<PAGE>
----------------------------
LOOMIS SAYLES FUNDS(TM)
----------------------------
The Power of A Passion.(TM)
A FAMILY OF NO-LOAD FUNDS
ANNUAL REPORT
DECEMBER 31, 1996
ONE FINANCIAL CENTER
BOSTON, MASSACHUSETTS 02111
(617) 482-2450
<PAGE>
LOOMIS SAYLES FUNDS
- -------------------------------------------------------------------------------
TO OUR SHAREHOLDERS:
The second half of 1996 wrapped up a fairly decent year for the capital
markets. Stock returns were strong and bonds rebounded. Overall, it was a good
year.
Although the United States economy has continued to improve, European markets
have not and the Japanese recovery continued amid a lot of worry. Asian markets
other than Japan continued to grow at a fairly decent clip although not at the
very high rates of the past few years. At present, we see very few signs of
producer or consumer price inflation anywhere in the world. Wage inflation has
arrived in some areas of the United States economy particularly in the high tech
area. However, rising labor rates have not resulted in rising prices due to
tremendous productivity improvements in the technology area. Overall, there
still seem to be enough people, money and things to keep the economy going at a
good pace without inflation.
The dominant themes for investing continue to be peace and moderate government
spending. This appears to be an outstanding environment for the capital markets.
As a result, funds continue to flow into the private sector for productive use.
Currently, we believe this is an excellent situation for investing.
What could go wrong?
Well, first of all, the central banks of the world might tighten. However,
this seems to be unlikely except in the United States where we would expect any
monetary tightening to be nominal.
Second, valuation levels of U.S. stocks could adjust downward. This is
certainly possible since, on an aggregate basis, U.S. stock valuations seem
quite high. However, looking behind the numbers, we believe that the valuation
of most stocks in the United States is actually reasonable in view of the
environment. It's just the stocks of large cap companies that seem to be quite
highly priced. More likely is a drop in mutual fund inflows that may restore
some valuation balance to the U.S. stock market.
Third, unwinding of speculative positions in the bond market could upset
things. The popular Yen/Dollar carry trade (i.e. borrow money in Yen and invest
in Dollars) has affected yield in the U.S. market. Should the Yen for some
reason go up quite a bit this could really upset this trade and cause disruption
across the markets.
Fourth, the high yield market seems to have gone to a speculative extreme but
we believe a softening there shouldn't adversely affect the entire market unless
it is accompanied by forced liquidation. Currently, the U.S. Treasury market
looks cheap relative to the rest of the world and that offers good support.
Finally, there may be significant speculation in other markets that could, in
unfavorable circumstances, have adverse effects. We've had a very long run of
ample liquidity around the world, and there are probably unknown economic forces
that could come into play if the situation changed.
It's good to worry, I suppose. It keeps us on our toes. But I have to come
back to the dominant theme of peace and the gradual reduction of the government
role in the economy. We believe that this is a very supportive environment for
investing. I'll rest there.
Thank you for being with us this past year.
Sincerely,
/s/ Daniel J. Fuss
Daniel J. Fuss
President
February 21, 1997
<PAGE>
<TABLE>
<CAPTION>
TOTAL RETURN(1) -- (UNAUDITED) LOOMIS SAYLES FUNDS VS LIPPER CATEGORY(2)
FROM MODIFIED
INCEPTION LOOMIS SAYLES RANK
1 YEAR 3 YEARS 5 YEARS TO 12/31/96(3) IN LIPPER CATEGORY FROM ACTUAL
---------- ---------- ---------- ---------- ------------------- INCEPTION
LIPPER LOOMIS LIPPER LOOMIS LIPPER LOOMIS LIPPER LOOMIS RANK PERCENTILE (LOOMIS SAYLES ONLY)(4)
------ ------ ------ ------ ------ ------ ------ ------ ------- ---------- -----------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Fund ......... 19.24 19.86 15.23 14.77 13.04 11.39 13.71 13.27 134/240 56th 14.42
Core Value Fund ..... 20.78 21.16 16.15 17.54 13.87 15.70 13.98 14.27 86/198 43rd 15.21
Small Cap Value
Fund ............... 20.20 30.35 15.31 16.47 15.10 17.38 16.31 20.59 11/89 12th 20.85
International
Equity Fund ........ 11.78 18.30 6.98 8.11 10.09 10.69 9.64 10.33 29/64 45th 10.11
Worldwide Fund ...... NA NA NA NA NA NA 7.29 8.26 25/75 33rd 9.24
Bond Fund ........... 3.19 10.29 5.85 11.77 8.26 14.29 9.51 14.52 1/29 1st 14.32
High Yield Fund ..... NA NA NA NA NA NA 3.56 1.73 165/171 96th 3.05
Global Bond Fund .... 10.40 15.02 5.86 9.17 6.75 8.50 8.16 10.63 3/31 10th 10.51
U.S. Government
Securities Fund .... 1.72 1.32 4.50 5.33 5.88 8.02 7.21 9.86 1/66 1st 9.86
Municipal Bond Fund . 3.31 3.33 4.14 4.45 6.78 6.80 6.99 7.51 94/236 40th 7.55
Short-Term Bond Fund 4.64 4.68 5.01 5.62 N/A N/A 5.11 5.59 7/35 20th 5.60
- ------------
Note: Past performance is not indicative of future performance.
(1) Total return assumes reinvestment of dividends and capital gains distributions. Total return shown for periods of one year or
less represents cumulative total return. Total return for periods greater than one year represents average annual total
return. Total return shown (other than 1 and 3 year periods for the Growth, Core Value, Small Cap Value and Bond Funds, and
the 1 year period for the International Equity Fund) reflect the effect of fee waivers and/or expense reimbursements. Absent
such fee waivers and/or expense reimbursements, total return would have been lower.
(2) Lipper category total return represents the average total return for all funds in each Fund's corresponding investment
category, as determined by Lipper Analytical Services, Inc. Rankings are based on the total return of each fund for the period
from its modified inception relative to the total return of all funds in that Fund's corresponding investment category.*
(3) Periods over one year are annualized. Modified inception reflects the nearest Lipper reporting period following actual
inception. Lipper performance is reported as of month end. For the Short-Term Bond Fund, modified inception begins in August
1992, for the Worldwide Fund in May 1996, for the High Yield Fund in September 1996 and for all other Funds in May 1991.
(4) Actual Inception Dates:
Growth Fund ........................................................................... May 16, 1991
Core Value Fund ....................................................................... May 13, 1991
Small Cap Value Fund .................................................................. May 13, 1991
International Equity Fund ............................................................. May 10, 1991
Worldwide Fund ........................................................................ May 1, 1996
Bond Fund ............................................................................. May 16, 1991
High Yield Fund ....................................................................... September 11, 1996
Global Bond Fund ...................................................................... May 10, 1991
U.S. Government Securities Fund ....................................................... May 21, 1991
Municipal Bond Fund ................................................................... May 29, 1991
Short-Term Bond Fund .................................................................. August 3, 1992
*Source: Lipper Analytical Services
</TABLE>
<PAGE>
STOCK FUNDS
LOOMIS SAYLES GROWTH FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception(a)
Loomis Sayles Growth Fund 19.86 14.77 11.39 13.27
Lipper Average Growth Fund Index(b) 19.24 15.23 13.04 13.71
S&P 500 Index(c) 22.95 19.65 15.20 15.26
- -------------------------------------------------------------------------------
Dates Loomis S&P 500 Lipper
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.29 9.54 9.41
10.75 10.05 10.20
11.69 10.89 11.10
1992 10.79 10.62 10.93
10.29 10.82 10.71
10.64 11.16 10.99
12.14 11.72 11.95
1993 12.45 12.23 12.31
12.78 12.29 12.49
13.49 12.61 13.09
13.26 12.90 13.38
1994 12.74 12.41 12.98
12.25 12.46 12.70
12.77 13.07 13.32
12.78 13.07 13.17
1995 13.63 14.34 14.12
15.18 15.71 15.64
16.67 16.96 17.06
16.73 17.98 17.47
1996 17.26 18.94 18.26
18.76 19.79 18.86
19.00 20.40 19.40
20.05 22.10 20.53
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Growth Fund is May 16, 1991. Since
Lipper and S&P 500 performance data is not available coincident with this
date, comparative cumulative performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): S&P 500 is a capitalization-weighted, total return index comprised of 500
widely held common stocks, representing industrial, utility,
transportation, and financial companies traded on the New York Stock
Exchange, the American Stock Exchange and in the Over-the-Counter market.
The index returns have not been reduced for ongoing management and
operating expenses applicable to mutual fund investments.
The Fund's portfolio manager is Jerome A. Castellini.
Using a bottom-up approach, we look for America's premier companies: dominant
well managed concerns whose earnings potential should reward shareholders with
above average long term returns. We make a few assumptions about sectors; the
Fund's industry allocation is chiefly the result of our stock selection process.
The U.S. economy was more vigorous than we expected, especially in the first
two quarters. Later, a slowdown that we had anticipated began to materialize, as
first half growth of over 3% in the nation's Gross Domestic Product had shrunk
to less than 2% by the third quarter. The market then grew defensive, favoring
larger cap issues for their greater liquidity and lower risk potential. This
shift drove the major indices higher, casting relative underperformance across
the rest of the marketplace. The Fund benefitted from this blue-chip trend
because of its positions in names such as General Electric, Schlumberger,
Gillette, Merck and Microsoft, all industry leaders and good examples of our
long-standing strategy.
Performance, also benefitted from our technology holdings, including positions
in Cisco Systems, Oracle and Parametric Technology. Strength in financial issues
also favored the Fund. These interest-rate sensitive companies did particularly
well in the second half of the year as rates began to fall. Meanwhile, our
exposure to emerging growth companies hampered performance. Although many of
these fast-growing companies continued to grow earnings, their stock prices
lagged as market focus skewed to larger, more established names.
LOOMIS SAYLES CORE VALUE FUND
(FORMERLY LOOMIS SAYLES GROWTH & INCOME FUND)
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception(a)
Loomis Sayles Core Value Fund 21.16 17.54 15.70 14.27
Lipper Average Growth &
Income Fund(b) 20.78 16.15 13.87 13.98
S&P 500 Index(c) 22.95 19.65 15.20 15.26
- -------------------------------------------------------------------------------
Dates Loomis S&P 500 Lipper
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.43 9.54 9.54
9.72 10.05 10.10
10.16 10.89 10.70
1992 10.46 10.62 10.69
10.48 10.82 10.82
10.67 11.16 11.12
11.59 11.72 11.73
1993 12.18 12.23 12.43
12.11 12.29 12.59
12.43 12.61 13.15
12.97 12.90 13.45
1994 12.78 12.41 13.01
12.79 12.46 13.08
13.33 13.07 13.62
12.85 13.07 13.39
1995 14.21 14.34 14.44
15.49 15.71 15.63
16.68 16.96 16.80
17.38 17.98 17.57
1996 18.24 18.94 18.57
18.62 19.79 19.05
19.28 20.40 19.67
21.06 22.10 21.20
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Core Value Fund is May 13, 1991.
Since Lipper performance data is not available coincident with this date,
comparative performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): S&P 500 is a capitalization-weighted, total return index comprised of 500
widely held common stocks, representing industrial, utility,
transportation, and financial companies traded on the New York Stock
Exchange, the American Stock Exchange and in the Over-the- Counter market.
The index returns have not been reduced for ongoing management and
operating expenses applicable to mutual fund investments.
The Fund's portfolio manager is Jeffrey W. Wardlow.
The Core Value Fund had a return of 21.2% for the year as compared with a
20.8% return for the average Growth & Income Fund as calculated by Lipper
Analytical*. The Fund's performance was positively impacted by the weighted
positions in energy and financial stocks which were the best performing sectors
of the market. The Fund also benefitted from the continued consolidation and
takeover activity taking place in many industries. Standard Federal Bank,
McDonnell Douglas, and ADT Limited each received or agreed to acquisition
offers.
The value approach used in managing the Fund had a somewhat negative influence
as large cap growth stocks had another strong year. Growth companies such as
Microsoft, Coca Cola and Merck accounted for much of the strength in the broader
market averages. This trend was interrupted in the fourth quarter when value
stocks outperformed growth stocks. As you have likely noticed, the Fund has
changed its name from the Growth & Income Fund to the Core Value Fund. The
change is intended to more accurately describe the value strategy and investment
approach that the Fund uses.
*Comparative performance data provided by Lipper Analytical Services, Inc. For
the one year period, the Loomis Sayles Core Value Fund ranked 227 of 522 funds
in the Lipper Growth & Income Fund category.
LOOMIS SAYLES SMALL CAP VALUE FUND
(FORMERLY LOOMIS SAYLES SMALL CAP FUND)
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception(a)
Loomis Sayles Small Cap Fund 30.35 16.47 17.38 20.59
Lipper Average Small Company
Growth Fund Index(b) 20.20 15.31 15.10 16.31
Russell 2000 Index(c) 16.50 13.68 15.64 15.26
- -------------------------------------------------------------------------------
Dates Loomis S&P 500 Lipper
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.65 9.52 9.42
11.21 10.47 10.19
12.77 11.55 10.77
1992 14.06 11.72 11.58
12.19 10.75 10.79
12.26 11.11 11.10
14.44 12.89 12.76
1993 15.37 13.05 13.30
15.70 13.44 13.59
17.72 14.66 14.78
18.00 15.07 15.16
1994 17.06 14.53 14.76
16.22 13.74 14.18
17.06 15.02 15.17
16.51 15.00 14.89
1995 17.61 15.84 15.57
18.51 17.31 17.03
21.08 19.48 18.72
21.82 19.75 19.12
1996 23.47 20.86 20.10
25.28 22.52 21.10
25.90 22.81 21.17
28.44 22.61 22.28
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Small Cap Value Fund is May 13, 1991.
Since Lipper performance data is not available coincident with this date,
comparative performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): Russell 2000 Index is comprised of the 2,000 smallest securities in the
Russell 3000 Index (a broad market index), representing approximately 7% of
the Russell 3000 total market capitalization. The index returns have not
been reduced for ongoing management and operating expenses applicable to
mutual fund investments.
The Fund's portfolio managers are Jeffrey C. Petherick and Mary C. Champagne.
1996 ended as another strong year for stocks as the combination of low
inflation, slow economic growth and strong earnings growth made for an
attractive environment for equities. However for the third year in a row, small
cap stocks generally under performed the large cap market. Despite this
underperformance, the Small Cap Value Fund was up 30.35%, handily outpacing the
Russell 2000 at 16.5% and the S&P 500 at 23.0% and other broader equity
benchmarks.*
It is important to note that the great majority of the outperformance in the
portfolio came from stock selection versus sector picks. While our overweighting
in energy stocks and our underweighting in technology stocks added value to the
portfolio, it was our stock selection in these sectors and others that
contributed the most to the strong year. For instance, in two lackluster
sectors, health care and technology, our stock picks added significantly to the
Fund's total return for the year.
After the outsized gains in 1995 and 1996, we believe 1997 will prove to be a
more challenging year for equities. With this in mind, the portfolio has been
positioned with a more defensive posture. Several utilities and REITs have been
added to the Fund due to their high dividend yields. We continue to be
underweighted in technology and overweighted in energy. While the financial
service stocks have been strong in recent years, we believe that valuations are
high, making it hard to find attractive stocks. On the other hand, health care
stocks, after a dismal showing in 1996, look attractive and we are moving back
into this area selectively. Applying our value discipline along with our strong
fundamental analysis of companies has allowed us to beat the market over time.
Stock selection has proven critical to this challenge and will remain central to
our investment process.
*Comparative performance data provided by Lipper Analytical Services, Inc.
<PAGE>
LOOMIS SAYLES INTERNATIONAL EQUITY FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception(a)
Loomis Sayles International Equity Fund 18.30 8.11 10.69 10.33
Lipper Average International Equity Fund(b) 11.78 6.98 10.09 9.64
MSCI-EAFE(c) 6.36 8.64 8.48 8.04
- -------------------------------------------------------------------------------
Dates Loomis S&P 500 MSCI
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.51 9.48 9.27
10.41 10.09 10.06
10.42 10.23 10.23
1992 10.89 10.02 9.01
11.27 10.47 9.20
10.58 9.91 9.34
9.89 9.79 8.98
1993 10.82 10.63 10.06
11.05 11.21 11.07
12.20 12.29 11.81
13.70 13.62 11.91
1994 13.71 13.48 12.32
13.49 13.60 12.95
13.71 14.12 12.97
13.46 13.52 12.83
1995 13.75 13.19 13.07
14.84 13.86 13.17
14.85 14.61 13.72
14.63 14.88 14.27
1996 15.30 15.53 14.69
15.80 16.17 14.92
16.01 16.18 14.90
17.31 17.02 15.14
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles International Equity Fund is May 10,
1991.
Since Lipper performance data is not available coincident with this
date, comparative performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): MSCI-EAFE Index is a capitalization-weighted average of the performance of
over 1,000 securities listed on the stock exchanges of 20 countries in
Europe, Australia and the Far East. The index returns have not been reduced
for ongoing management and operating expenses applicable to mutual fund
investments.
The Fund's portfolio manager is Paul H. Drexler.
The Loomis Sayles International Equity Fund posted a gain of 18.3% in 1996.
This compared with a 10.6% rise in the Lipper median and a 6.4% rise in the
MSCI-EAFE Index.* This excellent showing was the result of a combination of
superior stock picking and our strategy of giving smaller markets significant
weightings. Our country selection benefitted from large positions in such small
markets as Spain, Portugal, New Zealand and Norway. Our underweighting of Japan,
down 15.2% in U.S. dollar terms for the year, also helped us in relation to our
peers. The Fund's stock selection outperformed most of the local indices by
several percentage points on average.
Our strategy is to make significant commitments to attractively valued
securities and markets, regardless of their index weighting. We do this within
the context of a well-diversified overall portfolio. We currently see
opportunities in some of the laggard Pacific markets and in the widespread
corporate restructuring now taking place in Europe.
*Comparative performance data provided by Lipper Analytical Services, Inc. For
the one year period, the Loomis Sayles International Equity Fund ranked 51 of
331 funds in the Lipper International Fund category.
<PAGE>
LOOMIS SAYLES WORLDWIDE FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
Inception(a)
Loomis Sayles Worldwide Fund 8.26
Lipper Average Global Flexible Fund(b) 7.29
S&P 500 Index(c) 12.10
- -------------------------------------------------------------------------------
Dates Loomis Lipper S&P 500
- -------------------------------------------------------------------------------
5/96 10.00 10.00 10.00
6/96 10.03 10.04 10.04
9/96 10.25 10.22 10.35
12/96 10.83 10.80 11.21
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Worldwide Fund is May 1, 1996.
Since Lipper performance data is not available coincident with this date,
comparative performance is presented from May 31, 1996.
(b): Source: Lipper Analytical Services
(c): S&P 500 is a capitalization-weighted, total return index comprised of 500
widely held common stocks, representing industrial, utility,
transportation, and financial companies traded on the New York Stock
Exchange, the American Stock Exchange and in the Over-the- Counter market.
The index returns have not been reduced for ongoing management and
operating expenses applicable to mutual fund investments.
The Fund's portfolio managers are E. John deBeer, Paul H. Drexler, Quentin P.
Faulkner and Daniel J. Fuss.
Since its inception in May of 1996 the Worldwide Fund has enjoyed reasonably
good performance against its peer group. This was due largely to superior
securities selection, consistent with the Fund's "bottom up" approach to
portfolio management. The securities chosen for the domestic bond, foreign bond
and foreign equity sectors allowed these sectors to perform well against their
respective indices. The U.S. equities chosen had a very slow start, but enjoyed
a good fourth quarter.
Toward the end of the year large cap stocks as measured by the S&P 500 looked
fully valued. Our foreign commitments grew somewhat as the year progressed and
we moved gradually toward Asia. However, other stock and bond markets outside
the U.S. were not necessarily inexpensive across the board. It is therefore
important to emphasize that it is our bottom up approach that led us to our
foreign allocation.
<PAGE>
BOND FUNDS
LOOMIS SAYLES BOND FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception(a)
Loomis Sayles Bond Fund 10.29 11.77 14.29 14.52
Lipper Average BBB Bond Fund(b) 3.19 5.85 8.26 9.51
Lehman Brothers Goverment/Corp. Index(c) 2.90 5.79 7.18 8.46
- -------------------------------------------------------------------------------
Dates Loomis Lipper Lehman
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.85 9.98 9.99
10.52 10.55 10.56
10.93 11.14 11.13
1992 11.30 11.02 10.96
11.84 11.47 11.40
12.40 12.04 11.96
12.49 12.04 11.97
1993 13.45 12.76 12.53
14.16 13.08 12.90
14.80 13.55 13.33
15.27 13.58 13.29
1994 15.04 13.13 12.88
14.61 12.89 12.72
14.87 12.98 12.78
14.65 12.96 12.82
1995 15.73 13.58 13.46
17.41 14.53 14.34
18.16 14.88 14.61
19.33 15.58 15.29
1996 19.14 15.26 14.94
19.45 15.33 15.01
20.21 15.66 15.27
21.32 16.23 15.74
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Bond Fund is May 16, 1991.
Since Lipper performance data is not available coincident with this date,
comparative performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): Lehman Govt/Corp Index is a composite of approximately 5,300 corporate and
government issues with at least $100 million outstanding for government
issues and $25 million for corporates, and greater than 1 year maturity.
The index returns have not been lowered for ongoing management and
operating expenses applicable to mutual fund investments.
The Fund's portfolio manager is Daniel J. Fuss.
Although many of the factors that drove yields down during 1995's bond rally
were still around at the onset of 1996, i.e. a controlled economic recovery, few
signs of inflation and strong demand kept rates from flaring significantly
higher; the yield on the long Treasury did move higher during the middle of the
year before trending lower at year-end. In this new, lower yielding environment,
investors searched for extra yield where they could find it and the market
favored lower and medium grade corporate securities as well as the issues of a
number of improving Latin American credits such as the Brady bonds of Brazil,
Mexico and Argentina. As these factors played out, yield spreads versus U.S.
Treasuries tightened significantly and these sectors outperformed Treasury
bonds.
In this environment, the Bond Fund performed well. Our long-standing focus on
a diversified portfolio focused on medium-grade corporate securities, a limited
but significant commitment to lower grade corporates and a willingness to hold
selected foreign bonds left us well positioned. As the scenario above played
itself out and the yield advantage from taking additional risk in corporate and
selected foreign securities shrank, we began to increase our exposure to U.S.
government securities. Our temporary buildup in government securities came from
our selling out of positions that had performed well and had become candidates
to be called by their issuers. We continue to look for attractive places to
invest this money but will remain disciplined until that time arrives.
I don't have any better idea of what the future will bring than the next
person. However, the principal risk facing the Fund is reinvestment at lower
interest rates so we are staying long and call protected in an attempt to lock
in yield advantages over the long haul. Our quality profile is higher than
normal because of the yield compression and worries about credit safety in the
low grade areas. The Fund continues to focus on issue specific fundamentals
where there is good yield advantage, discount and call protection. It is
structured with moderate foreign diversification and a relatively high degree of
non-market relatedness.
<PAGE>
LOOMIS SAYLES GLOBAL BOND FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception(a)
Loomis Sayles Global Bond Fund 15.02 9.17 8.50 10.63
Lipper Average General World
Income Fund(b) 10.40 5.86 6.75 8.16
Salomon Brothers World Government
Bond Index(c) 3.62 8.08 8.58 10.48
- -------------------------------------------------------------------------------
Dates Loomis Lipper Salomon
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.56 9.83 9.90
10.53 10.45 10.71
11.69 10.94 11.56
1992 11.11 10.75 11.17
12.05 11.23 11.92
11.85 11.36 12.66
11.79 11.32 12.20
1993 12.36 11.86 12.85
12.39 12.29 13.22
13.19 12.72 13.95
13.51 13.10 13.82
1994 13.01 12.41 13.82
12.19 12.12 13.91
12.15 12.26 14.07
12.33 12.15 14.14
1995 11.97 12.66 15.69
13.11 13.38 16.52
13.90 13.44 15.99
15.28 14.31 16.83
1996 15.40 14.23 16.52
16.15 14.54 16.58
16.79 15.10 17.04
17.57 15.77 17.44
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Global Bond Fund is May 10, 1991.
Since Lipper and Salomon Brothers World Government Bond Index performance
data is not available coincident with this date, comparative performance is
presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): Salomon Brothers World Government Bond Index is a capitalization-weighted
index which tracks the performance of 14 government bond markets. The index
returns have not been reduced for ongoing management and operating expenses
applicable to mutual fund investments.
The Fund's portfolio manager is E. John deBeer.
During 1996 there were three main factors which favorably affected the Global
Bond Fund's performance: the Maastricht Treaty convergence effect, the rise of
the dollar, and the strengthening of emerging market bonds.
In 1996 the financial markets finally accepted the principle that EMU would
proceed according to the Maastricht Treaty, so many European bond markets with
higher yields (e.g. Ireland, Finland, Italy) converged toward the lower yields
of Germany, thereby outperforming the market. We had sizeable positions in these
countries. During 1996 the dollar rose against many European currencies, which
would have eroded the gains from convergence. However, the portfolio was hedged
from the European currencies back into the dollar, this allowed us to hold onto
our gains and helped us to outperform versus our mutual fund peers.
The other major factor aiding performance was the improvement in emerging
country bond markets, which had important representations in the portfolio. As
Mexico continued its successful recovery from the December 1994 peso crisis,
investor confidence in emerging markets once again became strong, causing
emerging market bonds to outperform.
<PAGE>
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception
Loomis U.S. Government Securities Fund 1.32 5.33 8.02 9.86
Lipper Average U.S. Government Fund(b) 1.72 4.50 5.88 7.21
Lehman Brothers Government Bond Index(c) 2.77 5.53 6.88 8.17
- -------------------------------------------------------------------------------
Dates Loomis Lehman Lipper
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
9.97 9.99 9.98
10.69 10.56 10.54
11.49 11.12 11.07
1992 11.11 10.93 10.88
11.59 11.36 11.27
12.40 11.92 11.72
12.50 11.93 11.75
1993 13.22 12.46 12.16
13.83 12.82 12.47
14.60 13.24 12.77
14.47 13.20 12.73
1994 13.71 12.80 12.33
13.33 12.65 12.09
13.32 12.71 12.11
13.56 12.75 12.12
1995 14.33 13.35 12.67
15.37 14.18 13.37
15.84 14.43 13.61
16.68 15.09 14.18
1996 15.90 14.75 13.84
15.91 14.82 13.85
16.19 15.07 14.07
16.91 15.51 14.46
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles U.S. Government Securities Fund is May
21, 1991. Since Lipper and Lehman Brothers Government Bond Index
performance data is not available coincident with this date, comparative
performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): Lehman Brothers Government Bond Index is composed of all publicly issued,
nonconvertible, domestic debt of the U.S. government or any of its
agencies, quasi-federal corporations, or corporate debt guaranteed by the
U.S. government. The index returns have not been reduced for ongoing
management and operating expenses applicable to mutual fund investments.
The Fund's portfolio manager is Kent P. Newmark.
The Loomis Sayles U.S. Government Securities Fund returned 1.3% in 1996 versus
the Lipper Government Fund average of 1.7% and the Lehman Government Index of
2.8%.* Our underperformance was the result of a duration that was about twice
the Lipper average for most of the year. This philosophy rewards investors in
times of stable or declining interest rates, but generally lags the market in
poor bond market years such as 1994 and 1996. Longer term results exceed the
Lipper average by a considerable margin as the above chart indicates.
The Bond market reversed its 1995 course during 1996. Interest rates rose
sharply across the board, but the most damage occurred in the long Treasury
sector where yields rose nearly 1%. A much stronger than expected economy, which
fed speculation that the Federal Reserve would raise interest rates, sent bond
prices plummeting for the 1st half of the year and well into July. Benign
inflation results, coupled with no action by the Federal Reserve, fueled a bond
market rally which produced positive returns in the 2nd half of 1996.
The use of callable securities such as the Tennessee Valley Authority 8.625%
11/15/2029 kept investment performance within range of the median manager. The
use of GNMA pass through mortgages (a sector which performed relatively well
last year) as well as some positive market timing decisions, partially but not
completely offset the effects of the Fund's portfolio duration of 8-10 years for
most of the year. We believe that the Fund is currently positioned to capture
any gains should 1997 conform to our expectations for a better bond market
during the year.
*Comparative performance data provided by Lipper Analytical Services, Inc. For
the one year period, the Loomis Sayles U.S. Government Securities Fund ranked
109 of 170 funds in the Lipper General U.S. Government category.
<PAGE>
LOOMIS SAYLES MUNICIPAL BOND FUND
Cumulative Performance May, 1991(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%) - Period Ended December 31, 1996
- -------------------------------------------------------------------------------
Since
1 year 3 years 5 years Inception
Loomis Sayles Mini Bond Fund 3.33 4.45 6.80 7.51
Lipper Average General Muni Fund(b) 3.31 4.14 6.78 6.99
Lehman Brothers Muni Bond Index(c) 4.43 5.17 7.28 7.84
- -------------------------------------------------------------------------------
Dates Loomis Lipper Lehman
- -------------------------------------------------------------------------------
1991 10.00 10.00 10.00
10.01 9.97 9.99
10.42 10.37 10.38
10.78 10.73 10.73
1992 10.78 10.74 10.76
11.24 11.20 11.17
11.54 11.45 11.46
11.79 11.68 11.67
1993 12.18 12.15 12.10
12.62 12.56 12.50
13.06 12.99 12.92
13.15 13.13 13.11
1994 12.42 12.41 12.39
12.58 12.48 12.52
12.61 12.54 12.61
12.44 12.34 12.43
1995 13.26 13.22 13.31
13.50 13.49 13.63
13.83 13.81 14.02
14.50 14.48 14.60
1996 14.23 14.22 14.42
14.28 14.30 14.53
14.60 14.62 14.86
14.98 14.95 15.24
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Municipal Bond Fund is May 29, 1991.
Since Lipper and Lehman Brothers Government Bond Index performance
data is not available coincident with this date, comparative
performance is presented from May 31, 1991.
(b): Source: Lipper Analytical Services
(c): Lehman Brothers Municipal Bond Index is computed from prices on
approximately 21,000 bonds consisting of roughly 30% revenue bonds,
30% government obligations bonds, 27% insured and 13% prerefunded
bonds. The index returns have not been reduced for ongoing management
and operating expenses applicable to mutual fund investments.
The Fund's portfolio manager is Martha F. Hodgman.
1996 certainly provided different returns in the fixed income market compared
to 1995. For the municipal market, the greatest change was the relationship to
taxable bonds. The year started out with long Treasury bonds yielding just under
6% and long municipals at 5.20% equal to 87% of taxable yields as talk of
significant tax reform frightened the municipal market. After the presidential
primaries it became clear that tax reform was unlikely and municipal price and
yield levels returned to more historical relationships. For 1996 overall in the
fixed income markets, interest rates rose dramatically through the first six
months of the year as economic reports showed greater than anticipated strength,
then fell through the fall as that strength appeared to wane. Treasuries ended
the year at roughly 6.64%, while long municipals yielded 5.45%, now equal to 82%
of taxable yields. Municipal bonds, therefore, provided a better return than
corporate bonds: the Lehman Municipal Bond Index return for the year was 4.43%,
the Lehman Government/ Corporate index returned only 2.91%.*
Our strategy for the year was largely related to portfolio structure. We were
also fortunate that we did not see the redemptions that affected many national
municipal bond funds. During the first six months of 1996, we held relatively
more cash for liquidity, to take advantage of dips in prices, and to extend call
protection when possible. For the second half, we were more fully invested and
trading concentrated on swapping out of smaller holdings and lower coupon,
shorter call securities into bonds with either better call protection and/or
higher coupons. This strategy was successful and for the year Loomis Sayles
Municipal Bond Fund return matched the Lipper General Municipal Bond Fund
average of 3.31%.*
*Comparative performance data provided by Lipper Analytical Services, Inc. For
the one year period, the Loomis Sayles Municipal Bond Fund ranked 118 of 225
funds in the Lipper General Municipal Bond Fund category.
<PAGE>
LOOMIS SAYLES SHORT-TERM BOND FUND
Cumulative Performance August 1992(a) to December 31, 1996
- -------------------------------------------------------------------------------
Average Annual Returns (%)
Period Ended December 31, 1996
Since
1 year 3 years Inception
Loomis Sayles Short-Term Bond Fund 4.68 5.26 5.59
Lipper Average Short-Term Bond Fund(b) 4.64 5.01 5.11
Lehman 1-3 Year Government Index(c) 5.08 5.39 5.12
- -------------------------------------------------------------------------------
Dates Loomis Lipper Lehman
- ----- -------- ------ ------
1992 10.00 10.00 10.00
9.25 10.03 10.02
1993 10.26 10.31 10.24
10.40 10.48 10.36
10.55 10.66 10.51
10.66 10.79 10.58
1994 10.59 10.72 10.52
10.61 10.70 10.53
10.77 10.80 10.64
10.82 10.77 10.63
1995 11.18 11.07 10.99
11.52 11.44 11.35
11.69 11.61 11.52
11.97 11.90 11.80
1996 11.98 11.94 11.85
12.08 12.06 11.97
12.27 12.26 12.18
12.53 12.49 12.41
- -------------------------------------------------------------------------------
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Short-Term Bond Fund is August 3,
1992. Since Lipper performance data is not available coincident with this
date, comparative performance is presented from August 31, 1992.
(b): Source: Lipper Analytical Services
(c): The Lehman Brothers 1-3 Year Gov't Index includes fixed rate debt issues
rated investment grade or higher. All issues have at least one year to
three years to maturity and an outstanding par value of at least $100
million for U.S. Gov't issues. The Government Bond Index includes issues
of the U.S. Gov't or any agency thereof. The index returns have not been
reduced for ongoing management and operating expenses applicable to mutual
fund investments.
The Fund's portfolio manager is John Hyll.
1996 was a poor year for the bond market. Yields, as measured by the 30-year
U.S. Treasury, rose from a low of 5.95% on December 29, 1995, to a high of 7.19%
on July 5, 1996. Yields then declined and finished the year at 6.64% on December
31, 1996. On a more positive note, yield spreads on corporate securities versus
U.S. Treasuries tightened significantly throughout the year.
The Loomis Sayles Short-Term Bond Fund (the Fund) took advantage of the
excellent performance of the corporate sector by having 66% of its assets in
corporate issuers at year-end 1996. 3% of its assets was invested in mortgage
back securities which also performed well during the year. The remaining 31% was
invested in U.S. Treasuries and cash. The overall average maturity of the Fund
was held at three years, which is the top of its expected average dollar
weighted maturity of between one and three years. Due to rising interest rates
throughout 1996, positioning the Fund at the top of its expected maturity range
was not additive to performance.
For 1996, the Fund provided a total return of 4.68%. By comparison, the
Merrill Lynch 1-3 Year U.S. Treasury Index (the Index) generated a return of
4.98%.* The slight underperformance was due to the longer average maturity of
the Fund versus the index. However, the outstanding performance of the corporate
sector and our asset selection within that sector allowed the Fund to offset, to
some degree, the disadvantage of its longer maturity.
*Comparative performance provided by Lipper Analytical Services, Inc.
<PAGE>
LOOMIS SAYLES HIGH YIELD FUND
The Fund's portfolio manager is Daniel J. Fuss.
The High Yield Fund was launched in September of this year, a difficult time
to construct a high yield portfolio. Yield spreads versus U.S. Treasury
securities and investment grade corporate securities tightened during the year
and the high yield market has become very pricey. For the better part of the
year, liquidity and a relatively benign economic environment resulted in
superior performance and thus, rich valuations just as we were building our
portfolio. We dealt with this by seeking sound investment ideas at attractive
prices. We reserved a small amount of Fund assets for impending attractive
situations. Currently, we find a number of these situations overseas. We believe
global flexibility expands our opportunities while adding diversity.
The high yield market continues to be very pricey and the fundamental quality
of new high yield issues is deteriorating. The potential for an economic
downturn as well as the risk of liquidity drying up could hurt the high yield
market. These things spell potential trouble, and we have proceeded cautiously
in building the portfolio.
<PAGE>
LOOMIS SAYLES GROWTH FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
COMMON STOCKS -- 95.5%
OF TOTAL NET ASSETS
Shares Value (a)
------- ----------
AEROSPACE -- 2.3%
Boeing Co. .................................... 8,400 $ 893,550
-----------
AIRLINES -- 1.1%
Southwest Airlines Co. ........................ 20,200 446,925
-----------
CHEMICAL -- MAJOR -- 3.4%
Monsanto Co. .................................. 35,000 1,360,625
-----------
COMPUTER SOFTWARE & SERVICES -- 7.3%
HBO & Co. ..................................... 9,900 587,813
Microsoft Corp. (c) ........................... 9,600 793,200
Oracle Systems Corp. (c) ...................... 22,550 941,462
Parametric Technology Corp. (c) ............... 10,600 544,575
-----------
2,867,050
-----------
CONSUMER PRODUCTS -- 1.4%
Gillette Co. .................................. 7,200 559,800
-----------
ELECTRIC -- 1.6%
Thermo Electron Corp. ......................... 14,900 614,625
-----------
FINANCIAL SERVICES -- 4.1%
Charles Schwab Corp. .......................... 16,600 531,200
MGIC Investment Corp. WIS ..................... 14,400 1,094,400
-----------
1,625,600
-----------
HEALTH CARE -- DRUGS -- 13.8%
Amgen, Inc. (c) ............................... 16,300 886,312
Biogen, Inc. (c) .............................. 37,600 1,457,000
Eli Lilly & Co. ............................... 11,000 803,000
Merck & Company, Inc. ......................... 17,400 1,378,950
Oncor, Inc. (c) ............................... 175,000 689,063
Somatogen, Inc. (c) ........................... 22,300 245,300
-----------
5,459,625
-----------
HEALTH CARE -- SERVICES -- 2.5%
HealthSouth Rehabilitation (c) ................ 25,900 1,000,387
-----------
HEALTH CARE -- MEDICAL TECHNOLOGY -- 5.6%
Boston Scientific Corp. (c) ................... 18,500 1,110,000
Medtronic, Inc. ............................... 15,900 1,081,200
-----------
2,191,200
-----------
HOTELS & RESTAURANTS -- 4.3%
Boston Chicken, Inc. (c) 25,500 914,812
Starbucks Corp. (c) ........................... 27,000 772,875
-----------
1,687,687
-----------
INSURANCE -- 4.6%
American International Group .................. 9,350 1,012,137
EXEL, Ltd. .................................... 21,300 806,737
-----------
1,818,874
-----------
LEISURE -- 2.1%
Eastman Kodak Co. ............................. 10,200 818,550
-----------
OFFICE EQUIPMENT & SUPPLIES -- 9.4%
Cascade Communications (c) .................... 14,500 799,313
Cisco Systems (c) ............................. 18,900 1,202,512
Dell Computer Corp. (c) ....................... 15,400 818,125
Qualcomm, Inc. (c) ............................ 10,900 434,638
Tellabs, Inc. (c) ............................. 12,400 466,550
-----------
3,721,138
-----------
OIL -- INDEPENDENT PRODUCERS -- 16.5%
Abacan Resources Corp. New (c) ................ 130,000 1,129,375
Anadarko Petroleum Corp. ...................... 25,900 1,677,025
Enron Oil & Gas Co. ........................... 33,600 848,400
Unit Corp. (c) ................................ 290,800 2,871,650
-----------
6,526,450
-----------
OIL -- SERVICES -- 9.7%
Baker Hughes, Inc. ............................ 36,400 1,255,800
Halliburton Co. ............................... 21,400 1,289,350
Rowan Companies, Inc. (c) ..................... 57,000 1,289,625
-----------
3,834,775
-----------
RETAIL -- SPECIALTY -- 4.3%
CUC International (c) ......................... 45,225 1,074,094
Petsmart, Inc. (c) ............................ 28,900 632,188
-----------
1,706,282
-----------
TOBACCO -- 1.5%
Philip Morris Companies, Inc. ................. 5,300 596,913
-----------
TOTAL COMMON STOCKS
(Identified Cost $30,903,818) ............... 37,730,056
-----------
SHORT-TERM INVESTMENT -- 1.0%
Associates Corp. of North America,
6.55%, 1/02/97 .............................. 401,226 401,226
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $401,226) .................. 401,226
-----------
TOTAL INVESTMENTS -- 96.5%
(Identified Cost $31,305,044) (b) ............. 38,131,282
Cash, Receivables and Other Assets ............ 2,083,401
Liabilities ................................... (717,772)
-----------
TOTAL NET ASSETS -- 100% ........................ $39,496,911
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost of $31,340,932 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost ............................................ $ 7,835,844
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost over
value ............................................... (1,045,494)
-----------
Net unrealized appreciation ............................ $ 6,790,350
===========
(c) Non-income producing security.
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES CORE VALUE FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
COMMON STOCKS -- 96.7%
OF TOTAL NET ASSETS
Shares Value (a)
---------- ----------
AEROSPACE -- 5.5%
Northrup Grumman Corp. ................... 11,000 $ 910,250
McDonnell Douglas Corp. .................. 8,200 524,800
Raytheon Corp. ........................... 20,000 962,500
-----------
2,397,550
-----------
BANKS/SAVINGS & LOANS -- 5.7%
Chase Manhattan Corp. New ................ 11,960 1,067,430
Standard Federal Bank of Troy, Michigan .. 25,000 1,421,875
-----------
2,489,305
-----------
BUSINESS SERVICES -- 1.3%
ADT Ltd. (c) ............................. 25,000 571,875
-----------
CHEMICALS -- MAJOR -- 1.3%
E. I. Dupont & DeNemours & Co. ........... 4,000 377,500
Geon Co. ................................. 6,200 121,675
W.R. Grace ............................... 1,500 77,625
-----------
576,800
-----------
CHEMICALS -- SPECIALTY -- 1.2%
Great Lakes Chemical Corp. ............... 11,000 514,250
-----------
ELECTRICAL EQUIPMENT -- 1.1%
York International Corp. ................. 8,600 480,525
-----------
ELECTRONIC COMPONENTS -- 2.9%
Intel Corp. .............................. 3,500 458,281
Texas Instruments, Inc. .................. 13,000 828,750
-----------
1,287,031
-----------
ENVIRONMENTAL SERVICES -- 1.3%
Wheelabrator Technologies ................ 35,000 568,750
-----------
FINANCIAL SERVICES -- 6.1%
Beneficial Corp. ......................... 12,000 760,500
Finova Group, Inc. ....................... 22,000 1,413,500
Paine Webber Group, Inc. ................. 17,100 480,936
-----------
2,654,936
-----------
FOOD -- PACKAGED & MISC. -- 3.0%
Conagra Inc. ............................. 13,200 656,700
Sara Lee Corp. ........................... 17,600 655,600
-----------
1,312,300
-----------
FOREST PRODUCTS -- 2.0%
Georgia Pacific Corp. 12,000 864,000
-----------
FREIGHT TRANSPORTATION -- 1.0%
Burlington Northern Santa Fe ............. 5,000 431,875
-----------
HEALTH CARE -- DRUGS -- 5.6%
Abbott Labs .............................. 16,300 827,225
Bristol Meyers Squibb .................... 9,500 1,033,125
Schering-Plough Corp. .................... 9,000 582,750
-----------
2,443,100
-----------
HEALTH CARE -- MEDICAL TECHNOLOGY -- 2.0%
C.R. Bard, Inc. .......................... 13,900 389,200
Guidant Corp. ............................ 8,400 478,800
-----------
868,000
-----------
HEALTH CARE -- SERVICES -- 3.2%
Tenet Healthcare Corp. (c) ............... 65,240 1,427,125
-----------
HOME PRODUCTS -- 2.4%
Dial Corp. New ........................... 25,000 368,750
Premark International, Inc. .............. 31,000 689,750
-----------
1,058,500
-----------
HOUSING & BUILDING MATERIALS -- 2.0%
Armstrong World Industries, Inc. ......... 13,000 903,500
-----------
INSURANCE -- 4.2%
Ace Ltd. ................................. 16,000 962,000
Allstate Corp. ........................... 14,859 859,965
-----------
1,821,965
-----------
MULTI-INDUSTRY -- 5.9%
Dover Corp. .............................. 8,800 442,200
Eaton Corp. .............................. 12,000 837,000
Philips Electronics ADR (d) .............. 16,000 640,000
Viad Corp. ............................... 40,000 660,000
-----------
2,579,200
-----------
NATURAL GAS -- PIPELINES -- 3.7%
El Paso Natural Gas Co. .................. 9,000 454,500
Mapco .................................... 21,000 714,000
Columbia Gas Systems, Inc. ............... 6,800 432,650
-----------
1,601,150
-----------
OFFICE EQUIPMENT -- 5.0%
Hewlett Packard Co. ...................... 9,200 462,300
Harris Corp. Del ......................... 14,500 995,063
Xerox Corp. .............................. 14,000 736,750
-----------
2,194,113
-----------
OIL SERVICE -- 3.2%
Baker Hughes, Inc. ....................... 23,800 821,100
Weatherford Enterra, Inc. (c) ............ 19,300 579,000
-----------
1,400,100
-----------
OIL -- MAJOR INTEGRATED -- 5.1%
British Petroleum PLC .................... 6,860 969,833
Mobil Corp. .............................. 6,700 819,075
USX Marathon Group ....................... 17,800 424,975
-----------
2,213,883
-----------
REAL ESTATE -- 3.4%
Health Care Property Investments Inc. .... 27,000 945,000
Meditrust SBI REITS ...................... 13,000 520,000
-----------
1,465,000
-----------
RESTAURANTS -- 0.4%
Wendy's International, Inc. .............. 9,600 196,800
-----------
RETAIL -- GENERAL MERCHANDISE -- 3.1%
Dayton Hudson Corp. ...................... 11,500 451,375
Federated Dept. Stores Inc. (c) .......... 26,000 887,250
-----------
1,338,625
-----------
RETAIL -- FOOD & DRUG -- 2.2%
McKesson Corp. ........................... 17,000 952,000
-----------
TEXTILE & APPAREL -- 1.3%
Reebok International Ltd. ................ 14,000 588,000
-----------
TOBACCO -- 3.3%
Loews Corp. .............................. 10,000 942,500
Philip Morris Cos., Inc. ................. 4,500 506,813
-----------
1,449,313
-----------
UTILITIES -- ELECTRIC -- 4.6%
Pacificorp. .............................. 27,700 567,850
Texas Utilities Co. ...................... 20,000 815,000
Pinnacle West Capital Corp. .............. 20,000 635,000
-----------
2,017,850
-----------
UTILITIES -- TELECOMMUNICATIONS -- 3.7%
Pacific Telesis Group .................... 17,600 646,800
Bellsouth Corp. .......................... 24,000 969,000
-----------
1,615,800
-----------
TOTAL COMMON STOCKS
(Identified Cost $33,695,285) ......... 42,283,221
-----------
SHORT-TERM INVESTMENT -- 3.0%
Chevron Oil Finance Co., 5.35%, 1/02/97 $1,300,000 1,300,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,300,000) .......................... 1,300,000
-----------
TOTAL INVESTMENTS -- 99.7%
(Identified Cost $34,995,285) (b) ....................... 43,583,221
Cash, Receivables and Other Assets ...................... 405,376
Liabilities ............................................. (273,142)
-----------
TOTAL NET ASSETS -- 100% .................................. $43,715,455
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost of $34,995,421 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over tax
cost ................................................. $ 8,872,282
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost over
value ................................................ (284,482)
------------
Net unrealized appreciation ............................. $ 8,587,800
============
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading
on exchanges not located in the United States or Canada.
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES SMALL CAP VALUE FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
COMMON STOCKS -- 85.8%
OF TOTAL NET ASSETS
Shares Value (a)
---------- -----------
AEROSPACE -- 0.3%
Kaman Corp. ............................... 33,600 $ 436,800
------------
AUTO & RELATED -- 1.5%
Amcast Industrial Corp. ................... 17,600 435,600
Borg Warner
Automotive, Inc. ........................ 18,600 716,100
Echlin, Inc. .............................. 42,200 1,334,575
------------
2,486,275
------------
BUSINESS SERVICES -- 2.0%
CDI Corp. (c) ............................. 21,800 618,575
Cort Business Services Corp. (c) .......... 71,300 1,470,563
Prime Service, Inc. (c) ................... 40,000 1,100,000
Team America Corp. (c) .................... 13,800 156,975
------------
3,346,113
------------
CHEMICALS -- SPECIALTY -- 4.3%
Cambrex Corp. ............................. 13,050 427,388
Dexter Corp. .............................. 62,600 1,995,375
Hexcel Corp. New (c) ...................... 88,100 1,431,625
Intertape Polymer Group, Inc. ............. 57,300 1,317,900
Lawter International, Inc. ................ 110,700 1,397,577
LeaRonal, Inc. ............................ 23,100 531,300
------------
7,101,165
------------
COMPUTER SOFTWARE & SERVICES -- 3.5%
Award Software International, Inc. (c) .... 41,500 404,625
Boole & Babbage, Inc. (c) ................. 39,300 982,500
ESS Technology, Inc. (c) .................. 42,300 1,189,688
National Computer Systems, Inc. ........... 58,700 1,496,850
Nichols Research Corp. .................... 31,550 804,525
Symantec Corp. (c) ........................ 55,200 800,400
------------
5,678,588
------------
ELECTRONIC COMPONENTS -- 2.7%
Amphenol Corp. (c) ........................ 58,100 1,292,725
Burr Brown Corp. (c) ...................... 37,300 969,800
Etec Systems, Inc. (c) .................... 10,600 405,450
Merix Corp. (c) ........................... 46,400 707,600
Unitrode Corp. (c) ........................ 37,300 1,095,688
------------
4,471,263
------------
ELECTRICAL EQUIPMENT -- 1.1%
Belden, Inc. (c) .......................... 32,900 1,217,300
Woodhead Industries ....................... 44,400 610,500
------------
1,827,800
------------
ENVIRONMENTAL SERVICES -- 0.8%
World Fuel Services Corp. ................. 57,550 1,280,488
------------
FINANCIAL SERVICES -- 2.3%
DVI, Inc. (c) ............................. 78,000 1,014,000
Financial Federal Corp. (c) ............... 66,700 1,117,225
Imperial Credit Industries, Inc. (c) ...... 34,060 715,260
WFS Financial, Inc. (c) ................... 47,690 947,839
------------
3,794,324
------------
FOOD -- PACKAGED & MISCELLANEOUS -- 1.9%
Flowers Industries, Inc. .................. 49,600 1,066,400
Lance, Inc. ............................... 72,500 1,305,000
Michaels Foods ............................ 63,100 804,525
------------
3,175,925
------------
FREIGHT TRANSPORTATION -- 3.4%
Harper Group, Inc. ........................ 72,100 1,712,375
Pittston Burlington Group (c) ............. 76,300 1,526,000
U.S. Freightways Corp. .................... 81,700 2,241,644
------------
5,480,019
------------
HEALTH CARE -- DRUGS -- 1.0%
Bindley Weston Industries, Inc. ........... 83,700 1,621,688
------------
HEALTH CARE -- MEDICAL TECHNOLOGY -- 2.3%
Conmed Corp. (c) .......................... 61,275 1,256,138
Protocol Systems, Inc. 39,200 509,600
Sofamor-Danek Group, Inc. (c) ............. 63,850 1,947,425
------------
3,713,163
------------
HEALTH CARE -- SERVICES -- 5.1%
Grancare Inc. (c) ......................... 98,242 1,756,076
Healthplan Services Corp. (c) ............. 61,300 1,294,963
Health Images (c) ......................... 79,000 1,313,375
Integrated Health Services, Inc. .......... 60,400 1,472,250
Regency Health Services (c) ............... 60,170 579,136
Rotech Medical Corp. ...................... 91,400 1,919,400
------------
8,335,200
------------
HOME PRODUCTS -- 3.1%
Aptargroup, Inc. .......................... 16,600 585,150
Bush Boake Allen, Inc. (c) ................ 21,500 572,438
Department 56 Inc. (c) 27,300 675,675
Premark International, Inc. ............... 64,200 1,428,450
US Can Corp. (c) .......................... 105,000 1,771,875
------------
5,033,588
------------
HOTELS & RESTAURANTS -- 0.8%
Cooker Restaurant Corp. ................... 34,600 402,225
WMS Industries, Inc. (c) .................. 46,300 926,000
------------
1,328,225
------------
HOUSING & BUILDING MATERIALS -- 3.5%
Congoleum Corp. New (c) ................... 58,500 811,688
Crossman Communities, Inc. (c) ............ 28,600 486,200
Dayton Superior Corp. (c) ................. 49,700 652,313
Giant Cement Holdings, Inc. (c) ........... 108,600 1,751,175
Toro Co. .................................. 55,700 2,033,050
------------
5,734,426
------------
INSURANCE -- 7.4%
Allied Group, Inc. ........................ 69,300 2,260,913
Capital Re Corp. .......................... 37,000 1,725,125
Capmac Holdings Inc. 29,800 987,125
Dignity Partners, Inc. (c) ................ 45,900 120,488
Everest Reinsurance Holdings .............. 55,100 1,584,125
Meadowbrook Insurance Group, Inc. (c) ..... 40,700 854,700
Protective Life Corp. ..................... 49,800 1,985,775
Reinsurance Group of America .............. 34,800 1,639,950
Triad Guaranty (c) ........................ 31,700 911,375
------------
12,069,576
------------
LEISURE -- 1.6%
Harman International Industries, Inc. ..... 16,435 914,197
Scientific Games Holdings Corp. (c) ....... 61,000 1,631,750
------------
2,545,947
------------
MACHINERY -- 2.4%
BW/IP, Inc. ............................... 32,900 542,850
Brown & Sharpe Manufacturing Co. (c) ...... 56,300 788,200
Greenfield Industries, Inc. ............... 40,200 1,231,125
Hardinge Brothers, Inc. ................... 12,300 327,488
Keystone International, Inc. .............. 54,200 1,090,775
------------
3,980,438
------------
MEDIA & ENTERTAINMENT -- 2.8%
Banta Corp. ................................. 61,374 1,403,930
Cadmus Communications Corp. ................. 64,700 1,002,850
Houghton Mifflin Co. ........................ 37,000 2,095,125
------------
4,501,905
------------
METALS -- 3.5%
Citation Corp. ALA (c) .................... 69,350 710,838
Cleveland Cliffs, Inc. .................... 32,750 1,486,031
Lone Star Technologies, Inc. (c) .......... 52,000 884,000
Oregon Steel Mills, Inc. .................. 85,400 1,430,450
RMI Titanium Co. (c) ...................... 17,900 503,438
UNR Industries, Inc. ...................... 112,900 677,400
------------
5,692,157
------------
MULTI-INDUSTRY -- 2.6%
Griffon Corp. (c) ......................... 138,950 1,702,138
Insilco Corp. (c) ......................... 22,200 854,700
Viad Corp. ................................ 100,100 1,651,650
------------
4,208,488
------------
NATURAL GAS PIPELINES -- 0.3%
Public Service Co., NC, Inc. .............. 26,400 481,800
------------
OIL -- INDEPENDENT PRODUCERS -- 2.5%
American Exploration Co. .................. 77,400 1,238,400
Belden & Blake Corp. (c) .................. 36,525 931,388
Lomak Petroleum, Inc. (c) ................. 65,400 1,119,975
Vintage Petroleum, Inc. (c) ............... 23,800 821,100
------------
4,110,863
------------
OIL -- SERVICE -- 4.0%
Global Industries, Inc. (c) ............... 66,100 1,231,113
Pride Petroleum Services, Inc. (c) ........ 96,000 2,232,000
Seitel, Inc. (c) .......................... 26,800 1,072,000
Tuboscope Vetco International Corp. (c) ... 58,200 902,100
Weatherford Enterra, Inc. (c) ............. 36,300 1,089,000
------------
6,526,213
------------
PAPER -- 0.4%
Caraustar Industries, Inc. ................ 19,150 636,738
------------
REAL ESTATE -- 6.9%
Brandywine Realty Corp. REITS ............. 43,200 842,400
Cali Realty Corp. REITS ................... 38,400 1,185,600
Capstone Capital Corp. REITS (c) .......... 88,900 1,989,138
Koger Equity, Inc. REITS (c) .............. 81,800 1,533,750
Liberty Property REITS .................... 73,900 1,902,925
Patriot American Hospitality REITS (c) .... 48,800 2,104,500
Sun Communities, Inc. REITS ............... 52,200 1,800,900
------------
11,359,213
------------
RETAIL -- GENERAL MERCHANDISE -- 1.5%
Family Dollar Stores, Inc. ................ 80,000 1,630,000
99 Cents Only Stores (c) .................. 48,700 797,463
------------
2,427,463
------------
RETAIL -- SPECIALTY -- 3.4%
Carson Pirie Scott & Co. (c) .............. 56,200 1,419,050
Cato Corp. Class A (c) .................... 88,675 443,375
Cole National Corp. (c) ................... 66,900 1,756,125
Tandycrafts, Inc. (c) ..................... 70,900 425,400
Zale Corp. (c) ............................ 81,000 1,549,125
------------
5,593,075
------------
SAVINGS & LOAN/BANKS -- 3.2%
Bank UTD Corp. ............................ 47,800 1,278,650
Charter One Financial, Inc. ............... 2,305 96,810
Commercial Federal Corp. (c) .............. 20,000 960,000
First Financial Corp. WIS ................. 55,813 1,367,406
Magna Group, Inc. ......................... 54,700 1,613,650
------------
5,316,516
------------
TELECOMMUNICATIONS -- 1.9%
Aliant Communications, Inc. ............... 87,000 1,479,000
Inter-Tel, Inc. (c) ....................... 53,300 1,012,700
Vertex Communications Corp. (c) ........... 33,800 612,625
------------
3,104,325
------------
TEXTILE & APPAREL -- 0.7%
Kenneth Cole Productions, Inc. (c) ........ 22,800 353,400
Stride Rite Corp. ......................... 84,200 842,000
------------
1,195,400
------------
UTILITIES -- ELECTRIC -- 1.1%
Calpine Corp. (c) ......................... 87,800 1,756,000
------------
TOTAL COMMON STOCKS
(Identified Cost $117,900,166) 140,351,167
------------
SHORT-TERM INVESTMENTS -- 13.5%
Chevron Oil Finance Co., 5.35%, 1/02/97 ..... $6,400,000 6,400,000
Exxon Asset Management, 6.25%, 1/02/97 .... 6,400,000 6,400,000
General Electric Capital Corp.,
5.50%, 1/02/97 .......................... 2,900,000 2,900,000
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $22,066,000) .......... 22,066,000
------------
Repurchase agreement with State Street Bank & Trust dated
12/31/96 at 4.75% to be repurchased at $6,367,680 on
1/02/97 collateralized by U.S. Treasury Bond 6.75% due
2/25/19 with a value of $6,497,400 ........... 6,366,000 6,366,000
------------
TOTAL INVESTMENTS -- 99.3%
(Identified Cost $139,966,166) (b) 162,417,167
Cash, Receivables and Other Assets .......................... 2,279,776
Liabilities ................................................. (1,072,075)
------------
TOTAL NET ASSETS -- 100% ...................................... $163,624,868
============
(a) See Notes 1A and 1B.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost of $140,048,808 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost .............................................. $ 25,135,670
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value ............................................ (2,767,311)
------------
Net unrealized appreciation .............................. $ 22,368,359
============
(c) Non-income producing security.
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES INTERNATIONAL EQUITY FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
COMMON STOCKS -- 97.7%
OF TOTAL NET ASSETS
Shares (a) Value (b)
---------- -----------
AUSTRALIA -- 8.7%
Boral Ltd. ................................. 400,000 $ 1,138,405
Brambles Industries Ltd. ................... 70,000 1,366,166
Foodland Association ....................... 200,000 985,770
National Australia Bank 110,000 1,294,220
Smith (Howard) ............................. 140,000 1,151,920
Woodside Petroleum ......................... 130,000 949,758
Woolworths Ltd. ............................ 400,000 963,511
-----------
7,849,750
-----------
FINLAND -- 8.5%
Huhtamaki Oy ............................... 30,000 1,396,320
Kemira Oy .................................. 60,000 756,884
Metra AB ................................... 21,000 1,178,390
Merita Ltd. ................................ 300,000 933,054
Rauma Oy ................................... 48,000 1,012,658
Sampo Kuutusosak ........................... 14,000 1,105,311
Valmet Corp. ............................... 75,000 1,321,284
-----------
7,703,901
-----------
GERMANY -- 8.5%
Bayer Hypo/Wech Bank 30,000 906,818
Deutsche Bank AG ........................... 19,000 887,078
Mannesmann AG .............................. 2,500 1,082,792
Douglas Holdings AG ........................ 18,000 707,143
Porsche AG ................................. 1,600 1,412,987
Henkel KGAA ................................ 22,000 1,104,286
Daimler Benz AG ............................ 14,000 963,636
Duerr AG ................................... 20,000 632,467
-----------
7,697,207
-----------
HONG KONG -- 8.0%
Amoy Properties ............................ 900,000 1,297,434
Cafe De Coral Holdings 1,800,000 482,901
Henderson Land ............................. 130,000 1,311,009
Hongkong & Shanghai Hotels ................. 541,666 1,022,474
Johnson Electric Holdings .................. 350,000 968,388
Sun Hung Kai Properties .................... 100,000 1,225,031
Swire Pacific .............................. 100,000 953,520
-----------
7,260,757
-----------
ITALY -- 8.7%
Monadori Electric .......................... 130,000 1,057,642
Fiat Spa ................................... 400,000 1,209,486
Brembo Spa ................................. 55,000 773,551
Rinascente ................................. 300,000 766,799
Edison ..................................... 180,000 1,138,340
Saipem ..................................... 240,000 1,103,557
Stet ....................................... 190,000 863,636
Unipol ..................................... 300,000 980,237
-----------
7,893,248
-----------
JAPAN -- 15.2%
Canon, Inc. ................................ 50,000 1,102,688
Daiwa House Industries 90,000 1,155,238
Honda Motor Co. ............................ 43,000 1,226,137
Ito Yokado Co. ............................. 25,000 1,085,458
Komatsu .................................... 130,000 1,063,921
Credit Saison Co. .......................... 55,000 1,227,171
Nichii Gakkan Co. .......................... 20,000 995,865
Nippon Telephone & Telegraph .............. 160 1,210,200
Omron Corp. ................................ 60,000 1,126,809
Sankyo Co. ................................. 44,000 1,243,281
Sony Corp. ................................. 18,000 1,176,947
Sumitomo Trust & Banking ................... 115,000 1,149,207
-----------
13,762,922
-----------
NEW ZEALAND -- 8.1%
Corporate Investments 2,000,000 932,335
Fisher & Paykel ............................ 229,500 899,650
Nuplex Industries .......................... 440,000 1,072,185
PDL Holdings ............................... 100,000 522,673
St. Lukes Group ............................ 650,000 707,021
Sanford .................................... 341,000 794,816
Telecom Corp. of New Zealand ............... 220,000 1,121,910
Tranz Rail Holdings ........................ 218,600 1,327,843
-----------
7,378,433
-----------
NORWAY -- 8.6%
Elkjop ..................................... 48,400 1,420,446
Elkem As ................................... 72,000 1,192,128
Kverneland Gruppen ......................... 24,000 662,921
Norsk Hydro As ............................. 27,500 1,488,983
Rieber & Son As ............................ 30,000 866,317
Schibsted Asa .............................. 61,000 1,124,878
Storli As .................................. 57,000 1,073,480
-----------
7,829,153
-----------
PORTUGAL -- 8.3%
Banco Espirito Santo ....................... 44,400 780,685
Corticeira Amorim Sgps ..................... 56,000 615,404
Engil Sgps ................................. 119,400 1,371,388
Jeronimo Martins Sgps ...................... 8,400 432,967
Mundial Confianca .......................... 100,000 999,033
Portugal Telecom ........................... 45,500 1,296,229
Sonae Investimento ......................... 51,000 1,613,986
Jeronimo Martins Rts. ...................... 8,400 141,471
Jeronimo Martins ........................... 5,600 288,753
-----------
7,539,916
-----------
SPAIN -- 9.8%
Aguas de Barcelona ......................... 28,211 1,172,834
Azkoyen SA ................................. 9,342 1,149,320
Fomento de Construcciones y Contratas . 13,000 1,211,025
Cubiertas y Mzor ........................... 14,000 1,077,835
Ebro Agricolas ............................. 66,000 1,161,059
Telefonica de Espanol ...................... 52,000 1,207,021
Zardoya Otis ............................... 7,150 831,203
Prosegur Seguridad ......................... 115,000 1,062,437
-----------
8,872,734
-----------
THAILAND -- 5.3%
Banpu Co. .................................. 50,000 927,731
Industrial Finance Corporation of Thailand 300,000 812,739
Land & House ............................... 100,000 728,931
Phatra Thanakit Co. ........................ 300,000 853,668
Siam Cement Co. ............................ 30,000 940,204
Thai Telephone & Telegraph ................. 600,000 537,930
-----------
4,801,203
-----------
TOTAL COMMON STOCKS
(Identified Cost $78,492,976) ................ 88,589,224
-----------
SHORT-TERM INVESTMENTS -- 2.7%
Face
Amount
-----------
Repurchase Agreement with State Street Bank
& Trust Co. dated 12/31/96 at 4.75% to be
repurchased at $2,454,648 on 1/02/97
collateralized by $2,410,000 U.S. Treasury
Note 7.00%, due 4/15/97 with a value of
$2,503,301 ................................ $2,454,000 2,454,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,454,000) ............. 2,454,000
-----------
Value (b)
-----------
TOTAL INVESTMENTS -- 100.4%
(Identified Cost $80,946,976) (b) .......................... $91,043,224
Cash, Receivables and Other Assets (c) ..................... 307,015
Liabilities ................................................ (687,804)
-----------
TOTAL NET ASSETS -- 100% ..................................... $90,662,435
===========
(a) Ordinary shares unless noted otherwise.
(b) See Notes 1A and 1B.
(c) Including deposits in foreign denominated currencies with a value of
$229,676 and a cost of $227,619.
(d) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost for federal income tax purposes of $80,978,190 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost ............................................... $12,944,270
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost over
value .................................................. (2,879,236)
-----------
Net unrealized appreciation ............................... $10,065,034
===========
TEN LARGEST INDUSTRY HOLDINGS
AT DECEMBER 31, 1996 (UNAUDITED)
Banking 9.0%
Construction 8.5%
Telephone Communication 7.0%
Machinery 6.2%
Retail 6.0%
Food 4.8%
Transportation 4.7%
Electrical & Electronic 4.3%
Building Materials 3.8%
Insurance 3.5%
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES WORLDWIDE FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
COMMON STOCKS -- 58.6%
OF TOTAL NET ASSETS
Shares Value (a)
---------- ----------
AUSTRALIA -- 4.1%
Boral Ltd. .................................. 75,000 $ 213,451
----------
CANADA -- 2.5%
Abacan Resources Corp. New (c) .............. 15,000 130,313
----------
FINLAND -- 3.6%
Merita Ltd. ................................. 60,000 186,611
----------
HONG KONG -- 3.1%
Henderson Land Developer .................... 16,000 161,355
----------
JAPAN -- 2.5%
Sumitomo Trust & Banking .................... 13,000 129,910
----------
SINGAPORE -- 3.5%
Haw Par Brothers International .............. 80,000 181,779
----------
SWEDEN -- 5.2%
Esselte AB .................................. 8,000 176,531
SKF AB ...................................... 4,000 94,403
----------
270,934
----------
UNITED STATES -- 34.1%
Advanced Micro Devices, Inc. ................ 2,600 66,950
Analog Devices, Inc. (c) .................... 2,200 74,525
Bank of Boston Corp. ........................ 2,000 128,500
Boeing Co. .................................. 775 82,441
CVS Corp. ................................... 2,500 103,438
Digital Equipment Corp. (c) ................. 2,500 90,938
Eli Lilly & Co. ............................. 2,000 146,000
International Business Machines Corp. ....... 1,000 151,000
Monsanto Co. ................................ 3,500 136,063
PDL Holdings ................................ 20,000 108,066
Praxair, Inc. ............................... 2,400 110,700
Ranger Oil Ltd. ............................. 6,000 59,250
Rockwell International Corp. ................ 1,800 109,575
Rowan Companies, Inc. (c) ................... 5,400 122,175
Schlumberger Ltd. ........................... 1,200 119,850
Symantec Corp. (c) .......................... 4,900 71,050
United Meridian Corp. (c) ................... 1,700 87,975
----------
1,768,496
----------
TOTAL COMMON STOCKS
(Identified Cost $2,736,881) 3,042,849
----------
BONDS AND NOTES -- 37.7%
OF TOTAL NET ASSETS
Face
Currency Amount Value (a)
-------- --------- ---------
ARGENTINA -- 2.5%
Republic of Argentina, 6.625%, 3/31/05 ........ USD 147,000 127,799
----------
AUSTRALIA -- 1.6%
QTC Global Aud Bon, 8.000%, 9/14/07 ........... AUD 100,000 81,578
----------
DENMARK -- 2.9%
Kingdom of Denmark 7.000%, 11/15/07 ........... DKK 865,000 149,161
----------
NEW ZEALAND -- 2.1%
New Zealand, 8.000%, 11/15/06 NZD 150,000 111,562
----------
SOUTH AFRICA -- 3.4%
Republic of South Africa, 12.000%, 2/28/05 .... ZAR 1,000,000 174,809
----------
THAILAND -- 0.9%
Finance One, 2.000%, 8/31/01 .................. USD 50,000 45,375
----------
UNITED STATES -- 24.3%
Apple Computer, Inc., 6.500%, 2/15/04 ......... USD 250,000 217,500
Borden, Inc., 9.200%, 3/15/21 ................. USD 200,000 198,170
Builders Transportation, Inc. 8.000%, 8/15/05.. USD 95,000 57,000
CML Group, Inc., 5.500%, 1/15/03 .............. USD 150,000 108,000
Dillon Reed Structured Finance,
6.660%, 8/15/10 .............................. USD 181,266 148,637
Flagstar Corp., 11.250%, 11/01/04 ............. USD 275,000 107,250
Loxley, 2.500%, 4/04/01 ....................... USD 50,000 49,500
Geneva Steel Co., 9.500%, 1/15/04 ............. USD 75,000 61,314
Niagara Mohawk, Power Corp., 6.625%, 7/01/05 .. USD 50,000 43,611
Penn Traffic Co., 9.625%, 4/15/05 ............. USD 375,000 210,000
Unisys Corp., 9.750%, 9/15/16 USD 72,000 66,960
----------
1,267,942
----------
TOTAL BONDS AND NOTES
(Identified Cost $1,971,483) 1,958,226
----------
SHORT-TERM INVESTMENTS -- 3.3%
Repurchase Aggrement with State Street Bank
& Trust Co. dated 12/31/96 at 4.750% to
be repurchased at $173,046 on 1/02/97
collateralized by $175,000 U.S. Treasury
Note 6.500%, due 5/15/97 with a value of
$177,129 .................................. $173,000 173,000
----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $173,000) ................................ 173,000
----------
TOTAL INVESTMENTS -- 99.6%
(Identified Cost $4,881,364) (b) ............................ $5,174,075
Cash, Receivables and Other Assets (d) ...................... 104,491
Liabilities ................................................. (89,073)
----------
TOTAL NET ASSETS -- 100% ...................................... $5,189,493
==========
(a) See Notes 1A and 1B.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost for federal income tax purposes of $4,950,774 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost .............................................. $ 393,133
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value ............................................ (169,832)
----------
Net unrealized appreciation .............................. $ 223,301
==========
(c) Non-income producing security.
(d) Including deposits in foreign currency with a value of $7 and a cost of
$7.
(e) Step Bond: Coupon rate is zero or below market rate for an initial
period and then increases to a higher coupon rate at a specified date
and rate.
AUD = Australian Dollar
DKK = Danish Kroner
NZD = New Zealand Dollar
USD = U.S. Dollar
ZAR = South African Rand
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES BOND FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
BONDS AND NOTES -- 93.9%
OF TOTAL NET ASSETS
Face
Amount Value (a)
------------ ---------
NON-CONVERTIBLE BONDS -- 80.9%
AEROSPACE -- 0.4%
Rohr Industries, 9.250%, 3/01/17 ......... $2,450,000 $ 2,241,750
------------
AIR TRANSPORT -- 0.6%
United Airlines Pass Thru, 7.870%, 1/30/18 2,350,000 2,310,497
NWA Trust, 9.360%, 3/10/06 ............... 816,300 842,422
------------
3,152,919
------------
BROADCASTING -- 0.2%
CBS, Inc., 7.125%, 11/01/23 .............. 1,000,000 846,870
------------
CANADIAN -- 18.0%
Canadian Government, 8.000%, 6/01/23 (f) . 29,600,000 24,006,129
Canadian Government, Zero Coupon bond,
6/01/21 (f) ............................ 44,400,000 5,577,465
Province of British Columbia, 8.000%,
9/08/23 (f) ............................ 2,000,000 1,571,718
Province of British Columbia, Zero Coupon,
8/23/13 (f) ............................ 33,000,000 6,997,300
Province of British Columbia,
Zero Coupon, 6/09/14 (f) ............... 10,000,000 1,999,270
Province of British Columbia, Zero Coupon,
9/05/20 (f) ............................ 39,045,000 4,877,420
Province of British Columbia, Zero Coupon,
6/09/22 (f) ............................ 5,000,000 538,854
Province of British Columbia, Zero Coupon,
8/23/24 (f) ............................ 91,000,000 8,545,567
Ontario Hydro, 8.900%,
8/18/22 (f) ............................ 8,740,000 7,512,376
Province of Ontario, Zero Coupon,
7/13/22 (f) ............................ 13,000,000 1,382,999
Rogers Cable-Systems Ltd., 9.650%,
1/15/14 (f) ............................ 6,150,000 4,386,447
Province of Manitoba, 7.750%, 12/22/25 (f) 29,320,000 22,690,514
Province of Manitoba, Zero Coupon,
7/22/13 (f) ............................ 2,500,000 531,284
Province of Manitoba, Zero Coupon,
3/05/31 (f) ............................ 26,200,000 1,475,941
Province of Saskatchewan, 8.750%,
5/30/25 (f) ............................ 6,435,000 5,472,445
------------
97,565,729
------------
COMPUTER -- 2.2%
Apple Computer, Inc., 6.500%, 2/15/04 .... 7,950,000 6,916,500
Digital Equipment Corp., 7.750%, 4/01/23 . 3,500,000 3,001,775
Unisys Corp., 9.750%, 9/15/16 ............ 2,200,000 2,046,000
------------
11,964,275
------------
ELECTRONICS -- 1.4%
Pioneer Standard Electronics, Inc.,
8.500%, 8/01/06 ........................ 3,000,000 3,037,500
Westinghouse Electric Corp.,
7.875%, 9/01/23 ........................ 4,850,000 4,439,933
------------
7,477,433
------------
ENTERTAINMENT -- 2.2%
Time Warner Entertainment Co., 8.050%,
1/15/16 ................................ 7,825,000 7,799,725
Time Warner Entertainment Co., 9.150%,
2/01/23 ................................ 1,000,000 1,083,990
Time Warner Entertainment Co., 8.375%,
3/15/23 ................................ 3,200,000 3,244,384
------------
12,128,099
------------
ENVIRONMENTAL SERVICES -- 0.5%
Envirotest System Corp., 9.625%, 4/01/03 .. 3,500,000 2,835,000
------------
FINANCE & BANKING -- 1.3%
First Union Institutional Trust, 8.040%,
12/01/26 (c) .......................... 5,000,000 4,986,250
First Union Institutional Trust,
7.850%, 1/01/27 ........................ 2,000,000 1,982,500
------------
6,968,750
------------
FOOD & BEVERAGE -- 5.3%
Borden, Inc., 7.875%, 2/15/23 ............ 5,500,000 4,884,165
RJR Nabisco, Inc., 7.625%, 9/15/03 ....... 12,550,000 12,031,434
RJR Nabisco, Inc., 8.750%, 8/15/05 ....... 4,500,000 4,520,250
RJR Nabisco, Inc., 9.250%, 8/15/13 ....... 7,078,000 7,232,017
------------
28,667,866
------------
FOREIGN DENOMINATED -- 6.7%
Escom, 11.000%, 6/01/08 (g) .............. 26,500,000 4,146,920
New Zealand Government, 8.000%,
4/15/04 (h) ............................ 2,475,000 1,822,424
New Zealand Government, 8.000%,
11/15/06 (h) ........................... 32,725,000 24,339,191
Republic of South Africa, 12.000%,
2/28/05 (g) ............................ 19,000,000 3,321,367
Republic of South Africa, 12.500%,
12/21/06 (g) ........................... 16,500,000 2,885,097
------------
36,514,999
------------
FOREIGN ISSUER -- 6.1%
BCO Central Costra, 6.250%, 5/21/10 ...... 3,200,000 2,584,000
Republic of Argentina, 6.625%, 3/31/05 ... 1,151,500 1,001,091
Republic of Argentina, 5.250%, 3/31/23 (e) 25,375,000 16,002,236
Republic of Brazil, 4.250%, 4/15/24 (e) .. 7,500,000 4,720,350
Republic of Ecuador, 3.250%, 2/28/25 (e) . 4,250,000 1,962,990
Petrieos Mexicano Medium, 8.625%,
12/01/23 (c) ........................... 1,550,000 1,255,500
Poland PDI Brady, 4.000%, 10/27/14 (c) (e) 6,000,000 5,070,000
Poland PDI Brady, 4.000%, 10/27/14 (e) ... 500,000 422,500
------------
33,018,667
------------
GOVERNMENT AGENCIES -- 0.6%
Federal National Mortgage Association,
6.000%, 11/25/08 ....................... 3,517,987 3,044,150
------------
HOME BUILDERS -- 0.6%
Hovnanian Enterprises, 9.750%, 6/01/05-99. 2,350,000 2,115,000
Pulte Corp., 7.300%, 10/24/05 ............ 1,000,000 979,460
------------
3,094,460
------------
METAL -- 0.2%
Midland Ross Corp., 6.000%, 2/15/07 ...... 1,400,000 861,000
------------
OIL & GAS -- 0.8%
Maxus Energy Corp., 8.500%, 4/01/08 ...... 1,000,000 990,000
Sage Energy, 8.500%, 10/15/05 ............ 60,000 58,650
USX Marathon Group, 8.500%, 3/01/23 ...... 550,000 593,038
USX Marathon Group, 8.125%, 7/15/23 ...... 2,825,000 2,929,356
------------
4,571,044
------------
PAPER -- 0.8%
Georgia Pacific Corp., 7.375%, 12/01/25 .. 4,500,000 4,245,345
------------
REAL ESTATE -- 0.4%
Security Capital Trust, 8.650%, 5/15/16 .. 2,000,000 2,082,880
------------
RETAIL -- 6.6%
Bradlees Inc., 11.000%, 8/01/02 (d) ...... 250,000 26,250
Bradlees Inc., 9.250%, 3/01/03 (d) ....... 250,000 23,750
Dillon Reed Structured Finance Corp.,
7.600%, 8/15/07 ........................ 253,565 227,574
Dillon Reed Structured Finance Corp.,
6.660%, 8/15/10 ........................ 2,718,985 2,229,567
Dillon Reed Structured Finance Corp.,
8.375%, 8/15/15 ........................ 500,000 419,600
Dillon Reed Structured Finance Corp.,
8.550%, 8/15/19 ........................ 500,000 415,000
K Mart Funding Corp., 8.800%, 7/01/10 .... 3,405,000 3,013,425
K Mart Pass Thru, 8.540%, 1/02/15 ........ 6,109,327 5,192,928
K Mart Pass Thru, 9.350%, 1/02/20 ........ 2,500,000 2,150,000
K Mart Pass Thru, 9.780%, 1/05/20 ........ 1,000,000 885,000
K Mart Corp., 7.950%, 2/01/23 ............ 12,365,000 10,108,282
Penn Traffic Co., 9.625%, 4/15/05 ........ 13,580,000 7,604,800
F.W. Woolworth Corp., 8.500%, 1/15/22 .... 3,000,000 3,163,350
------------
35,459,526
------------
RESTAURANTS -- 0.6%
Flagstar Corp., 11.250%, 11/01/04 ........ 7,720,000 3,010,800
------------
STEEL -- 1.0%
Geneva Steel Co., 11.125%, 3/15/01 ....... 3,250,000 2,990,000
Geneva Steel Co., 9.500%, 1/15/04 ........ 3,250,000 2,656,875
------------
5,646,875
-------------
TAXABLE MUNICIPAL -- 0.2%
Orange County, CA Pension Obligation,
Zero Coupon Bond, 9/01/16 .............. 5,000,000 1,140,100
------------
TELECOMMUNICATIONS -- 5.0%
Arch Communications Group, Zero Coupon
Bond, 3/15/08 (e) ........................ 500,000 285,000
Nextel Communications Inc., Zero
Coupon Bond, 8/15/04 (e) ............... 2,500,000 1,706,250
Sprint Spectrum L.P., Zero Coupon Bond,
8/15/06 (e) ............................ 1,000,000 682,500
TCI Communications, Inc., 7.875%, 2/15/26. 27,550,000 24,642,373
------------
27,316,123
------------
TEXTILES -- 0.6%
Fruit of the Loom, Inc., 7.375%, 11/15/23. 3,000,000 2,772,960
Phillips Van Huesen Corp., 7.750%,
11/15/23 ............................... 600,000 497,844
------------
3,270,804
------------
U.S. GOVERNMENT -- 15.1%
United States Treasury Bond, 6.250%,
8/15/23 ................................ 80,725,000 75,679,679
United States Treasury Strips, Zero Coupon
Bonds, 8/15/20 ......................... 14,000,000 2,788,100
United States Treasury Strips, Zero Coupon
Bonds, 8/15/23 ......................... 19,000,000 3,163,120
------------
81,630,899
------------
UTILITIES -- 3.5%
Beaver Valley Funding Corp., 9.000%, 6/1/17 7,000,000 6,684,930
Boston Edison Co., 7.800%, 3/15/23 ....... 1,000,000 949,548
Commonwealth Edison Co., 4.750%,
12/01/11-97 ............................ 952,000 714,333
GGIB Funding Corp., 7.430%, 1/15/11 ...... 6,978,879 6,762,604
Niagara Mohawk Power Corp., 5.875%, 9/01/02 500,000 442,395
Niagara Mohawk Power Corp., 6.625%, 7/01/05 550,000 479,743
Niagara Mohawk Power Corp., 7.750%, 5/15/06 250,000 232,820
Niagara Mohawk Power Corp., 8.750%, 4/01/22 1,500,000 1,420,815
Niagara Mohawk Power Corp., 7.875%, 4/01/24 1,500,000 1,309,845
------------
18,997,033
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $421,470,989) .......................... 437,753,396
------------
CONVERTIBLE BONDS -- 13.0%
AEROSPACE -- 0.3%
Rohr Industries, Inc., 7.000%, 10/01/12 .. 1,600,000 1,476,000
------------
AUTO PARTS -- 0.1%
Exide Corp., 2.900%, 12/15/05 ............ 725,000 429,563
------------
BROADCASTING -- 0.3%
Comcast Corp., 1.125%, 4/15/07 ........... 1,750,000 892,500
Fuqua Industries, 6.500%, 8/04/02 ........ 1,860,000 1,469,400
------------
2,361,900
------------
CANADIAN -- 0.3%
Rogers Communications, 2.000%, 11/26/05 (f) 3,000,000 1,680,000
------------
CHEMICALS -- 0.3%
Hexcel Corp., 7.000%, 8/01/11 ............ 675,000 614,250
FMC Corp., 6.750%, 1/16/05 1,175,000 1,136,813
------------
1,751,063
------------
COMPUTER -- 1.6%
AST Research, Inc., Zero Coupon Bond,
12/14/13 ............................... 5,500,000 1,760,000
BBN Corp., 6.000%, 4/01/12 ............... 1,500,000 1,462,500
Cray Research, Inc., 6.125%, 2/01/11 ..... 550,000 435,188
MacNeal Schwendler Corp., 7.875%, 8/18/04. 500,000 452,500
Maxtor Corp., 5.75%, 3/01/12 ............. 3,100,000 2,108,000
Softkey International, Inc.,
5.500%, 11/01/00 ....................... 2,000,000 1,652,500
Streamlogic Corp., 14.000%, 10/07/98 ..... 139,169 139,169
Telxon Corp., 5.750%, 1/01/03 ............ 500,000 412,500
------------
8,422,357
------------
ELECTRONICS -- 0.8%
Cyrix Corp., 5.500%, 6/01/01 ............. 1,250,000 900,000
EDO Corp., 7.000%, 12/15/11 .............. 434,000 347,200
Integrated Device Technology, 5.500%,
6/01/02 ................................ 1,500,000 1,297,500
Park Electrochemical Corp.,
5.500%, 3/01/06 ........................ 250,000 221,875
Richardson Electronics, Ltd.,
7.250%, 12/15/06 ....................... 450,000 378,563
Zenith Corp., 6.250%, 4/01/11 ............ 1,500,000 1,110,000
------------
4,255,138
------------
ENTERTAINMENT -- 1.4%
Time Warner Inc., Zero Coupon Bond,
12/17/12 ............................... 19,900,000 7,487,375
------------
ENVIRONMENTAL SERVICES -- 0.6%
Air & Water Technologies, 8.000%, 5/15/15. 1,000,000 870,000
Ogden Corp., 6.000%, 6/01/02 ............. 500,000 477,500
Ogden Corp., 5.750%, 10/20/02 ............ 1,750,000 1,699,688
------------
3,047,188
------------
FOOD -- 0.7%
Burns Philip, 5.500%, 4/30/04 ............ 4,050,000 3,564,000
Chiquita Brands International, Inc.,
7.000%, 3/28/01 (c) .................... 450,000 405,000
------------
3,969,000
------------
FOREIGN ISSUER -- 3.1%
Advanced Agro Public Company, 3.500%,
6/17/01 ................................ 1,000,000 1,031,250
Banpu Public, 2.750%, 4/10/03 ............ 3,025,000 3,025,000
Empresas ICA Sociedad, 5.000%, 3/15/04 ... 2,500,000 1,737,500
Finance One, 2.000%, 8/31/01 ............. 4,625,000 4,197,188
Loxley, 2.500%, 4/04/01 .................. 3,250,000 3,217,500
Samsung Co., 0.250%, 6/26/06 ............. 1,750,000 1,743,438
Total Access Communications,
2.000%, 5/15/06 ........................ 1,500,000 1,573,125
------------
16,525,001
------------
HEALTH CARE & RELATED -- 0.3%
Chiron Corp., 1.900%, 11/17/00 (c) ....... 1,000,000 877,500
Glycomed, Inc. 7.500%, 1/01/03 ........... 900,000 783,000
Healthsource, Inc., 5.000%, 3/01/03 ...... 250,000 197,500
------------
1,858,000
------------
HOME BUILDERS -- 0.1%
Schuler Homes, Inc. 6.500%, 1/15/03 ...... 750,000 571,875
------------
MACHINERY -- 0.0%
Trinova Corp., 6.000%, 10/15/02 .......... 250,000 244,375
------------
OIL & GAS -- 0.1%
Lone Star, Technologies, Inc., 8.000%,
8/27/02 ................................ 100,000 90,000
Noram Energy Corp., 6.000%, 3/15/12 ...... 22,500 19,406
Oryx Energy Co., 7.500%, 5/15/14 ......... 500,000 485,000
------------
594,406
------------
REAL ESTATE -- 1.3%
Federal Realty Investors Trust, 5.250%,
10/28/03 ............................... 2,250,000 2,058,750
Meditrust, 7.500%, 3/01/01 ............... 750,000 824,063
Rockefeller Properties, Zero Coupon,
12/31/00 ............................... 7,000,000 4,182,500
------------
7,065,313
------------
RESTAURANT -- 0.5%
Flagstar Corp., 10.000%, 11/01/14 ........ 2,000,000 440,000
Shoney's, Inc., Zero Coupon, 4/11/04 ..... 4,250,000 1,827,500
------------
2,267,500
------------
SPECIALTY RETAIL -- 0.4%
CML Group, Inc., 5.500%, 1/15/03 ......... 844,000 607,680
General Host Corp., 8.000%, 2/15/02 ...... 1,000,000 730,000
Jacobson Stores, Inc.,
6.750%, 12/15/11 ....................... 290,000 211,700
Sunglass Hut
International, Inc., 5.250%, 6/15/03 ... 1,000,000 710,000
------------
2,259,380
------------
TECHNOLOGY -- 0.1%
Molten Metal
Technology, Inc., 5.500%, 5/01/06 ........ 1,000,000 675,000
------------
TEXTILE -- 0.3%
Dixie Yarns, Inc. 7.000%, 5/15/12 ........ 300,000 246,000
Fieldcrest Cannon, Inc.,
6.000%, 3/15/12 ........................ 1,620,000 1,227,150
------------
1,473,150
------------
TRUCK & LEASING -- 0.4%
Builders Transportation, Inc., 8.000%,
8/15/05 ................................ 1,000,000 600,000
Preston Corp., 7.000%, 5/01/11 ........... 750,000 525,000
Worldway, Corp., 6.250%, 4/15/11 ......... 1,463,000 877,800
------------
2,002,800
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $68,135,342) ................................ 70,416,384
------------
COMMON STOCKS -- 0.0%
Shares
------------
COMPUTERS -- 0.0%
Streamlogic Corp. .......................... 266,067 182,921
Streamlogic Corp. (Warrants) ............... 1,228 270
------------
183,191
------------
TOTAL COMMON STOCKS
(Identified Cost $415,729) ............................... 183,191
------------
PREFERRED STOCKS -- 3.4%
BANKS -- 1.1%
Bankamerica Corp. .......................... 19,300 1,809,375
Bank of Boston Corp. ....................... 11,700 953,550
Citicorp ................................... 25,000 2,346,875
First Chicago Corp. ........................ 7,500 708,750
HSBC Americas, Inc. ........................ 11,500 523,250
------------
6,341,800
------------
COMPUTERS -- 0.2%
Unisys Corp. ............................... 27,300 941,850
------------
ENTERTAINMENT -- 0.1%
Time Warner, Inc. (i) ...................... 268 289,105
------------
METALS -- 0.6%
Aluminum Company of America ................ 10,000 615,000
Bethleham Steel Corp. (c) .................. 72,050 2,719,888
------------
3,334,888
------------
OIL & GAS -- 0.1%
Kaneb Services, Inc. ....................... 500 4,750
McDermott, Inc. ............................ 14,500 391,500
Western Gas Resource, Inc. ................. 5,000 195,000
------------
591,250
------------
RETAIL -- 0.1%
K Mart Financing ........................... 10,000 487,500
------------
TRUCKING & FREIGHT -- 0.1%
Arkansas Best Corp. ........................ 20,000 477,500
------------
UTILITIES -- 1.1%
Central LA Electric, Inc. .................. 1,500 112,875
Commonwealth Energy Systems ................ 3,434 238,663
Connecticut Light & Power Co. .............. 2,925 55,575
Entergy Louisiana, Inc. .................... 2,600 140,400
Illinois Power Co. ......................... 200 9,000
Indianapolis Power & Light Co. ............. 476 25,704
Jersey Central Power & Light Co. ........... 570 30,495
Long Island Lighting Co. ................... 15,000 324,375
MDU Resources Group, Inc. .................. 4,820 406,085
Minnesota Power & Light Co. ................ 200 12,800
Nevada Power Co. ........................... 17,811 302,787
Niagara Mohawk Power Corp. ................. 5,000 250,000
Niagara Mohawk Power Corp. ................. 10,100 191,900
Niagara Mohawk Power Corp. ................. 10,000 248,750
Niagara Mohawk Power Corp. ................. 10,500 186,375
Niagara Mohawk Power Corp. ................. 161,800 3,195,550
Niagara Mohawk Power Corp. ................. 3,000 72,750
Northern States Power Co. .................. 700 34,650
Public Service Co. ......................... 360 20,646
Texas Utilities Electric Co. ............... 1,695 96,615
------------
5,955,995
------------
TOTAL PREFERRED STOCKS
(Identified Cost $17,879,480) ............ 18,419,888
------------
SHORT-TERM INVESTMENTS -- 0.7%
Face
Amount Value (a)
------------ ------------
Repurchase Agreement with State Street Bank &
Trust Co. dated 12/31/96 at 4.750% to be
repurchased at $3,612,953 on 1/02/97
collateralized by $3,645,000 U.S. Treasury
Note 5.875% due 10/31/98 with a value of
$3,685,073 ............................... $3,612,000 3,612,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $3,612,000) ........... 3,612,000
------------
TOTAL INVESTMENTS -- 98.0%
(Identified Cost $511,513,540) (b) ....... 530,384,859
Cash, Receivables and
Other Assets ........................... 16,481,757
Liabilities .............................. (5,622,803)
------------
TOTAL NET ASSETS -- 100% ................... $541,243,813
============
(a) See Notes 1A and 1B.
(b) At December 31, 1996 the net unrealized appreciation on investments
based on cost of $512,807,238 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost ........ $27,499,906
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value ........ (9,922,285)
-----------
Net unrealized appreciation ............................... $17,577,621
===========
(c) Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(d) Company filed for Chapter 11 Bankruptcy Non-income producing security.
(e) Step Bond: Coupon rate is zero or below market rate for an initial
period and then increases to a higher coupon rate at a specified date
and rate.
(f) Denominated in Canadian Dollar.
(g) Denominated in South African Rand.
(h) Denominated in New Zealand Dollar.
(i) Income may be received as additional securities.
See accompanying notes to financial statements.
LOOMIS SAYLES GLOBAL BOND FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
BONDS AND NOTES -- 97.7%
OF TOTAL NET ASSETS
Face
Currency Amount Value (a)
-------- --------- -----------
ARGENTINA -- 4.2%
Republic of Argentina, 5.250%, 3/31/23 (d) USD 1,750,000 $ 1,103,603
-----------
AUSTRALIA -- 4.9%
QTC Global Aud Bon, 8.000%, 9/14/07 ....... AUD 1,600,000 1,305,255
-----------
CANADA -- 7.0%
Government of Canada, 8.750%, 12/01/05 .... CAD 700,000 593,767
Province of British Columbia, Zero Coupon
Bond, 9/05/20 ............................ CAD 5,025,000 627,713
Province of Ontario, 8.100%, 9/08/23 ...... CAD 200,000 158,701
Province of Saskatchewan, 9.600%, 2/04/22 . CAD 525,000 482,019
-----------
1,862,200
-----------
DENMARK -- 3.9%
Denmark (Kingdom), 7.000%, 11/15/07 ....... DKK 6,000,000 1,034,641
-----------
GERMANY -- 9.3%
Bayer Vereinsbk, 6.000%, 1/23/06 .......... GER 1,000,000 651,299
Germany Unity, 8.000%, 1/21/02 ............ GER 1,500,000 1,108,929
Kreditanst Wierdarauf, 6.000%, 2/09/06 .... GER 1,100,000 716,357
-----------
2,476,585
-----------
GREAT BRITAIN -- 2.8%
Coats Viyella, 6.250%, 8/09/03 ............ PS 300,000 464,335
Republic of Austria, 9.00%, 7/22/04 ....... PS 141,000 260,345
-----------
724,680
-----------
IRELAND -- 3.4%
Irish Permanent BS, 8.500%, 7/15/04 ....... IP 200,000 370,107
Ulysses Securitisation, 7.625%, 8/18/06 ... IP 300,000 530,758
-----------
900,865
-----------
ITALY -- 5.3%
Eurofima, 7.700%, 2/02/04 ................. ITL 1,200,000,000 813,241
International Bank Reconstruction &
Development, 10.800%, 5/19/03 ........... ITL 750,000,000 587,327
-----------
1,400,568
-----------
JAPAN -- 8.1%
Mitsubishi Trust & Banking, 1.750%, 9/30/02 USD 500,000 401,250
Mitsubishi Trust & Banking, 3.250%, 9/30/03 USD 800,000 680,000
Sumitomo Trust & Banking, 1.750%, 3/31/02 . USD 1,300,000 1,062,750
-----------
2,144,000
-----------
NEW ZEALAND -- 3.9%
New Zealand, 8.000%, 11/15/06 ............. NZD 1,400,000 1,041,248
-----------
POLAND -- 4.0%
Government of Poland, 4.000%, 10/27/14 (d) USD 250,000 211,250
Government of Poland,
4.000%, 10/27/14 (d) (e) ................ USD 1,000,000 845,000
-----------
1,056,250
-----------
SOUTH AFRICA -- 6.8%
Escom, 11.000%, 6/01/08 ................... ZAR 6,000,000 938,925
Republic of South Africa, 12.000%, 2/28/05 ZAR 5,000,000 874,044
-----------
1,812,969
-----------
SPAIN -- 2.8%
Government of Spain, 8.800%, 4/30/06 ...... ESP 85,000,000 731,292
-----------
UNITED STATES -- 31.3%
Borden, Inc., 9.200%, 3/15/21 ............. USD 600,000 594,510
General Electric Capital Corp.,
9.550%, 8/25/03 ......................... ITL 750,000,000 552,734
Finance One, 2.000%, 8/31/01 .............. USD 500,000 453,750
K Mart Pass thru, 8.990%, 7/05/10 ......... USD 250,000 220,313
K Mart Pass thru, 9.350%, 1/02/20 ......... USD 350,000 301,000
K Mart Pass thru, 9.780%, 1/05/20 ......... USD 150,000 132,750
Loxley, 2.500%, 4/04/01 ................... USD 500,000 495,000
RJR Nabisco, 9.250%, 8/15/13 .............. USD 500,000 510,880
Sappi BVI Finance, 7.500%, 8/01/02 ........ USD 325,000 299,201
TCI Communications Inc., 7.875%, 2/15/26 .. USD 1,100,000 983,906
United States Treasury Bonds,
6.250%, 8/15/23 ......................... USD 300,000 281,250
United States Treasury Notes,
5.875%, 10/31/98 ........................ USD 2,000,000 1,999,680
United States Treasury Notes,
5.750%, 12/31/98 ........................ USD 1,000,000 997,660
United States Treasury Notes,
5.75%, 8/15/03 .......................... USD 500,000 485,000
------------
8,307,634
------------
TOTAL BONDS AND NOTES (Identified Cost $24,940,678) ........... 25,901,790
------------
SHORT-TERM INVESTMENT -- 3.2%
Face
Amount Value (a)
----------- ----------
Repurchase Agreement with State Street Bank
and Trust Co. dated 12/31/96 at 4.750% to
be repurchased at $848,224 on 1/02/97
collateralized by $875,000 U.S. Treasury
Note 4.750% due 10/31/98 with a value of
$866,281 ................................ $ 848,000 $ 848,000
------------
TOTAL SHORT-TERM INVESTMENT (Identified Cost $848,000) ........ 848,000
-----------
TOTAL INVESTMENTS -- 100.9%
(Identified Cost $25,788,678) (b) ............................. 26,749,790
Cash, Receivables and Other Assets (c) ........................ 714,719
Liabilities ................................................... (951,637)
-----------
TOTAL NET ASSETS -- 100% ........................................ $26,512,872
===========
FORWARD CURRENCY CONTRACTS OUTSTANDING
AT DECEMBER 31, 1996
<TABLE>
<CAPTION>
LOCAL AGGREGATE UNREALIZED
DELIVERY CURRENCY FACE TOTAL APPRECIATION/
DATE AMOUNT AMOUNT VALUE DEPRECIATION
---------- -------- -------- ---------- -------------
<S> <C> <C> <C> <C> <C>
Netherlands Guilder (sell) ......... 1/15/97 372,000 $218,438 $215,453 $ 2,985
Netherlands Guilder (sell) ......... 1/15/97 914,000 537,299 529,366 7,933
Netherlands Guilder (sell) ......... 3/27/97 757,000 436,790 440,521 (3,731)
Denmark Kroner (sell) .............. 2/28/97 597,000 103,449 103,603 (154)
Denmark Kroner (buy) ............... 2/28/97 597,000 104,222 103,603 (619)
------
$ 6,414
=======
(a) See Notes 1A and 1B.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments based on cost
for federal income tax purposes of $25,788,678 was as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost ....................................... $ 1,166,591
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value ....................................... (205,479)
------------
Net unrealized appreciation ............................................................. $ 961,112
============
(c) Including deposits in foreign currencies with a value of $175 and a cost of $168.
(d) Step Bond: Coupon rate is zero or below market rate for an initial period and then
increases to a higher coupon rate at a specified date and rate.
(e) Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in
transactions exempt from registration normally to qualified
institutional buyers.
</TABLE>
AUD = Australian Dollar ITL = Italian Lire
CAD = Canadian Dollar NZD = New Zealand Dollar
DKK = Danish Kroner USD = U.S. Dollar
GER = Deutsche Mark ZAR = South African Rand
IP = Irish Punt
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
BONDS AND NOTES -- 99.3%
OF TOTAL NET ASSETS
Face
Amount Value (a)
---------- ----------
GOVERNMENT AGENCIES -- 19.4%
Tennessee
Valley Authority, 8.625%, 11/15/29 ......... 2,572,000 $ 2,752,040
-----------
U.S. GOVERNMENT -- 79.9%
U.S. Treasury Strips,
Zero Coupon Bonds, 11/15/07 ................. 1,100,000 542,586
U.S. Treasury Bonds, 8.750%, 11/15/08 ......... 2,000,000 2,245,620
U.S. Treasury Bonds, 7.250%, 5/15/16 .......... 3,125,000 3,299,812
U.S. Treasury Bonds, 7.500%, 11/15/24 ......... 4,800,000 5,250,000
-----------
11,338,018
-----------
TOTAL BONDS and NOTES (Identified Cost $13,891,830) ......... 14,090,058
-----------
TOTAL INVESTMENTS -- 99.3%
(Identified Cost $13,891,830) (b) ........................... 14,090,058
Cash, Receivables and Other Assets .......................... 154,442
Liabilities ................................................. (52,383)
-----------
TOTAL NET ASSETS -- 100% ...................................... $14,192,117
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on
investments based on cost of $14,154,241 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost ....... $ 49,033
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value ....... (113,216)
------------
Net unrealized depreciation ............................... $ (64,183)
============
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES MUNICIPAL BOND FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
BONDS -- 95.3%
OF TOTAL NET ASSETS
Face
Amount Value (a)
------ ---------
ALASKA -- 1.1%
Alaska State Housing Finance Corp.,
6.600%, 12/01/15 ............................ $ 95,000 $ 98,772
---------
ARIZONA -- 1.8%
Phoenix Street and Highway User,
6.25%, 7/01/11 .............................. 150,000 158,916
---------
Face
Amount Value (a)
-------- ---------
CALIFORNIA -- 13.1%
California State, 6.20%, 9/01/06 .............. $100,000 $ 109,988
California State Department of Water Resources,
5.625%, 12/01/12 ............................ 100,000 101,686
California State Public Works Lease,
5.500%, 6/01/14 ............................. 300,000 297,993
Foothill Eastern Transportation Corridor,
6.000%, 1/01/16 ............................. 250,000 251,795
Foothill Eastern, Transportation Corridor,
Zero Coupon Bond, 1/01/23 ................... $500,000 $ 99,670
Fresno Sewer Revenue, 6.250%, 9/01/14 ......... 250,000 276,093
----------
1,137,225
----------
COLORADO -- 2.0%
El Paso County, Zero Coupon Bond, 9/01/15 ..... 500,000 171,660
----------
CONNECTICUT -- 3.6%
Connecticut State Resource Recovery Authority,
7.625%, 1/01/09 ............................. 200,000 206,372
Connecticut State Special Tax Obligation,
6.125%, 9/01/12 ............................. 100,000 108,032
----------
314,404
----------
DISTRICT OF COLUMBIA -- 2.6%
District of Columbia, 5.200%, 6/01/04 ......... 225,000 227,750
----------
FLORIDA -- 1.7%
Florida State Board of Education Capital Outlay,
5.750%, 6/01/15 ............................. 150,000 152,169
----------
HAWAII -- 2.2%
Honolulu Hawaii, 5.000%, 10/01/13 ............. 200,000 191,450
----------
ILLINOIS -- 12.6%
Chicago Illinois, 5.250%, 1/01/15 ............. 250,000 240,705
Chicago Metropolitan Water Reclamation,
5.950%, 12/01/07 ............................ 300,000 324,684
Chicago O'Hare International Airport,
5.625%, 1/01/13 ............................. 200,000 200,082
Chicago O'Hare International Airport,
5.000%, 1/01/16 ............................. 150,000 139,722
Illinois Development Finance Authority
Pollution Control, 7.250%, 6/01/11 .......... 25,000 27,030
Illinois State Sales Tax Revenue,
6.375%, 6/15/14 ............................. 150,000 160,944
---------
1,093,167
---------
LOUISIANA -- 2.5%
Regional Transportation Authority,
8.000%, 12/01/08 ............................ 200,000 217,074
----------
MASSACHUSETTS -- 9.0%
Commonwealth of Massachusetts,
5.125%, 11/01/11 ............................ 300,000 292,497
Commonwealth of Massachusetts Water
Pollution Control, 5.000%, 8/01/14 .......... 300,000 283,866
Plymouth County Certificates of Participation,
6.500%, 4/01/01 ............................. 200,000 211,574
----------
787,937
----------
MICHIGAN -- 4.0%
Detroit District State Aid, 5.25%, 5/01/09 .... 200,000 199,984
University of Michigan, 5.500%, 4/01/13 ....... 150,000 149,190
----------
349,174
----------
NEW JERSEY -- 3.5%
New Jersey State Turnpike Authority,
6.500%, 1/01/08 ............................. 200,000 220,866
New Jersey State Turnpike Authority,
6.500%, 1/01/16 ............................. 75,000 82,740
----------
303,606
----------
NEW YORK -- 11.3%
New York City, 7.000%, 8/01/98 ................ 5,000 5,159
New York State, 5.250%, 7/15/10 ............... 200,000 197,518
New York State, Certificates of Participation,
5.650%, 8/01/02 ............................. 160,000 163,504
New York State Dormitory Authority,
6.375%, 7/01/08 ............................. 200,000 208,518
New York State Environmental Pollution Control,
5.750%, 6/15/10 ............................. 250,000 262,193
New York Urban Development Corp.,
5.625%, 1/01/07 ............................. 150,000 150,527
---------
987,419
---------
NORTH CAROLINA -- 1.3%
North Carolina Eastern Municipal Power Agency,
7.250%, 1/01/07 ............................. 100,000 111,530
---------
PENNSYLVANIA -- 1.5%
Pennsylvania Finance Authority Revenue Bond,
6.600%, 11/01/09 ............................ 125,000 133,605
---------
PUERTO RICO -- 2.8%
Puerto Rico Electric Power Authority,
6.125%, 7/01/09 ............................. 225,000 239,900
----------
TENNESSEE -- 3.3%
Metropolitan Nashville Airport,
6.600%, 7/01/15 .............................. 30,000 32,647
Shelby County, 5.900%, 3/01/13 ................. 250,000 257,585
----------
290,232
----------
TEXAS -- 4.2%
Dallas, Fort Worth Regional Airport,
6.000%, 11/01/02 ............................. 100,000 106,731
Manor Texas Independent School District,
5.8000%, 8/01/11 ............................. 250,000 257,370
----------
364,101
----------
VERMONT -- 2.3%
Vermont State, 5.125%, 1/15/12 ................. 200,000 195,790
----------
WASHINGTON -- 4.2%
King County, 5.875%, 1/01/13 ................... 125,000 128,806
Washington State, 6.375%, 2/01/14 .............. 225,000 235,424
----------
364,230
----------
WISCONSIN -- 1.8%
Milwaukee County, 5.90%, 12/01/12 .............. 150,000 154,694
----------
WYOMING -- 2.9%
Platte County Pollution Control,
5.100%, 1/01/08 .............................. 250,000 $ 248,340
----------
TOTAL BONDS (Identified Cost $8,049,313) ..................... 8,293,145
----------
SHORT-TERM INVESTMENT -- 3.5%
Repurchase agreement with State Street Bank & Trust
Co., dated 12/31/96 at 4.75% to be repurchased at
$301,079 on 1/2/97 collateralized by $315,000 U.S.
Treasury Note 4.75% due 10/31/98 with a value
of $311,861 .................................... 301,000 301,000
----------
TOTAL SHORT-TERM INVESTMENT (Identified Cost $301,000) ....... 301,000
----------
TOTAL INVESTMENTS -- 98.8%
(Identified Cost $8,350,313) (b) ............................. 8,594,145
Cash, Receivables and Other Assets ........................... 152,536
Liabilities .................................................. (45,533)
----------
TOTAL NET ASSETS -- 100% ....................................... $8,701,148
==========
(a) See Notes 1A and 1B.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost of $8,350,313 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost ............................................... $ 272,828
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value ............................................. (28,996)
----------
Net unrealized appreciation ............................... $ 243,832
==========
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES SHORT-TERM BOND FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
BONDS AND NOTES -- 98.5%
OF TOTAL NET ASSETS
Face
Amount Value (a)
---------- ----------
AEROSPACE -- 4.2%
Lockheed Corp., 5.875%, 3/15/98 ................. $ 200,000 $ 199,820
Lockheed Martin Corp., 6.550%, 5/15/99 .......... 570,000 573,386
----------
773,206
----------
AIRLINES -- 4.5%
Delta Air Lines, Inc. 7.790%, 12/01/98 .......... 800,000 816,568
----------
BANKS -- 8.0%
Capital One Bank, 6.830%, 5/17/99 ............... 560,000 562,470
Household Bank FSB, 6.250%, 4/01/99 ............. 900,000 899,703
----------
1,462,173
----------
COMPUTER EQUIPMENT -- 3.6%
Comdisco, Inc., 5.760%, 1/19/99 ................. 670,000 663,401
----------
FINANCE -- 9.6%
Chrysler Financial Corp., 6.500%, 6/15/98 ....... 200,000 201,226
Fleetwood Credit Grantor Trust, 6.900%, 3/15/12 . 568,623 576,959
Great Western Financial Corp., 6.125%, 6/15/98 .. 605,000 604,927
World Omni Automobile Lease 6.550%, 6/25/02 ..... 370,000 371,735
----------
1,754,847
----------
FOOD & BEVERAGE -- 2.8%
RJR Nabisco, Inc., 8.625%, 12/01/02 ............. 500,000 510,370
----------
GOVERNMENT AGENCY -- 2.8%
Federal National Mortgage Association,
7.000%, 12/01/11 .............................. 288,439 288,078
Federal National Mortgage Association,
7.000%, 12/01/11 .............................. 220,000 219,725
----------
507,803
----------
MEDIA & ENTERTAINMENT -- 4.2%
Time Warner, Inc. 7.450%, 2/01/98 ............... 545,000 551,000
Time Warner, Inc. 7.950%, 2/01/00 ............... 200,000 206,538
----------
757,538
----------
MISCELLANEOUS -- 3.4%
News America Holdings, Inc. 9.125%, 10/15/99 .... 400,000 426,816
Oasis Residential, Inc., 7.000%, 11/15/03 ....... 200,000 197,732
----------
624,548
----------
RETAIL -- 3.3%
Federated Department Stores, Inc.,
8.500%, 6/15/03 ............................... 560,000 586,410
----------
SECURITIES -- 11.4%
Lehman Brothers Holdings, Inc., 6.375%, 6/01/98 . 625,000 625,438
Salomon Brothers, Inc., 7.125%, 8/01/99 ......... 450,000 455,049
Smith Barney Holdings, Inc., 5.500%, 1/15/99 .... 990,000 976,694
----------
2,057,181
----------
TECHNOLOGY -- 1.4%
Tektronix, Inc., 7.625%, 8/15/02 ................ 250,000 257,000
----------
TELECOMMUNICATIONS -- 3.0%
TCI Communications, 7.250%, 6/15/99 ............. 550,000 551,551
----------
UTILITIES -- 6.5%
Detroit Edison Co., 6.340%, 3/15/00 ............. 670,000 664,131
El Paso Electric Co., 7.250%, 2/01/99 ........... 520,000 518,721
----------
1,182,852
----------
U.S. GOVERNMENT -- 29.9%
United States Treasury Notes, 5.125%, 3/31/98 ... 1,550,000 1,539,582
United States Treasury Notes, 6.750%, 6/30/99 ... 760,000 773,422
United States Treasury Notes, 6.875%, 8/31/99 ... 1,200,000 1,225,128
United States Treasury Notes, 6.250%, 2/15/03 ... 1,250,000 1,248,438
United States Treasury Notes, 6.500%, 8/15/05 ... 650,000 654,167
-----------
5,440,737
-----------
TOTAL BONDS AND NOTES (Identified Cost $17,871,580) .......... 17,946,185
-----------
TOTAL INVESTMENTS -- 98.5%
(Identified Cost $17,871,580) (b) .......................... 17,946,185
Cash, Receivables and Other Assets ......................... 332,915
Liabilities ................................................ (50,433)
-----------
TOTAL NET ASSETS -- 100% ..................................... $18,228,667
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1996 the net unrealized appreciation on investments
based on cost of $17,871,580 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost ..... $ 111,051
Aggregate gross unrealized depreciation for all investments
in which thee is an excess of tax cost over value ...... (36,446)
-----------
Net unrealized appreciation ............................... $ 74,605
===========
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES HIGH YIELD FUND
- -------------------------------------------------------------------------------
INVESTMENTS -- as of December 31, 1996
BONDS AND NOTES -- 89.8%
OF TOTAL NET ASSETS
Face
Amount Value (a)
---------- ---------
NON-CONVERTIBLE BONDS -- 53.7%
AEROSPACE -- 2.4%
Rohr Industries, Inc., 9.250%, 3/01/17 .......... $50,000 $ 45,750
----------
CANADIAN -- 2.6%
Rogers Cablesystems, Ltd. 9.650%, 1/15/14 (c)..... 70,000 49,927
----------
COMMUNICATION SERVICES -- 5.6%
Arch Communications Group, Zero Coupon Bond,
3/15/08 (e) ................................... 100,000 57,000
Century Communications Corp., Zero Coupon Bond,
3/15/03 ....................................... 90,000 50,850
----------
107,850
----------
COMPUTER HARDWARE -- 7.0%
Apple Computer, Inc., 6.500%, 2/15/04 ........... 55,000 47,850
Digital Equipment Corp., 7.750%, 4/01/23 ........ 50,000 42,883
Unisys Corp., 9.750%, 9/15/16 ................... 50,000 46,500
----------
137,233
----------
FOOD & BEVERAGE -- 2.6%
Borden, Inc., 9.200%, 3/15/21 ................... 50,000 49,543
----------
FOREIGN DENOMINATED -- 2.2%
Escom, 11.000%, 6/01/08 (f) ..................... 275,000 43,034
----------
FOREIGN ISSUER -- 5.8%
Grupo Televisa S.A. de CV, Zero Coupon,
5/15/08 (d)(e) ................................ 20,000 13,250
Petroleos Mexicanos, Medium,
8.625%, 12/01/23 (d) .......................... 70,000 56,700
Republic of Argentina, 6.625%, 3/31/05 .......... 49,000 42,600
----------
112,550
----------
RETAIL -- 5.8% K Mart Funding Corp.,
9.440%, 7/01/18 ................................. 50,000 44,000
K Mart Corp., 7.950%, 2/01/23 ................... 35,000 28,613
Penn Traffic Co., 9.625%, 4/15/05 ............... 70,000 39,200
----------
111,813
----------
RESTAURANTS -- 1.2%
Flagstar Corp., 11.250%, 11/01/04 ............... 60,000 23,400
----------
STEEL -- 2.7%
Geneva Steel Co., 9.500%, 1/15/04 ............... 65,000 53,138
----------
TELECOMMUNICATIONS -- 9.3%
Nextel Communications, Zero Coupon Bond,
8/15/04 (e) ................................... 80,000 54,600
Sprint Spectrum L.P., Zero Coupon, 8/15/06 (e) .. 75,000 51,188
TCI Communications, Inc., 7.875%, 2/15/26 ....... 85,000 76,029
----------
181,817
----------
TRUCK & LEASING -- 2.3%
Builders Transportation Inc., 8.000%, 8/15/05 ... 75,000 45,000
----------
UTILITIES -- 4.2%
Beaver Valley Funding Corp., 9.000%, 6/01/17 .... 30,000 28,650
Niagara Mohawk Power Corp., 8.750%, 4/01/22 ..... 55,000 52,097
----------
80,747
----------
TOTAL NON-CONVERTIBLE BONDS (Identified Cost $1,067,181) ... 1,041,802
----------
CONVERTIBLE BONDS -- 36.1%
AUTO PARTS -- 0.8%
Exide Corp., 2.900%, 12/15/05 ................... 25,000 14,813
----------
CANADIAN -- 1.9%
Rogers Communications, Inc.,
2.000%, 11/26/05 (c) .......................... 65,000 36,400
----------
COMPUTER HARDWARE & PERIPHERALS -- 1.0%
AST Research, Inc., Zero Coupon Bond, 12/14/13 .. 60,000 19,200
----------
COMPUTER SOFTWARE & SERVICES -- 6.8%
MacNeal Schwendler Corp., 7.875%,8/18/04 ........ 55,000 49,775
Softkey International, Inc., 5.500%, 11/01/00 ... 100,000 82,625
----------
132,400
----------
ELECTRONICS -- 3.3%
EDO Corp., 7.000%, 12/15/11 ..................... 25,000 20,000
Integrated Device Technology, 5.500%, 6/01/02 ... 50,000 43,250
----------
63,250
----------
FOOD -- 2.3%
Chiquita Brands International,
7.000%, 3/28/01 (d) ............................ 50,000 45,000
----------
FOREIGN ISSUER -- 7.9%
Advanced Agro Public Co., 3.500% ................. 50,000 51,563
Banpu Public,2.750%, 4/10/03 ..................... 25,000 25,000
Empresas ICA Sociedad, 5.000%, 3/15/04 ........... 75,000 52,125
Loxley, 2.500%, 4/04/01 .......................... 25,000 24,750
----------
153,438
----------
HOME BUILDERS -- 0.8%
Schuler Homes, Inc., 6.500%, 1/15/03 ............. 20,000 15,250
----------
MISCELLANEOUS -- 0.9%
Veterinary Centers America, Inc.,
5.250%, 5/01/06 ................................ 25,000 17,125
----------
RESTAURANT -- 2.2%
Shoney's, Inc., Zero Coupon Bond, 4/11/04 ........ 100,000 43,000
----------
SPECIALTY RETAIL -- 5.7%
CML Group, Inc., 5.500%, 1/15/03 ................. 65,000 46,800
Lechters, 5.000%, 9/27/01 ........................ 50,000 31,500
Sunglass Hut International, Inc.,
5.250%, 6/15/03 ................................ 45,000 31,950
----------
110,250
----------
TEXTILE -- 1.0%
Fieldcrest Cannon, Inc., 6.000%, 3/15/12 ......... 25,000 18,933
----------
TRUCK & LEASING -- 1.5%
Worldway Corp., 6.250%, 4/15/11 .................. 50,000 30,000
----------
TOTAL CONVERTIBLE BONDS (Identified Cost $659,577) ....... 699,059
----------
COMPUTER SOFTWARE & SERVICES -- 0.5%
Learning Company, Inc. ........................... 720 10,350
----------
TOTAL COMMON STOCKS (Identified Cost $11,833) ............. 10,350
----------
PREFERRED STOCKS -- 6.0%
COMPUTERS -- 1.8%
Unisys Corp. ..................................... 1,000 34,500
----------
METALS -- 2.0%
Bethleham Steel Corp. (d) ........................ 1,000 37,750
----------
TRUCKING & FREIGHT -- 1.2%
Arkansas Best Corp. .............................. 1,000 23,875
----------
UTILITIES -- 1.0%
Niagara Mohawk Power Corp. ....................... 1,000 19,750
----------
TOTAL PREFERRED STOCKS (Identified Cost $124,091) ........ 115,875
----------
TOTAL INVESTMENTS -- 96.3%
(Identified Cost $1,862,682) (b) ......................... 1,867,086
Cash, Receivables and Other Assets ....................... 139,292
Liabilities .............................................. (67,488)
----------
TOTAL NET ASSETS -- 100% ................................... $1,938,890
==========
(a) See Note 1A.
(b) At December 31, 1996 the net unrealized appreciation on investments
based on cost of $1,862,682 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost ... $ 55,456
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value ... (51,052)
----------
Net unrealized appreciation ............................ $ 4,404
==========
(c) Denominated in Canadian Dollars
(d) Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(e) Step Bond: Coupon Rate is zero or below market rate for an initial
period and then increases to a higher coupon rate at a specified date
and rate.
(f) Denominated in South African Rand.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- ------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 1996
International
Growth Core Value Small Cap Value Equity
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
ASSETS
Investments at value:
Securities ............................... $38,131,282 $43,583,221 $156,051,167 $88,589,224
Repurchase agreements .................... 0 0 6,366,000 2,454,000
----------- ----------- ------------ -----------
Total investments .......................... 38,131,282 43,583,221 162,417,167 91,043,224
Cash ....................................... 3,355 70,886 8,503 625
Foreign currency at value .................. 0 0 0 229,676
Receivable for:
Shares of the Fund sold .................. 11,013 8,016 1,271,679 5,047
Securities sold .......................... 2,033,679 231,976 819,635 0
Forward currency contracts -- net ........ 0 0 0 0
Dividends and interest -- net ............ 23,631 79,807 167,268 46,082
Foreign tax reclaim -- net ............... 0 2,802 0 13,695
Due from the adviser (Note 3B) ............. 0 0 0 0
Other assets ............................... 11,723 11,889 12,691 11,890
Unamortized organization
expenses (Note 1H) ....................... 0 0 0 0
----------- ----------- ------------ -----------
40,214,683 43,988,597 164,696,943 91,350,239
----------- ----------- ------------ -----------
LIABILITIES
Payable for:
Securities purchased ..................... 233,316 147,229 92,411 124,297
Shares of the Fund redeemed .............. 16,550 10,611 362,584 12,531
Foreign taxes ............................ 0 1,260 0 549
Dividends declared ....................... 49,899 50,296 434,998 388,222
Miscellaneous liabilities .................. 361,299 0 0 0
Accrued expenses:
Management fees (Note 3A) ................ 24,218 27,573 124,632 76,030
Trustees' fees (Note 3E) ................. 1,250 1,250 1,250 1,250
Accounting and
administration (Note 3D) ............... 751 751 751 751
Other expenses ........................... 30,489 34,172 55,449 84,174
----------- ----------- ------------ -----------
717,772 273,142 1,072,075 687,804
----------- ----------- ------------ -----------
NET ASSETS ................................... $39,496,911 $43,715,455 $163,624,868 $90,662,435
=========== =========== ============ ===========
Net Assets consist of:
Capital paid in .......................... $31,549,655 $34,131,817 $139,029,445 $79,214,117
Undistributed (or Distribution in
excess of) net investment income ....... 11,723 17,869 67,474 25,444
Accumulated net realized
gains (losses) ......................... 1,109,295 977,833 2,076,948 1,326,961
Unrealized appreciation on:
Investments ............................ 6,826,238 8,587,936 22,451,001 10,096,248
Foreign currency transactions .......... 0 0 0 (335)
----------- ----------- ------------ -----------
NET ASSETS ................................... $39,496,911 $43,715,455 $163,624,868 $90,662,435
=========== =========== ============ ===========
Shares of beneficial interest
outstanding, no par value (Note 1) ......... 2,938,173 2,801,661 9,406,474 6,890,021
=========== =========== ============ ===========
Computation of offering price:
Net asset value and redemption price per share
(Net assets / shares of beneficial
interest outstanding) .................... $13.44 $15.60 $17.39 $13.16
=========== =========== ============ ===========
Identified cost of investments ............... $31,305,044 $34,995,285 $139,966,166 $80,946,976
=========== =========== ============ ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- --------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 1996
Global U.S. Government
Worldwide Bond Bond Securities
---------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
ASSETS
Investments at value:
Securities ............................... $5,001,075 $526,772,859 $25,901,790 $14,090,058
Repurchase agreements .................... 173,000 3,612,000 848,000 0
---------- ------------ ----------- -----------
Total investments .......................... 5,174,075 530,384,859 26,749,790 14,090,058
Cash ....................................... 359 2,446 398 27,138
Foreign currency at value .................. 7 0 175 0
Receivable for:
Shares of the Fund sold .................. 11 6,381,876 29,688 81
Securities sold .......................... 0 0 0 0
Forward currency contracts -- net ........ 0 0 6,414 0
Dividends and interest -- net ............ 60,283 10,083,467 666,215 127,223
Foreign tax reclaim -- net
834 0 0 0
Due from the adviser (Note 3B) ............. 24,517 0 0 0
Other assets ............................... 11,907 13,968 11,829 0
Unamortized organization
expenses (Note 1H) ....................... 6,573 0 0 0
---------- ------------ ----------- -----------
5,278,566 546,866,616 27,464,509 14,244,500
---------- ------------ ----------- -----------
LIABILITIES
Payable for:
Securities purchased ..................... 50,834 2,003,221 663,844 0
Shares of the Fund redeemed .............. 0 1,512,794 49,944 2,302
Foreign taxes ............................ 0 0 0 0
Dividends declared ....................... 0 1,709,750 176,226 4,942
Accrued expenses:
Management fees (Note 3A) ................ 0 273,407 25,894 15,531
Trustees' fees (Note 3E) ................. 1,250 1,250 1,250 1,250
Accounting and
administration (Note 3D) ............... 751 751 751 751
Other expenses ........................... 36,238 121,630 33,728 27,607
---------- ------------ ----------- -----------
89,073 5,622,803 951,637 52,383
---------- ------------ ----------- -----------
NET ASSETS ................................... $5,189,493 $541,243,813 $26,512,872 $14,192,117
========== ============ =========== ===========
Net Assets consist of:
Capital paid in .......................... $4,894,786 $520,882,065 $26,264,705 $15,292,972
Undistributed (or Distribution in
excess of) net investment income ...... 12,271 537,972 (34,950) (4,942)
Accumulated net realized
gains (losses) ......................... (10,115) 961,804 (670,657) (1,294,141)
Unrealized appreciation on:
Investments ............................ 292,711 18,871,319 961,112 198,228
Foreign currency transactions .......... (160) (9,347) (7,338) 0
---------- ------------ ----------- -----------
NET ASSETS ................................... $5,189,493 $541,243,813 $26,512,872 $14,192,117
========== ============ =========== ===========
Shares of beneficial interest
outstanding, no par value (Note 1) ......... 488,180 43,707,558 2,147,126 1,407,580
========== ============ =========== ===========
Computation of offering price:
Net asset value and redemption price per share
(Net assets / shares of beneficial
interest outstanding) .................... $10.63 $12.38 $12.35 $10.08
========== ============ =========== ===========
Identified cost of investments ............... $4,881,364 $511,513,540 $25,788,678 $13,891,830
========== ============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- ----------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 1996
Municipal Short-Term
Bond Bond High Yield
---------- ----------- ----------
<S> <C> <C> <C>
ASSETS
Investments at value:
Securities ................................. $8,293,145 $17,946,185 $1,867,086
Repurchase agreements ...................... 301,000 0 0
---------- ----------- ----------
Total investments ............................ 8,594,145 17,946,185 1,867,086
Cash ......................................... 614 30,644 38,946
Foreign currency at value .................... 0 0 0
Receivable for:
Shares of the Fund sold .................... 0 30,957 10
Dividends and interest -- net .............. 142,305 258,498 39,570
Due from the adviser (Note 3B) ............... 9,617 0 30,219
Other assets ................................. 0 11,924 11,907
Unamortized organization expenses (Note 1H) .. 0 892 18,640
---------- ----------- ----------
8,746,681 18,279,100 2,006,378
---------- ----------- ----------
LIABILITIES
Payable for:
Shares of the Fund redeemed ................ 0 77 31,939
Foreign taxes
Dividends declared ......................... 14,398 7,655 2,947
Accrued expenses:
Management fees (Note 3A) .................. 0 6,916 0
Trustees' fees (Note 3E) ................... 1,250 1,250 1,250
Accounting and administration (Note 3D) .... 751 751 751
Other expenses ............................. 29,134 33,784 30,601
---------- ----------- ----------
45,533 50,433 67,488
---------- ----------- ----------
NET ASSETS ..................................... $8,701,148 $18,228,667 $1,938,890
========== =========== ==========
Net Assets consist of:
Capital paid in ............................ $8,430,954 $18,567,851 $1,925,543
Undistributed (or Distribution in excess of)
net investment income .................... 3,777 10,736 8,960
Accumulated net realized gains (losses) .... 22,585 (424,525) 0
Unrealized appreciation on:
Investments .............................. 243,832 74,605 4,404
Foreign currency transactions ............ 0 0 (17)
---------- ----------- ----------
NET ASSETS ..................................... $8,701,148 $18,228,667 $1,938,890
========== =========== ==========
Shares of beneficial interest outstanding, no
par value (Note 1) ........................... 770,833 1,879,790 191,794
========== =========== ==========
Computation of offering price:
Net asset value and redemption price per share
(Net assets / shares of beneficial interest
outstanding) ............................... $11.29 $9.70 $10.11
========== =========== ==========
Identified cost of investments ................. $8,350,313 $17,871,580 $1,862,682
========== =========== ==========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- ---------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS -- For the Year Ended December 31, 1996
Small Cap International
Growth Core Value Value Equity Worldwide
---------- ---------- ----------- ----------- ---------
INVESTMENT INCOME
<S> <C> <C> <C> <C> <C>
Dividends* .................................. $ 245,915 $ 941,314* $ 1,548,672 $ 1,882,896* $ 36,623*
Interest .................................... 20,973 75,436 690,304 133,314 138,214
---------- ---------- ----------- ----------- --------
266,888 1,016,750 2,238,976 2,016,210 174,837
---------- ---------- ----------- ----------- --------
Expenses
Management fees (Note 3A) ................. 318,602 297,001 1,125,160 848,205 23,335
Trustees' fees and expenses (Note 3E) ..... 6,038 6,038 6,038 6,038 4,120
Accounting and administrative fees
(Note 3D) ............................... 9,730 9,730 9,730 9,730 6,205
Custodian ................................. 49,937 52,062 89,141 247,586 30,150
Transfer agent ............................ 26,541 27,722 47,754 30,976 12,164
Audit and tax services .................... 16,370 16,370 16,370 16,370 15,579
Legal ..................................... 11,090 11,090 11,090 11,090 9,085
Printing .................................. 2,832 3,119 9,412 4,405 52
Registration .............................. 21,275 21,534 21,606 22,028 8,767
Amortization of organization
expenses (Note 1H) ...................... 1,795 1,743 1,743 1,795 5,901
Miscellaneous ............................. 3,385 1,274 1,882 1,684 390
---------- ---------- ----------- ----------- --------
467,595 447,683 1,339,926 1,199,907 115,748
---------- ---------- ----------- ----------- --------
Less expenses assumed by the investment
adviser (Note 3B) ....................... 0 0 0 0 (84,635)
---------- ---------- ----------- ----------- --------
Net investment income (loss)
(200,707) 569,067 899,050 816,303 143,724
---------- ---------- ----------- ----------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Realized gain (loss) on:
Investments -- net ........................ 10,636,248 4,564,278 17,761,764 7,196,095 (11,121)
Foreign currency transactions -- net ...... 0 0 0 (2,186,541) 4,393
---------- ---------- ----------- ----------- --------
Total realized gain (loss) on
investments and foreign currency
transactions ............................ 10,636,248 4,564,278 17,761,764 5,009,554 (6,728)
---------- ---------- ----------- ----------- --------
Unrealized appreciation (depreciation) on:
Investments -- net ........................ (2,736,567) 2,599,063 12,441,612 8,437,464 292,711
Foreign currency transactions -- net ...... 0 0 0 (5,261) (160)
---------- ---------- ----------- ----------- --------
Total unrealized appreciation
(depreciation) on investments and
foreign currency transactions ........... (2,736,567) 2,599,063 12,441,612 8,432,203 292,551
---------- ---------- ----------- ----------- --------
Net gain (loss) on investments and
foreign currency transactions ............. 7,899,681 7,163,341 30,203,376 13,441,757 285,823
---------- ---------- ----------- ----------- --------
NET INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS ...................... $7,698,974 $7,732,408 $31,102,426 $14,258,060 $429,547
========== ========== =========== =========== ========
*Net of foreign withholding taxes of $8,855, $274,595, and $3,013 for the Core Value, International Equity and Worldwide
Funds, respectively.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- ------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS -- For the Year Ended December 31, 1996
U.S.
Global Government Municipal Short-Term
Bond Bond Securities Bond Bond High Yield
----------- ---------- ----------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends .............. $ 1,316,555 $ 0 $ 0 $ 0 $ 0 $ 178
Interest ............... 30,527,066 1,255,228 1,568,353 453,700 1,346,804 40,522
----------- ---------- ---------- -------- ---------- -------
31,843,621 1,255,228 1,568,353 453,700 1,346,804 40,700
----------- ---------- ---------- -------- ---------- -------
Expenses
Management fees
(Note 3A) .......... 2,205,461 119,648 130,189 48,518 100,693 2,544
Trustees' fees and
expenses (Note 3E) . 6,038 6,038 6,038 6,038 6,038 2,699
Accounting and
administrative
fees (Note 3D) ..... 9,730 9,730 9,730 9,730 9,730 2,234
Custodian ............ 182,514 59,047 38,749 47,866 45,534 12,271
Transfer agent ....... 190,212 22,289 21,122 20,248 24,236 6,517
Audit and tax services 16,370 31,670 16,370 16,370 16,370 14,000
Legal ................ 11,090 11,090 11,090 11,090 11,090 2,700
Printing ............. 39,073 1,121 959 675 1,250 46
Registration ......... 73,369 19,680 20,689 23,473 18,746 2,190
Amortization of
organization
expenses (Note 1H) . 1,795 1,785 1,846 1,928 1,546 5,943
Miscellaneous ........ 3,808 1,053 1,122 711 1,140 0
----------- ---------- ---------- -------- ---------- -------
2,739,460 283,151 257,904 186,647 236,373 51,144
Less expenses assumed
by the investment
adviser (Note 3B) .. 0 (43,855) (40,922) (105,784) (34,987) (47,964)
----------- ---------- ---------- -------- ---------- -------
Net investment income .. 29,104,161 1,015,932 1,351,371 372,837 1,145,418 37,520
----------- ---------- ---------- -------- ---------- -------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Realized gain (loss) on:
Investments -- net ... 9,916,047 592,117 (716,728) 54,589 (48,327) 0
Foreign currency
transactions -- net 14,349 256,616 0 0 0 (36)
----------- ---------- ---------- -------- ---------- -------
Total realized gain
(loss) on investments
and foreign currency
transactions ....... 9,930,396 848,733 (716,728) 54,589 (48,327) (36)
----------- ---------- ---------- -------- ---------- -------
Unrealized appreciation
(depreciation) on:
Investments -- net ... 1,541,729 478,651 (437,793) (147,252) (248,733) 4,404
Foreign currency
transactions -- net (4,455) 25,112 0 0 0 (17)
----------- ---------- ---------- -------- ---------- -------
Total unrealized
appreciation
(depreciation) on
investments and foreign
currency transactions 1,537,274 503,763 (437,793) (147,252) (248,733) 4,387
----------- ---------- ---------- -------- ---------- -------
Net gain (loss) on
investments and
foreign currency
transactions ......... 11,467,670 1,352,496 (1,154,521) (92,663) (297,060) 4,351
----------- ---------- ---------- -------- ---------- -------
NET INCREASE (DECREASE) IN
NET ASSETS FROM OPERATIONS $40,571,831 $2,368,428 $ 196,850 $280,174 $ 848,358 $41,871
=========== ========== ========== ======== ========== =======
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- -----------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
Growth Core Value
----------------------------- -----------------------------
Year Ended December 31, Year Ended December 31,
----------------------------- -----------------------------
1996 1995 1996 1995
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss) $ (200,707) $ (123,890) $ 569,067 $ 521,147
Net realized gain (loss) on
investments ..................... 10,636,248 4,581,895 4,564,278 3,594,928
Unrealized appreciation
(depreciation) on
investments ..................... (2,736,567) 6,679,650 2,599,063 5,292,649
----------- ----------- ----------- -----------
Increase (decrease) in net
assets from operations ........ 7,698,974 11,137,655 7,732,408 9,408,724
----------- ----------- ----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ............. 0 0 (559,278) (513,067)
Net realized gain on investments .. (10,947,610) (3,016,659) (4,547,630) (2,633,743)
----------- ----------- ----------- -----------
(10,947,610) (3,016,659) (5,106,908) (3,146,810)
----------- ----------- ----------- -----------
FROM CAPITAL SHARES TRANSACTIONS
Proceeds from the sale of shares .. 8,655,405 6,743,238 8,135,687 9,763,336
Net asset value of shares issued in
connection with the reinvestment of:
Dividends from net investment
income ........................ 0 0 539,962 498,057
Distributions from net realized
gain on investments ........... 10,831,597 2,999,240 4,435,655 2,571,637
----------- ----------- ----------- -----------
19,487,002 9,742,478 13,111,304 12,833,030
Cost of shares redeemed ........... (21,752,227) (9,432,496) (8,486,645) (8,575,637)
----------- ----------- ----------- -----------
Increase (decrease) in net assets
derived from capital share
transactions .................... (2,265,225) 309,982 4,624,659 4,257,393
----------- ----------- ----------- -----------
Total increase (decrease) in net
assets ........................ (5,513,861) 8,430,978 7,250,159 10,519,307
NET ASSETS
Beginning of the period ........... 45,010,772 36,579,794 36,465,296 25,945,989
----------- ----------- ----------- -----------
End of the period ................. $39,496,911 $45,010,772 $43,715,455 $36,465,296
=========== =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
Beginning of the period ........... $ 0 $ 0 $ 8,080 $ 7,159
=========== =========== =========== ===========
End of the period ................. $ 11,723 $ 0 $ 17,869 $ 8,080
=========== =========== =========== ===========
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares .... 544,697 455,569 529,829 685,323
Issued in connection with the
reinvestment of:
Dividends from net investment
income ........................ 0 0 34,377 34,349
Distributions from net realized
gain on investments .......... 781,186 197,448 282,963 177,354
----------- ----------- ----------- -----------
1,325,883 653,017 847,169 897,026
Redeemed .......................... (1,336,333) (630,949) (548,491) (592,596)
----------- ----------- ----------- -----------
Net change ........................ (10,450) 22,068 298,678 304,430
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- -----------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
Small Cap Value International Equity
------------------------------ -----------------------------
Year Ended December 31, Year Ended December 31,
------------------------------ -----------------------------
1996 1995 1996 1995
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss) ............ $ 899,050 $ 239,916 $ 816,303 $ 910,017
Net realized gain (loss) on:
Investments ........................... 17,761,764 11,656,271 7,196,095 594,383
Foreign currency transations .......... 0 0 (2,186,541) 4,270,563
Unrealized appreciation (depreciation) on:
Investments ........................... 12,441,612 11,080,439 8,437,464 226,437
Foreign currency transactions ......... 0 0 (5,261) 249
------------ ----------- ----------- -----------
Increase (decrease) in net
assets from operations ............. 31,102,426 22,976,626 14,258,060 6,001,649
------------ ----------- ----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ................... (847,132) (224,360) (566,307) (910,769)
Net realized gain on investments ........ (18,423,872) (8,478,430) (3,500,683) (5,260,890)
------------ ----------- ----------- -----------
(19,271,004) (8,702,790) (4,066,990) (6,171,659)
------------ ----------- ----------- -----------
FROM CAPITAL SHARES TRANSACTIONS
Proceeds from the sale of shares .. ..... 79,316,546 29,603,453 11,920,606 18,394,310
Net asset value of shares issued in
connection with the reinvestment of:
Dividends from net investment income .. 724,414 189,254 386,808 650,344
Distributions from net realized
gain on investments ................. 17,546,781 8,261,382 2,918,686 4,560,342
------------ ----------- ----------- -----------
97,587,741 38,054,089 15,226,100 23,604,996
Cost of shares redeemed ................. (36,249,230) (34,998,594) (14,242,945) (17,135,420)
------------ ----------- ----------- -----------
Increase (decrease) in net assets derived
from capital share transactions ....... 61,338,511 3,055,495 983,155 6,469,576
------------ ----------- ----------- -----------
Total increase (decrease) in net assets 73,169,933 17,329,331 11,174,225 6,299,566
NET ASSETS
Beginning of the period ................. 90,454,935 73,125,604 79,488,210 73,188,644
------------ ----------- ----------- -----------
End of the period ....................... $163,624,868 $90,454,935 $90,662,435 $79,488,210
============ =========== =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
Beginning of the period ................. $ 15,556 $ 0 $ 26,969 $ 30,955
============ =========== =========== ===========
End of the period ....................... $ 67,474 $ 15,556 $ 25,444 $ 26,969
============ =========== =========== ===========
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares .......... 4,541,136 1,963,189 960,299 1,461,365
Issued in connection with the
reinvestment of:
Dividends from net investment income .. 42,007 12,525 29,706 56,064
Distributions from net realized
gain on investments ................. 1,015,703 546,749 223,502 393,133
------------ ----------- ----------- -----------
5,598,846 2,522,463 1,213,507 1,910,562
Redeemed ................................ (2,093,985) (2,308,929) (1,149,339) (1,386,940)
------------ ----------- ----------- -----------
Net change .............................. 3,504,861 213,534 64,168 523,622
============ =========== =========== ===========
See accompanying notes to financial statements.
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
Worldwide
---------------------------
The period May 1, 1996 (*)
through
December 31, 1996
---------------------------
<S> <C>
FROM OPERATIONS
Net investment income (loss) $ 143,724
Net realized gain (loss) on:
Investments (11,121)
Foreign currency transactions 4,393
Unrealized appreciation (depreciation) on:
Investments 292,711
Foreign currency transactions (160)
----------
Increase (decrease) in net assets from operations 429,547
----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (140,138)
----------
FROM CAPITAL SHARES TRANSACTIONS
Proceeds from the sale of shares 4,759,937
Net asset value of shares issued in connection with the
reinvestment of:
Dividends from net investment income 140,137
----------
4,900,074
Cost of shares redeemed 0
----------
Increase (decrease) in net assets derived from
capital share transactions 4,900,074
----------
Total increase (decrease) in net assets 5,189,483
NET ASSETS
Beginning of the period 10
----------
End of the period $5,189,493
==========
UNDISTRIBUTED NET INVESTMENT INCOME
Beginning of the period $ 0
==========
End of the period $ 12,271
==========
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares 475,045
Issued in connection with the reinvestment of:
Dividends from net investment income 13,134
Distributions from net realized gain on investments 0
----------
488,179
Redeemed 0
----------
Net change 488,179
==========
(*)Commencement of Operations.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- -----------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
Bond Global Bond
------------------------------- -----------------------------
Year Ended December 31, Year Ended December 31,
------------------------------- -----------------------------
1996 1995 1996 1995
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income ............ $ 29,104,161 $ 12,725,174 $ 1,015,932 $ 1,159,866
Net realized gain (loss) on:
Investments .................... 9,916,047 3,447,177 592,117 (1,498,225)
Foreign currency transactions .. 14,349 73,512 256,616 1,239,618
Unrealized appreciation
(depreciation) on:
Investments .................... 1,541,729 25,344,384 478,651 1,843,562
Foreign currency transactions .. (4,455) 5,808 25,112 (366,433)
------------ ------------ ----------- -----------
Increase (decrease) in net
assets from operations ....... 40,571,831 41,596,055 2,368,428 2,378,388
------------ ------------ ----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ............ (28,834,672) (12,732,055) (1,502,252) (662,906)
In excess of net investment income 0 (38,412) 0 0
Net realized gain on investments . (10,362,123) (1,623,664) 0 0
------------ ------------ ----------- -----------
(39,196,795) (14,394,131) (1,502,252) (662,906)
------------ ------------ ----------- -----------
FROM CAPITAL SHARES TRANSACTIONS
Proceeds from sale of shares ..... 380,541,907 177,617,553 18,653,771 2,253,543
Net asset value of shares issued
in connection with the
reinvestment of:
Dividends from net investment
income ....................... 23,025,701 10,366,906 1,145,834 591,588
Distributions from net realized
gain on investments .......... 8,749,675 1,355,342 0 0
------------ ------------ ----------- -----------
412,317,283 189,339,801 19,799,605 2,845,131
Cost of shares redeemed .......... (128,158,663) (43,817,094) (4,457,214) (19,840,371)
------------ ------------ ----------- -----------
Increase (decrease) in net
assets derived from capital
share transactions ............. 284,158,620 145,522,707 15,342,391 (16,995,240)
------------ ------------ ----------- -----------
Total increase (decrease) in
net assets ................... 285,533,656 172,724,631 16,208,567 (15,279,758)
NET ASSETS
Beginning of the period .......... 255,710,157 82,985,526 10,304,305 25,584,063
------------ ------------ ----------- -----------
End of the period ................ $541,243,813 $255,710,157 $26,512,872 $10,304,305
============ ============ =========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
Beginning of the period .......... $ 34,589 $ 6,881 $ 130,782 $ (311,874)
============ ============ =========== ===========
End of the period ................ $ 537,972 $ 34,589 $ (34,950) $ 130,782
============ ============ =========== ===========
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares ... 30,770,089 15,342,582 1,525,167 202,475
Issued in connection with the
reinvestment of:
Dividends from net investment
income ....................... 1,888,855 874,768 92,817 52,122
Distributions from net realized
gain on investments .......... 704,026 110,640 0 0
------------ ------------ ----------- -----------
33,362,970 16,327,990 1,617,984 254,597
Redeemed ......................... (10,467,220) (3,771,731) (375,310) (1,954,416)
------------ ------------ ----------- -----------
Net change ....................... 22,895,750 12,556,259 1,242,674 (1,699,819)
============ ============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- -----------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
U.S. Government Securities Municipal Bond
----------------------------- ---------------------------
Year Ended December 31, Year Ended December 31,
----------------------------- ---------------------------
1996 1995 1996 1995
----------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income ................... $ 1,351,371 $ 1,160,540 $ 372,837 $ 361,208
Net realized gain (loss) on
investments ........................... (716,728) 425,319 54,589 77,654
Unrealized appreciation
(depreciation) on investments ......... (437,793) 2,181,498 (147,252) 733,237
----------- ----------- ---------- ----------
Increase (decrease) in net assets
from operations ..................... 196,850 3,767,357 280,174 1,172,099
----------- ----------- ---------- ----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ................... (1,334,711) (1,161,263) (372,889) (361,164)
Net realized gain on investments ........ 0 0 (65,728) (28,145)
----------- ----------- ---------- ----------
(1,334,711) (1,161,263) (438,617) (389,309)
----------- ----------- ---------- ----------
FROM CAPITAL SHARES TRANSACTIONS
Proceeds from sale of shares ............ 8,983,613 5,690,298 1,455,513 797,246
Net asset value of shares issued in
connection with the reinvestment of:
Dividends from net investment
income .............................. 1,274,113 1,106,365 263,016 261,821
Distributions from net realized
gain on investments ................. 0 0 52,895 22,507
----------- ----------- ---------- ----------
10,257,726 6,796,663 1,771,424 1,081,574
Cost of shares redeemed ................. (14,426,898) (7,244,201) (872,674) (1,173,536)
----------- ----------- ---------- ----------
Increase (decrease) in net assets
derived from capital share transactions (4,169,172) (447,538) 898,750 (91,962)
----------- ----------- ---------- ----------
Total increase (decrease) in net
assets .............................. (5,307,033) 2,158,556 740,307 690,828
NET ASSETS
Beginning of the period ................. 19,499,150 17,340,594 7,960,841 7,270,013
----------- ----------- ---------- ----------
End of the period ....................... $14,192,117 $19,499,150 $8,701,148 $7,960,841
=========== =========== ========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
Beginning of the period ................. $ (1,533) $ 7,255 $ 3,829 $ 3,028
=========== =========== ========== ==========
End of the period ....................... $ (4,942) $ (1,533) $ 3,777 $ 3,829
=========== =========== ========== ==========
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares .......... 864,647 559,951 130,141 71,573
Issued in connection with the
reinvestment of:
Dividends from net investment
income .............................. 129,259 108,429 23,403 23,555
Distributions from net realized
gain on investments ................. 0 0 4,717 1,957
----------- ----------- ---------- ----------
993,906 668,380 158,261 97,085
Redeemed ................................ (1,418,646) (717,258) (77,656) (105,539)
----------- ----------- ---------- ----------
Net change .............................. (424,740) (48,878) 80,605 (8,454)
=========== =========== ========== ==========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FUNDS
- -----------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
Short-Term Bond High Yield
----------------------------- ---------------------------------
Year Ended December 31, The period September 11, 1996 (*)
----------------------------- through
1996 1995 December 31, 1996
----------- ----------- ---------------------------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income ................... $ 1,145,418 $ 1,607,847 $ 37,520
Net realized gain (loss) on:
Investments ........................... (48,327) (206,571) 0
Foreign currency transactions ......... 0 0 (36)
Unrealized appreciation depreciation) on:
Investments ........................... (248,733) 1,090,876 4,404
Foreign currency transactions ......... 0 0 (17)
----------- ----------- ----------
Increase (decrease) in net
assets from operations ............. 848,358 2,492,152 41,871
----------- ----------- ----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ................... (1,145,361) (1,607,847) (36,708)
In excess of net investment income ...... 0 (366) 0
----------- ----------- ----------
(1,145,361) (1,608,213) (36,708)
----------- ----------- ----------
FROM CAPITAL SHARES TRANSACTIONS
Proceeds from sale of shares ............ 12,426,078 25,274,557 1,915,483
Net asset value of shares issued in
connection with the reinvestment of:
Dividends from net investment income .. 1,027,017 1,534,306 30,815
----------- ----------- ----------
13,453,095 26,808,863 1,946,298
Cost of shares redeemed ................. (20,966,857) (21,093,620) (12,581)
----------- ----------- ----------
Increase (decrease) in net assets derived
from capital share transactions ....... (7,513,762) 5,715,243 1,933,717
----------- ----------- ----------
Total increase (decrease) in net assets (7,810,765) 6,599,182 1,938,880
NET ASSETS
Beginning of the period ................. 26,039,432 19,440,250 10
----------- ----------- ----------
End of the period ....................... $18,228,667 $26,039,432 $1,938,890
=========== =========== ==========
UNDISTRIBUTED NET INVESTMENT INCOME
Beginning of the period ................. $ 8,066 $ 0 $ 0
=========== =========== ==========
End of the period ....................... $ 10,736 $ 8,066 $ 8,960
=========== =========== ==========
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares .......... 1,283,882 2,610,568 189,979
Issued in connection with the
reinvestment of:
Dividends from net investment income .. 106,059 158,326 3,048
Distributions from net realized gain on
investments ......................... 0 0 0
----------- ----------- ----------
1,389,941 2,768,894 193,027
Redeemed ................................ (2,163,540) (2,169,448) (1,234)
----------- ----------- ----------
Net change .............................. (773,599) 599,446 191,793
=========== =========== ==========
(*)Commencement of Operations.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Growth Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 15.27 $ 12.50 $ 13.02 $ 12.46 $ 12.01
------- ------- ------- ------- -------
Income from investment operations --
Net investment income (loss) ............. (0.07) (0.00) (0.02) 0.00 (0.04)
Net realized and unrealized gain (loss) on
investments 3.08 3.86 (0.45) 1.16 0.49
------- ------- ------- ------- -------
Total from investment operations ..... 3.01 3.86 (0.47) 1.16 0.45
------- ------- ------- ------- -------
Less distributions --
Distributions from net realized capital
gains .................................. (4.84) (1.09) (0.04) (0.60) 0.00
Distributions from capital ............... 0.00 0.00 (0.01) 0.00 0.00
------- ------ - ----- ------- -------
Total distributions .................. (4.84) (1.09) (0.05) (0.60) 0.00
------- ------- - ----- ------- -------
Net asset value, end of period ............. $ 13.44 $ 15.27 $ 12.50 $ 13.02 $ 12.46
======= ======= ======= ======= =======
Total return (%) ........................... 19.9 30.9 (3.7) 9.3 3.8
Net assets, end of period (000) ............ $39,497 $45,011 $36,580 $32,385 $24,451
Ratio of operating expenses to average net
assets (%) ............................... 1.10 1.08 1.16 1.20 1.50
Ratio of net investment income to average
net assets (%) ........................... (0.47) (0.29) (0.14) (0.17) (0.45)
Portfolio turnover rate (%) ................ 99 48 46 64 98
Average commission rate* ................... $0.0600 -- -- -- --
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 3 to the Financial Statements
would have been (%) ...................... 1.10 1.08 1.16 1.20 1.51
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements net investment
income per share would have been: ........ $ (0.07) $ 0.00 $ (0.02) $ 0.00 $ (0.04)
</TABLE>
- ----------
*For fiscal years beginning on or after September 1, 1995, a fund is required to
disclose its average commission rate per share for trades upon which
commissions are charged. This rate generally does not reflect mark-ups,
mark-downs or spreads on shares traded on a principal basis.
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Core Value Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 14.57 $ 11.80 $ 12.49 $ 11.53 $ 10.54
------- ------- ------- ------- -------
Income from investment operations --
Net investment income .................... 0.22 0.23 0.15 0.13 0.13
Net realized and unrealized gain (loss) on
investments ............................ 2.83 3.93 (0.26) 1.24 1.36
------- ------- ------- ------- -------
Total from investment operations ..... 3.05 4.16 (0.11) 1.37 1.49
------- ------- ------- ------- -------
Less distributions --
Dividends from net investment income ..... (0.22) (0.23) (0.15) (0.12) (0.13)
Distributions from net realized capital
gains .................................. (1.80) (1.16) (0.43) (0.29) (0.37)
------- ------- ------- ------- -------
Total distributions .................. (2.02) (1.39) (0.58) (0.41) (0.50)
------- ------- ------- ------- -------
Net asset value, end of period ............. $ 15.60 $ 14.57 $ 11.80 $ 12.49 $ 11.53
======= ======= ======= ======= =======
Total return (%) ........................... 21.2 35.2 (0.9) 11.9 14.1
Net assets, end of period (000) ............ $43,715 $36,465 $25,946 $20,657 $12,279
Ratio of operating expenses to average net
assets (%) ............................... 1.13 1.20 1.33 1.50 1.50
Ratio of net investment income to average
net assets (%) ........................... 1.44 1.61 1.28 1.23 1.42
Portfolio turnover rate (%) ................ 58 60 48 53 67
Average commission rate* ................... $0.0583 -- -- -- --
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 3 to the Financial Statements
would have been (%) ...................... 1.13 1.20 1.33 1.56 2.19
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements net investment
income per share would have been: ........ $ 0.22 $ 0.23 $ 0.15 $ 0.12 $ 0.07
</TABLE>
- ----------
*For fiscal years beginning on or after September 1, 1995, a fund is required to
disclose its average commission rate per share for trades upon which
commissions are charged. This rate generally does not reflect mark-ups,
mark-downs or spreads on shares traded on a principal basis.
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Small Cap Value Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 15.33 $ 12.86 $ 14.13 $ 12.88 $ 12.49
-------- ------- ------- ------- -------
Income from investment operations --
Net investment income (loss) ............ 0.11 0.04 (0.04) 0.00 (0.06)
Net realized and unrealized gain (loss)
on investments ........................ 4.47 4.06 (1.12) 3.15 1.67
-------- ------- ------- ------- -------
Total from investment operations .... 4.58 4.10 (1.16) 3.15 1.61
-------- ------- ------- ------- -------
Less distributions --
Dividends from net investment income .... (0.11) (0.04) 0.00 0.00 0.00
Distributions from net realized capital
gains ................................. (2.41) (1.59) (0.11) (1.90) (1.22)
-------- ------- ------- ------- -------
Total distributions ................. (2.52) (1.63) (0.11) (1.90) (1.22)
-------- ------ ------ ------- -------
Net asset value, end of period ............ $ 17.39 $ 15.33 $ 12.86 $ 14.13 $ 12.88
======== ======= ====== ======= =======
Total return (%) .......................... 30.4 32.1 (8.2) 24.7 13.1
Net assets, end of period (000) ........... $163,625 $90,455 $73,126 $67,553 $39,244
Ratio of operating expenses to average net
assets (%) .............................. 1.19 1.25 1.27 1.35 1.50
Ratio of net investment income to average
net assets (%) .......................... 0.80 0.29 (0.30) (0.38) (0.79)
Portfolio turnover rate (%) ............... 73 155 87 106 109
Average commisstion rate* ................. $ 0.0567 -- -- -- --
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 3 to the Financial Statements
would have been (%) ..................... 1.19 1.25 1.27 1.35 1.66
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements net
investment income per share would have
been: ................................... $ 0.11 $ 0.04 $ (0.04) $ 0.00 $(0.07)
</TABLE>
- ----------
*For fiscal years beginning on or after September 1, 1995, a fund is required to
disclose its average commission rate per share for trades upon which
commissions are charged. This rate generally does not reflect mark-ups,
mark-downs or spreads on shares traded on a principal basis.
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
International Equity Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 11.65 $ 11.61 $ 12.90 $ 9.64 $ 10.27
------- ------- ------- ------- -------
Income from investment operations --
Net investment income .................... 0.12 0.14 0.15 0.11 0.10
Net realized and unrealized gain (loss) on
investments 2.01 0.87 (0.38) 3.61 (0.62)
------- ------- ------- ------- -------
Total from investment operations ..... 2.13 1.01 (0.23) 3.72 (0.52)
------- ------- ------- ------- -------
Less distributions --
Dividends from net investment income ..... (0.09) (0.14) (0.14) (0.10) (0.10)
Distributions from net realized capital
gains .................................. (0.53) (0.83) (0.92) (0.36) (0.01)
------- ------- ------- ------- -------
Total distributions .................. (0.62) (0.97) (1.06) (0.46) (0.11)
------- ------- ------- ------- -------
Net asset value, end of period ............. $ 13.16 $ 11.65 $11.61 $ 12.90 $ 9.64
======= ======= ======= ======= =======
Total return (%) ........................... 18.3 8.7 (1.8) 38.5 (5.1)
Net assets, end of period (000) ............ $90,662 $79,488 $73,189 $56,560 $14,937
Ratio of operating expenses to average net
assets (%) ............................... 1.42 1.45 1.46 1.50 1.50
Ratio of net investment income to average
net assets (%) ........................... 0.96 1.16 1.30 1.20 1.64
Portfolio turnover rate (%) ................ 151 133 116 128 101
Average commission rate* ................... $0.0013 -- -- -- --
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 3 to the Financial Statements
would have been (%) ...................... 1.42 1.45 1.46 1.72 2.77
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements net investment
income per share would have been: ........ $ 0.12 $ 0.14 $ 0.15 $ 0.09 $ 0.02
</TABLE>
- ----------
*For fiscal years beginning on or after September 1, 1995, a fund is required to
disclose its average commission rate per share for trades upon which
commissions are charged. This rate generally does not reflect mark-ups,
mark-downs or spreads on shares traded on a principal basis.
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
Worldwide Fund
--------------
May 1* to
December 31, 1996
-----------------
Net asset value, beginning of period ......................... $ 10.00
-------
Income from investment operations --
Net investment income ...................................... 0.30
Net realized and unrealized gain (loss) on investments ..... 0.63
-------
Total from investment operations ....................... 0.93
-------
Less distributions --
Dividends from net investment income ....................... (0.30)
Distributions from net realized capital gains .............. 0.00
-------
Total distributions .................................... (0.30)
-------
Net asset value, end of period ............................... $ 10.63
=======
Total return (%) ............................................. 9.2
Net assets, end of period (000) .............................. $ 5,189
Ratio of operating expenses to average net assets (%) ........ 1.00**
Ratio of net investment income to average net assets (%) ..... 4.62**
Portfolio turnover rate (%) .................................. 76**
Average Commission Rate*** ................................... $0.0278
The ratios of expenses to average net assets without giving effect
to the voluntary expense limitations described in Note 3 to the
Financial Statements would have
been (%) ................................................... 3.72
Without giving effect to the voluntary expense limitations described
in Note 3 to the Financial Statements net investment income per
share would have been: ..................................... $ 0.13
- ----------
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for trades upon
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs or spreads on shares traded on a principal basis.
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Fund
-------------------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------------------
1996 1995 1994 1993 1992
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 12.29 $ 10.05 $ 11.37 $ 10.36 $ 10.23
-------- -------- ------- ------- -------
Income from investment operations --
Net investment income .................. 0.86 0.82 0.83 0.84 0.76
Net realized and unrealized gain (loss)
on investments ....................... 0.35 2.32 (1.29) 1.43 0.67
-------- -------- ------- ------- -------
Total from investment operations ... 1.21 3.14 (0.46) 2.27 1.43
-------- -------- ------- ------- -------
Less distributions --
Dividends from net investment income ... (0.86) (0.82) (0.84) (0.81) (0.76)
Distributions in excess of net
investment income .................... 0.00 0.00 (0.02) 0.00 0.00
Distributions from net realized capital
gains ................................ (0.26) (0.08) 0.00 (0.45) (0.54)
-------- -------- ------- ------- -------
Total distributions ................ (1.12) (0.90) (0.86) (1.26) (1.30)
-------- -------- ------- ------- -------
Net asset value, end of period ........... $ 12.38 $ 12.29 $ 10.05 $ 11.37 $ 10.36
======== ======== ======= ======= =======
Total return (%) ......................... 10.3 32.0 (4.1) 22.2 14.3
Net assets, end of period (000) .......... $541,244 $255,710 $82,985 $64,222 $18,472
Ratio of operating expenses to average net
assets (%) ............................. 0.75 0.79 0.84 0.94 1.00
Ratio of net investment income to average
net assets (%) ......................... 7.93 8.34 7.92 8.26 7.50
Portfolio turnover rate (%) .............. 42 35 87 170 101
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations
described in Note 3 to the Financial
Statements would have been (%) ......... 0.75 0.79 0.84 0.94 1.55
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements net
investment income per share would have
been: .................................. $ 0.86 $ 0.82 $ 0.83 $ 0.84 $ 0.70
</TABLE>
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Global Bond Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 11.39 $ 9.82 $ 11.06 $ 10.32 $ 11.38
------- ------- ------- ------- -------
Income from investment operations --
Net investment income .................... 0.44 1.04 0.67 0.54 0.70
Net realized and unrealized gain (loss) on
investments ............................ 1.27 1.31 (1.63) 0.96 (0.60)
------- ------- ------- ------- -------
Total from investment operations ..... 1.71 2.35 (0.96) 1.50 0.10
------- ------- ------- ------- -------
Less distributions --
Dividends from net investment income ..... (0.75) (0.78) (0.04) (0.49) (0.77)
Distributions from net realized capital
gains .................................. 0.00 0.00 0.00 (0.27) (0.39)
Distributions from capital ............... 0.00 0.00 (0.24) 0.00 0.00
------- ------- ------- ------- -------
Total distributions .................. (0.75) (0.78) (0.28) (0.76) (1.16)
------- ------- ------- ------- -------
Net asset value, end of period ............. $ 12.35 $ 11.39 $ 9.82 $ 11.06 $ 10.32
Total return (%) ........................... 15.0 23.9 (8.7) 14.6 0.8
Net assets, end of period (000) ............ $26,513 $10,304 $25,584 $21,378 $ 9,968
Ratio of operating expenses to average net
assets (%) ............................... 1.50 1.50 1.30 1.50 1.50
Ratio of net investment income to average
net assets (%) ........................... 6.37 8.17 7.02 5.54 6.99
Portfolio turnover rate (%) ................ 131 148 153 150 72
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 3 to the Financial Statements
would have been (%) ...................... 1.77 1.69 1.30 1.51 2.58
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements net investment
income per share would have been: ........ $ 0.42 $ 1.02 $ 0.67 $ 0.54 $ 0.59
</TABLE>
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. Government Securities Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 10.64 $ 9.22 $ 10.53 $ 10.45 $ 10.77
------- ------- ------- ------- -------
Income from investment operations --
Net investment income .................... 0.68 0.66 0.64 0.64 0.64
Net realized and unrealized gain (loss) on
investments ............................ (0.57) 1.42 (1.30) 1.00 0.27
------- ------ ------- ------- -------
Total from investment operations ..... 0.11 2.08 (0.66) 1.64 0.91
------- ------ ------- ------- -------
Less distributions --
Dividends from net investment income ..... (0.67) (0.66) (0.65) (0.65) (0.59)
Distributions from net realized capital
gains .................................. 0.00 0.00 0.00 (0.91) (0.64)
------- ------ ------- ------- -------
Total distributions .................. (0.67) (0.66) (0.65) (1.56) (1.23)
------- ------- ------- ------- -------
Net asset value, end of period ............. $ 10.08 $ 10.64 $ 9.22 $ 10.53 $ 10.45
======= ======= ======= ======= =======
Total return (%) ........................... 1.3 23.0 (6.3) 15.7 8.8
Net assets, end of period (000) ............ $14,192 $19,499 $17,341 $18,317 $10,899
Ratio of operating expenses to average net
assets (%) ............................... 1.00 1.00 1.00 1.00 1.00
Ratio of net investment income to average
net assets (%) ........................... 6.23 6.47 6.60 5.95 6.54
Portfolio turnover rate (%) ................ 137 169 242 277 344
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 3 to the Financial Statements
would have been (%) ...................... 1.19 1.22 1.22 1.29 2.01
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements net investment
income per share would have been: ........ $ 0.66 $ 0.64 $ 0.62 $ 0.61 $ 0.54
</TABLE>
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Municipal Bond Fund
------------------------------------------------------------------
Year Ended December 31,
------------------------------------------------------------------
1996 1995 1994 1993 1992
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $11.53 $10.41 $11.54 $10.95 $10.55
------ ------ ------ ------ ------
Income from investment operations --
Net investment income .................... 0.52 0.52 0.52 0.51 0.51
Net realized and unrealized gain (loss) on
investments (0.15) 1.16 (1.13) 0.74 0.46
------ ------ ------ ------ ------
Total from investment operations ..... 0.37 1.68 (0.61) 1.25 0.97
------ ------ ------ ------ ------
Less distributions --
Dividends from net investment income ..... (0.52) (0.52) (0.52) (0.51) (0.51)
Distributions from net realized capital
gains .................................. (0.09) (0.04) 0.00 (0.15) (0.06)
------ ------ ------ ------ ------
Total distributions .................. (0.61) (0.56) (0.52) (0.66) (0.57)
------ ------ ------ ------ ------
Net asset value, end of period ............. $11.29 $11.53 $10.41 $11.54 $10.95
====== ====== ====== ====== ======
Total return (%) ........................... 3.3 16.5 (5.4) 11.6 9.4
Net assets, end of period (000) ............ $8,701 $7,961 $7,270 $5,160 $2,200
Ratio of operating expenses to average net
assets (%) ............................... 1.00 1.00 1.00 1.00 1.00
Ratio of net investment income to average
net assets (%) ............................. 4.61 4.72 4.79 4.50 4.81
Portfolio turnover rate (%) ................ 38 41 28 36 32
The ratios of expenses to average net assets without giving effect to the
voluntary expense limitations described in Note 3 to the Financial Statements
would have been
(%) ...................................... 2.31 2.02 2.37 3.22 7.65
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements net investment
income per share would have been: ........ $ 0.37 $ 0.41 $ 0.37 $ 0.26 $(0.19)
</TABLE>
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Short-Term Bond Fund
------------------------------------------------------------------------
Year Ended December 31, August 3* to
---------------------------------------------------- December 31,
1996 1995 1994 1993 1992
---- ---- ---- ---- ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period . $ 9.81 $ 9.46 $ 9.95 $ 9.87 $10.00
------- ------- ------- ------- ------
Income from investment operations --
Net investment income .............. 0.55 0.63 0.66 0.59 0.22
Net realized and unrealized gain
(loss) on investments ............ (0.11) 0.35 (0.49) 0.08 (0.13)
------- ------- ------- ------- ------
Total from investment operations 0.44 0.98 0.17 0.67 0.09
------- ------- ------- ------- ------
Less distributions --
Dividends from net investment income (0.55) (0.63) (0.66) (0.59) (0.22)
Distributions from net realized
capital gains .................... 0.00 0.00 0.00 0.00 0.00
------- ------- ------- ------- ------
Total distributions ............ (0.55) (0.63) (0.66) (0.59) (0.22)
------- ------- ------- ------- ------
Net asset value, end of period ....... $ 9.70 $ 9.81 $ 9.46 $ 9.95 $ 9.87
======= ======= ======= ======= ======
Total return (%) ..................... 4.7 10.6 1.8 7.0 0.9
Net assets, end of period (000) ...... $18,229 $26,039 $19,440 $15,226 $5,121
Ratio of operating expenses to average
net assets (%) ..................... 1.00 1.00 1.00 1.00 1.00**
Ratio of net investment income to
average net assets (%) ............. 5.69 6.46 6.88 5.97 5.49**
Portfolio turnover rate (%) .......... 120 214 34 81 31**
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations
described in Note 3 to the Financial
Statements would have been (%) ..... 1.17 1.03 1.33 1.55 3.74**
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements
net investment income per share
would have been: ................... $ 0.53 $ 0.62 $ 0.63 $ 0.54 $ 0.11
</TABLE>
- ----------
(*)Commencement of operations.
(**)Computed on an annualized basis.
See accompanying notes to financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
High Yield Fund
---------------------
September 11* to
December 31, 1996
---------------------
<S> <C>
Net asset value, beginning of period ............................... $10.00
------
Income from investment operations --
Net investment income ............................................ 0.20
Net realized and unrealized gain (loss) on investments ........... 0.11
------
Total from investment operations ............................. 0.31
------
Less distributions --
Dividends from net investment income ............................. (0.20)
Distributions from net realized capital gains .................... 0.00
------
Total distributions .......................................... (0.20)
------
Net asset value, end of period ..................................... $10.11
======
Total return (%) ................................................... 3.1
Net assets, end of period (000) .................................... $1,939
Ratio of operating expenses to average net assets (%) .............. 0.75**
Ratio of net investment income to average net assets (%) ........... 8.85**
Portfolio turnover rate (%) ........................................ 0**
The ratios of expenses to average net assets without giving effect
to the voluntary expense limitations described in Note 3 to the
Financial Statements would have
been (%) ......................................................... 12.06**
Without giving effect to the voluntary expense limitations described
in Note 3 to the Financial Statements net investment income per
share would have been: ........................................... $(0.05)
</TABLE>
- ----------
(*)Commencement of operations.
(**)Computed on an annualized basis.
See accompanying notes to financial statements.
<PAGE>
NOTES TO FINANCIAL STATEMENT -- December 31, 1996
1. The Loomis Sayles Funds are a group of eleven no-load mutual funds (the
"Funds").
Each Fund is a series of Loomis Sayles Funds (the "Trust"). The Trust is a
diversified open-end management investment company organized as a
Massachusetts business trust. The Trust is authorized to issue an unlimited
number of full and fractional shares of beneficial interest in multiple
series.
Each Fund is separately managed and has its own investment objective and
policies. Loomis, Sayles & Company, L.P. ("Loomis Sayles") is the investment
adviser of each Fund.
The Trust consists of the following funds:
FUND FUND
---- ----
Loomis Sayles Growth Fund Loomis Sayles Worldwide Fund
Loomis Sayles Core Value Fund Loomis Sayles Bond Fund
(Formerly Loomis Sayles Growth & Loomis Sayles Global Bond Fund
Income Fund) Loomis Sayles U.S. Government
Loomis Sayles Small Cap Value Fund Securities Fund
(Formerly Loomis Sayles Small Cap Loomis Sayles Municipal Bond Fund
Fund) Loomis Sayles Short-Term Bond Fund
Loomis Sayles International Equity Loomis Sayles High Yield Fund
Fund
On September 12, 1996, the Trustees of the Trust approved issuing
Institutional and Retail Class shares of each Fund except for the U.S.
Government Securities Fund and Municipal Bond Fund which will issue only
Institutional Class shares. Except for certain categories of investors (as
set forth in the relevant prospectus) the purchase of Institutional Class
shares, which are not subject to any distribution fees, requires a minimum
investment of $1 million. Except for certain categories of investors (as set
forth in the relevant prospectus) the purchase of Retail Class shares, which
are subject to distribution fees at the annual rate of 0.25% of the average
net assets pursuant to a distribution plan adopted pursuant to Rule 12b-1
under the Investment Company Act of 1940, requires a minimum investment of
$250,000. Beginning January 2, 1997, these classes were offered for sale.
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
The following is a summary of significant accounting policies consistently
followed by each Fund in the preparation of its financial statements. The
policies are in conformity with generally accepted accounting principles for
investment companies.
A. SECURITY VALUATION -- Equity securities listed on an established securities
exchange or on the NASDAQ National Market System are normally valued at
their last sale price on the exchange where primarily traded or, if there is
no reported sale during the day, and in the case of over-the-counter
securities not so listed, at the last bid price. Long-term debt securities
are valued by a pricing service which determines valuations of normal
institutional-size trading units of long-term debt securities. Such
valuations are determined using methods based on market transactions for
comparable securities and on various relationships between securities which
are generally recognized by institutional traders. Other securities for
which current market quotations are not readily available (including
restricted securities, if any) are carried at fair value as determined in
good faith by the Board of Trustees, although the actual calculations may be
made by persons acting pursuant to the direction of the Board of Trustees.
B. REPURCHASE AGREEMENTS -- The Funds engage in repurchase agreement
transactions. Under the terms of a typical repurchase agreement, the Funds
take possession of an underlying debt obligation subject to an obligation of
the seller to repurchase, and the Funds to resell the obligation at an
agreed-upon price and time. This arrangement results in a fixed rate of
return that is not subject to market fluctuations during the Funds' holding
period. The Funds, through their Custodian, receive the delivery of the
underlying securities collateralizing repurchase agreements. It is the
Funds' policy that the market value of the collateral be at least equal to
100% of the repurchase price. Loomis Sayles is responsible for determining
that the value of the collateral is at all times at least equal to the
repurchase price. In connection with transactions in repurchase agreements,
if the seller defaults and the value of the collateral declines or if the
seller enters an insolvency proceeding, realization of the collateral by the
Funds may be delayed or limited.
C. FOREIGN CURRENCY TRANSLATION -- The books and records of each of the Funds
(including those Funds that invest in foreign securities) are maintained in
U.S. dollars. The value of securities, currencies and other assets and
liabilities denominated in currencies other than U.S. dollars is translated
into U.S. dollars based upon foreign exchange rates prevailing at the end of
the period. Purchases and sales of investment securities, income and
expenses are translated on the respective dates of such transactions.
The results of operations resulting from changes in foreign exchange rates
on investments are not isolated from fluctuations arising from changes in
market prices of securities held. All such fluctuations are included with
net realized and unrealized gain or loss from investments.
Net realized and unrealized gains and losses on foreign currency
transactions represent foreign exchange gains and losses from the sale of
short-term securities and holdings of foreign currencies, foreign currency
gains and losses between trade dates and settlement dates on investment
securities transactions, and the difference between the amounts of daily
interest accruals on the books of the Funds and the amounts actually
received resulting from changes in exchange rates on the payable date.
FORWARD FOREIGN CURRENCY CONTRACTS -- Each Fund that may invest in foreign
securities upon the purchase or sale of a security denominated in a foreign
currency, may enter into forward foreign currency contracts for the purchase
or sale, for a fixed amount of U.S. dollars, of the amount of foreign
currency involved in the underlying security transaction. In such cases, the
Funds have not realized currency gains or losses between the trade and
settlement dates on these security transactions.
In addition, a Fund may enter into a forward foreign currency contract to
sell, for a fixed amount, a foreign currency in which securities held are
denominated to hedge against anticipated declines in the value of the
currency the adviser believes may adversely affect the value of the Fund's
portfolio securities.
Forward foreign currency contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded as unrealized
gain or loss. When the contract is closed, the Fund records a realized gain
or loss equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The use of forward foreign exchange contracts does not eliminate
fluctuations in the underlying price of a Fund's investment securities, but
does establish a rate of exchange that can be achieved in the future.
Although forward foreign currency exchange contracts limit the risk of loss
due to a decline in the value of hedged currency, they also limit any
potential gain that might result should the value of the currency increase.
In addition, the Funds could be exposed to additional risks if the
counterparties to the contracts are unable to meet the terms of their
contracts.
D. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transactions
are accounted for on the trade date (the date the buy or sell is executed).
Dividend income is recorded on the ex-dividend date and interest income is
recorded on the accrual basis. Interest income is increased by the accretion
of discount and is reduced by the amortization of premium. Discounts on zero
coupon bonds, original issues, step bonds and payment in kind bonds are
accreted according to the effective interest method. Premiums are amortized
using the yield to maturity method. In determining net gain or loss on
securities sold, the cost of securities has been determined on the
identified cost basis.
E. WHEN-ISSUED SECURITIES -- Delivery and payment for securities purchased on a
when-issued or delayed delivery basis can take place one month or more after
the date of the transactions. The securities so purchased are subject to
market fluctuation during this period. Each Fund instructs the custodian to
segregate assets in a separate account with a current value at least equal
to the amount of its when-issued purchase commitments. At December 31, 1996
the Funds held no such commitments.
F. FEDERAL INCOME TAXES -- Each Fund is a separate entity for federal income
tax purposes. Each Fund intends to meet the requirements of the Internal
Revenue Code applicable to regulated investment companies, and to distribute
to its shareholders all of its net investment income and any net realized
capital gains. Accordingly, no provision for federal income tax or excise
tax has been made.
G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The equity funds, the
Worldwide Fund and the Global Bond Fund pay their net investment income to
shareholders annually. The Bond, High Yield and U.S. Government Securities
Funds pay their net investment income quarterly. Distributions from net
realized capital gains are declared and paid on an annual basis by all of
the Funds. The Municipal Bond Fund and Short-Term Bond Fund dividends are
declared daily to shareholders of record at the time and are paid monthly.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarly due to
differing treatments of income and gains on various investment securities
held by the Funds, timing differences and differing characterizations of
distributions made by the Funds.
H. ORGANIZATION EXPENSE -- Costs incurred in 1991 in connection with the Funds'
organization, amounting to approximately $149,700 in the aggregate, were
allocated equally among the eight then existing Funds, were paid by such
Funds and were amortized equally by each of such Funds over 60 months.
In 1992, costs approximating $7,800 were incurred in connection with the
organization of the Short-Term Bond Fund. These costs were paid by the Fund
and are being amortized by the Fund over 60 months.
In 1996, costs approximating $12,400 were incurred in connection with the
organization of the Worldwide Fund. These costs were paid by the Fund and
are being amortized by the Fund as follows: $7,900 over 12 months and $4,500
over 60 months.
In 1996 costs approximating $24,600 were incurred in connection with the
organization of the High Yield Fund. These costs were paid by the Fund and
are being amortized as follows: $16,100 over 12 months and $8,500 over 60
months.
2. PURCHASE AND SALE OF SECURITIES (excluding short-term investments) for each
Fund for the year ended December 31, 1996, were as follows:
PURCHASES
------------------------------
FUND U.S. GOVERNMENT OTHER
---- --------------- -----
Growth Fund ............................... $ 42,699,231
Core Value Fund ........................... 22,149,698
Small Cap Value Fund ...................... 103,886,962
International Equity Fund ................. 121,393,262
Worldwide Fund* ........................... 8,052,380
Bond Fund ................................. $100,070,200 311,986,046
Global Bond Fund .......................... 4,978,211 29,306,932
U.S. Government Securities Fund ........... 25,916,766 2,682,297
Municipal Bond Fund ....................... 3,668,191
Short-Term Bond Fund ...................... 12,119,252 11,657,861
High Yield Fund** ......................... 1,852,215
SALES
------------------------------
FUND U.S. GOVERNMENT OTHER
---- --------------- -----
Growth Fund ............................... $ 57,127,046
Core Value Fund ........................... 22,401,627
Small Cap Value Fund ...................... 73,498,219
International Equity Fund ................. 126,348,924
Worldwide Fund* ........................... 3,351,714
Bond Fund ................................. $ 29,262,898 121,609,686
Global Bond Fund .......................... 1,990,797 17,425,807
U.S. Government Securities Fund ........... 22,911,768 9,696,758
Municipal Bond Fund ....................... 2,972,167
Short-Term Bond Fund ...................... 21,701,145 9,476,082
High Yield Fund** .........................
*Amounts relate to period from May 1, 1996 (Commencement of Operations)
through December 31, 1996.
**Amounts relate to period from September 11, 1996 (Commencement of
Operations) through December 31, 1996.
At December 31, 1996, the following funds had capital loss carryforwards:
FUND AMOUNT EXPIRATION
---- ------ ----------
Global Bond Fund ....................... $155,568 2003
515,089 2002
U.S. Government Securities Fund ........ 737,344 2004
291,541 2002
Short-Term Bond Fund ................... 290,415 2004
134,110 2002
3A.MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES -- During the year
ended December 31, 1996, the Funds incurred management fees payable to Loomis
Sayles. Certain officers and employees of Loomis Sayles are also officers or
trustees of the Trust. Loomis Sayles' general partner is indirectly owned by
New England Investment Companies, L.P., a publicly-traded limited partnership
whose general partner is indirectly owned by Metropolitan Life Insurance
Company. Separate management agreements for each Fund in effect during the
year ended December 31, 1996 provided for fees as set forth below:
FEES EARNED
DURING THE
YEAR ENDED
DECEMBER 31,
FUND 1996(a) ANNUAL PERCENTAGE RATE
---- ------------ ----------------------
Growth Fund ............... $ 318,602 0.75% of the Fund's average
daily net assets
Core Value Fund ........... 297,001 0.75% of the Fund's average
daily net assets
Small Cap Value Fund ...... 1,125,160 1.00% of the Fund's average
daily net assets
International Equity Fund . 848,205 1.00% of the Fund's average
daily net assets
Worldwide Fund(b) ......... 23,335 0.75% of the Fund's average
daily net assets
Bond Fund ................. 2,205,461 0.60% of the Fund's average
daily net assets
Global Bond Fund .......... 119,648 0.75% of the Fund's average
daily net assets
U.S. Government Securities 0.60% of the Fund's average
Fund ...................... 130,189 daily net assets
Municipal Bond Fund ....... 48,518 0.60% of the Fund's average
daily net assets
Short-Term Bond Fund ...... 100,693 0.50% of the Fund's average
daily net assets
High Yield Fund (c)........ 2,544 0.60% of the Fund's average
daily net assets
(a) Prior to voluntary expense limitations.
(b) Amounts relate to period from May 1, 1996 (Commencement of Operations)
through December 31, 1996.
(c) Amounts relate to period from September 11, 1996 (Commencement of
Operations) through December 31, 1996.
B. Loomis Sayles voluntarily agreed, through December 31, 1996, to reduce its
advisory fees and/or bear other Fund expenses, to the extent necessary to
limit Fund total operating expenses to 1.00% of average annual net assets
for the Worldwide, Bond, Municipal Bond, U.S. Government Securities and
Short-Term Bond Funds, to 0.75% of average annual net assets of the High
Yield Fund and to 1.50% of average annual net assets for each other Fund.
Under these arrangements, Loomis Sayles waived management fees of $194,161
for the year ended December 31, 1996 and bore expenses and fees, other than
the compensation of trustees described in Note 3.D, totalling $163,986.
C. Effective January 1, 1997, the management fees that are payable to Loomis
Sayles became as follows:
FUND ANNUAL PERCENTAGE RATE
---- ----------------------
Growth Fund ....................0.50% of the Fund's average daily net assets
Core Value Fund ................0.50% of the Fund's average daily net assets
Small Cap Value Fund ...........0.75% of the Fund's average daily net assets
International Equity Fund ......0.75% of the Fund's average daily net assets
Worldwide Fund .................0.75% of the Fund's average daily net assets
Bond Fund ......................0.60% of the Fund's average daily net assets
Global Bond Fund ...............0.60% of the Fund's average daily net assets
U.S. Government Securities
Fund .........................0.40% of the Fund's average daily net assets
Municipal Bond Fund ............0.40% of the Fund's average daily net assets
Short-Term Bond Fund ...........0.25% of the Fund's average daily net assets
High Yield Fund ................0.60% of the Fund's average daily net assets
Effective January 1, 1997, Loomis Sayles voluntarily agreed, for an
indefinite period, to reduce its advisory fees and/or bear other expenses,
to the extent necessary to limit the total operating expenses of the
Institutional Class shares of each Fund to the following percentage rate of
the Fund's average daily net assets:
FUND ANNUAL PERCENTAGE RATE
---- ----------------------
Growth Fund ........................................ 0.85%
Core Value Fund .................................... 0.85%
Small Cap Value Fund ............................... 1.00%
International Equity Fund .......................... 1.00%
Worldwide Fund ..................................... 1.00%
Bond Fund .......................................... 0.75%
Global Bond Fund ................................... 0.90%
U.S. Government Securities Fund .................... 0.60%
Municipal Bond Fund ................................ 0.60%
Short-Term Bond Fund ............................... 0.50%
High Yield Fund .................................... 0.75%
Loomis Sayles also voluntarily agreed, for an indefinite period, to reduce
its advisory fees and/or bear other expenses, to the extent necessary to
limit the total operating expenses of the Retail Class shares of each Fund
to the following percentage rate of the Fund's average daily net assets:
FUND ANNUAL PERCENTAGE RATE
---- ----------------------
Growth Fund ........................................ 1.10%
Core Value Fund .................................... 1.10%
Small Cap Value Fund ............................... 1.25%
International Equity Fund .......................... 1.25%
Worldwide Fund ..................................... 1.25%
Bond Fund .......................................... 1.00%
Global Bond Fund ................................... 1.15%
Short-Term Bond Fund ............................... 0.75%
High Yield Fund .................................... 1.00%
Loomis Sayles may change or terminate these voluntary agreements at any
time, but the relevant prospectus would be supplemented at the time to
describe the change.
D. OTHER EXPENSES -- New England Funds, L.P. (a subsidiary of New England
Investment Companies) performs certain administrative, accounting and other
services for the Trust. The expenses of those services, which are paid by the
Trust, include the following: (i) expenses for personnel performing
bookkeeping, accounting, internal auditing, financial reporting functions and
clerical functions relating to the Fund, and (ii) expenses for services
required in connection with the preparation of registration statements and
prospectuses, shareholder reports and reports and questionnaires for SEC
compliance. For the year ended December 31, 1996 these expenses amounted to
$96,009 for the eleven Loomis Sayles Funds presented herein and are shown
separately in the financial statements as Accounting and Administrative fees.
E. TRUSTEES FEES AND EXPENSES -- The Trust does not pay any compensation
directly to its officers or trustees who are directors, officers or employees
of Loomis Sayles, The New England or their affiliates. Each other trustee is
compensated by the Trust on behalf of each Fund at the rate of $1,250 per
Fund, per year plus travel expenses for each meeting attended.
F. SHAREHOLDERS -- At December 31, 1996, Loomis Sayles held 13,307 shares of
beneficial interest in the Municipal Bond Fund and 50,964 shares of
beneficial interest in the High Yield Fund. In addition, Loomis Sayles Funded
Pension Plan and the Loomis Sayles & Company, Employees Profit Sharing
Retirement Plan held shares of beneficial interest in the Funds as follows:
PROFIT
PENSION SHARING
PLAN PLAN
-------- --------
Growth Fund ............................. 360,846 833,020
Core Value Fund ......................... 427,846 530,259
Small Cap Value Fund .................... 170,582 848,497
International Equity Fund ............... 606,235 408,586
Worldwide Fund .......................... 411,059 72,825
Bond Fund ............................... 462,618 974,034
Global Bond Fund ........................ 600,448 199,704
U.S. Government Securities Fund ......... 506,930 175,954
Short-Term Bond Fund .................... 36,519 137,016
4. CREDIT RISK -- The Bond Fund may invest up to 35%, the Global Bond and
Short-Term Bond Funds each may invest up to 20%, and the High Yield Fund will
normally invest at least 65% of its assets in securities offering high
current income, which generally will be in the lower rating categories of
recognized rating agencies. These securities are regarded as predominantly
speculative with respect to capacity to pay interest and repay principal in
accordance with the terms of the obligations and will generally involve more
credit risk than securities in the higher rating categories. In addition, the
trading market for high yield securities may be relatively less liquid than
the market for higher-rated securities.
5. FOREIGN SECURITIES -- Each Fund (except the Municipal Bond and U.S.
Government Securities Funds) may purchase securities of foreign issuers.
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in
U.S. companies and securities of the U.S. government. These risks include
revaluation of currencies and the risks of appropriation. Moreover,
securities of many foreign companies and foreign governments and their
markets may be less liquid and their prices more volatile than those of
securities of comparable U.S. companies and the U.S. government.
6. EVENTS SUBSEQUENT TO BALANCE SHEET DATE -- On January 2, 1997, six additional
series of the Trust commenced investment operations. These funds include:
Loomis Sayles Mid-Cap Growth Fund, Loomis Sayles Mid-Cap Value Fund, Loomis
Sayles Small Cap Growth Fund, Loomis Sayles Strategic Value Fund, Loomis
Sayles Intermediate Maturity Bond Fund, and Loomis Sayles Investment Grade
Bond Fund.
On January 2, each series of the Trust, except for U.S. Government Securities
Fund and Municipal Bond Fund, commenced the offering of Retail Class shares.
Shares of each Fund existing before that date were redesignated as
"Institutional Class" shares. Except for purchases by certain categories of
investors (as set forth in the relevant prospectus), the purchase of
Institutional Class shares, which are not subject to any distribution fees,
requires a minimum investment of $1 million. Except for purchases by certain
categories of investors (as set forth in the relevant prospectus), the
purchase of Retail Class shares, which are subject to distribution fees at
the annual rate of 0.25% of average net assets pursuant to a distribution
plan adopted pursuant to Rule 12b-1 under the Investment Company Act of 1940,
requires a minimum investment of $250,000. Shares of each Class represent an
equal pro rata interest in the assets of the relevant fund, and, generally,
have identical voting, dividend, liquidation and other rights.
Investment income, realized and unrealized gains and losses, and fund level
expenses will be allocated on a pro rata basis to each Class, based on
relative net assets. Retail Class shares will pay a monthly 12b-1
distribution fee at an annual rate of 0.25% of the Fund's average net assets
attributable to Retail Class shares. Institutional Class shares pay no
distribution fees.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- -------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND TRUSTEES OF THE LOOMIS SAYLES FUNDS:
We have audited the accompanying statements of assets and liabilities of
the Loomis Sayles Funds (consisting of the Loomis Sayles Growth Fund, Core Value
Fund (formerly the Growth and Income Fund), Small Cap Value Fund (formerly the
Small Cap Fund), International Equity Fund, Worldwide Fund, Bond Fund, Global
Bond Fund, U.S. Government Securities Fund, Municipal Bond Fund, Short-Term Bond
Fund, and High Yield Fund) (collectively, the "Funds"), including the schedules
of portfolio investments, as of December 31, 1996 and the related statements of
operations, statements of changes in net assets and financial highlights for
each of the periods indicated herein. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of The
Loomis Sayles Funds as of December 31, 1996, the results of their operations,
the changes in their net assets and the financial highlights for each of the
periods indicated herein, in conformity with generally accepted accounting
principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 21, 1997
<PAGE>
----------------------------------------------------------------------------
BOARD OF TRUSTEES
EARL W. FOELL
DANIEL J. FUSS
RICHARD S. HOLWAY
TERRY R. LAUTENBACH
MICHAEL T. MURRAY
OFFICERS
PRESIDENT
DANIEL J. FUSS
EXECUTIVE VICE PRESIDENT TREASURER
ROBERT J. BLANDING MARK W. HOLLAND
VICE PRESIDENTS ASSISTANT TREASURERS
JEROME A. CASTELLINI LOUIS T. BALLERENE
MARY C. CHAMPAGNE PETER H. DUFFY
E. JOHN DEBEER NICHOLAS H. PALMERINO
PAUL H. DREXLER
WILLIAM H. EIGEN, JR. SECRETARY
CHRISTOPER R. ELY SHEILA M. BARRY
QUENTIN P. FAULKNER
PHILIP C. FINE ASSISTANT SECRETARIES
MARTHA F. HODGMAN MEGAN W. CHAMBERS
JOHN HYLL LAURIE M. GALLAGHER
JEFFREY L. MEADE
KENT P. NEWMARK
SCOTT A. PAPE
JEFFREY C. PETHERICK
PHILIP J. SCHETTEWI
DAVID L. SMITH
JEFFREY W. WARDLOW
GREGG D. WATKINS
ANTHONY J. WILKINS
JOHN F. YEAGER III
<PAGE>
INVESTMENT ADVISER
Loomis, Sayles & Company, L.P.
One Financial Center
Boston, Massachusetts 02111
TRANSFER AND DIVIDEND PAYING AGENT
AND CUSTODIAN OF ASSETS
State Street Bank and Trust Company
Boston, Massachusetts 02102
SHAREHOLDER SERVICING AGENT FOR
STATE STREET BANK AND TRUST COMPANY
Boston Financial Data Services, Inc.
P.O. Box 8314
Boston, Massachusetts 02266
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
1 Post Office Square
Boston, Massachusetts 02109
For information about:
o Establishing an account
o Account procedures and status
o Exchanges
o Shareholder services
CALL 800-626-9390
For all other information about the Funds:
CALL 800-633-3330
This report has been prepared for the shareholders of the Funds and is not
authorized for distribuion to prospective investors in the Fund unless it
is accompanied or preceded by an effective prospectus.
