 2016. NGAM S.A. as the Management Company of the Umbrella Fund has adopted a remuneration policy in order to meet the requirements of the UCITS V Directive in a way and to the extent that it is appropriate to the Management Company’s size, internal organization and the nature, scope and complexity of its activities. The remuneration policy is designed to promote sound and effective risk management and to discourage taking excessive risks for both the Management Company itself and for the funds it manages. The Policy is reviewed on an annual basis. The Company’s remuneration policy applies to staff whose professional activities have a material impact on

the risk profile of the Management Company (“Material Risk Takers”). All employees of NGAM SA receive a salary and are eligible to participate in an annual incentive plan, the

award granted under such incentive plan are variable and are determined on a number of factors, including the employees level in the organization, individual performance and also overall company performance. In addition, selected employees of the Management Company are eligible to participate in a long-term

incentive plan over a three year performance period which is subject to the participants continued employment within the group and may be subject to clawback in certain circumstances. The Management Company operates a fully flexible remuneration policy and NGAM SA does not provide guaranteed incentive compensation save during the first twelve months of employment. As an overarching approach, employee compensation and benefits are benchmarked against and intended to be aligned with local market practice, industry norms and are intended to be consistent with an

employee’s level of responsibility, experience, individual as well as with overall organizational performance. Individual employee performance assessments are based on a weighting of financial and non financial goals and objectives linked to the specific job scope and role and assessment of performance reflects an assessment of business and interpersonal skills and is linked to the achievement of the individual.

The remuneration policy of the Management Company is administered and overseen by a remuneration committee composed of member of executive management and the human resources team. Further

details on the remuneration policy are available by referring to the following website www.ngam.natixis.com/intl-regulatory-documents and a paper copy of such details is available on request and without charge. Due to the date on which the UCITS V Directive entered into force and given the period to which this annual report relates, the Management Company of the “Umbrella Fund”, as at 31 December 2016, has not

completed its first annual performance period in which it has to comply with Article 14(b) of the UCITS Directive and will therefore provide information (if any) on the outcome of the reviews referred to in Article 14(b) in the next annual report. As at 31 December 2016, the Umbrella Fund did not have any employees and the remuneration policy applied only to members of the Management Company’s management body (i.e., the board of directors).

The below represents a proportion of the total fixed remuneration of the staff of the Management Company attributable to all the funds it manages, taking into account UCITS and non-UCITS. The below amount has been proportionated to the total net assets of the fund and the number of staff of the Management Company. The organization of NGAM S.A. does not allow such amounts to be identified per fund managed. The figures below therefore show the amount of the remunerations on a pro-rata basis compared to the total assets

under management.


Appendix IV (unaudited) (continued)

Remuneration disclosure for Natixis International Funds (Lux) I Annual Report Total amount of remuneration paid by NGAM, S.A. to its staff identified as 'Material Risk Takers' in the year ending December 31, 2016 is as follows:

Fixed Remuneration € 3,715,358 Variable Remuneration € 8,426,184

Total € 12,141,542 # of beneficiaries 20

Fixed remuneration includes 2016 base salary paid to employees, as well as the cash value of company

provided benefits. Variable remuneration consists of 2016 cash bonus and long term incentive payouts, as well as the grant value of outstanding long term incentive awards. In addition, the aggregate amount of remuneration is further broken down as follows:

Senior Management* € 6,148,698 Other members having a material impact on risk profile of funds

€ 5,992,844

Total € 12,141,542 # of other member beneficiaries

15

*Senior Management includes:

Guinamant, Herve Chemouny, Fabrice Jackson, Christopher Shafer, Matthew Urvoy, Jerome

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