<PAGE>
- -----------------------------------------------------------------------
LOOMIS SAYLES FUNDS
FIXED INCOME FUNDS
// // //
ANNUAL REPORT
SEPTEMBER 30, 1999
// Bond Fund
// Global Bond Fund
// High Yield Fund
// Intermediate Maturity Bond Fund
// Investment Grade Bond Fund
// Municipal Bond Fund
// Short-Term Bond Fund
// U.S. Government Securities Fund
A FAMILY OF NO-LOAD FUNDS
L O O M I S
------------
S A Y L E S
------------
F U N D S
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ONE FINANCIAL CENTER, BOSTON, MASSACHUSETTS 02111
800 - 633 - 3330
<PAGE>
TABLE OF CONTENTS
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<TABLE>
<S> <C>
Corporate Overview.............................. 1
Letter from the President....................... 2
Economic and Market Overview.................... 3
Institutional Class Total Return vs. Lipper
Category and Lipper Category Index............ 6
Fund and Manager Reviews........................ 8
Portfolio of Investments........................ 24
Statements of Assets and Liabilities............ 62
Statements of Operations........................ 64
Statements of Changes in Net Assets............. 66
Financial Highlights............................ 74
Notes to Financial Statements................... 92
1999 U.S. Tax and Distribution Information...... 104
Report of Independent Accountants............... 105
Board of Trustees and Officers.................. 109
</TABLE>
<PAGE>
CORPORATE OVERVIEW
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LOOMIS SAYLES FUNDS
- -------------------------------------------------------
Loomis Sayles Funds is a Boston-based family of 16 no-load mutual funds advised
by Loomis, Sayles & Company, L.P. At Loomis Sayles Funds, we follow a simple
strategy -- we pay close attention to what we hear from our clients and the
marketplace, then work to deliver high-quality products and services that exceed
expectations.
Our "listening harder" creed lets us design products and services that truly
answer our clients' needs. We offer a broad range of no-load funds to complement
your investment objectives and strategies. We believe we run one of the most
responsive support organizations in the business, providing timely information
and insightful solutions.
Beyond that, we're structured to take advantage of our institutional heritage.
The research department at Loomis, Sayles & Company, L.P. provides our portfolio
managers with the fundamental research they need to make sound investment
decisions. Our portfolio managers not only manage mutual funds, they manage
large institutional accounts that demand and appreciate the style consistency
that follows from our disciplined investment approach.
FOR INFORMATION ABOUT:
// Establishing an account
// Account procedures and status
// Exchanges
// Shareholder services
PHONE 800-626-9390
FOR ALL OTHER INFORMATION ABOUT THE FUNDS:
PHONE 800-633-3330
To request any of the following, press or say the number
/1/ Automated Account Balances, Last Transaction, and Distribution
Information
/2/ Speak to a Customer Service Representative regarding an Existing
Account
/3/ Net Asset Values and Yields
/4/ Speak to a Marketing Representative
/5/ Advisory and Broker/Dealer Services
/6/ Institutional and High Net Worth Operations, Trading and Client
Services
1
<PAGE>
As always, we are interested in your comments about the job we are doing and in
answering any questions you may have. For more complete information about any of
the Loomis Sayles Funds, including charges and expenses, please call Loomis
Sayles Distributors, L.P. for a prospectus at 800-633-3330 Monday through
Friday, 8:45 a.m. to 4:45 p.m. EST. Read it carefully before you invest or send
money.
2
<PAGE>
LETTER FROM THE PRESIDENT
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DEAR SHAREHOLDERS,
- -------------------------------------------------------
[PHOTO]
DANIEL J. FUSS
Despite continued economic strength, low inflation and
relatively low interest rates, the fiscal year ended
September 30, 1999, proved to be a challenging 12-month period
for equity and fixed-income investors.
The dominating characteristic of the bond market has been
illiquidity, particularly in the United States. The marvelous
days of narrow spreads between bid and ask and relatively
narrow spreads between quality and sector components of the
bond market have not returned. Things did improve somewhat from
the beginning of the fiscal year to the end, but that's about
it. In the 41 years I've been in the investment management
business, I never have seen markets this thin, except for very brief periods.
Nevertheless, this does not mean there is a shortage of opportunities. On the
contrary, this is one of the better times to construct a bond portfolio,
primarily because market liquidity is poor and spreads, no matter how you define
them, are wide. While it is not a good time to try to sell bonds in the
secondary market, it is a wonderful time to be a bond buyer with a longer-term
horizon. And, because our expertise is researching and selecting attractive
bonds, we are obviously comfortable with this environment.
Our best guess is that this period of poor liquidity will probably last through
the rest of the year and perhaps into early 2000. The best way to structure a
portfolio for this type of environment is to focus on where the spreads are
wide, then buy, hold and wait.
In the equity arena, the technological revolution was almost solely responsible
for the market's continued momentum. Large-capitalization growth stocks
continued to be the favored investment, despite a short-lived rally by smaller
and value-oriented stocks in the second quarter of 1999. But the stock market
was plagued by volatility throughout the year, as nervous investors reacted
severely to global events, earnings disappointments and any signs of growing
inflation in the U.S.
Looking ahead, the markets will be faced with some uncertainties, such as the
effect of the euro, the future of Internet-related stocks, the direction of U.S.
interest rates, and Y2K. Our best course of action remains precaution. In the
face of such uncertainty, we have positioned our funds to weather
wider-than-normal market swings, without giving up potential performance
advantages.
Regarding the Y2K issue, we believe the effects on the economy and markets are
likely to be only minor and temporary, but we do acknowledge that there remains
a degree of uncertainty surrounding the event. We want to assure you, our
shareholders, that at Loomis, Sayles & Company, L.P. we have been working
diligently to ensure a smooth transition into the Year 2000. We have taken steps
to prepare our systems and to ensure our business partners have done the same. A
contingency plan has been developed for the millennium rollover in the event
that unforeseen events occur. As a precautionary measure, though, we encourage
you to save all of your financial statements for the year. Also, if you have
particular questions or concerns about Y2K, speak with a Loomis representative
at (800) 633-3330 to gain further insight. The key to minimizing the impact of
Y2K is becoming familiar with the issue and preparing as well as you can.
Sincerely,
/s/ Daniel J. Fuss
Daniel J. Fuss
2
<PAGE>
President
Loomis Sayles Funds
3
<PAGE>
ECONOMIC AND MARKET OVERVIEW
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LOOMIS SAYLES ECONOMIC AND MARKET OVERVIEW
ANNUAL REPORT FOR THE FISCAL YEAR ENDED
SEPTEMBER 30, 1999
- -------------------------------------------------------
STOCKS
Investors went hog-wild on technology stocks while virtually everything else
took a backseat. For the first nine months of 1999, eleven of the top fifteen
contributors to the Standard & Poor's 500 Index return were purely technology
companies, and they accounted for all but 50 basis points of the index return.
Interest rates rose dramatically, as the Federal Reserve Board seemed to be
paying more attention to the level of the stock market than inflation in setting
its policies. Oil prices jumped on production cutbacks by OPEC, which gave a
boost to commodity-oriented industries.
FOURTH QUARTER 1998
This quarter really has to be broken into two parts -- the first eight days, and
the rest. The period from October 1 to October 8 saw the culmination of the
market downturn that began in the third quarter, on the heels of currency and
economic crises in both Asia and Russia. The S&P 500 hit its near-term low on
October 8, down 5.7% in just over a week and almost 20% from its July 17 high.
Small stocks, as measured by the Russell 2000 Index, were down almost 15% in the
first eight days of the quarter.
Then the Federal Reserve Board gave indications that it would ease the money
supply in order to stabilize the domestic markets and lend a hand to overseas
economies. The first actual rate cut took effect on October 15, and investor
optimism drove the market back to new highs. From the October 8 low to the end
of the year, the S&P 500 was up 28.6%, and the Russell 2000 did even better,
turning in a 36.3% return.
All the symptoms were in place for a turn in long-term cycles as well. Large
stocks had beaten small stocks for 12 of the previous 15 years, and history
shows a strong pattern of small stocks outperforming when the market comes out
of a steep drop.
Also true to form was the fact that the lower interest rate environment did not
greatly help commodity-oriented industries such as oil refining, mining,
chemicals, and lumber, which tend to benefit from inflation more than other
sectors.
FIRST QUARTER 1999
With a market correction and recovery cycle already complete, and a new year on
the calendar, predictions were out in full force with a few recurring themes.
Among them were:
- - After four consecutive years of returns between 23% and 37%, the S&P 500
would have a below-average year. Y2K concerns would make investors more
cautious and earnings would take a hit as companies poured money into Y2K
readiness plans.
3
<PAGE>
ECONOMIC AND MARKET OVERVIEW (CONTINUED)
- -----------------------------------------------------------------------
- - Both small and value stocks would make a comeback, after losing much ground
to large growth stocks since 1994.
- - Technological advances would continue to boost productivity, making continued
expansion without inflationary pressures possible. There would be no need for
the Federal Reserve Board to increase interest rates.
When put to the test, many of these forecasts faltered. The S&P 500 was up 5%,
with its growth component leading the way by a margin of 7.0% vs. 2.7% for the
value component. Small stocks were down 5.5%. And the 30-year U.S. Treasury bond
yield rose from 5.10% to 5.63% from the end of December to the end of March. In
other words, the experts were right on all but three of their major predictions.
The experts were actually right on one prediction. The Federal Reserve Board
didn't raise rates. But they might as well have, when they said at their
February meeting that they were taking a tightening bias. This could translate
into a rate increase in the near future.
The experts are not necessarily losing their touch; a lot of the phenomenon can
be summed up in one word, Internet. Consider the returns on the following six
stocks, all of which were in excess of $10 billion at the beginning of the
quarter: America Online, up 90%; Yahoo!, up 42%; Amazon.com, up 61%; @Home, up
112%; E-Bay, up 71%; and Netscape Communications, up 61%. Investors had thrown
traditional valuation methods to the wind; at the beginning of the quarter, out
of the stocks listed, only America Online had been showing a profit.
This type of price escalation carried over into smaller companies as well, yet
it did not help small-cap managers much, due to the fact that these high-flying
stocks soon exceeded the upper capitalization size limits imposed on small-cap
managers.
SECOND QUARTER 1999
It was another strong quarter, with the S&P 500 up 7%, and small-cap managers
overjoyed by the 15.5% rise in the Russell 2000 Index. The small-cap rally was
fairly broad, with every industry group except financial services and consumer
staples showing double-digit increases.
The large-cap rally was a bit more concentrated. Congressional debate on a
"patient's bill of rights" sent chills throughout the entire healthcare
industry. When the dust settled on June 30, three of the five biggest drags on
S&P 500 performance were pharmaceutical companies such as, Pfizer, Merck, and
Eli Lilly. Consumer stocks, specifically Coca-Cola, American Home Products and
Gillette took hits from weak overseas sales. Small-cap consumer stocks, which
tend to have far less international exposure, weathered this situation, but
still rode the coattails of larger stocks on a path of underperformance.
4
<PAGE>
ECONOMIC AND MARKET OVERVIEW (CONTINUED)
- -----------------------------------------------------------------------
Interest rates continued to rise, with the 30-year U.S. Treasury bond yield
climbing another 0.36% to 5.99%, the first time in nearly two years that the 6%
barrier had been threatened. This goes a long way in explaining the lackluster
performance in small-cap financial services.
Once again, the story was technology and communications. Long-distance carriers
and certain computer hardware companies joined the party started by the Internet
stocks. Among the top ten contributors to the S&P 500 were IBM, Lucent
Technologies, Hewlett Packard, Cisco Systems, Bell Atlantic, SBC Communications,
Ameritech, and Texas Instruments.
THIRD QUARTER 1999
Finally, a noticeable drop in the market occurred. Wall Street soothsayers were
not wrong, they were just early. The S&P 500 was down 6.15%, with the Russell
2000 Index dropping a similar 6.30%. The Federal Reserve Board made good on its
earlier promise and raised interest rates on June 30.
The technology leadership continued unabated. Eight of the top ten S&P 500
contributors fit this category. But the traditional telephone businesses gave
back much of their second quarter gains, and lost a lot of ground to wireless
services such as Nextel and Clear Channel in the process. Along with big players
such as AT&T and MCI WorldCom, consumer stocks such as, Coca-Cola, Gap and
financial stocks like, Bank of America, Bank One, Charles Schwab for example,
were prominent on the downside. And the Federal Reserve Board made their second
interest rate increase on August 24, reminding us further of their warnings in
February that they would be taking a "tightening bias."
5
<PAGE>
INSTITUTIONAL CLASS
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TOTAL RETURN(1) VS. LIPPER CATEGORY AND
LIPPER CATEGORY INDEX(2)
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<TABLE>
<CAPTION>
GLOBAL HIGH
BOND BOND YIELD
<S> <C> <C> <C>
- -----------------------------------------------------------
ONE YEAR
LOOMIS SAYLES 7.61 14.19 21.03
Lipper Category Average -0.99 0.19 4.84
Rank 2/126 5/145 5/302
Percentile 2 3 2
Lipper Category Index -0.56 0.35 5.25
THREE YEARS
LOOMIS SAYLES 8.22 7.23 5.01
Lipper Category Average 5.94 3.46 5.51
Rank 2/71 10/118 102/165
Percentile 3 8 62
Lipper Category Index 6.12 3.82 6.09
FIVE YEARS
LOOMIS SAYLES 11.48 11.24 N/A
Lipper Category Average 7.68 6.32
Rank 1/47 1/79
Percentile 2 1
Lipper Category Index 7.61 6.64
MODIFIED INCEPTION(3)
LOOMIS SAYLES 11.95 9.13 5.01
Lipper Category Average 8.48 6.36 5.51
Rank 1/21 1/29 102/165
Percentile 5 3 62
Lipper Category Index 7.82 6.50 6.09
ACTUAL INCEPTION(4)
LOOMIS SAYLES 11.83 9.05 5.37
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment in the Fund will
fluctuate so that investors' shares, when redeemed, may be worth more or less
than their original cost.
(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 returns shown
reflect, if any, the effect of fee waivers and/or expense reimbursements.
Absent such fee waivers and/or expense reimbursements, total return would
have been lower.
(2) The 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. The Lipper Category Index total return
represents the average total return of 30 funds in each Fund's
corresponding investment category as determined by Lipper Analytical
Services, Inc. Rankings are based on the total retun of each Fund for the
period relative to the total return of all funds in that Fund's
corresponding investment category.*
*Source: Lipper Analytical Services
6
<PAGE>
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<TABLE>
<CAPTION>
INTERMEDIATE INVESTMENT SHORT-
MATURITY GRADE MUNICIPAL TERM U.S. GOVERNMENT
BOND BOND BOND BOND SECURITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------
ONE YEAR
LOOMIS SAYLES 2.98 6.53 -2.83 1.77 -3.50
Lipper Category Average -1.01 -0.99 -3.07 2.69 -2.66
Rank 8/267 5/126 122/258 90/113 133/178
Percentile 3 4 47 80 75
Lipper Category Index -0.68 -0.56 -2.57 2.93 -2.31
THREE YEARS
LOOMIS SAYLES N/A N/A 5.07 5.94 7.57
Lipper Category Average 4.43 5.32 5.75
Rank 38/209 10/93 4/154
Percentile 18 11 3
Lipper Category Index 4.82 5.55 5.85
FIVE YEARS
LOOMIS SAYLES N/A N/A 6.06 6.27 8.63
Lipper Category Average 5.77 5.79 6.70
Rank 57/158 12/69 5/112
Percentile 36 17 4
Lipper Category Index 6.09 5.91 6.63
MODIFIED INCEPTION(3)
LOOMIS SAYLES 4.69 7.51 6.53 5.65 8.78
Lipper Category Average 5.36 5.15 6.36 5.19 6.66
Rank 168/192 2/78 32/87 7/32 1/55
Percentile 88 3 37 22 2
Lipper Category Index 5.69 5.30 6.47 5.38 6.34
ACTUAL INCEPTION(4)
LOOMIS SAYLES 4.69 7.51 6.55 5.64 8.77
</TABLE>
(3) Modified inception reflects the nearest Lipper reporting period following
actual inception. Lipper performance is reported as of month end.
(4) Actual Inception Dates:
Bond Fund ................................................... May 16, 1991
Global Bond Fund ............................................ May 10, 1991
High Yield Fund ....................................... September 11, 1996
Intermediate Maturity Bond Fund ........................ December 31, 1996
Investment Grade Bond Fund ............................. December 31, 1996
Municipal Bond Fund ......................................... May 29, 1991
Short-Term Bond Fund ...................................... August 3, 1992
U.S. Government Securities Fund ............................. May 21, 1991
7
<PAGE>
FUND AND MANAGER REVIEW
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LOOMIS SAYLES BOND FUND
- -------------------------------------------------------
[PHOTO] DANIEL J. FUSS
[PHOTO] KATHLEEN C. GAFFNEY
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invests in debt securities, although up to 20% of total assets may be
in preferred stocks.
FUND INCEPTION DATE: 5/16/91
COMMENCEMENT OF OPERATIONS OF CLASS:
Institutional - 5/16/91, Retail - 1/2/97, Admin - 1/2/98
EXPENSE RATIO: Institutional - 0.75%, Retail - 1.00%, Admin - 1.25%
TOTAL NET ASSETS (ALL CLASSES): $1,598.9 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the Institutional, Retail and
Admin Classes of the Bond Fund returned 7.61%, 7.30% and 7.11%, respectively,
compared to the -1.62% return for the Fund's benchmark, the Lehman Brothers
Government/ Corporate Bond Index. The average corporate debt fund BBB rated, as
measured by Lipper Analytical Services, posted a total return of -0.99% for the
same period.
PORTFOLIO REVIEW
In the first half of the fiscal year, diminished expectations of future interest
rate cuts, rising Japanese bond yields and a stronger-than-expected domestic
economy led investors to trade out of particularly rich U.S. Treasury Bonds and
into other segments of the bond market. The Fund was well positioned to benefit
from this transition, particularly in the Yankee (foreign issues denominated in
U.S. dollars) sector, where we have been accumulating positions since July 1997.
Credit upgrades in Korea and Brazil helped fuel the turnaround in Yankee bonds.
Then, beginning in 1999's second calendar quarter, concerns that inflation was
re-emerging in the U.S. economy triggered a broad bond market sell-off. Spread
products and BB- and BBB-rated securities fared much better than Treasuries for
most of the quarter, which benefited the Fund. The Fund's underweight position
in Treasuries combined with fortuitous bond selection, including Yankee bond
exposure, played a large part in the Fund's relatively strong second-quarter
performance.
But, sentiment quickly changed in the last three months of the fiscal year, due
to expectations of higher U.S. interest rates, secondary market activity and
instability among emerging market economies. Renewed fears about lower-rated
bonds triggered a rally among Treasuries and higher-quality fixed-income
securities. Because the Fund remains broadly diversified, it was able to benefit
from this flight to quality. The Fund's Yankee bond holdings ended the fiscal
year mixed, with continued advancements among Asian markets and fluctuation
among Latin American countries.
PORTFOLIO POSITIONING
The hovering concern over possible interest rate hikes continues to fuel market
sentiment. We feel that the Fund's diversification across sectors and countries
will help maintain our focus on long-term capital appreciation and high current
income.
/s/ DANIEL J. FUSS Daniel J. Fuss
/s/ KATHLEEN C. GAFFNEY Kathleen C. Gaffney
8
<PAGE>
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AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR 3 YEARS 5 YEARS INCEPTION(A)
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
Loomis Sayles Bond Fund
(Institutional) 7.61 8.22 11.48 11.83
Loomis Sayles Bond Fund (Retail) 7.30 NA NA 6.63
Loomis Sayles Bond Fund (Admin) 7.11 NA NA 3.23
Lipper Corp. Debt Funds BBB Rated
Index(b) -0.56 6.12 7.61 7.82
Lehman Brothers Government/Corp. Bond
Index(c) -1.62 6.75 7.77 7.72
</TABLE>
CUMULATIVE PERFORMANCE - MAY 31, 1991 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LOOMIS SAYLES LIPPER CORP. DEBT FUNDS LEHMAN BROTHERS
BOND FUND(D) BBB RATED INDEX GOVERNMENT/CORP. BOND INDEX
<S> <C> <C> <C>
5/31/91 $10,000.00 $10,000.00 $10,000.00
6/30/91 $9,849.40 $9,974.70 $9,989.18
7/31/91 $10,090.36 $10,083.63 $10,114.47
8/31/91 $10,502.01 $10,326.78 $10,347.55
9/30/91 $10,522.09 $10,551.34 $10,563.71
10/31/91 $10,814.79 $10,647.88 $10,658.12
11/30/91 $10,702.24 $10,733.58 $10,764.33
12/31/91 $10,931.19 $11,136.76 $11,127.42
1/31/92 $11,102.16 $11,001.51 $10,962.40
2/29/92 $11,379.98 $11,062.43 $11,020.62
3/31/92 $11,294.50 $11,025.26 $10,960.43
4/30/92 $11,456.07 $11,082.56 $11,025.73
5/31/92 $11,793.98 $11,307.64 $11,239.73
6/30/92 $11,837.58 $11,473.35 $11,404.36
7/31/92 $12,221.61 $11,788.77 $11,696.05
8/31/92 $12,332.72 $11,897.18 $11,800.49
9/30/92 $12,399.38 $12,041.21 $11,961.58
10/31/92 $12,255.16 $11,829.55 $11,779.05
11/30/92 $12,379.75 $11,843.49 $11,769.61
12/31/92 $12,493.01 $12,040.18 $11,971.02
1/31/93 $12,927.13 $12,302.94 $12,231.44
2/28/93 $13,180.37 $12,593.06 $12,485.37
3/31/93 $13,445.67 $12,671.01 $12,527.66
4/30/93 $13,650.50 $12,766.00 $12,624.04
5/31/93 $13,870.67 $12,796.46 $12,617.35
6/30/93 $14,164.23 $13,084.00 $12,903.73
7/31/93 $14,508.41 $13,205.83 $12,986.14
8/31/93 $14,769.71 $13,513.51 $13,284.32
9/30/93 $14,794.60 $13,552.74 $13,330.54
10/31/93 $15,017.94 $13,646.69 $13,385.02
11/30/93 $15,081.20 $13,489.75 $13,233.76
12/31/93 $15,268.65 $13,580.61 $13,291.59
1/31/94 $15,872.95 $13,816.01 $13,491.62
2/28/94 $15,604.37 $13,515.04 $13,198.16
3/31/94 $15,040.36 $13,129.93 $12,875.39
4/30/94 $14,703.08 $12,971.45 $12,768.78
5/31/94 $14,648.47 $12,938.41 $12,745.18
6/30/94 $14,607.51 $12,884.72 $12,715.28
7/31/94 $14,829.91 $13,105.15 $12,969.40
8/31/94 $15,052.08 $13,156.77 $12,974.71
9/30/94 $14,871.57 $12,975.06 $12,778.22
10/31/94 $14,802.86 $12,933.76 $12,764.06
11/30/94 $14,605.11 $12,899.17 $12,741.24
12/31/94 $14,647.04 $12,963.70 $12,825.23
1/31/95 $14,953.10 $13,172.78 $13,071.49
2/28/95 $15,390.33 $13,473.75 $13,374.59
3/31/95 $15,725.54 $13,579.58 $13,464.28
4/30/95 $16,300.03 $13,823.76 $13,652.12
5/31/95 $17,174.30 $14,420.01 $14,224.29
6/30/95 $17,411.39 $14,528.94 $14,337.98
7/31/95 $17,362.17 $14,494.87 $14,282.71
8/31/95 $17,723.25 $14,708.08 $14,465.44
9/30/95 $18,159.56 $14,880.50 $14,612.37
10/31/95 $18,339.88 $15,078.73 $14,826.96
11/30/95 $18,889.62 $15,326.01 $15,071.05
12/31/95 $19,328.18 $15,578.97 $15,293.11
1/31/96 $19,721.35 $15,704.93 $15,388.31
2/29/96 $19,123.73 $15,374.54 $15,061.80
3/31/96 $19,139.46 $15,261.12 $14,935.33
4/30/96 $18,984.47 $15,163.70 $14,832.85
5/31/96 $19,192.21 $15,153.32 $14,807.87
6/30/96 $19,447.89 $15,326.96 $15,005.54
7/31/96 $19,437.62 $15,364.93 $15,040.55
8/31/96 $19,600.14 $15,357.31 $15,003.57
9/30/96 $20,209.12 $15,664.65 $15,270.28
10/31/96 $20,883.67 $16,040.65 $15,626.68
11/30/96 $21,696.46 $16,398.29 $15,914.44
12/31/96 $21,317.55 $16,239.66 $15,737.03
1/31/97 $21,300.33 $16,291.26 $15,755.72
2/28/97 $21,610.28 $16,384.19 $15,788.96
3/31/97 $21,265.89 $16,131.21 $15,601.32
4/30/97 $21,543.36 $16,369.50 $15,829.48
5/31/97 $22,017.03 $16,556.99 $15,977.19
6/30/97 $22,508.25 $16,803.83 $16,168.96
7/31/97 $23,666.09 $17,384.84 $16,663.64
8/31/97 $23,147.72 $17,154.56 $16,476.59
9/30/97 $23,898.46 $17,456.32 $16,735.63
10/31/97 $23,818.20 $17,633.62 $17,003.72
11/30/97 $23,945.18 $17,719.80 $17,093.21
12/31/97 $24,023.77 $17,909.92 $17,272.59
1/31/98 $24,323.36 $18,138.50 $17,516.09
2/28/98 $24,585.51 $18,131.85 $17,480.49
3/31/98 $24,941.28 $18,223.88 $17,534.38
4/30/98 $25,035.65 $18,301.93 $17,622.50
5/31/98 $25,035.65 $18,458.45 $17,811.91
6/30/98 $25,054.67 $18,593.89 $17,993.06
7/31/98 $24,787.52 $18,579.43 $18,007.42
8/31/98 $23,007.31 $18,444.41 $18,359.30
9/30/98 $23,800.67 $18,824.66 $18,884.27
10/31/98 $23,731.20 $18,592.48 $18,750.91
11/30/98 $25,182.10 $18,936.23 $18,862.63
12/31/98 $25,151.93 $18,983.31 $18,908.85
1/31/99 $25,614.98 $19,148.49 $19,043.19
2/28/99 $25,151.93 $18,734.19 $18,590.60
3/31/99 $26,056.98 $18,942.95 $18,682.85
4/30/99 $26,955.08 $19,079.34 $18,729.56
5/31/99 $26,332.70 $18,821.77 $18,536.64
6/30/99 $26,161.02 $18,722.01 $18,479.18
7/31/99 $25,764.42 $18,628.40 $18,427.44
8/31/99 $25,523.63 $18,559.48 $18,412.70
9/30/99 $25,611.19 $18,719.09 $18,578.41
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(a): Inception date of the Institutional Class of shares is May 16, 1991. Since
Lipper and Lehman Brothers Government/Corporate Bond Index performance
data is not available coincident with this date, comparative performance
is presented from May 31, 1991. Inception date of the Retail and Admin
Classes of shares are December 31, 1996 and January 2, 1998, respectively.
(b): The Lipper Corporate Debt Funds BBB Rated Index is an equally weighted
index of typically the 30 largest mutual funds within the corporate debt
funds BBB rated investment objective. Returns are adjusted for the
reinvestment of capital gains distributions and income dividends.
(c): Lehman Brothers Government/Corporate Bond 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.
(d): Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail and Admin Classes of shares would be lower, due
to the higher fees paid by the Retail and Admin Classes of shares.
9
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES GLOBAL BOND FUND
- -------------------------------------------------------
[PHOTO] E. JOHN DEBEER
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invests primarily in investment grade fixed income obligations
(including convertibles) denominated in various currencies, including U.S.
dollars or multicurrency units.
FUND INCEPTION DATE: 5/10/91
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 5/10/91,
Retail - 1/2/97
EXPENSE RATIO: Institutional - 0.90%, Retail - 1.15%
TOTAL NET ASSETS (ALL CLASSES): $41.3 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the Institutional and Retail
Classes of the Global Bond Fund returned 14.19% and 13.84%, respectively,
compared to the 0.48% return for the Fund's benchmark, the Salomon Brothers
World Government Bond Index. The average global income fund, as measured by
Lipper Analytical Services, posted a total return of 0.19% for the same period.
PORTFOLIO REVIEW
We maintained a fairly balanced approach to Europe and Asia throughout the
fiscal year--a strategy that has contributed to the Fund's good relative
performance. We believe that growth throughout Asia is just beginning and should
last for a number of years. In Europe, corporate bond offerings are growing in
size, availability, diversity and liquidity. We believe that our credit research
allows us to seek out good value ahead of the competition. Additionally, we
believe the euro eventually will become a third reserve currency for the world.
Relative to the Lipper universe, the absence of significant holdings denominated
in Japanese yen was a big factor pulling down total Fund performance. For the
year ended September 30, 1999, the yen strengthened more than 22% relative to
the U.S. dollar. Our modest holdings denominated in yen were hedged with forward
foreign currency contracts, and the Fund did not participate in the rally.
However, during that same period, our other Asian security holdings denominated
in U.S. dollars have done very well and have helped the total portfolio
outperform.
PORTFOLIO POSITIONING
Our overall portfolio strategy remained relatively unchanged throughout the
year. The euro remains the largest currency commitment at 43.4% of the
portfolio. We remain convinced that the euro will achieve international status
as a reserve currency, second only to the U.S. dollar. With the advent of the
new single currency, European corporate bond issuance exploded to more than 90
billion euro in the first nine months of 1999. We believe that the Asia Pacific
region has begun an extended period of economic growth, this time with a more
solid financial foundation. This should be good for both the credit ratios of
our emerging market bond holdings and for our holdings denominated in Australian
dollars and New Zealand dollars.
/s/ E. JOHN DEBEER E. John deBeer
10
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR 3 YEARS 5 YEARS INCEPTION(A)
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
Loomis Sayles Global Bond Fund
(Institutional) 14.19 7.23 11.24 9.05
Loomis Sayles Global Bond Fund
(Retail) 13.84 NA NA 5.86
Lipper Global Income Funds Index(b) 0.35 3.82 6.64 6.50
Salomon Brothers World Government Bond
Index(c) 0.48 4.71 6.81 8.38
</TABLE>
CUMULATIVE PERFORMANCE - MAY 31, 1991 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LOOMIS SAYLES LIPPER GLOBAL SALOMON BROTHERS
GLOBAL BOND INCOME FUNDS WORLD GOVERNMENT
FUND(D) INDEX BOND INDEX
<S> <C> <C> <C>
5/31/91 $10,000.00 $10,000.00 $10,000.00
6/30/91 $9,560.00 $9,828.52 $9,895.36
7/31/91 $9,860.00 $9,978.77 $10,106.84
8/31/91 $10,000.00 $10,124.94 $10,302.42
9/30/91 $10,530.00 $10,453.21 $10,705.51
10/31/91 $10,580.87 $10,565.90 $10,817.65
11/30/91 $10,822.03 $10,577.33 $10,986.74
12/31/91 $11,687.29 $10,939.90 $11,558.04
1/31/92 $11,266.22 $10,758.62 $11,352.74
2/29/92 $11,173.79 $10,808.43 $11,289.61
3/31/92 $11,112.17 $10,750.45 $11,169.96
4/30/92 $11,214.63 $10,832.11 $11,249.87
5/31/92 $11,603.52 $11,059.12 $11,595.12
6/30/92 $12,044.96 $11,224.89 $11,919.62
7/31/92 $12,351.14 $11,418.42 $12,197.32
8/31/92 $12,222.26 $11,491.91 $12,538.60
9/30/92 $11,846.36 $11,355.54 $12,664.43
10/31/92 $11,995.50 $11,338.39 $12,320.50
11/30/92 $11,731.86 $11,224.07 $12,124.92
12/31/92 $11,785.91 $11,325.33 $12,197.33
1/31/93 $11,808.75 $11,476.40 $12,410.13
2/28/93 $12,060.00 $11,740.16 $12,654.28
3/31/93 $12,356.93 $11,860.20 $12,848.54
4/30/93 $12,734.89 $12,004.74 $13,120.06
5/31/93 $12,815.78 $12,136.21 $13,251.63
6/30/93 $12,388.20 $12,292.18 $13,223.37
7/31/93 $12,248.94 $12,435.08 $13,263.11
8/31/93 $12,899.74 $12,733.14 $13,659.58
9/30/93 $13,190.27 $12,724.16 $13,821.73
10/31/93 $13,422.30 $12,895.64 $13,798.21
11/30/93 $13,293.91 $12,811.53 $13,699.31
12/31/93 $13,508.21 $13,094.89 $13,815.87
1/31/94 $13,764.70 $13,255.76 $13,927.13
2/28/94 $13,361.65 $12,809.90 $13,836.18
3/31/94 $13,007.46 $12,411.40 $13,816.31
4/30/94 $12,922.29 $12,315.04 $13,832.20
5/31/94 $12,637.60 $12,226.03 $13,710.79
6/30/94 $12,192.00 $12,121.51 $13,908.58
7/31/94 $12,268.06 $12,219.50 $14,019.40
8/31/94 $12,217.83 $12,221.95 $13,970.83
9/30/94 $12,155.05 $12,254.61 $14,071.93
10/31/94 $12,192.72 $12,373.83 $14,297.54
11/30/94 $12,343.40 $12,319.93 $14,101.07
12/31/94 $12,330.84 $12,151.71 $14,139.92
1/31/95 $12,255.50 $12,168.86 $14,436.61
2/28/95 $12,230.39 $12,339.53 $14,806.15
3/31/95 $11,966.70 $12,659.63 $15,685.62
4/30/95 $12,506.65 $12,965.04 $15,976.13
5/31/95 $13,260.06 $13,393.75 $16,425.58
6/30/95 $13,109.38 $13,383.13 $16,522.27
7/31/95 $13,460.97 $13,484.39 $16,561.12
8/31/95 $13,900.46 $13,435.39 $15,992.03
9/30/95 $14,176.71 $13,659.95 $16,349.20
10/31/95 $14,339.95 $13,785.71 $16,471.05
11/30/95 $14,942.68 $14,021.71 $16,657.36
12/31/95 $15,278.87 $14,308.33 $16,831.75
1/31/96 $15,641.06 $14,475.73 $16,623.80
2/29/96 $15,319.12 $14,222.59 $16,539.03
3/31/96 $15,399.61 $14,234.10 $16,516.07
4/30/96 $15,694.72 $14,355.87 $16,450.29
5/31/96 $15,788.62 $14,397.06 $16,453.82
6/30/96 $16,150.81 $14,537.19 $16,583.18
7/31/96 $16,123.98 $14,686.07 $16,901.06
8/31/96 $16,298.37 $14,819.77 $16,966.84
9/30/96 $16,792.29 $15,101.40 $17,035.71
10/31/96 $17,196.92 $15,407.18 $17,354.47
11/30/96 $17,736.43 $15,782.10 $17,583.17
12/31/96 $17,573.83 $15,742.44 $17,441.01
1/31/97 $17,360.38 $15,607.92 $16,974.79
2/28/97 $17,644.98 $15,619.47 $16,847.64
3/31/97 $17,488.45 $15,425.36 $16,719.61
4/30/97 $17,403.07 $15,469.84 $16,573.03
5/31/97 $17,801.50 $15,691.66 $17,023.36
6/30/97 $18,199.93 $15,882.34 $17,226.45
7/31/97 $18,399.15 $16,015.79 $17,092.23
8/31/97 $18,185.70 $15,934.35 $17,082.08
9/30/97 $18,555.68 $16,273.69 $17,445.88
10/31/97 $18,299.54 $16,257.04 $17,807.91
11/30/97 $18,242.62 $16,258.18 $17,534.62
12/31/97 $17,979.31 $16,311.58 $17,481.64
1/31/98 $18,374.46 $16,432.35 $17,651.62
2/28/98 $18,724.02 $16,573.38 $17,795.11
3/31/98 $18,511.25 $16,643.23 $17,618.95
4/30/98 $18,754.42 $16,775.47 $17,900.63
5/31/98 $18,693.63 $16,755.52 $17,942.57
6/30/98 $18,313.68 $16,705.16 $17,969.06
7/31/98 $18,480.86 $16,777.92 $17,992.90
8/31/98 $17,386.60 $16,175.68 $18,482.97
9/30/98 $18,131.31 $16,839.05 $19,465.75
10/31/98 $19,164.78 $16,982.64 $20,042.35
11/30/98 $19,955.08 $17,161.97 $19,759.45
12/31/98 $19,883.18 $17,343.94 $20,157.30
1/31/99 $20,277.56 $17,380.82 $19,972.23
2/28/99 $19,998.21 $16,934.97 $19,330.33
3/31/99 $20,655.51 $17,069.81 $19,379.10
4/30/99 $21,460.70 $17,225.15 $19,371.35
5/31/99 $20,934.86 $16,880.64 $19,045.91
6/30/99 $20,704.81 $16,721.96 $18,712.61
7/31/99 $20,803.40 $16,780.49 $19,171.07
8/31/99 $20,556.92 $16,745.25 $19,259.25
9/30/99 $20,704.81 $16,895.96 $19,559.70
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(a): Inception date of the Institutional Class of shares 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. Inception date of the Retail Class of shares
is December 31, 1996.
(b): The Lipper Global Income Funds Index is an equally weighted index of
typically the 30 largest mutual funds within the global income funds
investment objective. Returns are adjusted for the reinvestment of capital
gains distributions and income dividends.
(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.
(d): Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail Class of shares would, due to the higher fees
paid by the Retail Class of shares, be lower.
11
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND
- -------------------------------------------------------
[PHOTO] DANIEL J. FUSS
[PHOTO] KATHLEEN C. GAFFNEY
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invests in debt securities, although up to 20% of total assets may be
in preferred stocks and up to 10% in common stocks. The Fund normally invests at
least 65% of its assets in fixed income securities of below investment grade
quality.
FUND INCEPTION DATE: 9/11/96
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 9/11/96
EXPENSE RATIO: Institutional - 0.75%
TOTAL NET ASSETS: $20.1 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the Institutional Class of the
High Yield Fund returned 21.03% compared to the 3.37% return for the Fund's
benchmark, the Merrill Lynch High Yield Master Index. The average high current
yield fund, as measured by Lipper Analytical Services, posted a total return of
4.84% for the same period.
PORTFOLIO REVIEW
The Fund's strong relative performance during the fiscal year was, in general,
due to the return of liquidity to many of the smaller, lesser-known bonds in the
portfolio. In addition, certain successful issue and sector selections
contributed to solid performance. Specifically, the Fund's sizeable positions in
the Yankee (foreign issues in U.S. dollars), telecommunications (competitive
local exchange carriers, in particular) and energy sectors had a meaningful
impact on performance. As industry fundamentals improved in each of these
respective sectors previously shunned by investors, risk premiums compressed to
U.S. Treasury Bonds allowing for some significant capital appreciation.
Asian bond markets maintained their summer rally behind a strong Japanese yen,
Korean restructuring and a possible upgrade in the debt ratings for Malaysia and
Thailand. We currently maintain an overweight position in Thai fixed-income
securities, as positive financial and corporate restructuring progress provide
plenty of opportunity. Canadian government and provincial debt remained stable
enabling Canada to sustain its strong credit profile, liquidity and call
protection during this period.
PORTFOLIO POSITIONING
As the third calendar quarter of 1999 drew to a close, average yields for
high-yield bonds rose to 11.62%, the high for the year. Although the high-yield
market has outperformed Treasuries year-to-date, Treasury yields moved slightly
higher in the third quarter. In terms of cash flows, eight of the past 10 weeks
(at third-quarter-end) have seen high-yield outflows totaling $2.3 billion.
Nonetheless, we remain optimistic going into the fourth quarter, as the period
from November through February traditionally is the strongest for high-yield
total returns.
We feel that the Fund's diversification across sectors and countries will help
maintain our focus on long-term capital appreciation potential and high current
income.
/s/ DANIEL J. FUSS Daniel J. Fuss
/s/ KATHLEEN C. GAFFNEY Kathleen C. Gaffney
12
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR 3 YEARS INCEPTION(A)
<S> <C> <C> <C>
- -----------------------------------------------------------------------
Loomis Sayles High Yield Fund
(Institutional) 21.03 5.01 5.37
Lipper High Current Yield Funds
Index(b) 5.25 6.09 6.09
Merrill Lynch High Yield Master
Index(c) 3.37 6.90 6.90
</TABLE>
CUMULATIVE PERFORMANCE - SEPTEMBER 30, 1996 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
FUND NAME LIPPER HIGH LOOMIS MERRILL LYNCH
CURRENT YIELD SAYLES HIGH YIELD
FUNDS INDEX HIGH YIELD FUND MASTER INDEX
<S> <C> <C> <C>
09/30/96 10,000.00 10,000.00 10,000.00
10/31/96 10,047.67 9,930.90 10,109.59
11/30/96 10,220.81 10,148.08 10,313.98
12/31/96 10,346.76 10,172.76 10,393.34
01/31/97 10,449.36 10,192.88 10,473.21
02/28/97 10,624.81 10,213.00 10,620.13
03/31/97 10,394.67 10,152.63 10,502.18
04/30/97 10,483.20 10,211.89 10,621.71
05/31/97 10,760.60 10,489.28 10,835.77
06/30/97 10,944.94 10,756.39 11,000.74
07/31/97 11,236.88 11,265.10 11,264.73
08/31/97 11,262.43 11,275.56 11,245.02
09/30/97 11,535.21 11,662.57 11,431.28
10/31/97 11,489.98 11,354.51 11,507.14
11/30/97 11,573.40 11,482.45 11,616.05
12/31/97 11,709.83 11,332.64 11,726.27
01/31/98 11,937.33 11,399.83 11,900.91
02/28/98 12,049.84 11,724.58 11,950.02
03/31/98 12,224.48 12,082.92 12,053.00
04/30/98 12,262.63 12,029.40 12,110.25
05/31/98 12,249.08 11,766.40 12,194.57
06/30/98 12,270.58 11,514.83 12,254.96
07/31/98 12,354.29 11,383.71 12,324.85
08/31/98 11,412.85 9,673.81 11,793.02
09/30/98 11,344.42 9,568.41 11,816.54
10/31/98 11,086.88 9,752.98 11,622.41
11/30/98 11,737.92 10,533.22 12,151.76
12/31/98 11,701.27 10,289.90 12,155.79
01/31/99 11,913.20 10,583.17 12,275.98
02/28/99 11,865.26 10,608.67 12,182.35
03/31/99 12,074.45 11,118.00 12,287.33
04/30/99 12,387.18 11,842.76 12,287.33
05/31/99 12,151.82 11,554.87 12,392.91
06/30/99 12,153.04 11,816.59 12,369.36
07/31/99 12,156.68 11,714.44 12,387.91
08/31/99 12,033.90 11,526.15 12,266.51
09/30/99 11,940.04 11,579.95 12,214.99
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment in the Fund will
fluctuate so that investors' shares, when redeemed, may be worth more or less
than their original cost.
(a): Inception date of the Institutional Class of shares is September 11, 1996.
Since Lipper and Merrill Lynch High Yield Master Index performance data is
not available coincident with this date, comparative performance is
presented from September 30, 1996.
(b): The Lipper High Current Yield Funds Index is an equally weighted index of
typically the 30 largest mutual funds within the high current yield funds
investment objective. Returns are adjusted for the reinvestment of capital
gains distributions and income dividends.
(c): Merrill Lynch High Yield Master Index consists of fixed-rate,
coupon-bearing bonds with an outstanding par which is greater than or
equal to $50 million, a maturity range greater than or equal to one year
and must be less than BBB/Baa3 rated but not in default. The index returns
have not been reduced for ongoing management and operating expenses
applicable to mutual fund investments.
13
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND
- -------------------------------------------------------
[PHOTO] ANTHONY J. WILKINS
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invests in investment grade debt securities, with a dollar-weighted
average maturity between three and ten years.
FUND INCEPTION DATE: 12/31/96
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 1/2/97,
Retail - 1/2/97
EXPENSE RATIO: Institutional - 0.55%, Retail - 0.80%
TOTAL NET ASSETS (ALL CLASSES): $10.8 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the Institutional and Retail
Classes of the Intermediate Maturity Bond Fund returned 2.98% and 2.62%,
respectively, compared to the 0.63% return for the Fund's benchmark, the Lehman
Brothers Government/Corporate Intermediate Bond Index. The average intermediate
investment grade debt funds, as measured by Lipper Analytical Services, posted a
total return of -1.01% for the same period.
PORTFOLIO REVIEW
Early in the fiscal year, a massive, global "flight to quality" rocked the bond
market, causing Treasuries to outperform all other sectors of the bond market.
But, after a series of three Federal Reserve Board interest rate cuts in late
1998, liquidity was restored to the market. This, coupled with a
stronger-than-expected U.S. economy and diminishing expectations of additional
rate cuts, caused investors to trade out of expensive Treasuries and seek value
in the spread sectors. The Fund benefited from this shifting sentiment, as its
mortgage- and asset-backed securities holdings outperformed similar-duration
Treasuries during the first calendar quarter of 1999.
During the second and third calendar quarters of 1999, inflation concerns
emerged, and the Federal Reserve reversed its course with a series of rate
hikes. In anticipation of these rate increases, the bond market experienced a
sell off. Despite this period, the Fund performed well due to the yield
advantages among certain non-Treasury securities and the narrowing of credit
spreads. Additionally, higher-quality, shorter-term securities tended to fare
the best, which helped the Fund's performance.
Throughout the fiscal year, the Fund's modest Yankee bond (foreign issues
denominated in U.S. dollars) allocation also enhanced returns. Bolstered by the
successful recoveries in Korea, Southeast Asia and select Latin American
credits, these securities excelled throughout the one-year period.
PORTFOLIO POSITIONING
We will continue to focus on identifying undervalued credits in an effort to
create a flexible balance between high current income and the potential for
capital appreciation. Because of the Fund's maturity and quality parameters, our
approach generally results in a shorter-maturity, higher-quality portfolio that
attempts to provide above-average yield and call protection. The Fund's duration
remains slightly longer than that of the benchmark index as we attempt to
capture additional yield further out on the yield curve and enhance capital
return potential should yield spreads narrow.
/s/ ANTHONY J. WILKINS Anthony J. Wilkins
14
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR INCEPTION(A)
<S> <C> <C>
- --------------------------------------------------------------
Loomis Sayles Intermediate Maturity
Bond Fund (Institutional) 2.98 4.69
Loomis Sayles Intermediate Maturity
Bond Fund (Retail) 2.62 4.44
Lipper Intermediate Investment Grade
Debt Funds Index(b) -0.68 5.69
Lehman Brothers Government/Corp.
Intermediate Bond Index(c) 0.63 5.99
</TABLE>
CUMULATIVE PERFORMANCE - DECEMBER 31, 1996 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
12/31/96 LOOMIS SAYLES INTERMEDIATE LIPPER INTERMEDIATE INVESTMENT LEHMAN BROTHERS GOVERNMENT
MATURITY BOND FUND(D) GRADE DEBT FUNDS INDEX /CORPORATE INTERMEDIATE BOND INDEX
$10,000.00 $10,000.00 $10,000.00
<S> <C> <C> <C>
1/31/97 $10,060.00 $10,031.01 $10,038.86
2/28/97 $10,080.00 $10,055.69 $10,058.04
3/31/97 $9,990.00 $9,947.62 $9,988.64
4/30/97 $10,106.37 $10,083.94 $10,105.99
5/31/97 $10,228.01 $10,173.64 $10,189.90
6/30/97 $10,339.51 $10,293.97 $10,282.90
7/31/97 $10,574.08 $10,566.36 $10,492.11
8/31/97 $10,502.36 $10,470.18 $10,439.37
9/30/97 $10,625.31 $10,621.03 $10,560.76
10/31/97 $10,585.81 $10,748.79 $10,677.73
11/30/97 $10,606.57 $10,780.37 $10,701.33
12/31/97 $10,642.54 $10,878.47 $10,786.88
1/31/98 $10,759.26 $11,022.64 $10,928.20
2/28/98 $10,812.31 $11,006.71 $10,919.87
3/31/98 $10,918.42 $11,047.36 $10,954.95
4/30/98 $10,969.02 $11,098.97 $11,009.84
5/31/98 $11,022.90 $11,199.06 $11,090.60
6/30/98 $11,033.68 $11,288.28 $11,161.39
7/31/98 $11,059.37 $11,311.38 $11,200.76
8/31/98 $10,895.12 $11,464.61 $11,376.79
9/30/98 $11,015.57 $11,721.63 $11,662.59
10/31/98 $10,968.82 $11,626.79 $11,651.11
11/30/98 $11,080.18 $11,684.76 $11,650.23
12/31/98 $11,067.60 $11,734.76 $11,697.04
1/31/99 $11,124.95 $11,807.56 $11,761.27
2/28/99 $11,033.20 $11,596.80 $11,588.40
3/31/99 $11,228.17 $11,688.01 $11,674.84
4/30/99 $11,408.85 $11,727.75 $11,711.03
5/31/99 $11,280.53 $11,608.13 $11,620.86
6/30/99 $11,303.87 $11,568.66 $11,628.99
7/31/99 $11,272.93 $11,528.17 $11,618.53
8/31/99 $11,201.74 $11,515.49 $11,627.82
9/30/99 $11,344.13 $11,642.16 $11,735.96
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(a):Inception date of the Institutional and Retail Classes of shares is
December 31, 1996.
(b):The Lipper Intermediate Investment Grade Debt Funds Index is an equally
weighted index of typically the 30 largest mutual funds within the
intermediate investment grade debt funds investment objective. Returns are
adjusted for the reinvestment of capital gains distributions and income
dividends.
(c):Lehman Brothers Government/Corporate Intermediate Bond Index consists of
those bonds held within the Lehman Brothers Government/Corporate Bond Index
which have an average maturity of 1-10 years. The Lehman Brothers
Government/Corporate Bond Index consists 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.
(d):Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail Class of shares would, due to the higher fees paid
by the Retail Class of shares, be lower.
15
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
- -------------------------------------------------------
[PHOTO] DANIEL J. FUSS
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invests in investment grade debt securities, including convertibles,
although up to 20% of assets may be in preferred stocks.
FUND INCEPTION DATE: 12/31/96
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 1/2/97,
Retail - 1/2/97, J - 5/24/99
EXPENSE RATIO: Institutional - 0.55%, Retail - 0.80%, J -1.30%
TOTAL NET ASSETS (ALL CLASSES): $21.3 MM
PERFORMANCE
For the period ended September 30, 1999, the Institutional, Retail and J Classes
of the Investment Grade Bond Fund returned 6.53%, 6.23% and -1.45%,
respectively, compared to the -1.62% return for the Fund's benchmark, the Lehman
Brothers Government/Corporate Bond Index. The average corporate debt fund BBB
rated, as measured by Lipper Analytical Services, posted a total return of
- -0.99% for the same period.
PORTFOLIO REVIEW
The Fund's fiscal year began with a series of initial Federal Reserve Board
interest rate cuts, which put an end to the "flight to quality", or the
preference toward buying higher credits to minimize credit risk. The Federal
Reserve rate cuts brought liquidity back to the market, and investors shifted
their focus from Treasuries to other sectors of the bond market. The Fund was
positioned nicely to capitalize on the resulting resurgence of corporate credit
spreads.
But, as the second half of the Fund's fiscal year unfolded,
stronger-than-expected U.S. economic growth re-ignited inflationary fears, and
bond market yields moved upward. Treasuries and higher-quality bonds performed
more consistently with the broader bond market, and the Fund was well positioned
to take advantage of the flight to quality. Rising oil prices and firming
overseas economies contributed to strong performance of the Fund's
energy-related holdings as well as its modest Yankee (foreign securities
denominated in U.S. dollars) position.
Throughout the 12-month period, the Fund's considerable position in Canadian
government and provincial debt proved beneficial, as the outlook for Canada's
commodity-sensitive economy brightened and the country's currency strengthened.
In addition, the Fund's energy, industrial (paper, home builders) and Yankee
bond positions offered significant positive contributions to the Fund's
performance.
PORTFOLIO POSITIONING
The Fund continues to stay true to its long-term investment strategy of buying
long-term discounted corporate bonds for the added yield and call protection
they should provide. We believe that the corporate bond market remains
attractive from a valuation standpoint and are excited about the opportunities
available in the months ahead. But we also recognize that this market may be
more difficult to navigate than in the past.
/s/ DANIEL J. FUSS Daniel J. Fuss
16
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR INCEPTION(A)
<S> <C> <C>
- --------------------------------------------------------------
Loomis Sayles Investment Grade Bond
Fund (Institutional) 6.53 7.51
Loomis Sayles Investment Grade Bond
Fund (Retail) 6.23 7.24
Loomis Sayles Investment Grade Bond
Fund (J Class)(b) NA -4.88
Lipper Corporate Debt Funds BBB Rated
Index(c) -0.56 5.30
Lehman Brothers Government/Corp. Bond
Index(d) -1.62 6.22
</TABLE>
CUMULATIVE PERFORMANCE - DECEMBER 31, 1996 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LOOMIS SAYLES LIPPER CORPORATE DEBT LEHMAN BROTHERS GOVERNMENT
INVESTMENT GRADE FUNDS BBB RATED /CORP. BOND
BOND FUND (E) INDEX INDEX
<S> <C> <C> <C>
12/31/96 $10,000.00 $10,000.00 $10,000.00
1/31/97 $9,950.00 $10,031.77 $10,011.87
2/28/97 $10,150.00 $10,088.99 $10,032.99
3/31/97 $9,940.00 $9,933.21 $9,913.75
4/30/97 $10,132.65 $10,079.95 $10,058.73
5/31/97 $10,325.17 $10,195.40 $10,152.59
6/30/97 $10,598.75 $10,347.40 $10,274.45
7/31/97 $11,280.87 $10,705.18 $10,588.79
8/31/97 $10,971.81 $10,563.38 $10,469.93
9/30/97 $11,280.88 $10,749.20 $10,634.54
10/31/97 $11,443.30 $10,858.37 $10,804.90
11/30/97 $11,422.42 $10,911.44 $10,861.77
12/31/97 $11,450.61 $11,028.51 $10,975.76
1/31/98 $11,569.55 $11,169.26 $11,130.49
2/28/98 $11,601.99 $11,165.16 $11,107.87
3/31/98 $11,742.55 $11,221.83 $11,142.12
4/30/98 $11,785.12 $11,269.89 $11,198.11
5/31/98 $11,861.93 $11,366.27 $11,318.47
6/30/98 $11,839.98 $11,449.67 $11,433.58
7/31/98 $11,700.18 $11,440.77 $11,442.70
8/31/98 $11,198.74 $11,357.63 $11,666.30
9/30/98 $11,455.03 $11,591.78 $11,999.89
10/31/98 $11,347.42 $11,448.81 $11,915.15
11/30/98 $11,723.01 $11,660.48 $11,986.14
12/31/98 $11,829.13 $11,689.47 $12,015.51
1/31/99 $12,018.21 $11,791.19 $12,100.88
2/28/99 $11,876.40 $11,536.07 $11,813.29
3/31/99 $12,148.20 $11,664.62 $11,871.91
4/30/99 $12,432.57 $11,748.61 $11,901.59
5/31/99 $12,336.56 $11,590.00 $11,779.00
6/30/99 $12,288.56 $11,528.57 $11,742.49
7/31/99 $12,077.71 $11,470.93 $11,709.61
8/31/99 $12,036.38 $11,428.49 $11,700.24
9/30/99 $12,203.04 $11,526.77 $11,805.54
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(a): Inception date of the Institutional and Retail Classes of shares is
December 31, 1996. Inception date of the J Class is May 24, 1999.
(b): Performance for J Class shares includes the effect of the maximum 3.50%
front end sales charge.
(c): The Lipper Corporate Debt Funds BBB Rated Index is an equally weighted
index of typically the 30 largest mutual funds within the corporate debt
funds BBB rated investment objective. Returns are adjusted for the
reinvestment of capital gains distributions and income dividends.
(d): Lehman Brothers Government/Corporate Bond Index consists 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.
(e): Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail and J Classes of shares would, due to the higher
fees paid by the Retail and J Classes of shares, be lower. J Class of
shares are not offered for sale in United States and are not eligible for
sale to U.S. investors.
17
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES MUNICIPAL BOND FUND
- -------------------------------------------------------
[PHOTO] MARTHA F. HODGMAN
KEY FUND FACTS
OBJECTIVE: Current income
STRATEGY: Invests in fixed income securities the income of which is exempt from
federal income tax.
FUND INCEPTION DATE: 5/29/91
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 5/29/91
EXPENSE RATIO: Institutional - 0.54%
TOTAL NET ASSETS: $9.8 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the Municipal Bond Fund
returned -2.83% compared to the -0.70% return for the Fund's benchmark, the
Lehman Brothers Municipal Bond Index. The average general municipal debt fund,
as measured by Lipper Analytical Services, posted a total return of -3.07% for
the same period.
PORTFOLIO REVIEW
For the municipal market, issue structure (coupon and maturity) and exposure
along the yield curve were particularly important during the year. In the
beginning of the year, investors sold securities that were purchased last fall
when municipals lagged U.S. Treasury Bonds during the flight-to-quality rally.
That selling put downward pressure on the intermediate and long ends of the
yield curve. Then, property and casualty companies slowed their municipal
securities purchases, due to weaker earnings, which put additional pressure on
the intermediate area.
Mutual funds largely saw net redemptions during the year, which reduced demand
for long-term municipal securities. And, as interest rates rose, discount bonds
began to trade through "de minimis" (whereby under certain circumstances the
gain on a discount bond could be taxed at federal income tax rates rather than
capital gains rates), and buyers required even higher yields to compensate for
the additional tax burden.
As such, the Fund's exposure to long discount bonds hindered results, as did its
exposure to the intermediate portion of the yield curve. The winners in the
portfolio were very short-maturity securities.
PORTFOLIO POSITIONING
Late in the fiscal year, as the market traded off and the yield curve steepened,
we took the opportunity to add shorter maturity securities at wider spreads. We
added inexpensive new issues from specialty states of Massachusetts and
California because investors often pay more when supply is scarce. Our overall
strategy remains to identify issues we believe provide extra yield and good call
protection.
/s/ MARTHA F. HODGMAN Martha F. Hodgman
18
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR 3 YEARS 5 YEARS INCEPTION(A)
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
Loomis Sayles Municipal Bond Fund
(Institutional) -2.83 5.07 6.06 6.55
Lipper General Municipal Debt Funds
Index(b) -2.57 4.82 6.09 6.47
Lehman Brothers Municipal Bond
Index(c) -0.70 5.58 6.77 6.95
</TABLE>
CUMULATIVE PERFORMANCE - MAY 31, 1991 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LIPPER GENERAL LOOMIS SAYLES LEHMAN BROTHERS MUNICIPAL
MUNICIPAL MUNICIPAL BOND INDEX
DEBT FUNDS INDEX BOND FUND
<S> <C> <C> <C>
5/31/91 $10,000.00 $10,000.00 $10,000.00
6/30/91 $9,971.05 $10,010.56 $9,990.14
7/31/91 $10,096.80 $10,131.13 $10,111.76
8/31/91 $10,227.97 $10,300.36 $10,245.06
9/30/91 $10,366.08 $10,418.25 $10,378.73
10/31/91 $10,462.88 $10,527.58 $10,471.86
11/30/91 $10,475.85 $10,521.37 $10,501.08
12/31/91 $10,727.34 $10,780.40 $10,726.42
1/31/92 $10,720.71 $10,763.94 $10,750.89
2/29/92 $10,735.79 $10,796.51 $10,754.54
3/31/92 $10,741.22 $10,777.01 $10,758.56
4/30/92 $10,842.54 $10,876.56 $10,854.25
5/31/92 $10,992.71 $11,058.32 $10,982.08
6/30/92 $11,199.57 $11,236.95 $11,166.15
7/31/92 $11,593.09 $11,706.58 $11,501.05
8/31/92 $11,407.03 $11,499.54 $11,388.93
9/30/92 $11,453.17 $11,540.57 $11,463.43
10/31/92 $11,251.13 $11,315.39 $11,350.58
11/30/92 $11,537.00 $11,668.34 $11,554.01
12/31/92 $11,682.05 $11,791.00 $11,671.98
1/31/93 $11,819.56 $11,921.59 $11,807.84
2/28/93 $12,292.99 $12,367.41 $12,234.78
3/31/93 $12,151.56 $12,175.86 $12,105.49
4/30/93 $12,280.32 $12,343.79 $12,227.47
5/31/93 $12,344.85 $12,413.08 $12,296.13
6/30/93 $12,562.57 $12,625.39 $12,501.75
7/31/93 $12,555.63 $12,593.83 $12,517.82
8/31/93 $12,838.18 $12,895.50 $12,778.59
9/30/93 $12,986.24 $13,065.25 $12,924.31
10/31/93 $13,007.35 $13,079.76 $12,949.14
11/30/93 $12,876.48 $12,915.43 $12,834.83
12/31/93 $13,134.31 $13,148.62 $13,105.82
1/31/94 $13,279.36 $13,311.06 $13,255.56
2/28/94 $12,953.99 $12,971.03 $12,912.26
3/31/94 $12,412.10 $12,422.09 $12,386.35
4/30/94 $12,453.11 $12,493.49 $12,491.53
5/31/94 $12,562.87 $12,647.37 $12,599.63
6/30/94 $12,483.56 $12,580.59 $12,522.57
7/31/94 $12,698.87 $12,828.92 $12,752.29
8/31/94 $12,739.28 $12,833.05 $12,796.48
9/30/94 $12,542.07 $12,614.10 $12,608.76
10/31/94 $12,302.34 $12,358.95 $12,384.88
11/30/94 $12,049.34 $12,138.90 $12,160.64
12/31/94 $12,341.54 $12,441.29 $12,428.34
1/31/95 $12,716.67 $12,803.74 $12,783.70
2/28/95 $13,096.02 $13,179.95 $13,155.49
3/31/95 $13,216.94 $13,255.70 $13,306.69
4/30/95 $13,216.94 $13,259.59 $13,322.39
5/31/95 $13,639.11 $13,663.99 $13,747.50
6/30/95 $13,486.22 $13,498.68 $13,627.34
7/31/95 $13,573.97 $13,613.68 $13,756.26
8/31/95 $13,728.67 $13,742.11 $13,930.83
9/30/95 $13,815.21 $13,833.93 $14,018.85
10/31/95 $14,034.14 $14,049.22 $14,222.64
11/30/95 $14,313.68 $14,339.65 $14,458.94
12/31/95 $14,478.02 $14,499.23 $14,597.72
1/31/96 $14,547.68 $14,616.36 $14,708.02
2/29/96 $14,442.44 $14,468.96 $14,608.68
3/31/96 $14,220.89 $14,231.95 $14,422.05
4/30/96 $14,160.83 $14,159.75 $14,381.15
5/31/96 $14,169.93 $14,163.82 $14,375.67
6/30/96 $14,301.26 $14,283.26 $14,532.35
7/31/96 $14,424.49 $14,454.76 $14,663.83
8/31/96 $14,416.69 $14,420.77 $14,660.54
9/30/96 $14,636.67 $14,603.17 $14,865.43
10/31/96 $14,799.60 $14,776.88 $15,033.43
11/30/96 $15,058.82 $15,069.52 $15,308.80
12/31/96 $14,996.02 $14,982.58 $15,244.16
1/31/97 $14,993.81 $14,991.65 $15,273.01
2/28/97 $15,125.58 $15,120.86 $15,413.25
3/31/97 $14,938.98 $14,902.12 $15,207.63
4/30/97 $15,067.50 $15,032.05 $15,335.09
5/31/97 $15,283.83 $15,283.49 $15,565.91
6/30/97 $15,464.72 $15,441.56 $15,731.72
7/31/97 $15,928.56 $15,949.90 $16,167.42
8/31/97 $15,747.33 $15,726.37 $16,015.86
9/30/97 $15,945.22 $15,955.67 $16,205.77
10/31/97 $16,051.02 $16,033.62 $16,310.22
11/30/97 $16,142.63 $16,153.02 $16,406.27
12/31/97 $16,404.24 $16,455.78 $16,645.49
1/31/98 $16,561.95 $16,617.99 $16,817.14
2/28/98 $16,561.73 $16,597.65 $16,822.25
3/31/98 $16,579.09 $16,576.71 $16,837.22
4/30/98 $16,478.30 $16,455.32 $16,761.25
5/31/98 $16,745.73 $16,761.84 $17,026.40
6/30/98 $16,805.82 $16,811.63 $17,093.60
7/31/98 $16,838.72 $16,847.65 $17,136.33
8/31/98 $17,101.18 $17,172.35 $17,401.11
9/30/98 $17,304.18 $17,430.73 $17,618.05
10/31/98 $17,241.06 $17,348.88 $17,617.68
11/30/98 $17,298.99 $17,398.10 $17,679.40
12/31/98 $17,329.29 $17,471.25 $17,723.96
1/31/99 $17,518.43 $17,715.11 $17,934.69
2/28/99 $17,419.54 $17,556.27 $17,856.53
3/31/99 $17,427.46 $17,514.00 $17,881.00
4/30/99 $17,476.26 $17,580.27 $17,925.70
5/31/99 $17,352.18 $17,403.19 $17,821.73
6/30/99 $17,078.01 $17,058.01 $17,565.10
7/31/99 $17,108.75 $17,170.74 $17,628.33
8/31/99 $16,905.16 $16,991.64 $17,487.31
9/30/99 $16,861.20 $16,934.64 $17,494.30
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(a): Inception date of the Loomis Sayles Municipal Bond Fund is May 29, 1991.
Since Lipper and Lehman Brothers Municipal Bond Index performance data is
not available coincident with this date, comparative performance is
presented from May 31, 1991.
(b): The Lipper General Municipal Debt Funds Index is an equally weighted index
of typically the 30 largest mutual funds within the general municipal debt
funds investment objective. Returns are adjusted for the reinvestment of
capital gains distributions and income dividends.
(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.
19
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES SHORT-TERM BOND FUND
- -------------------------------------------------------
[PHOTO] JOHN HYLL
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invest in debt securities (including convertibles), although up to 20%
may be invested in non-convertible preferred stocks.
FUND INCEPTION DATE: 8/3/92
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 8/3/92,
Retail - 1/2/97
EXPENSE RATIO: Institutional - 0.27%, Retail - 0.52%
TOTAL NET ASSETS (ALL CLASSES): $27.6 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the Institutional and Retail
classes of the Short-Term Bond Fund returned 1.77% and 1.41%, respectively,
compared to the 3.34% return for the Fund's benchmark, the Lehman Brothers 1-3
Year Government/Corporate Bond Index. The average short investment grade debt
fund, as measured by Lipper Analytical Services, posted a total return of 2.69%
for the same period.
PORTFOLIO REVIEW
Interest rates increased throughout the fiscal year, as the U.S. economy showed
unanticipated strength, which prompted the Federal Reserve Board eventually to
take action in the form of interest rate hikes. The five-year Treasury bond
remained a consistently poor performer throughout the period.
The Fund's longer average maturity lowered performance during this period of
rising interest rates. While the Fund's allocation to mortgage and corporate
(particularly those in the energy and cyclical sectors) securities, as well as
its high yield advantage relative to the index, boosted returns, strong
performance in these sectors was not sufficient to overcome the negative effects
of rising interest rates.
PORTFOLIO POSITIONING
We continue to focus on asset selection to add value. As spreads have widened,
we have looked to corporate securities in the financial sector, for example,
which have been hurt by rising interest rates. We have allocated a smaller
percentage of the Fund to hold mortgage-related securities than our competitors,
and we are paying particular attention to call protection in this area and
throughout the portfolio.
/s/ JOHN HYLL John Hyll
20
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR 3 YEARS 5 YEARS INCEPTION(A)
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
Loomis Sayles Short-Term Bond Fund
(Institutional) 1.77 5.94 6.27 5.64
Loomis Sayles Short-Term Bond Fund
(Retail) 1.41 NA NA 5.39
Lipper Short Investment Grade Debt
Funds Index(b) 2.93 5.55 5.91 5.38
Lehman Brothers 1-3 Year
Government/Corp. Bond Index(c) 3.34 6.02 6.41 5.54
</TABLE>
CUMULATIVE PERFORMANCE - AUGUST 31, 1992 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
8/31/92 LOOMIS SAYLES SHORT- LIPPER SHORT INVESTMENT LEHMAN BROTHERS 1-3 YEAR GOVERNMENT
TERM BOND FUND(D) GRADE DEBT FUNDS INDEX /CORP. BOND INDEX
$10,000.00 $10,000.00 $10,000.00
<S> <C> <C> <C>
9/30/92 $10,103.39 $10,066.20 $10,095.00
10/31/92 $10,020.09 $10,010.68 $10,034.43
11/30/92 $9,983.81 $10,024.20 $10,020.38
12/31/92 $10,051.82 $10,100.37 $10,114.57
1/31/93 $10,180.95 $10,219.25 $10,222.80
2/28/93 $10,334.15 $10,329.58 $10,306.63
3/31/93 $10,377.21 $10,380.13 $10,339.61
4/30/93 $10,441.85 $10,434.94 $10,404.75
5/31/93 $10,443.45 $10,454.16 $10,380.82
6/30/93 $10,518.66 $10,543.85 $10,459.71
7/31/93 $10,542.21 $10,602.93 $10,483.77
8/31/93 $10,638.66 $10,699.03 $10,571.83
9/30/93 $10,668.67 $10,733.91 $10,605.67
10/31/93 $10,721.46 $10,788.01 $10,630.06
11/30/93 $10,720.34 $10,793.00 $10,633.25
12/31/93 $10,750.98 $10,862.76 $10,676.84
1/31/94 $10,825.43 $10,933.94 $10,745.17
2/28/94 $10,758.66 $10,872.72 $10,679.63
3/31/94 $10,702.39 $10,790.15 $10,624.09
4/30/94 $10,669.83 $10,748.15 $10,583.72
5/31/94 $10,686.38 $10,760.25 $10,598.54
6/30/94 $10,729.21 $10,768.79 $10,626.10
7/31/94 $10,839.61 $10,830.72 $10,722.79
8/31/94 $10,894.47 $10,888.38 $10,759.25
9/30/94 $10,884.42 $10,873.43 $10,735.58
10/31/94 $10,915.54 $10,891.23 $10,760.27
11/30/94 $10,926.28 $10,872.01 $10,715.08
12/31/94 $10,942.54 $10,846.38 $10,735.44
1/31/95 $11,064.35 $10,957.43 $10,882.51
2/28/95 $11,220.94 $11,086.99 $11,032.69
3/31/95 $11,298.29 $11,148.21 $11,095.58
4/30/95 $11,384.03 $11,243.59 $11,195.44
5/31/95 $11,575.37 $11,449.32 $11,383.97
6/30/95 $11,649.51 $11,519.79 $11,453.45
7/31/95 $11,666.17 $11,556.81 $11,499.21
8/31/95 $11,751.93 $11,634.40 $11,568.90
9/30/95 $11,813.57 $11,689.92 $11,626.10
10/31/95 $11,898.85 $11,800.26 $11,722.62
11/30/95 $12,021.11 $11,899.91 $11,823.50
12/31/95 $12,102.77 $11,982.49 $11,913.15
1/31/96 $12,232.26 $12,089.98 $12,015.08
2/29/96 $12,149.42 $12,045.84 $11,969.31
3/31/96 $12,117.02 $11,992.33 $11,960.58
4/30/96 $12,122.26 $12,001.02 $11,972.64
5/31/96 $12,092.58 $12,024.89 $12,000.31
6/30/96 $12,215.16 $12,111.35 $12,088.09
7/31/96 $12,237.00 $12,161.00 $12,135.10
8/31/96 $12,259.40 $12,203.99 $12,179.82
9/30/96 $12,408.77 $12,320.94 $12,291.31
10/31/96 $12,573.10 $12,453.26 $12,293.60
11/30/96 $12,699.77 $12,556.78 $12,523.25
12/31/96 $12,669.59 $12,562.23 $12,525.33
1/31/97 $12,722.91 $12,626.39 $12,585.86
2/28/97 $12,762.92 $12,668.98 $12,617.06
3/31/97 $12,724.54 $12,655.84 $12,607.28
4/30/97 $12,832.63 $12,757.14 $12,710.66
5/31/97 $12,927.53 $12,842.64 $12,799.48
6/30/97 $13,035.46 $12,932.35 $12,888.51
7/31/97 $13,221.01 $13,079.37 $13,031.62
8/31/97 $13,208.45 $13,088.63 $13,043.89
9/30/97 $13,344.64 $13,191.26 $13,141.25
10/31/97 $13,454.75 $13,272.33 $13,239.01
11/30/97 $13,500.69 $13,305.22 $13,272.29
12/31/97 $13,574.86 $13,384.98 $13,359.86
1/31/98 $13,741.37 $13,500.85 $13,488.83
2/28/98 $13,736.33 $13,519.48 $13,499.64
3/31/98 $13,791.43 $13,574.56 $13,552.48
4/30/98 $13,845.27 $13,638.03 $13,619.46
5/31/98 $13,928.61 $13,711.41 $13,693.51
6/30/98 $14,011.57 $13,772.85 $13,764.23
7/31/98 $14,066.69 $13,833.67 $13,828.30
8/31/98 $14,223.92 $13,927.85 $13,987.22
9/30/98 $14,495.71 $14,075.11 $14,175.47
10/31/98 $14,405.32 $14,056.36 $14,236.83
11/30/98 $14,431.12 $14,092.59 $14,234.34
12/31/98 $14,478.75 $14,153.42 $14,289.46
1/31/99 $14,523.65 $14,224.62 $14,350.41
2/28/99 $14,359.27 $14,178.17 $14,289.88
3/31/99 $14,498.68 $14,288.19 $14,391.18
4/30/99 $14,578.42 $14,339.63 $14,440.11
5/31/99 $14,523.02 $14,320.99 $14,428.56
6/30/99 $14,572.40 $14,348.20 $14,471.84
7/31/99 $14,591.35 $14,363.98 $14,513.81
8/31/99 $14,626.37 $14,392.71 $14,551.55
9/30/99 $14,753.50 $14,487.70 $14,649.04
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(a): Inception date of the Institutional Class of shares is August 3, 1992.
Since Lipper and Lehman Brothers 1-3 Year Government/Corporate Bond Index
performance data is not available coincident with this date, comparative
performance is presented from August 31, 1992. Inception date of the
Retail Class of shares is December 31, 1996.
(b): The Lipper Short Investment Grade Debt Funds Index is an equally weighted
index of typically the 30 largest mutual funds within the short investment
grade debt funds investment objective. Returns are adjusted for the
reinvestment of capital gains distributions and income dividends.
(c): Lehman Brothers 1-3 Year Government/Corporate Bond Index consists of 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. government issues. The index returns have
not been reduced for ongoing management and operating expenses applicable
to mutual fund investments.
(d): Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail Class of shares would, due to the higher fees
paid by the Retail Class of shares, be lower.
21
<PAGE>
FUND AND MANAGER REVIEW
- -----------------------------------------------------------------------
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
- -------------------------------------------------------
[PHOTO] KENT P. NEWMARK
KEY FUND FACTS
OBJECTIVE: High total investment return
STRATEGY: Invests in securities issued or guaranteed by the U.S. Government or
its authorities, agencies or instrumentalities
FUND INCEPTION DATE: 5/21/91
COMMENCEMENT OF OPERATIONS OF CLASS: Institutional - 5/21/91
EXPENSE RATIO: Institutional - 0.52%
TOTAL NET ASSETS (ALL CLASSES): $16.1 MM
PERFORMANCE
For the 12-month period ended September 30, 1999, the U.S. Government Securities
Fund returned -3.50% compared to the -1.70% return for the Fund's benchmark, the
Lehman Brothers Government Bond Index. The average general U.S. government fund,
as measured by Lipper Analytical Services, posted a total return of -2.66% for
the same period.
PORTFOLIO REVIEW
For the fiscal year ended September 30, 1999, the yield on the long-term U.S.
Treasury bond increased more than 1 percentage point, resulting in the
most-negative 12-month period for Treasuries in 72 years. Consequently, the
fiscal year was not a good period for investors in long-term bonds.
The most significant factor contributing to weaker bond prices was the continued
strength of the U.S. economy. Adding fuel to the fire was a relatively strong
stock market, a surge in oil prices and a weaker dollar against the Japanese
yen.
We began the fiscal year with a fairly conservative portfolio duration of
6.8 years, and we extended the duration to 8.2 years by the end of the period.
We believe the Fund's below-median investment results were the direct result of
having such a duration profile in a rising interest rate environment.
Even with our longer-term bias, we were able to make some good decisions. For
example, early in the fiscal year, we sold our holding in the Tennessee Valley
Authority, only to repurchase the debt soon thereafter at a lower price. Also,
the Fund's mortgage-backed bonds and earlier exposure to Treasury Inflation
Protected notes somewhat offset the poor performance of long-term Treasuries, as
did several positive timing decisions.
PORTFOLIO POSITIONING
The mortgage-backed sector held up fairly well throughout the year,
significantly outperforming the 30-year Treasury. The Fund held about one-third
of its assets in GNMAs during the year, which helped relative performance. Going
forward, we anticipate a more stable interest rate environment, and we expect to
put new capital to work in the long-term Treasury and intermediate agency
sectors.
/s/ KENT P. NEWMARK Kent P. Newmark
22
<PAGE>
- -----------------------------------------------------------------------
AVERAGE ANNUAL RETURNS (%) - PERIODS ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SINCE
1 YEAR 3 YEARS 5 YEARS INCEPTION(A)
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
Loomis Sayles U.S. Government
Securities Fund (Institutional) -3.50 7.57 8.63 8.77
Lipper General U.S. Government Funds
Index(b) -2.31 5.85 6.63 6.34
Lehman Brothers Government Bond
Index(c) -1.70 6.82 7.65 7.57
</TABLE>
CUMULATIVE PERFORMANCE - MAY 31, 1991 TO SEPTEMBER 30, 1999
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
5/31/91 LOOMIS SAYLES U.S. LIPPER GENERAL U.S. LEHMAN BROTHERS GOVERNMENT
GOVERNMENT SECURITIES FUND GOVERNMENT FUNDS INDEX BOND INDEX
$10,000.00 $10,000.00 $10,000.00
<S> <C> <C> <C>
6/30/91 $9,970.10 $9,974.88 $9,985.81
7/31/91 $10,119.65 $10,110.54 $10,104.30
8/31/91 $10,398.81 $10,334.41 $10,338.59
9/30/91 $10,687.94 $10,544.33 $10,555.44
10/31/91 $10,769.27 $10,637.01 $10,647.85
11/30/91 $10,880.50 $10,707.35 $10,754.64
12/31/91 $11,494.29 $11,073.03 $11,121.03
1/31/92 $11,099.46 $10,882.65 $10,947.90
2/29/92 $11,259.55 $10,941.83 $10,990.66
3/31/92 $11,110.14 $10,875.39 $10,926.43
4/30/92 $11,056.59 $10,934.01 $10,995.26
5/31/92 $11,392.95 $11,128.85 $11,198.11
6/30/92 $11,588.26 $11,274.56 $11,358.59
7/31/92 $12,033.63 $11,502.90 $11,644.84
8/31/92 $12,143.83 $11,597.81 $11,753.36
9/30/92 $12,397.29 $11,716.17 $11,919.59
10/31/92 $12,098.39 $11,561.53 $11,747.61
11/30/92 $12,143.15 $11,570.46 $11,730.35
12/31/92 $12,500.53 $11,748.55 $11,924.76
1/31/93 $12,787.63 $11,943.39 $12,178.03
2/28/93 $13,206.31 $12,120.92 $12,421.91
3/31/93 $13,218.27 $12,164.47 $12,463.52
4/30/93 $13,322.47 $12,239.28 $12,559.38
5/31/93 $13,346.76 $12,246.54 $12,545.58
6/30/93 $13,832.54 $12,472.09 $12,823.97
7/31/93 $14,042.13 $12,540.20 $12,902.20
8/31/93 $14,547.59 $12,752.35 $13,190.18
9/30/93 $14,596.91 $12,765.75 $13,240.60
10/31/93 $14,617.72 $12,798.69 $13,290.64
11/30/93 $14,405.47 $12,660.24 $13,144.93
12/31/93 $14,462.86 $12,726.12 $13,195.74
1/31/94 $14,833.71 $12,890.81 $13,376.35
2/28/94 $14,311.71 $12,648.51 $13,093.17
3/31/94 $13,707.32 $12,328.61 $12,798.67
4/30/94 $13,484.44 $12,186.81 $12,698.01
5/31/94 $13,400.70 $12,141.03 $12,681.71
6/30/94 $13,330.89 $12,089.11 $12,652.57
7/31/94 $13,729.39 $12,290.09 $12,885.14
8/31/94 $13,715.25 $12,292.32 $12,887.63
9/30/94 $13,317.64 $12,105.85 $12,706.06
10/31/94 $13,248.66 $12,070.12 $12,696.47
11/30/94 $13,306.45 $12,037.74 $12,673.27
12/31/94 $13,558.76 $12,122.60 $12,750.34
1/31/95 $13,911.70 $12,336.42 $12,987.70
2/28/95 $14,220.52 $12,611.65 $13,267.24
3/31/95 $14,323.47 $12,670.27 $13,350.45
4/30/95 $14,516.10 $12,826.59 $13,524.92
5/31/95 $15,248.63 $13,292.20 $14,070.39
6/30/95 $15,368.22 $13,372.59 $14,178.33
7/31/95 $15,303.52 $13,325.14 $14,126.18
8/31/95 $15,607.16 $13,480.90 $14,292.22
9/30/95 $15,834.88 $13,607.07 $14,429.88
10/31/95 $16,060.28 $13,786.84 $14,649.60
11/30/95 $16,353.12 $13,981.68 $14,877.95
12/31/95 $16,677.58 $14,176.52 $15,088.85
1/31/96 $16,693.26 $14,248.54 $15,181.45
2/29/96 $16,113.34 $13,956.56 $14,872.19
3/31/96 $15,893.87 $13,839.11 $14,747.95
4/30/96 $15,691.86 $13,744.24 $14,653.81
5/31/96 $15,612.15 $13,692.83 $14,629.27
6/30/96 $15,898.90 $13,851.91 $14,818.12
7/31/96 $15,937.67 $13,878.77 $14,854.74
8/31/96 $15,743.23 $13,842.40 $14,821.57
9/30/96 $16,180.55 $14,074.96 $15,067.56
10/31/96 $16,768.82 $14,379.75 $15,399.06
11/30/96 $17,229.60 $14,632.61 $15,666.90
12/31/96 $16,897.41 $14,482.36 $15,507.00
1/31/97 $16,847.06 $14,513.41 $15,524.26
2/28/97 $16,847.06 $14,543.99 $15,545.54
3/31/97 $16,478.28 $14,372.33 $15,381.04
4/30/97 $16,885.83 $14,584.69 $15,603.06
5/31/97 $17,073.27 $14,706.42 $15,737.65
6/30/97 $17,345.89 $14,880.05 $15,914.23
7/31/97 $18,153.12 $15,290.64 $16,365.94
8/31/97 $17,841.61 $15,131.29 $16,204.12
9/30/97 $18,239.62 $15,362.09 $16,447.81
10/31/97 $18,605.14 $15,587.58 $16,732.34
11/30/97 $18,815.96 $15,644.19 $16,818.04
12/31/97 $19,050.08 $15,802.67 $16,993.86
1/31/98 $19,334.94 $16,002.66 $17,248.09
2/28/98 $19,263.79 $15,972.45 $17,201.31
3/31/98 $19,299.39 $16,012.20 $17,250.01
4/30/98 $19,423.10 $16,073.95 $17,327.66
5/31/98 $19,657.55 $16,224.08 $17,505.58
6/30/98 $19,892.01 $16,361.82 $17,704.59
7/31/98 $19,920.35 $16,385.82 $17,732.01
8/31/98 $20,377.67 $16,707.31 $18,193.31
9/30/98 $20,871.56 $17,084.93 $18,683.75
10/31/98 $20,713.56 $16,958.35 $18,620.10
11/30/98 $20,861.52 $16,995.92 $18,626.43
12/31/98 $20,818.13 $17,042.47 $18,668.04
1/31/99 $21,006.01 $17,139.58 $18,776.37
2/28/99 $20,404.82 $16,770.02 $18,329.83
3/31/99 $20,404.82 $16,854.96 $18,401.73
4/30/99 $20,511.37 $16,898.78 $18,444.05
5/31/99 $20,263.59 $16,712.90 $18,281.75
6/30/99 $20,072.91 $16,625.99 $18,245.18
7/31/99 $19,967.33 $16,531.22 $18,217.82
8/31/99 $19,909.03 $16,486.59 $18,217.82
9/30/99 $20,141.88 $16,689.37 $18,365.38
</TABLE>
Note: Past performance is not predictive of future performance. Total return
assumes reinvestment of dividends and capital gains distributions. The
investment return and principal value of an investment
in the Fund will fluctuate so that investors' shares, when redeemed, may be
worth more or less than their
original cost.
(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): The Lipper General U.S. Government Funds Index is an equally weighted
index of typically the 30 largest mutual funds within the general U.S.
government funds investment objective. Returns are adjusted for the
reinvestment of capital gains distributions and income dividends.
(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.
23
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------
BONDS AND NOTES -- 95.3% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 77.6%
AIRLINES -- 0.0%
NWA Trust, 9.360%, 3/10/06...................... USD 665,100 $ 714,137
--------------
AUTO & RELATED -- 0.1%
TRW, Inc., 6.650%, 1/15/28...................... 1,000,000 836,840
--------------
BANKS/SAVINGS & LOANS -- 0.1%
First Union Institutional Trust, 7.850%,
1/01/27....................................... 2,000,000 1,905,660
--------------
BROADCASTING -- 0.7%
CBS, Inc., 7.125%, 11/01/23..................... 1,435,000 1,286,004
Fox Family Worldwide, Inc., Zero Coupon Bond,
11/01/07 (step to 10.250% on 11/01/02) #...... 15,000,000 9,675,000
--------------
10,961,004
--------------
BUILDING MATERIALS -- 0.3%
Owens Corning, 7.500%, 8/01/18.................. 5,925,000 5,290,196
--------------
CANADIAN -- 18.7%
Canadian Government, Zero Coupon Bond,
6/01/22....................................... CAD 11,050,000 1,938,940
Canadian Government, Zero Coupon Bond,
6/01/25....................................... 301,510,000 45,901,675
Clearnet Communications, Inc., Zero Coupon Bond,
8/13/07 (step to 11.750% on 8/13/02) #........ 38,000,000 17,587,803
Clearnet Communications, Inc., Zero Coupon Bond,
5/15/08 (step to 10.400% on 5/15/03) #........ 4,160,000 1,713,041
Clearnet Communications, Inc., Zero Coupon Bond,
2/15/09 (step to 10.750% on 2/15/04) #........ 2,400,000 918,867
Hydro Quebec, Zero Coupon Bond, 8/15/20......... 35,000,000 5,874,864
Microcell Telecommunications, Inc., Zero Coupon
Bond, 10/15/07 (step to 11.125% on 10/15/02)
#............................................. 5,000,000 2,144,024
Milit-Air, Inc., 5.750%, 6/30/19 144A........... 6,950,000 4,504,018
New Brunswick FM Project, Zero Coupon Bond,
11/30/27 (step to 6.470% on 5/30/03) 144A #... 10,000,000 5,235,026
Ontario Hydro, Zero Coupon Bond, 11/27/20....... 1,507,000 261,243
Ontario Hydro, Zero Coupon Bond, 10/15/21....... 114,125,000 18,685,522
Province of Alberta, 5.394%, 6/14/13............ 15,961,005 10,475,795
Province of Alberta, 5.930%, 9/16/16............ 26,686,250 18,026,478
Province of British Columbia, Zero Coupon Bond,
8/23/13....................................... 25,000,000 7,023,550
Province of British Columbia, Zero Coupon Bond,
6/09/14....................................... 10,000,000 2,670,637
Province of British Columbia, Zero Coupon Bond,
9/05/20....................................... 54,528,000 9,670,072
Province of British Columbia, Zero Coupon Bond,
6/09/22....................................... 96,208,000 15,237,954
Province of British Columbia, Zero Coupon Bond,
8/19/22....................................... 31,387,000 4,911,429
Province of British Columbia, Zero Coupon Bond,
9/08/23....................................... 37,950,000 5,559,990
</TABLE>
24
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
CANADIAN -- CONTINUED
Province of British Columbia, Zero Coupon Bond,
8/23/24....................................... CAD 122,250,000 $ 16,843,907
Province of British Columbia, Zero Coupon Bond,
11/19/27...................................... 41,600,000 4,656,074
Province of Manitoba, Zero Coupon Bond,
7/22/13....................................... 2,500,000 698,339
Province of Manitoba, Zero Coupon Bond,
3/05/31....................................... 36,929,000 3,424,705
Province of Manitoba, 6.500%, 9/22/17........... 34,300,000 23,710,470
Province of Manitoba, 7.750%, 12/22/25.......... 39,245,000 31,425,116
Province of Newfoundland, 6.150%, 4/17/28....... 2,500,000 1,601,092
Province of Ontario, Zero Coupon Bond,
7/13/22....................................... 13,000,000 2,037,510
Province of Ontario, Zero Coupon Bond,
6/02/27....................................... 167,775,000 19,554,718
Province of Ontario, Zero Coupon Bond,
3/08/29....................................... 18,600,000 1,947,860
Province of Ontario (Certificate of Deposit),
Zero Coupon Bond, 12/02/25.................... 7,650,000 968,747
Province of Saskatchewan, Zero Coupon Bond,
4/10/14....................................... 27,000,000 7,369,317
Province of Saskatchewan (Certificate of
Deposit), Zero Coupon Bond, 2/04/22........... 2,350,000 385,498
Province of Saskatchewan (Certificate of
Deposit), Zero Coupon Bond, 5/30/25........... 36,780,000 4,883,889
Semi-Tech Corp., Zero Coupon Bond, 8/15/03 (step
to 11.50% on 8/15/00) # -C-................... USD 23,975,000 269,719
--------------
298,117,889
--------------
COMMUNICATIONS -- 0.3%
Century Communications Corp., 8.375%,
11/15/17...................................... 5,000,000 4,412,500
--------------
COMPUTERS -- 1.5%
Apple Computer, Inc., 6.500%, 2/15/04........... 5,665,000 5,296,775
Seagate Technology, Inc., 7.370%, 3/01/07....... 6,000,000 5,436,360
Seagate Technology, Inc., 7.450%, 3/01/37....... 5,237,000 4,762,004
Seagate Technology, Inc., 7.875%, 3/01/17....... 10,250,000 8,070,030
--------------
23,565,169
--------------
ELECTRONICS -- 1.1%
Micron Technology, Inc., 6.500%, 9/30/05 144A... 3,000,000 2,373,750
Pioneer Standard Electronics, Inc., 8.500%,
8/01/06....................................... 1,000,000 915,833
Westinghouse Electric Corp., 7.875%, 9/01/23.... 15,350,000 15,016,138
--------------
18,305,721
--------------
ENTERTAINMENT -- 4.7%
Boston Celtics Ltd., 6.000%, 6/30/38............ 1,166,000 696,685
Time Warner Entertainment Co., 6.875%,
6/15/18....................................... 8,710,000 8,018,252
Time Warner Entertainment Co., 6.950%,
1/15/28....................................... 36,900,000 33,721,434
Time Warner Entertainment Co., 7.570%,
2/01/24....................................... 27,170,000 26,602,690
Time Warner, Inc., 6.625%, 5/15/29.............. 7,500,000 6,540,000
--------------
75,579,061
--------------
</TABLE>
25
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
FINANCIAL SERVICES -- 2.3%
Merey Sweeny LP, 8.850%, 12/18/19 144A.......... USD 5,000,000 $ 4,957,100
Security Capital Group, Inc., 7.700%, 6/15/28... 16,725,000 14,080,108
US West Capital Funding, Inc., 6.500%,
11/15/18...................................... 2,000,000 1,756,020
US West Capital Funding, Inc., 6.875%,
7/15/28....................................... 18,550,000 16,445,317
--------------
37,238,545
--------------
FOOD & BEVERAGE -- 1.6%
Borden, Inc., 7.875%, 2/15/23................... 5,500,000 4,361,830
ConAgra, Inc., 7.000%, 10/01/28................. 23,375,000 20,847,695
--------------
25,209,525
--------------
FOREIGN GOVERNMENT/AGENCY -- 5.9%
Escom, 11.000%, 6/01/08......................... ZAR 26,500,000 3,494,668
Republic of Argentina, 6.000%, 3/31/23.......... USD 1,000,000 640,000
Republic of Argentina, 6.8125%, 3/31/05 ++...... 2,244,000 1,966,417
Republic of Argentina, 9.750%, 9/19/27.......... 750,000 631,875
Republic of Brazil, 10.125%, 5/15/27............ 42,481,000 32,073,155
Republic of Brazil C Bond, 8.000%, 4/15/14
PIK........................................... 29,642,891 18,861,771
Republic of Ecuador, 6.750%, 2/27/15 ++......... 7,335,405 1,063,634
Republic of Panama, 4.250%, 7/17/14 (step to
4.500% on 7/17/00) #.......................... 950,000 686,375
Republic of Peru, 3.750%, 3/07/17 (step to
4.000% on 3/07/01) #.......................... 5,000,000 2,694,000
Republic of South Africa, 12.000%, 2/28/05...... ZAR 20,000,000 3,045,518
Republic of South Africa, 12.500%, 12/21/06..... 42,450,000 6,353,350
Republic of South Africa, 13.500%, 9/15/15...... 14,850,000 2,244,825
Republic of Venezuela, 9.250%, 9/15/27.......... USD 31,350,000 20,691,000
--------------
94,446,588
--------------
FOREIGN ISSUER -- 10.3%
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29
144A.......................................... 43,485,000 30,004,202
Bayan Telecommunications, 13.500%, 7/15/06
144A.......................................... 3,515,000 3,321,675
Centragas, 10.650%, 12/01/10 144A............... 3,406,823 2,831,921
Cerro Negro Finance Ltd., 7.900%, 12/01/20
144A.......................................... 10,500,000 7,143,150
Compania de Alimentos Fargo SA, 13.250%,
8/01/08....................................... 2,000,000 1,550,000
Enersis SA, 7.400%, 12/01/16.................... 2,700,000 2,316,546
Espirito Santo Centrais Eletricas SA, 10.000%,
7/15/07....................................... 7,850,000 5,710,875
Hyundai Semiconductor, 8.625%, 5/15/07 144A..... 500,000 394,507
Indah Kiat Finance Mauritius Ltd., 10.000%,
7/01/07....................................... 500,000 280,000
Industrial Finance Corp. of Thailand, 7.375%,
1/14/07 144A.................................. 1,500,000 1,379,745
Korea Electric Power Corp., 7.400%, 4/01/16..... 11,663,441 10,264,645
Multicanal SA, 10.500%, 4/15/18................. 4,000,000 3,000,000
Multicanal SA, 13.125%, 4/15/09 144A............ 1,400,000 1,277,500
Perez Companc SA, 8.125%, 7/15/07 144A.......... 3,590,000 3,087,400
Petroleos Mexicanos, 9.250%, 3/30/18............ 1,000,000 840,000
Petroleos Mexicanos, 9.500%, 9/15/27............ 1,500,000 1,267,500
</TABLE>
26
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
FOREIGN ISSUER -- CONTINUED
Petroleos Mexicanos, Medium Term, 8.625%,
12/01/23 144A................................. USD 3,100,000 $ 2,402,500
Pindo Deli Finance Mauritius Ltd., 10.750%,
10/01/07...................................... 9,375,000 5,062,500
Pindo Deli Finance Mauritius Ltd., 10.875%,
10/01/27...................................... 15,500,000 7,052,500
Pindo Deli Finance Mauritius Ltd., 11.750%,
10/01/17...................................... 1,500,000 750,000
Pycsa Panama SA, 10.280%, 12/15/12 144A......... 1,979,008 1,286,355
Quezon Power Philippines Co., 8.860%, 6/15/17... 7,875,000 6,042,330
Samsung Electronics Co. Ltd., 7.700%, 10/01/27
144A.......................................... 12,500,000 9,421,875
Siam Commercial Bank Public Co., 7.500%, 3/15/06
144A.......................................... 7,000,000 5,460,000
Tata Electric Co., 8.500%, 8/19/17 144A......... 5,000,000 4,047,900
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A... 10,525,000 7,658,201
TFM SA de CV, Zero Coupon Bond, 6/15/09 (step to
11.750% on 6/15/02) #......................... 5,650,000 3,051,000
Thai Farmers Bank Plc, 8.250%, 8/21/16 144A..... 18,140,000 12,516,600
Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04.... 17,200,000 9,460,000
Total Access Communication Public Co. Ltd.,
7.625%, 11/04/01 144A......................... 5,400,000 4,536,000
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A......................... 12,575,000 9,007,402
Transener SA, 9.250%, 4/01/08 144A.............. 2,250,000 1,867,500
--------------
164,292,329
--------------
GOVERNMENT AGENCIES -- 2.6%
Federal Home Loan Mortgage Corp., 5.750%,
12/15/25...................................... 5,276,200 4,677,668
Federal Home Loan Mortgage Corp., 6.000%,
4/15/28....................................... 5,000,000 4,409,350
Federal National Mortgage Association, Zero
Coupon Bond, 10/29/07......................... NZD 103,925,000 28,050,837
Federal National Mortgage Association, 6.000%,
7/01/29....................................... USD 4,948,776 4,614,733
--------------
41,752,588
--------------
HEALTH CARE -- PRODUCTS -- 0.6%
Bausch & Lomb, Inc., 7.125%, 8/01/28............ 10,200,000 8,815,860
--------------
HEALTH CARE -- SERVICES -- 0.7%
Columbia/HCA Healthcare Corp., 7.050%,
12/01/27...................................... 6,000,000 4,500,000
Columbia/HCA Healthcare Corp., 7.190%,
11/15/15...................................... 4,000,000 3,160,000
Columbia/HCA Healthcare Corp., 7.500%,
12/15/23...................................... 1,965,000 1,510,554
Columbia/HCA Healthcare Corp., 7.580%,
9/15/25....................................... 1,300,000 1,020,500
Integrated Health Services, Inc., 9.250%,
1/15/08....................................... 1,000,000 170,000
--------------
10,361,054
--------------
HOME BUILDERS -- 0.3%
Pulte Corp., 7.300%, 10/24/05................... 1,000,000 930,690
Pulte Corp., 7.625%, 10/15/17................... 5,000,000 4,406,900
--------------
5,337,590
--------------
</TABLE>
27
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
OIL & GAS -- 2.3%
Chesapeake Energy Corp., 8.500%, 3/15/12........ USD 3,575,000 $ 2,895,750
Global Marine, Inc., 7.000%, 6/01/28............ 1,000,000 879,800
Hvide Marine, Inc., 8.375%, 2/15/08 ^........... 1,200,000 528,000
Pennzoil-Quaker State Co., 7.375%, 4/01/29...... 2,125,000 1,968,175
Pioneer Natural Resources Co., 6.500%,
1/15/08....................................... 1,000,000 823,430
Pioneer Natural Resources Co., 7.200%,
1/15/28....................................... 2,000,000 1,517,380
R & B Falcon Corp., 6.750%, 4/15/05............. 2,500,000 2,125,000
R & B Falcon Corp., 7.375%, 4/15/18............. 18,000,000 13,770,000
Seagull Energy Corp., 7.500%, 9/15/27........... 3,850,000 3,195,500
Tennessee Gas Pipeline Co., 7.000%, 10/15/28.... 8,000,000 7,197,920
Union Pacific Resources Group, Inc., 7.500%,
10/15/26...................................... 2,400,000 2,235,936
--------------
37,136,891
--------------
OIL & GAS EXPLORATION -- 0.1%
Anadarko Petroleum Corp., 7.200%, 3/15/29....... 1,000,000 917,630
--------------
RAIL -- TRANSPORT -- 0.1%
Missouri Pacific Railroad Co., 5.000%,
1/01/45....................................... 2,876,000 1,553,040
--------------
REAL ESTATE INVESTMENT TRUSTS -- 3.4%
AMB Property Corp., 7.500%, 6/30/18............. 7,500,000 6,682,725
CarrAmerica Realty Corp., 6.875%, 3/01/08....... 1,500,000 1,348,110
First Industrial, 7.500%, 12/01/17.............. 6,500,000 5,571,670
First Industrial, 7.600%, 7/15/28............... 17,750,000 14,834,207
Highwoods Realty LP, 7.500%, 4/15/18............ 3,750,000 3,345,825
Meditrust Corp., 7.000%, 8/15/07................ 5,000,000 3,932,600
Security Capital Industrial Trust, 7.625%,
7/01/17....................................... 2,125,000 1,914,094
Susa Partnership LP, 7.450%, 7/01/18............ 6,500,000 5,604,365
Susa Partnership LP, 7.500%, 12/01/27........... 7,905,000 6,626,603
Susa Partnership LP, 8.200%, 6/01/17............ 760,000 704,642
Trinet Corporate Realty Trust, Inc., 7.700%,
7/15/17....................................... 5,000,000 3,521,150
--------------
54,085,991
--------------
RETAIL -- GENERAL -- 1.3%
Dillon Read Structured Finance Corp., 6.660%,
8/15/10....................................... 2,328,365 2,159,791
Dillon Read Structured Finance Corp., 7.430%,
8/15/18....................................... 2,000,000 1,791,019
Dillon Read Structured Finance Corp., 7.600%,
8/15/07....................................... 197,789 191,977
Dillon Read Structured Finance Corp., 8.550%,
8/15/19....................................... 500,000 469,413
K Mart Corp., 7.950%, 2/01/23................... 14,365,000 13,000,325
Woolworth Corp., 8.500%, 1/15/22................ 4,475,000 2,998,250
--------------
20,610,775
--------------
STEEL -- 0.0%
Geneva Steel Co., 9.500%, 1/15/04 ^............. 3,500,000 726,250
--------------
SUPRANATIONAL -- 3.3%
International Bank for Reconstruction &
Development, Zero Coupon Bond, 8/20/07........ NZD 152,375,000 43,311,059
</TABLE>
28
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
SUPRANATIONAL -- CONTINUED
International Bank for Reconstruction &
Development, 8.000%, 5/23/07.................. NZD 19,000,000 $ 9,868,294
--------------
53,179,353
--------------
TAXABLE MUNICIPAL -- 0.1%
Orange County, California Pension Obligation,
Zero Coupon Bond, 9/01/16..................... USD 5,000,000 1,450,400
--------------
TELECOMMUNICATIONS -- 4.3%
Charter Communications Holdings LLC, Zero Coupon
Bond, 4/01/11 (step to 9.90% on 4/01/04) #.... 1,000,000 590,000
Intermedia Communications, Inc., Zero Coupon
Bond, 3/01/09 (step to 12.250% on 3/01/04)
#............................................. 10,000,000 4,950,000
Nextel Communications, Inc., Zero Coupon Bond,
10/31/07 (step to 9.750% on 10/31/02) #....... 16,380,000 11,588,850
Nextel International, Inc., Zero Coupon Bond,
4/15/08 (step to 12.125% on 4/15/03) #........ 23,650,000 11,884,125
Nextlink Communications, Inc., Zero Coupon Bond,
4/15/08 (step to 9.450% on 4/15/03) #......... 5,000,000 2,925,000
Nextlink Communications, Inc., Zero Coupon Bond,
6/01/09 (step to 12.250% on 6/01/04) #........ 5,000,000 2,900,000
RCN Corp., Zero Coupon Bond, 10/15/07 (step to
11.125% on 10/15/02) #........................ 8,350,000 5,385,750
RCN Corp., Zero Coupon Bond, 2/15/08 (step to
9.800% on 2/15/03) #.......................... 5,170,000 3,102,000
RCN Corp., Zero Coupon Bond, 7/01/08 (step to
11.000% on 7/01/03) #......................... 15,650,000 9,390,000
Teligent, Inc., Zero Coupon Bond, 3/01/08 (step
to 11.500% on 3/01/03) #...................... 23,750,000 12,468,750
Triton Communications LLC, Zero Coupon Bond,
5/01/08 (step to 11.000% on 5/01/03) #........ 5,000,000 3,350,000
--------------
68,534,475
--------------
TEXTILE & APPAREL -- 0.8%
Burlington Industries, Inc., 7.250%, 8/01/27.... 9,000,000 7,530,390
Fruit of the Loom, Inc., 7.000%, 3/15/11........ 500,000 215,000
Fruit of the Loom, Inc., 7.375%, 11/15/23....... 3,000,000 1,620,000
Kellwood Co., 7.625%, 10/15/17.................. 2,500,000 2,192,850
Phillips Van Heusen Corp., 7.750%, 11/15/23..... 1,000,000 780,413
--------------
12,338,653
--------------
TOBACCO -- 2.6%
Philip Morris Cos., Inc., 7.750%, 1/15/27....... 43,410,000 42,260,937
--------------
TRANSPORTATION -- 0.0%
American President Cos. Ltd., 8.000%, 1/15/24... 1,425,000 712,500
--------------
U.S. GOVERNMENT -- 6.2%
U.S. Treasury Bonds, 5.500%, 8/15/28............ 60,000,000 53,700,000
U.S. Treasury Bonds, 6.000%, 2/15/26............ 40,000,000 38,118,800
</TABLE>
29
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT -- CONTINUED
U.S. Treasury Strips, Zero Coupon Bond,
8/15/20....................................... USD 14,000,000 $ 3,643,080
U.S. Treasury Strips, Zero Coupon Bond,
8/15/23....................................... 19,000,000 4,296,850
--------------
99,758,730
--------------
UTILITIES -- 1.3%
AES Corp., 8.875%, 11/01/27..................... 5,000,000 4,050,000
Boston Edison Co., 7.800%, 3/15/23.............. 1,000,000 961,006
Commonwealth Edison Co., 4.750%, 12/01/11....... 838,000 659,540
KN Capital Trust, 7.630%, 4/15/28............... 15,750,000 14,085,146
Texas-New Mexico Power Co., 6.250%, 1/15/09..... 1,000,000 872,690
--------------
20,628,382
--------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $1,354,260,176).............. 1,241,036,263
--------------
CONVERTIBLE BONDS -- 17.7%
AUTO & RELATED -- 0.3%
Exide Corp., 2.900%, 12/15/05 144A.............. 5,625,000 3,276,563
Magna International, Inc., Class A, 4.875%,
2/15/05....................................... 2,400,000 2,166,000
--------------
5,442,563
--------------
CANADIAN -- 0.1%
Rogers Communications, Inc., 2.000%, 11/26/05... 3,000,000 2,362,500
--------------
COMPUTERS -- 0.6%
Cray Research, Inc., 6.125%, 2/01/11............ 635,000 422,275
Maxtor Corp., 5.750%, 3/01/12................... 6,950,000 4,865,000
Read Rite Corp., Zero Coupon Bond, 9/01/04...... 3,625,000 1,450,000
Silicon Graphics, Inc., 5.250%, 9/01/04......... 1,975,000 1,641,719
Telxon Corp., 5.750%, 1/01/03................... 225,000 154,406
Western Digital, Zero Coupon Bond, 2/18/18...... 4,150,000 601,750
--------------
9,135,150
--------------
DIVERSIFIED OPERATIONS -- 1.4%
Ogden Corp., 5.750%, 10/20/02................... 1,750,000 1,400,000
Thermo Electron Corp., 4.250%, 1/01/03 144A..... 24,675,000 21,066,281
--------------
22,466,281
--------------
ELECTRONICS -- 1.0%
Cirrus Logic, Inc., 6.000%, 12/15/03............ 1,600,000 1,168,000
EDO Corp., 7.000%, 12/15/11..................... 934,000 756,540
Kent Electronics Corp., 4.500%, 9/01/04......... 6,800,000 5,542,000
Lam Research Corp., 5.000%, 9/01/02............. 5,070,000 5,057,325
National Semiconductor Corp., 6.500%,
10/01/02...................................... 1,500,000 1,492,500
Richardson Electronics Ltd., 7.250%, 12/15/06... 450,000 324,562
Thermedics, Inc., Zero Coupon Bond, 6/01/03..... 950,000 641,250
Zenith Electronics Corp., 6.250%, 4/01/11 ^..... 2,405,000 408,850
--------------
15,391,027
--------------
</TABLE>
30
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
ENVIRONMENTAL SERVICES -- 0.3%
Thermo TerraTech, Inc., 4.625%, 5/01/03......... USD 400,000 $ 352,000
Thermo TerraTech, Inc., 4.625%, 5/01/03 144A.... 5,020,000 4,417,600
--------------
4,769,600
--------------
FINANCIAL SERVICES -- 2.9%
Bell Atlantic Financial Services, 4.250%,
9/15/05....................................... 42,225,000 43,966,781
Bell Atlantic Financial Services, 5.750%,
4/01/03....................................... 1,750,000 1,757,088
--------------
45,723,869
--------------
FOREIGN ISSUER -- 2.5%
Advanced Agro Public Co., 3.500%, 6/17/01....... 1,625,000 1,348,750
APP Finance VII Mauritius Ltd., 3.500%,
4/30/03....................................... 8,070,000 4,045,088
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03
144A.......................................... 8,125,000 4,072,656
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04... 14,700,000 6,835,500
Banpu Public Co., 2.750%, 4/10/03............... 5,030,000 4,426,400
Burns, Philp, 5.500%, 4/30/04................... 4,480,000 2,284,800
Empresas ICA Sociedad, 5.000%, 3/15/04.......... 3,700,000 2,183,000
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^....... 7,700,000 2,079,000
Piltel, 1.750%, 7/17/06......................... 1,750,000 962,500
Sappi BVI Finance, 7.500%, 8/01/02.............. 4,650,000 4,464,000
Siam Commercial Bank Public Co., 3.250%,
1/24/04....................................... 3,075,000 1,402,969
Ssangyong Oil Refining Co., Inc., 3.000%,
12/31/04...................................... 1,930,000 1,283,450
Ssangyong Oil Refining Co., Inc., 3.750%,
12/31/08...................................... 455,000 510,169
Telekom Malaysia Berhad, 4.000%, 10/03/04....... 750,000 615,937
Total Access Communication Public Co. Ltd.,
2.000%, 5/31/06............................... 3,400,000 3,247,000
--------------
39,761,219
--------------
FREIGHT TRANSPORTATION -- 0.1%
Builders Transportation, Inc., 8.000%, 8/15/05
^............................................. 1,000,000 1,250
Preston Corp., 7.000%, 5/01/11.................. 750,000 525,000
Worldway Corp., 6.250%, 4/15/11................. 1,463,000 1,185,030
--------------
1,711,280
--------------
HEALTH CARE -- DRUGS -- 0.5%
Chiron Corp., 1.900%, 11/17/00 144A............. 1,900,000 2,002,125
Dura Pharmaceuticals, Inc., 3.500%, 7/15/02..... 2,000,000 1,537,500
Glycomed, Inc., 7.500%, 1/01/03................. 1,148,100 906,999
NABI, Inc., 6.500%, 2/01/03..................... 3,750,000 3,093,750
--------------
7,540,374
--------------
HEALTH CARE -- PRODUCTS -- 0.1%
Centocor, Inc., 4.750%, 2/15/05................. 1,750,000 2,303,438
--------------
HEALTH CARE -- SERVICES -- 0.1%
Healthsouth Corp., 3.250%, 4/01/03.............. 3,000,000 2,310,000
--------------
HOME BUILDERS -- 0.0%
Schuler Homes, Inc., 6.500%, 1/15/03............ 750,000 600,000
--------------
</TABLE>
31
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
INSURANCE -- 3.4%
Loews Corp., 3.125%, 9/15/07.................... USD 63,050,000 $ 53,907,750
--------------
MACHINERY -- 0.0%
Intevac, Inc., 6.500%, 3/01/04.................. 1,250,000 650,000
--------------
MANUFACTURING -- 0.2%
FMC Corp., 6.750%, 1/16/05...................... 1,325,000 1,139,500
Hexcel Corp., 7.000%, 8/01/11................... 1,775,000 1,364,531
--------------
2,504,031
--------------
MULTI-INDUSTRY -- 0.3%
Thermo Instrument Systems, Inc., 4.500%,
10/15/03 144A................................. 4,625,000 4,000,625
--------------
OIL & GAS -- 2.6%
Baker Hughes, Inc., Zero Coupon Bond, 5/05/08... 45,772,000 33,184,700
Diamond Offshore Drilling, Inc., 3.750%,
2/15/07....................................... 5,175,000 5,511,375
Noram Energy Corp., 6.000%, 3/15/12............. 447,500 398,275
Key Energy Group, Inc., 5.000%, 9/15/04......... 2,750,000 1,914,687
--------------
41,009,037
--------------
PUBLISHING -- 0.2%
Scholastic Corp., 5.000%, 8/15/05 144A.......... 2,550,000 2,441,625
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.6%
Federal Realty Investors Trust, 5.250%,
10/28/03...................................... 2,250,000 1,957,500
Rockefeller Properties, Zero Coupon Bond,
12/31/00...................................... 7,000,000 5,827,500
Sizeler Property Investors, Inc., 8.000%,
7/15/03....................................... 1,175,000 1,092,750
--------------
8,877,750
--------------
RESTAURANTS -- 0.2%
Boston Chicken, Inc., Zero Coupon Bond, 6/01/15
^............................................. 4,125,000 15,469
Boston Chicken, Inc., 4.500%, 2/01/04 ^......... 3,250,000 32,500
Einstein/Noah Bagel Corp., 7.250%, 6/01/04...... 2,880,000 1,497,600
Shoney's, Inc., Zero Coupon Bond, 4/11/04....... 8,060,000 1,612,000
TPI Enterprises, Inc., 8.250%, 7/15/02.......... 700,000 350,000
--------------
3,507,569
--------------
RETAIL -- SPECIALTY -- 0.0%
Bell Sports Corp., 4.250%, 11/15/00............. 96,000 77,760
CML Group, Inc., 5.500%, 1/15/03 ^.............. 1,224,000 1,530
Jacobson Stores, Inc., 6.750%, 12/15/11......... 540,000 373,275
--------------
452,565
--------------
TELECOMMUNICATIONS -- 0.3%
Broadband Technologies, Inc., 5.000%, 5/15/01... 9,800,000 4,165,000
--------------
TEXTILE & APPAREL -- 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/12.............. 265,000 198,750
</TABLE>
32
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
TEXTILE & APPAREL -- CONTINUED
Fieldcrest Cannon, Inc., 6.000%, 3/15/12........ USD 890,000 $ 596,300
--------------
795,050
--------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $308,009,658)................ 281,828,303
--------------
TOTAL BONDS AND NOTES
(Identified Cost $1,662,269,834).............. 1,522,864,566
--------------
<CAPTION>
SHARES
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCKS -- 0.1% OF NET ASSETS
COMPUTERS -- 0.0%
Streamlogic Corp. * -C-......................... 266,066 266
--------------
RESTAURANTS -- 0.1%
Advantica Restaurant Group, Inc. *.............. 646,448 1,959,546
--------------
RETAIL -- GENERAL -- 0.0%
Penn Traffic Co.*............................... 1 4
--------------
TOTAL COMMON STOCKS
(Identified Cost $8,226,391).................. 1,959,816
--------------
PREFERRED STOCKS -- 2.2% OF NET ASSETS
BUILDING MATERIALS -- 0.2%
Owens Corning, 6.500%........................... 66,000 2,491,500
--------------
CHEMICALS -- MAJOR -- 0.0%
E.I. du Pont DeNemours & Co., $3.50............. 3,775 228,388
--------------
FREIGHT TRANSPORTATION -- 0.1%
Arkansas Best Corp., $2.875..................... 39,670 1,666,140
--------------
METALS -- 0.2%
Bethlehem Steel Corp., $3.50.................... 99,050 3,293,412
--------------
OIL & GAS -- 0.5%
Chesapeake Energy Corp., 7.000%................. 55,000 1,815,000
Hvide Capital Trust, 6.500% ^................... 77,500 155,000
R & B Falcon Corp., 13.875% PIK................. 2,907 2,761,495
Weatherford International, Inc., Conv.,
5.000%........................................ 109,500 4,051,500
--------------
8,782,995
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Camden Property Trust, $2.25.................... 13,500 325,687
Equity Residential Properties Trust, 7.250%..... 59,200 1,228,400
--------------
1,554,087
--------------
</TABLE>
33
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
PREFERRED STOCKS -- CONTINUED
<CAPTION>
SHARES VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
TELECOMMUNICATIONS -- 1.0%
Hyperion Telecommunications, Inc., 12.875%
PIK........................................... 16,359 $ 14,559,117
Nextel Communications, Inc., 11.125% PIK........ 1,464 1,405,440
--------------
15,964,557
--------------
UTILITIES -- 0.1%
Central Maine Power Co., 3.500%................. 2,230 105,925
Connecticut Light & Power Co., $1.90............ 2,925 74,588
Entergy Louisiana, Inc., 4.160%................. 2,600 133,900
Jersey Central Power & Light Co., 4.000%........ 2,020 120,190
MDU Resources Group, Inc., 5.100%............... 4,020 344,212
Minnesota Power & Light Co., 5.000%............. 200 13,625
Niagara Mohawk Power Corp., 4.850%.............. 5,000 375,000
Northern States Power Co., $3.60................ 1,000 49,000
Public Service Co., 4.000%...................... 360 23,130
--------------
1,239,570
--------------
TOTAL PREFERRED STOCKS
(Identified Cost $39,045,138)................. 35,220,649
--------------
WARRANTS -- 0.0% OF NET ASSETS
COMPUTERS -- 0.0%
Streamlogic Corp., expiring 10/07/01 * -C-...... 1,228 0
--------------
OIL & GAS -- 0.0%
R & B Falcon Corp., expiring 5/01/09 144A *..... 2,800 616,000
--------------
RETAIL -- GENERAL -- 0.0%
Bradlees, Inc., expiring 2/02/04 * -C-.......... 1,924 15,632
Penn Traffic Co., expiring 6/07/05 *............ 1 1
--------------
15,633
--------------
TOTAL WARRANTS
(Identified Cost $821,112).................... 631,633
--------------
<CAPTION>
FACE
AMOUNT
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENT -- 0.2% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $3,526,416 on 10/01/99
collateralized by $2,840,000 U.S. Treasury
Bond, 8.875% due 2/15/19 with a value of
$3,596,593.................................... USD 3,526,000 3,526,000
--------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $3,526,000).................. 3,526,000
--------------
TOTAL INVESTMENTS -- 97.8%
(IDENTIFIED COST $1,713,888,475) @.............. 1,564,202,664
Cash and Other Assets, Less Liabilities --
2.2%.......................................... 34,669,051
--------------
NET ASSETS -- 100%................................ $1,598,871,715
==============
</TABLE>
34
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
! See Note 1.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
- -C- Security in Chapter 11 bankruptcy.
^ Security in default.
144A 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.
++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate
(LIBOR) plus .8125%.
PIK All or a portion of income may be received as additional securities.
* Non-income producing security.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $1,714,910,382 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $42,972,774 and $193,680,492, respectively, resulting in
net unrealized depreciation of $150,707,718.
KEY TO ABBREVIATIONS:
CAD: Canadian Dollar
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
See accompanying notes to financial statements.
35
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES GLOBAL BOND FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 95.5% OF NET ASSETS
ARGENTINA -- 1.1%
Republic of Argentina, 6.000%, 3/31/23.......... USD 700,000 $ 452,410
-----------
AUSTRALIA -- 10.3%
New South Wales Trust, 6.500%, 5/01/06.......... AUD 1,900,000 1,244,546
News America Holdings, Inc., 8.625%, 2/07/14.... 1,240,000 800,688
Queensland Treasury, 6.000%, 7/14/09............ 760,000 472,706
Queensland Treasury, 8.000%, 9/14/07............ 1,600,000 1,138,832
South Australia Government Finance Authority,
Zero Coupon Bond, 12/21/15.................... 2,750,000 586,312
-----------
4,243,084
-----------
CANADA -- 4.4%
Government of Canada, 8.750%, 12/01/05.......... CAD 700,000 550,204
Magna International, Inc., Class A, 4.875%,
2/15/05....................................... USD 400,000 361,000
Province of British Columbia, Zero Coupon Bond,
9/05/20....................................... CAD 5,025,000 891,141
-----------
1,802,345
-----------
FINLAND -- 3.2%
Republic of Finland, 6.000%, 4/25/08............ EUR 1,177,315 1,309,439
-----------
GERMANY -- 27.7%
Bayerische Vereinsbank, 6.000%, 1/23/06......... 1,022,583 1,140,938
Deutsche Ausgleichsbank, 4.000%, 7/04/09........ 1,850,000 1,817,167
Deutsche Finance BV, 7.500%, 2/10/03............ DEM 2,300,000 1,346,782
Deutsche Telekom AG, 5.250%, 5/20/08............ EUR 1,369,196 1,432,416
Federal Republic of Germany, 4.500%, 8/19/02.... 800,000 863,104
Federal Republic of Germany, 4.500%, 5/19/03.... 1,300,000 1,394,857
Federal Republic of Germany, 4.750%, 7/04/28.... 2,000,000 1,823,878
Kreditanstalt Wierdarauf, 6.000%, 2/09/06....... 562,421 629,373
Treuhandanstalt, 6.625%, 7/09/03................ 153,387 175,748
Westdt Landesbank, 5.250%, 10/14/05............. 766,937 825,717
-----------
11,449,980
-----------
IRELAND -- 7.5%
Republic of Ireland, 3.500%, 10/18/05........... 1,335,000 1,323,823
Republic of Ireland, 4.600%, 4/18/16............ 1,875,000 1,761,822
-----------
3,085,645
-----------
JAPAN -- 3.6%
MBL International Finance (Bermuda), 3.000%,
11/30/02 +.................................... USD 1,250,000 1,471,875
-----------
MALAYSIA -- 4.2%
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A... 2,375,000 1,728,097
-----------
NETHERLANDS -- 2.4%
Dutch Government, 5.750%, 9/15/02............... EUR 907,560 1,007,961
-----------
</TABLE>
36
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
NEW ZEALAND -- 5.4%
Government of New Zealand, 6.000%, 11/15/11..... NZD 1,375,000 $ 648,778
Government of New Zealand, 7.000%, 7/15/09...... 1,820,000 941,986
Government of New Zealand, 8.000%, 11/15/06..... 1,200,000 658,610
-----------
2,249,374
-----------
PERU -- 0.6%
Republic of Peru, 3.750%, 3/07/17 (step to
4.000% on 3/07/01) #.......................... USD 450,000 242,460
-----------
PHILIPPINES -- 6.3%
Bangko Sentral Pilipinas, 8.600%, 6/15/27....... 1,300,000 1,000,090
FLI Capital Cayman, 6.250%, 2/01/02 +........... 900,000 945,000
MBIA, Inc., Zero Coupon Bond, 12/18/01 +........ 800,000 651,000
-----------
2,596,090
-----------
SOUTH AFRICA -- 6.9%
Escom, 11.000%, 6/01/08......................... ZAR 6,000,000 791,246
Republic of South Africa, 8.500%, 6/23/17....... USD 1,400,000 1,214,500
Sappi BVI Finance, 7.500%, 8/01/02.............. 900,000 864,000
-----------
2,869,746
-----------
SOUTH KOREA -- 0.6%
Samsung Electronics Co. Ltd., 5.375%,
12/16/01...................................... EUR 500,000 265,543
-----------
SUPRANATIONAL -- 1.0%
International Bank for Reconstruction &
Development, Zero Coupon Bond, 8/20/07........ NZD 1,500,000 426,360
-----------
THAILAND -- 6.4%
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04
+............................................. USD 2,800,000 1,302,000
Loxley Public Co. Ltd., 2.500%, 4/04/01 + ^..... 700,000 189,000
Thai Farmers Bank Plc, 8.250%, 8/21/16 144A..... 1,650,000 1,138,500
-----------
2,629,500
-----------
UNITED KINGDOM -- 1.9%
Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08
(step to 11.625% on 6/01/03) #................ EUR 1,700,000 769,715
-----------
UNITED STATES -- 2.0%
Federal National Mortgage Association, 6.375%,
8/15/07....................................... AUD 525,000 332,883
United States Treasury Notes, 5.625%, 5/15/08... USD 500,000 485,310
-----------
818,193
-----------
TOTAL BONDS AND NOTES
(Identified Cost $41,360,310)................. 39,417,817
-----------
</TABLE>
37
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
SHORT-TERM INVESTMENT -- 2.6% OF NET ASSETS
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $1,048,124 on 10/01/99
collateralized by $845,000 U.S. Treasury Bond,
8.875% due 2/15/19 with a value of
$1,070,113.................................... USD 1,048,000 $ 1,048,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,048,000).................. 1,048,000
-----------
TOTAL INVESTMENTS -- 98.1%
(IDENTIFIED COST $42,408,310) @................. 40,465,817
Cash and Other Assets, Less Liabilities --
1.9%.......................................... 793,616
-----------
NET ASSETS -- 100%................................ $41,259,433
===========
</TABLE>
! See Note 1.
+ Convertible Bond.
144A 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.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
^ Security in default.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $42,417,152 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $1,420,706 and $3,372,041, respectively, resulting in net
unrealized depreciation of $1,951,335.
KEY TO ABBREVIATIONS:
<TABLE>
<S> <C> <C> <C>
AUD: Australian Dollar NZD: New Zealand Dollar
CAD: Canadian Dollar USD: United States Dollar
EUR: Euro ZAR: South African Rand
</TABLE>
Ten Largest Sector Holdings at September 30, 1999
as a Percentage of Net Assets
<TABLE>
<S> <C>
Foreign Government/Agency 47.4%
Bank & Finance 20.8%
Financial Services 9.5%
Telecommunications 5.3%
Utilities 4.2%
Government Agencies 3.4%
Media & Entertainment 1.9%
Supranational 1.0%
Auto & Related 0.9%
Electronics 0.6%
</TABLE>
See accompanying notes to financial statements.
38
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 88.9% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 60.6%
BROADCASTING -- 1.5%
Fox Family Worldwide, Inc., Zero Coupon Bond,
11/01/07 (step to 10.250% on 11/01/02) #...... USD 475,000 $ 306,375
-----------
CANADIAN -- 4.1%
Clearnet Communications, Inc., Zero Coupon Bond,
8/13/07 (step to 11.750% on 8/13/02) #........ CAD 300,000 138,851
Clearnet Communications, Inc., Zero Coupon Bond,
5/15/08 (step to 10.400% on 5/15/03) #........ 300,000 123,537
Clearnet Communications, Inc., Zero Coupon Bond,
2/15/09 (step to 10.750% on 2/15/04) #........ 350,000 134,001
Microcell Telecommunications, Inc., Zero Coupon
Bond, 10/15/07 (step to 11.125% on 10/15/02)
#............................................. 985,000 422,373
Semi-Tech Corp., Zero Coupon Bond, 8/15/03 (step
to 11.50% on 8/15/00) # -C-................... USD 1,275,000 14,344
-----------
833,106
-----------
COMPUTERS -- 0.2%
Seagate Technology, Inc., 7.875%, 3/01/17....... 50,000 39,366
-----------
DIVERSIFIED OPERATIONS -- 0.4%
Reliance Industries Ltd., 10.375%, 6/24/16
144A.......................................... 100,000 87,370
-----------
ENTERTAINMENT -- 0.3%
Boston Celtics Ltd., 6.000%, 6/30/38............ 111,000 66,322
-----------
FOREIGN GOVERNMENT/AGENCY -- 10.2%
Escom, 11.000%, 6/01/08......................... ZAR 275,000 36,265
Republic of Argentina, 6.8125%, 3/31/05++....... USD 44,000 38,557
Republic of Argentina, 8.875%, 3/01/29.......... 375,000 255,825
Republic of Argentina, 11.750%, 2/12/07......... 200,000 172,026
Republic of Brazil, 10.125%, 5/15/27............ 255,000 192,525
Republic of Brazil C Bond, 8.000%, 4/15/14
PIK........................................... 806,813 513,375
Republic of Ecuador, 6.750%, 2/27/15++.......... 174,653 25,325
Republic of Panama, 4.250%, 7/17/14 (step to
4.500% on 7/17/00) #.......................... 250,000 180,625
Republic of Peru, 3.750%, 3/07/17 (step to
4.000% on 3/07/01) #.......................... 400,000 215,520
Republic of South Africa, 12.500%, 12/21/06..... ZAR 1,000,000 149,667
Republic of Venezuela, 9.250%, 9/15/27.......... USD 425,000 280,500
-----------
2,060,210
-----------
FOREIGN ISSUER -- 24.2%
Bangko Sentral Pilipinas, 8.600%, 6/15/27....... 350,000 269,255
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29
144A.......................................... 500,000 344,995
Bayan Telecommunications, 13.500%, 7/15/06
144A.......................................... 100,000 94,500
Centragas, 10.650%, 12/01/10 144A............... 212,927 176,996
Cerro Negro Finance Ltd., 7.900%, 12/01/20
144A.......................................... 100,000 68,030
Compania de Alimentos Fargo SA, 13.250%,
8/01/08....................................... 100,000 77,500
Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08
(step to 11.625% on 6/01/03) #................ EUR 250,000 113,193
</TABLE>
39
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
FOREIGN ISSUER -- CONTINUED
Espirito Santo Centrais Eletricas SA, 10.000%,
7/15/07....................................... USD 350,000 $ 254,625
Indah Kiat Finance Mauritius Ltd., 10.000%,
7/01/07....................................... 300,000 168,000
Korea Electric Power Corp., 7.400%, 4/01/16..... 231,417 203,663
Multicanal SA, 10.500%, 2/01/07................. 125,000 99,375
Multicanal SA, 10.500%, 4/15/18................. 250,000 187,500
Murrin Murrin Holdings Property Ltd., 9.375%,
8/31/07....................................... 50,000 43,500
Petroleos Mexicanos, Medium Term, 8.625%,
12/01/23 144A................................. 145,000 112,375
Philippine Long Distance Telephone Co., 8.350%,
3/06/17....................................... 200,000 155,327
Pindo Deli Finance Mauritius Ltd., 10.750%,
10/01/07...................................... 450,000 243,000
Pindo Deli Finance Mauritius Ltd., 10.875%,
10/01/27...................................... 410,000 186,550
Pycsa Panama SA, 10.280%, 12/15/12 144A......... 98,950 64,318
Quezon Power Philippines Co., 8.860%, 6/15/17... 550,000 422,004
Siam Commercial Bank Public Co., 7.500%, 3/15/06
144A.......................................... 100,000 78,000
Tata Electric Co., 8.500%, 8/19/17 144A......... 200,000 161,916
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A... 850,000 618,477
TFM SA de CV, Zero Coupon Bond, 6/15/09 (step to
11.750% on 6/15/02) #......................... 250,000 135,000
Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04.... 400,000 220,000
Total Access Communication Public Co. Ltd.,
7.625%, 11/04/01 144A......................... 100,000 84,000
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A......................... 400,000 286,518
-----------
4,868,617
-----------
HEALTH CARE -- SERVICES -- 1.3%
Columbia/HCA Healthcare Corp., 7.050%,
12/01/27...................................... 75,000 56,250
Columbia/HCA Healthcare Corp., 7.750%,
7/15/36....................................... 250,000 194,022
Integrated Health Services, Inc., 9.250%,
1/15/08....................................... 100,000 17,000
-----------
267,272
-----------
OIL & GAS -- 4.6%
Chesapeake Energy Corp., 7.875%, 3/15/04........ 100,000 88,000
Chesapeake Energy Corp., 8.500%, 3/15/12........ 250,000 202,500
Hvide Marine, Inc., 8.375%, 2/15/08 ^........... 400,000 176,000
Pioneer Natural Resources Co., 7.200%,
1/15/28....................................... 100,000 75,869
R & B Falcon Corp., 7.375%, 4/15/18............. 500,000 382,500
-----------
924,869
-----------
RAIL -- TRANSPORT -- 0.1%
Missouri Pacific Railroad Co., 4.750%,
1/01/20....................................... 30,000 18,900
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Meditrust Corp., 7.000%, 8/15/07................ 100,000 78,652
-----------
RETAIL -- GENERAL -- 2.7%
Dillon Read Structured Finance Corp., 7.430%,
8/15/18....................................... 300,000 268,653
Woolworth Corp., 8.500%, 1/15/22................ 400,000 268,000
-----------
536,653
-----------
</TABLE>
40
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
STEEL -- 0.2%
Geneva Steel Co., 9.500%, 1/15/04 ^............. USD 150,000 $ 31,125
-----------
TELECOMMUNICATIONS -- 7.4%
Nextel Communications, Inc., Zero Coupon Bond,
10/31/07 (step to 9.750% on 10/31/02) #....... 100,000 70,750
Nextel Communications, Inc., Zero Coupon Bond,
2/15/08 (step to 9.950% on 2/15/03) #......... 100,000 69,750
Nextlink Communications, Inc., Zero Coupon Bond,
4/15/08 (step to 9.450% on 4/15/03) #......... 100,000 58,500
RCN Corp., Zero Coupon Bond, 10/15/07 (step to
11.125% on 10/15/02) #........................ 375,000 241,875
RCN Corp., Zero Coupon Bond, 2/15/08 (step to
9.800% on 2/15/03) #.......................... 550,000 330,000
RCN Corp., Zero Coupon Bond, 7/01/08 (step to
11.000% on 7/01/03) #......................... 100,000 60,000
Telecorp PCS, Inc., Zero Coupon Bond, 4/15/09
(step to 11.625% on 4/15/04) 144A #........... 500,000 289,375
Teligent, Inc., Zero Coupon Bond, 3/01/08 (step
to 11.500% on 3/01/03) #...................... 400,000 210,000
Tritel PCS, Inc., Zero Coupon Bond, 5/15/09
(step to 12.750% on 5/15/04) 144A#............ 175,000 98,000
Triton Communications LLC, Zero Coupon Bond,
5/01/08 (step to 11.000% on 5/01/03) #........ 100,000 67,000
-----------
1,495,250
-----------
TEXTILE & APPAREL -- 1.1%
Fruit of the Loom, Inc., 8.875%, 4/15/06........ 50,000 17,000
Phillips Van Heusen Corp., 7.750%, 11/15/23..... 250,000 195,103
-----------
212,103
-----------
TRANSPORTATION -- 0.5%
American President Cos. Ltd., 8.000%, 1/15/24... 200,000 100,000
-----------
UTILITIES -- 1.4%
AES Corp., 8.875%, 11/01/27..................... 350,000 283,500
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $13,673,329)................. 12,209,690
-----------
CONVERTIBLE BONDS -- 28.3%
AUTO & RELATED -- 1.0%
Exide Corp., 2.900%, 12/15/05 144A.............. 350,000 203,875
-----------
CANADIAN -- 0.7%
Rogers Communications, Inc., 2.000%, 11/26/05... 190,000 149,625
-----------
COMPUTERS -- 4.1%
Cray Research, Inc., 6.125%, 2/01/11............ 113,000 75,145
Data General Corp., 6.000%, 5/15/04............. 50,000 51,750
HMT Technology Corp., 5.750%, 1/15/04........... 75,000 28,500
Ingram Micro, Inc., Zero Coupon Bond, 6/09/18... 50,000 15,875
</TABLE>
41
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
COMPUTERS -- CONTINUED
Maxtor Corp., 5.750%, 3/01/12................... USD 500,000 $ 350,000
Read Rite Corp., 6.500%, 9/01/04................ 150,000 60,000
S3, Inc., 5.750%, 10/01/03...................... 200,000 179,500
Telxon Corp., 5.750%, 1/01/03................... 50,000 34,312
Western Digital, Zero Coupon Bond, 2/18/18...... 150,000 21,750
-----------
816,832
-----------
ELECTRONICS -- 6.2%
Cirrus Logic, Inc., 6.000%, 12/15/03............ 250,000 182,500
EDO Corp., 7.000%, 12/15/11..................... 50,000 40,500
Integrated Device Technology, 5.500%, 6/01/02... 100,000 101,500
Kent Electronics Corp., 4.500%, 9/01/04......... 325,000 264,875
Lam Research Corp., 5.000%, 9/01/02............. 575,000 573,562
Richardson Electronics Ltd., 7.250%, 12/15/06... 50,000 36,063
Zenith Electronics Corp., 6.250%, 4/01/11 ^..... 350,000 59,500
-----------
1,258,500
-----------
FOREIGN ISSUER -- 4.6%
Advanced Agro Public Co., 3.500%, 6/17/01....... 125,000 103,750
APP Finance VII Mauritius Ltd., 3.500%,
4/30/03....................................... 200,000 100,250
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03
144A.......................................... 125,000 62,656
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04... 225,000 104,625
Banpu Public Co., 2.750%, 4/10/03............... 25,000 22,000
Burns, Philp, 5.500%, 4/30/04................... 50,000 25,500
Empresas ICA Sociedad, 5.000%, 3/15/04.......... 80,000 47,200
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^....... 100,000 27,000
Samsung Electronics Co. Ltd., Zero Coupon Bond,
12/31/07...................................... 100,000 125,750
Sappi BVI Finance, 7.500%, 8/01/02.............. 125,000 120,000
Siam Commercial Bank Public Co., 3.250%,
1/24/04....................................... 250,000 114,063
Ssangyong Oil Refining Co., Inc., 3.000%,
12/31/04...................................... 125,000 83,125
-----------
935,919
-----------
FREIGHT TRANSPORTATION -- 0.2%
Builders Transportation, Inc., 8.000%, 8/15/05
^............................................. 75,000 94
Worldway Corp., 6.250%, 4/15/11................. 62,000 50,220
-----------
50,314
-----------
HEALTH CARE -- DRUGS -- 3.0%
Dura Pharmaceuticals, Inc., 3.500%, 7/15/02..... 450,000 345,937
Glycomed, Inc., 7.500%, 1/01/03................. 200,000 158,000
NABI, Inc., 6.500%, 2/01/03..................... 125,000 103,125
-----------
607,062
-----------
HEALTH CARE -- PRODUCTS -- 0.7%
Centocor, Inc., 4.750%, 2/15/05................. 100,000 131,625
-----------
HEALTH CARE -- SERVICES -- 0.8%
PhyCor, Inc., 4.500%, 2/15/03................... 150,000 106,125
Tenet Healthcare Corp., 6.000%, 12/01/05........ 75,000 58,688
-----------
164,813
-----------
</TABLE>
42
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
HOME BUILDERS -- 0.3%
Schuler Homes, Inc., 6.500%, 1/15/03............ USD 70,000 $ 56,000
-----------
INSURANCE -- 2.1%
Loews Corp., 3.125%, 9/15/07.................... 500,000 427,500
-----------
MACHINERY -- 0.1%
Intevac, Inc., 6.500%, 3/01/04.................. 25,000 13,000
-----------
MANUFACTURING -- 0.7%
Hexcel Corp., 7.000%, 8/01/03................... 50,000 39,625
Hexcel Corp., 7.000%, 8/01/11................... 125,000 96,094
-----------
135,719
-----------
OIL & GAS -- 2.4%
Key Energy Group, Inc., 5.000%, 9/15/04......... 550,000 382,937
Pogo Producing Co., 5.500%, 6/15/06............. 75,000 61,125
Pride International, Inc., Zero Coupon Bond,
4/24/18....................................... 100,000 33,250
-----------
477,312
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Sizeler Property Investors, Inc., 8.000%,
7/15/03....................................... 15,000 13,950
-----------
RESTAURANTS -- 0.6%
Boston Chicken, Inc., Zero Coupon Bond, 6/01/15
^............................................. 625,000 2,344
Boston Chicken, Inc., 4.500%, 2/01/04 ^......... 100,000 1,000
Einstein/Noah Bagel Corp., 7.250%, 6/01/04...... 50,000 26,000
Shoney's, Inc., Zero Coupon Bond, 4/11/04....... 350,000 70,000
TPI Enterprises, Inc., 8.250%, 7/15/02.......... 25,000 12,500
-----------
111,844
-----------
RETAIL -- SPECIALTY -- 0.5%
CML Group, Inc., 5.500%, 1/15/03 ^.............. 100,000 125
Jacobson Stores, Inc., 6.750%, 12/15/11......... 150,000 103,688
-----------
103,813
-----------
TELECOMMUNICATIONS -- 0.2%
Broadband Technologies, Inc., 5.000%, 5/15/01... 100,000 42,500
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $6,490,856).................. 5,700,203
-----------
TOTAL BONDS AND NOTES
(Identified Cost $20,164,185)................. 17,909,893
-----------
</TABLE>
43
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
COMMON STOCKS -- 4.3% OF NET ASSETS
<CAPTION>
SHARES VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
FOREIGN ISSUER -- 1.4%
Sappi Ltd. ADR.................................. 2,950 $ 274,350
-----------
OIL & GAS -- 0.3%
Chesapeake Energy Corp.......................... 16,000 62,000
-----------
REAL ESTATE INVESTMENT TRUSTS -- 2.5%
Associated Estates Realty Corp.................. 15,500 142,406
Berkshire Realty Co., Inc....................... 15,500 186,000
Developers Diversified Realty Corp.............. 4,825 67,550
Meditrust Corp.................................. 13,500 114,750
-----------
510,706
-----------
RESTAURANTS -- 0.1%
Advantica Restaurant Group, Inc. *.............. 7,197 21,816
-----------
RETAIL -- GENERAL -- 0.0%
Penn Traffic Co.*............................... 1 4
-----------
TOTAL COMMON STOCKS
(Identified Cost $1,001,246).................. 868,876
-----------
PREFERRED STOCKS -- 4.1% OF NET ASSETS
FOREIGN ISSUER -- 0.3%
Philippine Long Distance Telephone Co., $3.50,
GDS........................................... 1,000 41,500
Siam Commercial Bank Public Co. , 5.520%
144A*......................................... 20,000 17,964
-----------
59,464
-----------
OIL & GAS -- 1.7%
Chesapeake Energy Corp., 7.000%................. 7,250 239,250
R & B Falcon Corp., 13.875% PIK................. 104 98,625
-----------
337,875
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Meditrust Corp. Series A, 9.000%................ 1,400 21,263
-----------
TELECOMMUNICATIONS -- 1.6%
Hyperion Telecommunications, Inc., 12.875%
PIK........................................... 247 220,188
Nextel Communications, Inc., 11.125% PIK........ 106 101,760
-----------
321,948
-----------
UTILITIES -- 0.4%
Central Maine Power Co., 3.500%................. 1,460 69,350
Entergy Gulf States, Inc., 4.400%............... 270 15,795
-----------
85,145
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $772,631).................... 825,695
-----------
</TABLE>
44
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
WARRANTS -- 0.1% OF NET ASSETS
<CAPTION>
SHARES VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
FINANCIAL SERVICES -- 0.0%
Siam Commercial Bank Public Co. Ltd., expiring
5/10/02 *..................................... 20,000 $ 5,744
-----------
OIL & GAS -- 0.1%
R & B Falcon Corp., expiring 5/01/09 144A *..... 100 22,000
-----------
RETAIL -- GENERAL -- 0.0%
Penn Traffic Co., expiring 6/07/05 *............ 1 0
-----------
TOTAL WARRANTS
(Identified Cost $16,007)..................... 27,744
-----------
<CAPTION>
FACE
AMOUNT
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENT -- 0.8% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $156,018 on 10/01/99
collateralized by $130,000 U.S. Treasury Bond,
8.875% due 2/15/19 with a value of $164,633... USD 156,000 156,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $156,000).................... 156,000
-----------
TOTAL INVESTMENTS -- 98.2%
(IDENTIFIED COST $22,110,069) @................. 19,788,208
Cash and Other Assets, Less Liabilities --
1.8%.......................................... 361,372
-----------
NET ASSETS -- 100%................................ $20,149,580
===========
</TABLE>
! See Note 1.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
- -C- Security in Chapter 11 bankruptcy.
^ Security in default.
144A 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.
++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate
(LIBOR) plus .8125%.
PIK All or a portion of income may be received as additional securities.
* Non-income producing security.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $22,121,036 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $894,273 and $3,228,825, respectively, resulting in net
unrealized depreciation of $2,334,552.
KEY TO ABBREVIATIONS:
<TABLE>
<S> <C>
ADR: American Depositary Receipts
CAD: Canadian Dollar
EUR: Euro
GDS: Global Depositary Shares
USD: United States Dollar
ZAR: South African Rand
</TABLE>
See accompanying notes to financial statements.
45
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 96.2% OF NET ASSETS
AUTO & RELATED -- 3.1%
Dana Corp., 6.250%, 3/01/04..................... USD 150,000 $ 144,322
Delphi Automotive Systems Corp., 6.125%,
5/01/04....................................... 100,000 96,175
TRW, Inc., 6.625%, 6/01/04 144A................. 100,000 98,054
-----------
338,551
-----------
BANKS/SAVINGS & LOANS -- 3.2%
Capital One Bank, 5.950%, 2/15/01............... 200,000 197,332
Capital One Bank, 6.375%, 2/15/03............... 100,000 97,125
NationsBank Corp., 7.000%, 9/15/01.............. 55,000 55,590
-----------
350,047
-----------
CANADIAN -- 2.3%
Canadian Government, 5.500%, 6/01/09............ CAD 150,000 100,361
MacMillan Bloedel Ltd., 6.750%, 2/15/06......... USD 150,000 144,739
-----------
245,100
-----------
CHEMICALS -- MAJOR -- 1.4%
Rohm & Haas Co., 6.950%, 7/15/04 144A........... 150,000 150,291
-----------
COMPUTERS -- 0.8%
Sun Microsystems, Inc., 7.350%, 8/15/04......... 90,000 91,100
-----------
DATA PROCESSING SERVICES -- 1.8%
Ceridian Corp., 7.250%, 6/01/04 144A............ 200,000 198,506
-----------
ENTERTAINMENT -- 1.5%
Time Warner Entertainment Co., 7.750%,
6/15/05....................................... 155,000 158,497
-----------
FINANCIAL SERVICES -- 13.3%
Associates Manufactured Housing, 6.475%,
3/15/28....................................... 50,000 49,809
CIT Group, Inc., 5.800%, 2/26/01................ 230,000 227,753
Duke Capital Corp., 7.250%, 10/01/04............ 100,000 100,370
First USA Credit Card Master Trust, 5.550%,
9/18/06....................................... 150,000 142,640
Ford Motor Credit Co., 5.800%, 1/12/09.......... 250,000 227,132
Green Tree Financial Corp., 6.950%, 3/15/27..... 200,000 197,408
Household Finance Corp., 5.875%, 9/25/04........ 350,000 333,322
OSCC Home Equity Loan Trust, 6.025%, 6/15/08.... 152,272 149,838
-----------
1,428,272
-----------
FOREIGN GOVERNMENT/AGENCY -- 3.3%
Republic of Brazil C Bond, 8.000%, 4/15/14
PIK........................................... 179,292 114,083
Republic of South Africa, 8.375%, 10/17/06...... 250,000 244,375
-----------
358,458
-----------
FOREIGN ISSUER -- 10.4%
Espirito Santo Centrais Eletricas SA, 10.000%,
7/15/07....................................... 150,000 109,125
Gruma SA de CV, 7.625%, 10/15/07................ 200,000 175,500
Korea Development Bank, 6.750%, 12/01/05........ 100,000 92,153
Korea Electric Power Corp., 7.750%, 4/01/13..... 150,000 135,267
Pemex Finance Ltd., 9.140%, 8/15/04 144A........ 100,000 99,797
</TABLE>
46
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
FOREIGN ISSUER -- CONTINUED
Perez Companc SA, 8.125%, 7/15/07 144A.......... USD 250,000 $ 215,000
Tenaga Nasional Berhad, 7.625%, 4/29/07 144A.... 125,000 112,635
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A......................... 220,000 157,585
YPF SA, 7.000%, 10/26/02........................ 20,998 20,900
-----------
1,117,962
-----------
FOREST & PAPER PRODUCTS -- 0.9%
Temple-Inland, Inc., 6.750%, 3/01/09............ 100,000 94,401
-----------
GOVERNMENT AGENCIES -- 13.2%
Federal Home Loan Mortgage Corp., 5.000%,
1/15/04....................................... 250,000 237,227
Federal Home Loan Mortgage Corp., 5.125%,
10/15/08...................................... 370,000 331,553
Federal Home Loan Mortgage Corp., 6.000%,
4/15/06....................................... 38,043 37,983
Federal Home Loan Mortgage Corp., 6.250%,
10/15/07...................................... 55,000 54,605
Federal National Mortgage Association, 5.500%,
4/25/06....................................... 250,000 247,890
Federal National Mortgage Association, 5.625%,
5/14/04....................................... 200,000 194,032
Federal National Mortgage Association, 6.000%,
5/25/08....................................... 117,411 115,906
Federal National Mortgage Association, 6.500%,
1/18/16....................................... 35,037 34,949
Federal National Mortgage Association, 6.500%,
8/15/16....................................... 165,000 164,741
-----------
1,418,886
-----------
HEALTH CARE -- PRODUCTS -- 2.2%
Bausch & Lomb, Inc., 6.500%, 8/01/05............ 250,000 236,032
-----------
OIL & GAS -- 4.7%
Pioneer Natural Resources Co., 6.500%,
1/15/08....................................... 250,000 205,857
R & B Falcon Corp., 6.750%, 4/15/05............. 350,000 297,500
-----------
503,357
-----------
REAL ESTATE INVESTMENT TRUSTS -- 16.1%
American Health Properties, Inc., 7.050%,
1/15/02....................................... 65,000 63,440
American Health Properties, Inc., 7.500%,
1/15/07....................................... 275,000 243,194
Excel Realty Trust, Inc., 6.875%, 10/15/04...... 165,000 161,205
First Industrial, 7.000%, 12/01/06.............. 250,000 222,113
Highwoods Realty LP, 6.750%, 12/01/03........... 350,000 333,151
Oasis Residential, Inc., 6.750%, 11/15/01....... 350,000 337,851
Trinet Corporate Realty Trust, Inc., 6.750%,
3/01/03....................................... 335,000 314,910
Trinet Corporate Realty Trust, Inc., 7.300%,
5/15/01....................................... 55,000 53,335
-----------
1,729,199
-----------
SECURITIES -- 3.3%
Lehman Brothers Holdings, Inc., 6.125%,
2/01/01....................................... 60,000 59,509
Lehman Brothers Holdings, Inc., 7.125%,
9/15/03....................................... 100,000 99,779
Morgan Stanley Dean Witter & Co., 5.625%,
1/20/04....................................... 200,000 191,092
-----------
350,380
-----------
</TABLE>
47
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
TELECOMMUNICATIONS -- 5.2%
Cox Communications, Inc., 6.500%, 11/15/02...... USD 165,000 $ 162,657
Intermedia Communications, Inc., 8.600%,
6/01/08....................................... 125,000 107,500
TCI Communications, Inc., 6.875%, 2/15/06....... 290,000 288,318
-----------
558,475
-----------
TEXTILE & APPAREL -- 1.8%
Tommy Hilfiger Corp., 6.500%, 6/01/03........... 200,000 192,282
-----------
TOBACCO -- 0.6%
Philip Morris Cos., Inc., 7.250%, 9/15/01....... 65,000 65,608
-----------
TRUCKING & LEASING -- 1.9%
Amerco, 7.490%, 9/18/01......................... 200,000 203,630
-----------
U.S. GOVERNMENT -- 3.4%
U.S. Treasury Notes, 5.375%, 6/30/03............ 100,000 98,547
U.S. Treasury Notes, 5.500%, 5/31/00............ 190,000 190,268
U.S. Treasury Notes, 5.500%, 2/15/08............ 75,000 72,316
-----------
361,131
-----------
UTILITIES -- 1.8%
Texas Utilities Co., 5.940%, 10/15/01........... 200,000 197,194
-----------
TOTAL BONDS AND NOTES
(Identified Cost $10,796,242)................. 10,347,359
-----------
SHORT-TERM INVESTMENT -- 2.1% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $227,027 on 10/01/99
collateralized by $185,000 U.S. Treasury Bond,
8.875% due 2/15/19 with a value of $234,285... USD 227,000 227,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $227,000).................... 227,000
-----------
TOTAL INVESTMENTS -- 98.3%
(IDENTIFIED COST $11,023,242) @................. 10,574,359
Cash and Other Assets, Less Liabilities --
1.7%.......................................... 183,370
-----------
NET ASSETS -- 100%................................ $10,757,729
===========
</TABLE>
! See Note 1.
144A 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.
PIK All or a portion of income may be received as additional securities.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $11,026,645 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $46,672 and $498,958, respectively, resulting in net
unrealized depreciation of $452,286.
KEY TO ABBREVIATIONS:
CAD: Canadian Dollar
USD: United States Dollar
See accompanying notes to financial statements.
48
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------
BONDS AND NOTES -- 94.0% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 83.3%
AUTO & RELATED -- 6.9%
Delphi Automotive Systems Corp., 7.125%,
5/01/29....................................... USD 700,000 $ 630,483
Ford Motor Co., 6.375%, 2/01/29................. 750,000 641,647
TRW, Inc., 6.650%, 1/15/28...................... 125,000 104,605
TRW, Inc., 7.750%, 6/01/29 144A................. 100,000 96,736
----------------
1,473,471
----------------
BUILDING & CONSTRUCTION -- 1.1%
Lennar Corp., 7.625%, 3/01/09................... 250,000 227,120
----------------
BUILDING MATERIALS -- 1.1%
Owens Corning, 7.500%, 8/01/18.................. 250,000 223,215
----------------
CANADIAN -- 15.0%
Canadian Government, Zero Coupon Bond,
6/01/21....................................... CAD 150,000 28,247
Canadian Government, Zero Coupon Bond,
6/01/25....................................... 5,290,000 805,346
MacMillan Bloedel Ltd., 7.700%, 2/15/26......... USD 100,000 98,522
New Brunswick FM Project, Zero Coupon Bond,
11/30/27 (step to 6.470% on 5/30/03) 144A #... CAD 75,000 39,263
Ontario Hydro, 8.900%, 8/18/22.................. 55,000 48,688
Province of Alberta, 5.394%, 6/14/13............ 241,833 158,724
Province of Alberta, 5.930%, 9/16/16............ 46,250 31,242
Province of British Columbia, Zero Coupon Bond,
6/09/22....................................... 250,000 39,597
Province of British Columbia, Zero Coupon Bond,
8/19/22....................................... 605,000 94,670
Province of British Columbia, Zero Coupon Bond,
8/23/24....................................... 4,850,000 668,245
Province of Manitoba, Zero Coupon Bond,
3/05/31....................................... 1,100,000 102,011
Province of Manitoba, 6.500%, 9/22/17........... 25,000 17,282
Province of Manitoba, 7.750%, 12/22/25.......... 55,000 44,041
Province of Nova Scotia, 6.600%, 6/01/27........ 500,000 342,329
Province of Ontario, Zero Coupon Bond,
6/02/27....................................... 4,700,000 547,800
Province of Saskatchewan (Certificate of
Deposit), Zero Coupon Bond, 2/04/22........... 650,000 106,627
Province of Saskatchewan (Certificate of
Deposit), Zero Coupon Bond, 5/30/25........... 215,000 28,549
----------------
3,201,183
----------------
COMPUTERS -- 1.0%
Seagate Technology, Inc., 7.450%, 3/01/37....... USD 175,000 159,128
Seagate Technology, Inc., 7.875%, 3/01/17....... 75,000 59,049
----------------
218,177
----------------
ENTERTAINMENT -- 3.4%
Time Warner, Inc., 6.625%, 5/15/29.............. 840,000 732,480
----------------
FINANCIAL SERVICES -- 7.1%
Duke Capital Corp., 8.000%, 10/01/19............ 250,000 251,225
Household Finance Corp., 5.875%, 2/01/09........ 625,000 562,275
Merey Sweeny LP, 8.850%, 12/18/19 144A.......... 100,000 99,142
Security Capital Group, Inc., 7.700%, 6/15/28... 125,000 105,232
US West Capital Funding, Inc., 6.375%,
7/15/08....................................... 250,000 233,980
</TABLE>
49
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
(CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
- -------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
FINANCIAL SERVICES -- CONTINUED
US West Capital Funding, Inc., 6.875%,
7/15/28....................................... USD 300,000 $ 265,962
----------------
1,517,816
----------------
FOOD & BEVERAGE -- 1.3%
Pepsi Bottling Group, Inc., 7.000%, 3/01/29..... 300,000 276,405
----------------
FOREIGN GOVERNMENT/AGENCY -- 5.0%
Republic of Brazil, 10.125%, 5/15/27............ 10,000 7,550
Republic of Brazil C Bond, 8.000%, 4/15/14
PIK........................................... 776,932 494,361
Republic of Peru, 3.750%, 3/07/17 (step to
4.000% on 3/07/01) #.......................... 300,000 161,640
Republic of South Africa, 8.500%, 6/23/17....... 200,000 173,500
Republic of South Africa, 12.500%, 12/21/06..... ZAR 400,000 59,867
Republic of South Africa, 13.000%, 8/31/10...... 125,000 18,613
Republic of South Africa, 13.500%, 9/15/15...... 150,000 22,675
Republic of Venezuela, 9.250%, 9/15/27.......... USD 200,000 132,000
----------------
1,070,206
----------------
FOREIGN ISSUER -- 12.5%
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29
144A.......................................... 50,000 34,500
Centragas, 10.650%, 12/01/10 144A............... 85,171 70,798
Cerro Negro Finance Ltd., 7.900%, 12/01/20
144A.......................................... 50,000 34,015
Embotelladora Andina SA, 7.625%, 10/01/27....... 125,000 92,385
Empresa Nacional de Electricidad SA (Endesa),
7.875%, 2/01/27............................... 500,000 420,500
Enersis SA, 7.400%, 12/01/16.................... 350,000 300,293
Espirito Santo Centrais Eletricas SA, 10.000%,
7/15/07....................................... 150,000 109,125
Korea Electric Power Corp., 7.750%, 4/01/13..... 150,000 135,267
PDVSA Finance Ltd., 7.500%, 11/15/28............ 50,000 35,105
Pemex Finance Ltd., 10.610%, 8/15/17 144A....... 250,000 253,650
Petrozuata Finance, Inc., 8.220%, 4/01/17
144A.......................................... 200,000 148,000
Pindo Deli Finance Mauritius Ltd., 10.750%,
10/01/07...................................... 100,000 56,000
Pindo Deli Finance Mauritius Ltd., 10.875%,
10/01/27...................................... 100,000 45,500
Quezon Power Philippines Co., 8.860%, 6/15/17... 50,000 38,364
Samsung Electronics Co. Ltd., 7.700%, 10/01/27
144A.......................................... 100,000 75,375
Telekom Malaysia Berhad, 7.875%, 8/01/25 144A... 500,000 413,150
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A... 400,000 291,048
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A......................... 25,000 17,907
Transgas De Occidente SA, 9.790%, 11/01/10
144A.......................................... 97,773 80,783
----------------
2,651,765
----------------
FOREST & PAPER PRODUCTS -- 0.4%
Westvaco Corp., 7.000%, 8/15/23................. 100,000 87,683
----------------
GOVERNMENT AGENCIES -- 2.4%
Federal National Mortgage Association, Zero
Coupon Bond, 10/29/07......................... NZD 200,000 53,983
Federal National Mortgage Association, 6.000%,
7/01/29....................................... USD 494,878 461,473
----------------
515,456
----------------
</TABLE>
50
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
(CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
- -------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
HEALTH CARE -- PRODUCTS -- 0.6%
Bausch & Lomb, Inc., 7.125%, 8/01/28............ USD 150,000 $ 129,645
----------------
HOME BUILDERS -- 0.1%
Pulte Corp., 7.625%, 10/15/17................... 25,000 22,035
----------------
OIL & GAS -- 9.9%
Anadarko Petroleum Corp., 6.625%, 1/15/28....... 250,000 211,185
Ensco International, Inc., 6.750%, 11/15/07..... 250,000 237,467
Ensco International, Inc., 7.200%, 11/15/27..... 250,000 225,595
Global Marine, Inc., 7.000%, 6/01/28............ 250,000 219,950
Kerr-McGee Corp., 7.125%, 10/15/27.............. 200,000 181,944
Pennzoil-Quaker State Co., 7.375%, 4/01/29...... 250,000 231,550
Pioneer Natural Resources Co., 7.200%,
1/15/28....................................... 40,000 30,348
R & B Falcon Corp., 7.375%, 4/15/18............. 100,000 76,500
Seagull Energy Corp., 7.500%, 9/15/27........... 180,000 149,400
Union Pacific Resources Group, Inc., 7.150%,
5/15/28....................................... 175,000 155,906
Union Pacific Resources Group, Inc., 7.950%,
4/15/29....................................... 400,000 391,992
----------------
2,111,837
----------------
RAIL -- TRANSPORT -- 0.8%
Louisville & Nashville Railroad Co., 2.875%,
4/01/03....................................... 4,000 3,470
Louisville & Nashville Railroad Co., 3.375%,
4/01/03....................................... 12,000 10,838
Missouri Pacific Railroad Co., 4.250%,
1/01/05....................................... 39,000 33,780
Missouri Pacific Railroad Co., 4.750%,
1/01/20....................................... 46,000 28,980
Missouri Pacific Railroad Co., 4.750%,
1/01/30....................................... 86,000 55,040
Missouri Pacific Railroad Co., 5.000%,
1/01/45....................................... 50,000 27,000
----------------
159,108
----------------
REAL ESTATE INVESTMENT TRUSTS -- 2.7%
First Industrial, 7.500%, 12/01/17.............. 100,000 85,718
First Industrial, 7.600%, 7/15/28............... 150,000 125,360
Highwoods Realty LP, 7.500%, 4/15/18............ 50,000 44,611
Security Capital Industrial Trust, 7.625%,
7/01/17....................................... 75,000 67,556
Susa Partnership LP, 7.500%, 12/01/27........... 125,000 104,785
Trinet Corporate Realty Trust, Inc., 7.700%,
7/15/17....................................... 200,000 140,846
----------------
568,876
----------------
SECURITIES -- 1.1%
Lehman Brothers Inc., 6.500%, 4/15/08........... 250,000 232,347
----------------
SUPRANATIONAL -- 0.9%
International Bank for Reconstruction &
Development, Zero Coupon Bond, 8/20/07........ NZD 585,000 166,281
International Bank for Reconstruction &
Development, 8.000%, 5/23/07.................. 45,000 23,372
----------------
189,653
----------------
</TABLE>
51
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
(CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
- -------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
TELECOMMUNICATIONS -- 1.7%
Sprint Capital Corp., 6.375%, 5/01/09........... USD 250,000 $ 235,282
Sprint Capital Corp., 6.875%, 11/15/28.......... 150,000 135,981
----------------
371,263
----------------
TEXTILE & APPAREL -- 0.1%
Kellwood Co., 7.625%, 10/15/17.................. 25,000 21,929
----------------
U.S. GOVERNMENT -- 8.2%
U.S. Treasury Bonds, 5.500%, 8/15/28............ 1,950,000 1,745,250
----------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $18,319,916)................. 17,746,920
----------------
CONVERTIBLE BONDS -- 10.7%
AUTO & RELATED -- 0.6%
Magna International, Inc., Class A, 4.875%,
2/15/05....................................... 150,000 135,375
----------------
COMPUTERS -- 0.0%
Maxtor Corp., 5.750%, 3/01/12................... 10,000 7,000
----------------
DIVERSIFIED OPERATIONS -- 2.2%
Thermo Electron Corp., 4.250%, 1/01/03 144A..... 550,000 469,562
----------------
ELECTRONICS -- 0.5%
Kent Electronics Corp., 4.500%, 9/01/04......... 50,000 40,750
Thermedics, Inc., Zero Coupon Bond, 6/01/03..... 100,000 67,500
----------------
108,250
----------------
ENVIRONMENTAL SERVICES -- 0.5%
Thermo TerraTech, Inc., 4.625%, 5/01/03 144A.... 110,000 96,800
----------------
FOREIGN ISSUER -- 0.6%
Banpu Public Co., 2.750%, 4/10/03............... 20,000 17,600
Burns, Philp, 5.500%, 4/30/04................... 20,000 10,200
Ssangyong Oil Refining Co., Inc., 3.000%,
12/31/04...................................... 30,000 19,950
Telekom Malaysia Berhad, 4.000%, 10/03/04....... 50,000 41,063
Total Access Communication Public Co. Ltd.,
2.000%, 5/31/06............................... 30,000 28,650
----------------
117,463
----------------
HEALTH CARE -- SERVICES -- 0.5%
Healthsouth Corp., 3.250%, 4/01/03.............. 150,000 115,500
----------------
INDUSTRIAL EQUIPMENT -- 0.3%
MascoTech, Inc., 4.500%, 12/15/03............... 75,000 60,094
----------------
INSURANCE -- 2.4%
Loews Corp., 3.125%, 9/15/07.................... 590,000 504,450
----------------
MULTI-INDUSTRY -- 1.0%
Thermo Instrument Systems, Inc., 4.500%,
10/15/03 144A................................. 250,000 216,250
----------------
</TABLE>
52
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
(CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
- -------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C> <C>
OIL & GAS -- 1.9%
Baker Hughes, Inc., Zero Coupon Bond, 5/05/08... USD 400,000 $ 290,000
Diamond Offshore Drilling, Inc., 3.750%,
2/15/07....................................... 50,000 53,250
Noram Energy Corp., 6.000%, 3/15/12............. 60,000 53,400
----------------
396,650
----------------
PUBLISHING -- 0.2%
Scholastic Corp., 5.000%, 8/15/05 144A.......... 50,000 47,875
----------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $2,308,628).................. 2,275,269
----------------
TOTAL BONDS AND NOTES
(Identified Cost $20,628,544)................. 20,022,189
----------------
<CAPTION>
SHARES
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS -- 1.5% OF NET ASSETS
OIL & GAS -- 0.5%
Weatherford International, Inc., Conv.,
5.000%........................................ 3,000 111,000
----------------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
Camden Property Trust, $2.25.................... 250 6,031
Carramerica Realty Corp., 8.550%................ 200 3,800
Equity Residential Properties Trust, 7.250%..... 4,550 94,413
First Industrial Realty Trust, Inc. Series D,
7.950%........................................ 1,000 20,125
First Industrial Realty Trust, Inc. Series E,
7.900%........................................ 2,000 42,750
----------------
167,119
----------------
UTILITIES -- 0.2%
Duquesne Light Co., 4.000%...................... 810 24,705
New York State Electric & Gas Corp., 3.750%..... 100 7,050
Northern States Power Co., $3.60................ 200 9,800
Wisconsin Power & Light Co., 4.500%............. 10 717
----------------
42,272
----------------
TOTAL PREFERRED STOCKS
(Identified Cost $314,446).................... 320,391
----------------
</TABLE>
53
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
(CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
SHORT-TERM INVESTMENT -- 2.3% OF NET ASSETS
<CAPTION>
FACE
AMOUNT VALUE !
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $480,057 on 10/01/99
collateralized by $390,000 U.S. Treasury Bond,
8.875% due 2/15/19 with a value of $493,898... USD 480,000 $ 480,000
----------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $480,000).................... 480,000
----------------
TOTAL INVESTMENTS -- 97.8%
(IDENTIFIED COST $21,422,990) @................. 20,822,580
Cash and Other Assets, Less Liabilities --
2.2%.......................................... 472,481
----------------
NET ASSETS -- 100%................................ $ 21,295,061
================
</TABLE>
! See Note 1.
144A 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.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
PIK All or a portion of income may be received as additional securities.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $21,422,990 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $268,269 and $868,679, respectively, resulting in net
unrealized depreciation of $600,410.
KEY TO ABBREVIATIONS:
CAD: Canadian Dollar
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
See accompanying notes to financial statements.
54
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES MUNICIPAL BOND FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C>
- -----------------------------------------------------------------------
GOVERNMENT AND AGENCY SECURITIES -- 3.5% OF NET ASSETS
GOVERNMENT AGENCIES -- 2.5%
Federal National Mortgage Association, 5.125%,
2/13/04....................................... $250,000 $ 238,203
----------
U.S. GOVERNMENT -- 1.0%
U.S. Treasury Notes, 5.750%, 8/15/03............ 100,000 99,687
----------
TOTAL GOVERNMENT AND AGENCY SECURITIES
(Identified Cost $342,949).................... 337,890
----------
MUNICIPAL BONDS AND NOTES -- 89.9% OF NET ASSETS
ALASKA -- 0.8%
Alaska State Housing Finance Corp., 6.600%,
12/01/15...................................... 80,000 82,421
----------
ARIZONA -- 1.6%
Phoenix Street & Highway User, 6.250%,
7/01/11....................................... 150,000 159,005
----------
CALIFORNIA -- 9.4%
California Pollution Control Financing
Authority, Southern California Edison Co. D,
(MBIA Insured), 5.200%, 9/01/15............... 250,000 241,740
Foothill Eastern Transportation Corridor, Zero
Coupon Bond, 1/01/23.......................... 500,000 129,645
Foothill Eastern Transportation Corridor,
6.000%, 1/01/16............................... 250,000 272,355
Fresno Sewer Revenue, (AMBAC Insured), 6.250%,
9/01/14....................................... 250,000 274,807
----------
918,547
----------
DISTRICT OF COLUMBIA -- 2.6%
District of Columbia Water & Sewer, (FSA
Insured), 5.500%, 10/01/11.................... 250,000 255,290
----------
FLORIDA -- 2.8%
Florida State Board of Education, Capital
Outlay, 5.000%, 6/01/19....................... 300,000 272,037
----------
HAWAII -- 4.6%
Hawaii State, (MBIA Insured), 4.750%, 4/01/18... 300,000 260,853
Honolulu, Hawaii City & County, Prerefunded
Series B, 5.000%, 10/01/13.................... 60,000 57,777
Honolulu, Hawaii City & County, Unrefunded
Series B, 5.000%, 10/01/13.................... 140,000 133,885
----------
452,515
----------
ILLINOIS -- 7.1%
Chicago, Illinois, General Obligation, (AMBAC
Insured), 5.250%, 1/01/15..................... 250,000 237,882
Illinois Development Finance Authority Pollution
Control, 7.250%, 6/01/11...................... 25,000 26,252
Illinois State Sales Tax Revenue, 6.375%,
6/15/14....................................... 150,000 162,016
Illinois State Sales Tax Revenue, (FGIC
Insured), 5.000%, 6/15/16..................... 300,000 276,021
----------
702,171
----------
KENTUCKY -- 2.5%
Kentucky State Property & Building Commission
Revenue, 4.500%, 5/01/03...................... 250,000 250,483
----------
MARYLAND -- 2.3%
Baltimore Maryland Pollution Control, 5.350%,
4/01/08....................................... 225,000 230,870
----------
MASSACHUSETTS -- 4.4%
Massachusetts State College Building Authority,
(MBIA Insured), 5.125%, 5/01/19............... 250,000 230,992
</TABLE>
55
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES MUNICIPAL BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
MUNICIPAL BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -----------------------------------------------------------------------
<S> <C> <C>
MASSACHUSETTS -- CONTINUED
Massachusetts State Consolidated Loan,
Series C, 4.500%, 9/01/04..................... $200,000 $ 199,906
----------
430,898
----------
MICHIGAN -- 4.8%
Detroit, Michigan, (MBIA Insured), 5.000%,
4/01/06....................................... 250,000 252,902
Michigan State Trunk Line, Refunding Series A,
(MBIA Insured), 4.750%, 11/01/20.............. 250,000 214,480
----------
467,382
----------
NEW JERSEY -- 7.5%
New Jersey Building Authority State Building,
5.750%, 6/15/09............................... 250,000 263,867
New Jersey State Transportation Authority,
Series A, 5.250%, 6/15/08..................... 250,000 255,235
New Jersey State Turnpike Authority, 6.500%,
1/01/08....................................... 200,000 217,108
----------
736,210
----------
NEW YORK -- 15.9%
Long Island Power Authority New York, (FSA
Insured), 5.000%, 12/01/18.................... 250,000 225,950
New York City Housing Development Corp., 5.625%,
5/01/12....................................... 145,000 148,712
New York City Transitional Finance Authority,
5.000%, 8/15/13............................... 200,000 190,930
New York State Certificates of Participation,
5.650%, 8/01/02............................... 160,000 165,053
New York State Dormitory Authority, 5.100%,
2/15/12....................................... 250,000 236,965
New York State Dormitory Authority, 6.500%,
5/15/05....................................... 250,000 270,972
New York State Environmental Pollution Control,
5.150%, 6/15/13............................... 125,000 121,813
New York State, General Obligation, 5.250%,
7/15/10....................................... 200,000 201,384
----------
1,561,779
----------
NORTH CAROLINA -- 1.1%
North Carolina Eastern Municipal Power,
Refunding Series C, 5.375%, 1/01/05........... 110,000 108,779
----------
PENNSYLVANIA -- 2.2%
Philadelphia Pennsylvania, General Obligation,
(FGIC Insured), 4.750%, 5/15/16............... 250,000 218,825
----------
PUERTO RICO -- 2.5%
Puerto Rico Electric Power Authority, 6.125%,
7/01/09....................................... 225,000 242,170
----------
RHODE ISLAND -- 2.5%
Rhode Island Convention Center Authority, (MBIA
Insured), 5.000%, 5/15/10..................... 250,000 247,148
----------
SOUTH CAROLINA -- 2.4%
Georgetown County Pollution Control, Refunding
Project Series A, 5.125%, 2/01/12............. 250,000 233,293
----------
TENNESSEE -- 3.1%
Metropolitan Nashville Airport, (FGIC Insured),
6.600%, 7/01/15............................... 30,000 31,616
Shelby County, General Obligation Series A,
4.750%, 5/01/15............................... 300,000 270,522
----------
302,138
----------
</TABLE>
56
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES MUNICIPAL BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
MUNICIPAL BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- -----------------------------------------------------------------------
<S> <C> <C>
TEXAS -- 2.3%
San Antonio Electric & Gas Revenue, Refunding
Series A, 5.000%, 2/01/18..................... $250,000 $ 226,275
----------
VIRGINIA -- 5.4%
Pocahontas Parkway Associates Virginia Toll,
5.000%, 8/15/11............................... 300,000 281,547
Southeastern Public Service Authority Virginia,
(MBIA Insured), 5.150%, 7/01/09............... 250,000 250,892
----------
532,439
----------
WASHINGTON -- 2.1%
Snohomish County, Washington Public Distribution
Utility 1, Refunding, 5.000%, 12/01/05........ 200,000 202,848
----------
TOTAL MUNICIPAL BONDS AND NOTES
(Identified Cost $8,985,389).................. 8,833,523
----------
SHORT-TERM INVESTMENTS -- 5.6% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $214,025 on 10/01/99
collateralized by $200,000 U.S. Treasury Bond,
7.250% due 5/15/16 with a value of $220,344... 214,000 214,000
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/29/99 at 4.250% to be
repurchased at $339,080 on 10/01/99
collateralized by $350,000 U.S. Treasury Note,
5.000% due 2/28/01 with a value of $348,250... 339,000 339,000
----------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $553,000).................... 553,000
----------
TOTAL INVESTMENTS -- 99.0%
(IDENTIFIED COST $9,881,338) @.................. 9,724,413
Cash and Other Assets, Less Liabilities --
1.0%.......................................... 98,112
----------
NET ASSETS -- 100%................................ $9,822,525
==========
</TABLE>
+ See Note 1.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $9,881,338 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $150,970 and $307,895, respectively, resulting in net
unrealized depreciation of $156,925.
KEY TO ABBREVIATIONS:
AMBAC: American Municipal Bond Assurance Corporation
FGIC: Federal Guaranty Insurance Corporation
FSA: Financial Security Assurance
MBIA: Municipal Bond Insurance Association
See accompanying notes to financial statements.
57
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES SHORT-TERM BOND FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C>
- ----------------------------------------------------------------
BONDS AND NOTES -- 94.6% OF NET ASSETS
AIRLINES -- 1.4%
Northwest Airlines Corp., 8.375%,
3/15/04............................. $ 400,000 $ 384,324
-----------
CHEMICALS -- 3.7%
ICI Wilmington, Inc., 8.750%,
5/01/01............................. 1,000,000 1,030,790
-----------
DIVERSIFIED OPERATIONS -- 2.9%
Williams Companies, Inc., 5.950%,
2/15/00............................. 800,000 800,317
-----------
ELECTRONICS -- 3.9%
Tektronix, Inc., 7.625%, 8/15/02...... 1,070,000 1,074,597
-----------
ENTERTAINMENT -- 0.7%
Time Warner, Inc., 7.950%, 2/01/00.... 200,000 201,334
-----------
FINANCIAL SERVICES -- 9.2%
Associates Corp. of North America,
5.750%, 11/01/03.................... 770,000 743,381
BankBoston Home Equity Loan Trust,
6.140%, 1/25/19..................... 550,000 531,756
Fleetwood Credit Grantor Trust,
6.900%, 3/15/12..................... 227,578 228,824
Ford Motor Credit Co., 6.125%,
4/28/03............................. 710,000 696,020
Sears Roebuck Acceptance Corp.,
6.950%, 5/15/02..................... 340,000 344,077
-----------
2,544,058
-----------
FOREIGN ISSUER -- 2.0%
PDVSA Finance Ltd., 6.650%, 2/15/06... 645,000 547,167
-----------
FOREST & PAPER PRODUCTS -- 1.3%
Fort James Corp., 6.625%, 9/15/04..... 360,000 352,026
-----------
GOVERNMENT AGENCIES -- 28.7%
Federal Home Loan Mortgage Corp.,
5.750%, 6/15/01..................... 2,600,000 2,589,444
Federal Home Loan Mortgage Corp.,
6.000%, 2/01/13..................... 398,902 384,067
Federal Home Loan Mortgage Corp.,
6.500%, 5/15/08..................... 356,795 353,448
Federal National Mortgage Association,
5.650%, 6/12/00..................... 3,000,000 2,997,180
Federal National Mortgage Association,
6.000%, 3/01/13..................... 965,526 929,319
Federal National Mortgage Association,
6.000%, 4/01/13..................... 708,977 682,390
-----------
7,935,848
-----------
MANUFACTURING -- 3.5%
FMC Corp., 7.125%, 11/25/02........... 975,000 971,239
-----------
OIL & GAS -- 9.0%
Nabors Industries, Inc., 6.800%,
4/15/04............................. 1,000,000 975,680
Occidental Petroleum Corp., 6.400%,
4/01/03............................. 500,000 486,005
Tosco Corp., 7.625%, 5/15/06.......... 1,000,000 1,010,120
-----------
2,471,805
-----------
PACKAGING -- 3.6%
Stone Container Corp., 12.250%,
4/01/02............................. 1,000,000 1,005,000
-----------
REAL ESTATE INVESTMENT TRUSTS -- 4.2%
Meditrust Corp., 7.375%, 7/15/00...... 1,000,000 974,870
Oasis Residential, Inc., 7.000%,
11/15/03............................ 200,000 194,964
-----------
1,169,834
-----------
</TABLE>
58
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES SHORT-TERM BOND FUND (CONTINUED)
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
BONDS AND NOTES -- CONTINUED
<CAPTION>
FACE
AMOUNT VALUE !
- ----------------------------------------------------------------
<S> <C> <C>
RESTAURANTS -- 2.4%
Tricon Global Restaurants, Inc.,
7.450%, 5/15/05..................... $ 680,000 $ 648,917
-----------
RETAIL -- GENERAL -- 1.4%
Dillard's, Inc., 6.430%, 8/01/04...... 410,000 395,824
-----------
TELECOMMUNICATIONS -- 5.5%
A T & T Corp., 6.800%, 2/01/01........ 1,000,000 1,000,250
Sprint Spectrum LP, Zero Coupon Bond,
8/15/06 (step to 12.500% on 8/15/01)
#................................... 560,000 518,616
-----------
1,518,866
-----------
TEXTILE & APPAREL -- 1.1%
Tommy Hilfiger Corp., 6.500%,
6/01/03............................. 300,000 288,423
-----------
TRUCKING & LEASING -- 1.5%
Amerco, 7.850%, 5/15/03............... 420,000 402,557
-----------
U.S. GOVERNMENT -- 6.2%
U.S. Treasury Notes, 6.250%,
10/31/01............................ 1,000,000 1,011,410
U.S. Treasury Strips, Zero Coupon
Bond, 11/15/01...................... 800,000 710,560
-----------
1,721,970
-----------
UTILITIES -- 2.4%
Detroit Edison Co., 6.340%, 3/15/00... 670,000 670,516
-----------
TOTAL BONDS AND NOTES
(Identified Cost $26,598,381)....... 26,135,412
-----------
SHORT-TERM INVESTMENT -- 3.8% OF NET ASSETS
Repurchase Agreement with State Street
Bank and Trust Co., dated 9/30/99 at
4.250% to be repurchased at
$1,056,125 on 10/01/99
collateralized by $855,000 U.S.
Treasury Bond, 8.875% due 02/15/19
with a value of $1,082,777.......... 1,056,000 1,056,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,056,000)........ 1,056,000
-----------
TOTAL INVESTMENTS -- 98.4%
(IDENTIFIED COST $27,654,381) @....... 27,191,412
Cash and Other Assets, Less
Liabilities -- 1.6%................. 444,162
-----------
NET ASSETS -- 100%...................... $27,635,574
===========
</TABLE>
! See Note 1.
# Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $27,665,825 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $34,974 and $509,387, respectively, resulting in net
unrealized depreciation of $474,413.
See accompanying notes to financial statements.
59
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
- -------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE !
<S> <C> <C>
- --------------------------------------------------------------------------
BONDS AND NOTES -- 97.6% OF NET ASSETS
GOVERNMENT AGENCIES -- 35.9%
Federal Home Loan Mortgage Corp., 6.450%,
4/29/09....................................... $1,000,000 $ 951,250
Government National Mortgage Association,
6.500%, 5/15/28............................... 1,975,070 1,890,518
Government National Mortgage Association,
7.000%, 1/15/28............................... 880,361 863,572
Government National Mortgage Association,
7.500%, 9/15/27............................... 1,544,890 1,549,710
Tennessee Valley Authority, 8.625%, 11/15/29.... 500,000 531,785
-----------
5,786,835
-----------
U.S. GOVERNMENT -- 61.7%
U.S. Treasury Bonds, 6.000%, 2/15/26............ 1,135,000 1,081,621
U.S. Treasury Bonds, 7.250%, 5/15/16............ 6,475,000 6,996,043
U.S. Treasury Bonds, 7.500%, 11/15/24........... 1,660,000 1,887,735
-----------
9,965,399
-----------
TOTAL BONDS AND NOTES
(Identified Cost $16,285,430)................. 15,752,234
-----------
SHORT-TERM INVESTMENT -- 0.7% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 9/30/99 at 4.250% to be
repurchased at $114,013 on 10/01/99
collateralized by $115,000 U.S. Treasury Note,
6.750% due 4/30/00 with a value of $119,162... 114,000 114,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $114,000).................... 114,000
-----------
TOTAL INVESTMENTS -- 98.3%
(IDENTIFIED COST $16,399,430) @................. 15,866,234
Cash and Other Assets, Less Liabilities --
1.7%.......................................... 275,222
-----------
NET ASSETS -- 100%................................ $16,141,456
===========
</TABLE>
! See Note 1.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $16,417,730 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there
is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost
over value were $0 and $551,496, respectively, resulting in net unrealized
depreciation of $551,496.
See accompanying notes to financial statements.
60
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
61
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- -------------------------------------------------------
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
GLOBAL
BOND BOND
FUND FUND
------------- ----------
<S> <C> <C>
ASSETS
Investments at value................. $1,564,202,664 $40,465,817
Cash................................. 502 909
Receivable for:
Fund shares sold................... 18,144,654 91,204
Securities sold.................... 1,906,576 0
Dividends and interest............. 23,279,024 816,119
Due from the adviser (Note 3)........ 2,756 6,141
Other assets (Note 1I)............... 0 0
------------- ----------
1,607,536,176 41,380,190
------------- ----------
LIABILITIES
Payable for:
Securities purchased............... 4,315,548 0
Fund shares redeemed............... 2,781,877 8,266
Forward foreign currency exchange
contracts (Note 1D).............. 0 42,868
Dividends declared................. 0 0
Accrued expenses:
Management fees (Note 3)........... 786,158 20,124
Trustees' fees (Note 3A)........... 1,255 1,255
Administrative fees................ 58,670 792
Other (Note 1)....................... 720,953 47,452
------------- ----------
8,664,461 120,757
------------- ----------
NET ASSETS............................. $1,598,871,715 $41,259,433
============= ==========
Net Assets consist of:
Capital paid in.................... $1,719,306,726 $40,143,933
Undistributed (or Distribution in
excess of) net investment
income........................... 31,716,557 1,670,561
Accumulated net realized gain
(loss)........................... (2,474,801) 1,428,893
Unrealized appreciation
(depreciation) on:
Investments *.................. (149,685,811) (1,942,493)
Foreign currency
translations................. 9,044 (41,461)
------------- ----------
NET ASSETS............................. $1,598,871,715 $41,259,433
============= ==========
INSTITUTIONAL CLASS:
Net assets........................... $1,541,834,003 $34,153,539
Shares of beneficial interest
outstanding, no par value........ 131,770,515 2,710,886
Net asset value and redemption
price per Institutional
share**.......................... $ 11.70 $ 12.60
RETAIL CLASS:
Net assets........................... $ 55,489,544 $7,105,894
Shares of beneficial interest
outstanding, no par value........ 4,745,532 565,146
Net asset value and redemption
price per Retail share........... $ 11.69 $ 12.57
ADMIN CLASS:
Net assets........................... $ 1,548,168 --
Shares of beneficial interest
outstanding, no par value.......... 132,453 --
Net asset value and redemption price
per Admin share.................... $ 11.69 --
J CLASS:
Net assets........................... -- --
Shares of beneficial interest
outstanding, no par value.......... -- --
Net asset value and redemption price
per J share........................ -- --
Maximum offering price per share (net
asset value/96.50%)................ -- --
Identified cost of investments......... $1,713,888,475 $42,408,310
============= ==========
</TABLE>
* Net of capital gain withholding taxes of $1,724 for the High Yield Fund.
** The redemption price per share for the Institutional class of the High
Yield Fund for shares held less than one year is equal to net asset value
less 2% of the amount redeemed. (See note 1H).
See accompanying notes to financial statements.
62
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
- -------------------------------------------------------
<TABLE>
<CAPTION>
HIGH INTERMEDIATE INVESTMENT MUNICIPAL SHORT-TERM U.S. GOVERNMENT
YIELD MATURITY BOND GRADE BOND BOND SECURITIES
FUND FUND BOND FUND FUND FUND FUND
---------- ------------- ----------- ---------- ----------- ---------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value................. $19,788,208 $ 10,574,359 $20,822,580 $9,724,413 $27,191,412 $ 15,866,234
Cash................................. 999 864 753 800 654 63
Receivable for:
Fund shares sold................... 4,534 30,000 173,933 0 0 4,910
Securities sold.................... 0 0 0 0 0 0
Dividends and interest............. 406,606 185,652 354,122 137,877 494,153 302,148
Due from the adviser (Note 3)........ 9,590 11,559 10,868 8,999 74,902 9,424
Other assets (Note 1I)............... 3,457 0 0 0 0 0
---------- ------------- ----------- ---------- ----------- ---------------
20,213,394 10,802,434 21,362,256 9,872,089 27,761,121 16,182,779
---------- ------------- ----------- ---------- ----------- ---------------
LIABILITIES
Payable for:
Securities purchased............... 0 0 0 0 0 0
Fund shares redeemed............... 0 0 9,890 0 0 37
Forward foreign currency exchange
contracts (Note 1D).............. 0 0 0 0 0 0
Dividends declared................. 0 0 0 12,295 14,033 0
Accrued expenses:
Management fees (Note 3)........... 9,932 3,537 6,777 2,457 64,468 3,291
Trustees' fees (Note 3A)........... 1,255 1,252 1,232 1,252 1,265 1,269
Administrative fees................ 707 937 1,546 642 1,692 916
Other (Note 1)....................... 51,920 38,979 47,750 32,918 44,089 35,810
---------- ------------- ----------- ---------- ----------- ---------------
63,814 44,705 67,195 49,564 125,547 41,323
---------- ------------- ----------- ---------- ----------- ---------------
NET ASSETS............................. $20,149,580 $ 10,757,729 $21,295,061 $9,822,525 $27,635,574 $ 16,141,456
========== ============= =========== ========== =========== ===============
Net Assets consist of:
Capital paid in.................... $22,061,820 $ 11,260,618 $21,876,927 $9,961,423 $28,635,205 $ 16,893,278
Undistributed (or Distribution in
excess of) net investment
income........................... 598,927 179,258 114,023 12,106 8,047 214,176
Accumulated net realized gain
(loss)........................... (187,692) (233,280) (95,608) 5,921 (544,709) (432,802)
Unrealized appreciation
(depreciation) on:
Investments *.................. (2,323,585) (448,883) (600,410) (156,925) (462,969) (533,196)
Foreign currency
translations................. 110 16 129 0 0 0
---------- ------------- ----------- ---------- ----------- ---------------
NET ASSETS............................. $20,149,580 $ 10,757,729 $21,295,061 $9,822,525 $27,635,574 $ 16,141,456
========== ============= =========== ========== =========== ===============
INSTITUTIONAL CLASS:
Net assets........................... $20,149,580 $ 8,978,159 $ 2,426,697 $9,822,525 $26,849,240 $ 16,141,456
Shares of beneficial interest
outstanding, no par value........ 2,340,735 939,627 243,677 898,926 2,824,735 1,555,178
Net asset value and redemption
price per Institutional
share**.......................... $ 8.61 $ 9.56 $ 9.96 $ 10.93 $ 9.51 $ 10.38
RETAIL CLASS:
Net assets........................... -- $ 1,779,570 $ 2,561,262 -- $ 786,334 --
Shares of beneficial interest
outstanding, no par value........ -- 186,429 257,510 -- 82,736 --
Net asset value and redemption
price per Retail share........... -- $ 9.55 $ 9.95 -- $ 9.50 --
ADMIN CLASS:
Net assets........................... -- -- -- -- -- --
Shares of beneficial interest
outstanding, no par value.......... -- -- -- -- -- --
Net asset value and redemption price
per Admin share.................... -- -- -- -- -- --
J CLASS:
Net assets........................... -- -- $16,307,102 -- -- --
Shares of beneficial interest
outstanding, no par value.......... -- -- 1,639,340 -- -- --
Net asset value and redemption price
per J share........................ -- -- $ 9.95 -- -- --
Maximum offering price per share (net
asset value/96.50%)................ -- -- $ 10.31 -- -- --
Identified cost of investments......... $22,110,069 $ 11,023,242 $21,422,990 $9,881,338 $27,654,381 $ 16,399,430
========== ============= =========== ========== =========== ===============
</TABLE>
* Net of capital gain withholding taxes of $1,724 for the High Yield Fund.
** The redemption price per share for the Institutional class of the High
Yield Fund for shares held less than one year is equal to net asset value
less 2% of the amount redeemed. (See note 1H).
See accompanying notes to financial statements.
63
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- -------------------------------------------------------
FOR THE YEAR ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
GLOBAL
BOND BOND
FUND FUND
----------- ---------
<S> <C> <C>
INVESTMENT INCOME
Dividends*................................ $ 2,929,306 $ 16,711
Interest.................................. 137,964,803 2,875,159
----------- ---------
140,894,109 2,891,870
----------- ---------
Expenses
Management fees (Note 3)................ 9,494,667 240,399
12b-1 fees (Retail Class)............... 137,813 16,066
12b-1 fees (Admin Class)................ 3,693 0
12b-1 fees (J Class).................... 0 0
Trustees' fees and expenses
(Note 3A)............................. 4,467 4,468
Administrative fees..................... 704,049 21,493
Custodian and accounting fees........... 483,796 73,235
Transfer agent fees (Institutional
Class) (Note 1)....................... 622,725 23,185
Transfer agent fees (Retail Class)...... 45,241 20,953
Transfer agent fees (Admin Class)....... 21,046 0
Transfer agent fees (J Class)........... 0 0
Audit and tax services fees............. 45,529 32,944
Registration fees....................... 252,125 22,436
Amortization of organization expenses
(Note 1I):
Institutional Class................... 0 0
Other expenses.......................... 236,554 17,221
----------- ---------
Total expenses.......................... 12,051,705 472,400
Less expenses waived and reimbursed by
the investment adviser (Note 3)....... (39,426) (95,735)
----------- ---------
Net expenses............................ 12,012,279 376,665
----------- ---------
Net investment income..................... 128,881,830 2,515,205
----------- ---------
NET REALIZED GAIN (LOSS) ON:
Investments............................... 18,853,106 895,731
Foreign currency transactions............. 16,938 (12,549)
----------- ---------
Total net realized gain (loss)............ 18,870,044 883,182
----------- ---------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments**............................. (35,343,065) 1,646,171
Foreign currency translations............. 17,373 82,813
----------- ---------
Total net change in unrealized
appreciation (depreciation)............. (35,325,692) 1,728,984
----------- ---------
Total net realized gain (loss) and change
in unrealized appreciation
(depreciation).......................... (16,455,648) 2,612,166
----------- ---------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS................................ $112,426,182 $5,127,371
=========== =========
</TABLE>
* Net of foreign withholding taxes of $4,178 and $717 for the Global Bond and
High Yield Funds, respectively.
** Net of capital gain withholding taxes of $1,724 for the High Yield Fund.
See accompanying notes to financial statements.
64
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
- -------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE
HIGH MATURITY INVESTMENT MUNICIPAL SHORT-TERM U.S. GOVERNMENT
YIELD BOND GRADE BOND BOND BOND SECURITIES
FUND FUND FUND FUND FUND FUND
--------- ------------ ---------- --------- ----------- ---------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends*................................ $ 115,947 $ 0 $ 15,770 $ 0 $ 0 $ 0
Interest.................................. 2,126,996 754,641 733,251 520,068 1,848,918 1,241,196
--------- ------------ ---------- --------- ----------- ---------------
2,242,943 754,641 749,021 520,068 1,848,918 1,241,196
--------- ------------ ---------- --------- ----------- ---------------
Expenses
Management fees (Note 3)................ 108,323 40,062 40,491 34,119 69,499 64,112
12b-1 fees (Retail Class)............... 5,507 2,602 6,049 0 1,541 0
12b-1 fees (Admin Class)................ 0 0 0 0 0 0
12b-1 fees (J Class).................... 0 0 35,566 0 0 0
Trustees' fees and expenses
(Note 3A)............................. 4,468 4,464 4,434 4,464 4,478 4,481
Administrative fees..................... 10,547 9,473 10,930 4,748 17,593 9,059
Custodian and accounting fees........... 63,728 59,638 63,165 44,705 59,674 42,191
Transfer agent fees (Institutional
Class) (Note 1)....................... 32,670 19,572 20,407 22,033 24,519 22,924
Transfer agent fees (Retail Class)...... 0 19,392 19,787 0 19,501 0
Transfer agent fees (Admin Class)....... 0 0 0 0 0 0
Transfer agent fees (J Class)........... 0 0 3,228 0 0 0
Audit and tax services fees............. 34,484 29,604 29,604 29,154 29,796 31,936
Registration fees....................... 30,752 17,974 18,966 14,636 23,062 14,892
Amortization of organization expenses
(Note 1I):
Institutional Class................... 1,701 0 0 0 0 0
Other expenses.......................... 17,191 9,672 11,933 12,534 13,498 14,016
--------- ------------ ---------- --------- ----------- ---------------
Total expenses.......................... 309,371 212,453 264,560 166,393 263,161 203,611
Less expenses waived and reimbursed by
the investment adviser (Note 3)....... (168,537) (154,766) (167,270) (111,048) (187,089) (99,919)
--------- ------------ ---------- --------- ----------- ---------------
Net expenses............................ 140,834 57,687 97,290 55,345 76,072 103,692
--------- ------------ ---------- --------- ----------- ---------------
Net investment income..................... 2,102,109 696,954 651,731 464,723 1,772,846 1,137,504
--------- ------------ ---------- --------- ----------- ---------------
NET REALIZED GAIN (LOSS) ON:
Investments............................... (187,712) (219,981) (29,667) 31,069 (142,500) (28,225)
Foreign currency transactions............. (12) 45 21 0 0 0
--------- ------------ ---------- --------- ----------- ---------------
Total net realized gain (loss)............ (187,724) (219,936) (29,646) 31,069 (142,500) (28,225)
--------- ------------ ---------- --------- ----------- ---------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments**............................. 1,138,440 (188,102) (410,060) (784,422) (1,150,808) (1,901,732)
Foreign currency translations............. (10) 12 57 0 0 0
--------- ------------ ---------- --------- ----------- ---------------
Total net change in unrealized
appreciation (depreciation)............. 1,138,430 (188,090) (410,003) (784,422) (1,150,808) (1,901,732)
--------- ------------ ---------- --------- ----------- ---------------
Total net realized gain (loss) and change
in unrealized appreciation
(depreciation).......................... 950,706 (408,026) (439,649) (753,353) (1,293,308) (1,929,957)
--------- ------------ ---------- --------- ----------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS................................ $3,052,815 $ 288,928 $ 212,082 $(288,630) $ 479,538 $ (792,453)
========= ============ ========== ========= =========== ===============
</TABLE>
* Net of foreign withholding taxes of $4,178 and $717 for the Global Bond and
High Yield Funds, respectively.
** Net of capital gain withholding taxes of $1,724 for the High Yield Fund.
See accompanying notes to financial statements.
65
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
BOND FUND
---------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997
---------------- ---------------- ---------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 128,881,830 $ 84,620,936 $ 66,908,609
Net realized gain (loss)............................. 18,870,044 33,129,810 27,681,737
Change in unrealized appreciation (depreciation)..... (35,325,692) (145,159,973) 11,946,926
---------------- ---------------- ---------------
Increase (decrease) in net assets from
operations....................................... 112,426,182 (27,409,227) 106,537,272
---------------- ---------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (122,784,914) (51,713,345) (65,355,045)
Net realized gain on investments................... (61,875,293) 0 (20,396,586)
RETAIL CLASS
Net investment income.............................. (4,275,392) (1,623,641) (1,374,734)
Net realized gain on investments................... (2,285,658) 0 (518,253)
ADMIN CLASS
Net investment income.............................. (90,938) (5,149) 0
Net realized gain on investments................... (52,035) 0 0
---------------- ---------------- ---------------
(191,364,230) (53,342,135) (87,644,618)
---------------- ---------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 167,959,892 295,451,399 735,013,367
---------------- ---------------- ---------------
Total increase (decrease) in net assets.............. 89,021,844 214,700,037 753,906,021
NET ASSETS
Beginning of the period.............................. 1,509,849,871 1,295,149,834 541,243,813
---------------- ---------------- ---------------
End of the period.................................... $ 1,598,871,715 $ 1,509,849,871 $ 1,295,149,834
================ ================ ===============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period.................................... $ 31,716,557 $ 30,934,988 $ (72,275)
================ ================ ===============
</TABLE>
See accompanying notes to financial statements.
66
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL BOND FUND
---------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 2,515,205 $ 1,550,983 $ 1,741,065
Net realized gain (loss)............................. 883,182 1,097,316 975,971
Change in unrealized appreciation (depreciation)..... 1,728,984 (2,518,126) (2,148,586)
------------- ------------- ------------
Increase (decrease) in net assets from
operations....................................... 5,127,371 130,173 568,450
------------- ------------- ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (1,752,877) 0 (1,536,299)
In excess of net investment income................. 0 0 (277,442)
Net realized gain on investments................... (736,862) 0 0
RETAIL CLASS
Net investment income.............................. (288,728) 0 (205,307)
In excess of net investment income................. 0 0 (34,122)
Net realized gain on investments................... (127,023) 0 0
------------- ------------- ------------
(2,905,490) 0 (2,053,170)
------------- ------------- ------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 2,802,005 3,010,563 8,066,659
------------- ------------- ------------
Total increase (decrease) in net assets.............. 5,023,886 3,140,736 6,581,939
NET ASSETS
Beginning of the period.............................. 36,235,547 33,094,811 26,512,872
------------- ------------- ------------
End of the period.................................... $ 41,259,433 $ 36,235,547 $ 33,094,811
============= ============= ============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period.................................... $ 1,670,561 $ 1,753,479 $ (156,023)
============= ============= ============
</TABLE>
See accompanying notes to financial statements.
67
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD FUND
---------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997
---------------- ---------------- ---------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 2,102,109 $ 875,527 $ 504,906
Net realized gain (loss)............................. (187,724) 280,272 281,454
Change in unrealized appreciation (depreciation)..... 1,138,430 (3,203,138) (263,154)
---------------- ---------------- ---------------
Increase (decrease) in net assets from
operations....................................... 3,052,815 (2,047,339) 523,206
---------------- ---------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (1,560,761) (283,957) (358,018)
Net realized gain on investments................... (238,840) 0 (122,085)
RETAIL CLASS
Net investment income.............................. (270,450) (259,684) (165,367)
Net realized gain on investments................... (125,847) 0 (77,373)
---------------- ---------------- ---------------
(2,195,898) (543,641) (722,843)
---------------- ---------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 8,611,790 4,814,422 6,653,668
---------------- ---------------- ---------------
Redemption Fees (Note 1H)............................ 36,460 13,317 14,733
---------------- ---------------- ---------------
Total increase (decrease) in net assets.............. 9,505,167 2,236,759 6,468,764
NET ASSETS
Beginning of the period.............................. 10,644,413 8,407,654 1,938,890
---------------- ---------------- ---------------
End of the period.................................... $ 20,149,580 $ 10,644,413 $ 8,407,654
================ ================ ===============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period.................................... $ 598,927 $ 330,861 $ (313)
================ ================ ===============
</TABLE>
See accompanying notes to financial statements.
68
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MATURITY BOND FUND
---------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997*
---------------- ---------------- ---------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 696,954 $ 426,463 $ 273,997
Net realized gain (loss)............................. (219,936) 67,050 34,360
Change in unrealized appreciation (depreciation)..... (188,090) (224,304) (36,473)
---------------- ---------------- ---------------
Increase (decrease) in net assets from
operations....................................... 288,928 269,209 271,884
---------------- ---------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (636,123) (255,807) (261,480)
In excess of net investment income................. 0 0 (21,107)
Net realized gain on investments................... (77,718) 0 (9,770)
RETAIL CLASS
Net investment income.............................. (60,288) (15,521) (12,922)
In excess of net investment income................. 0 0 (1,154)
Net realized gain on investments................... (6,918) 0 (660)
---------------- ---------------- ---------------
(781,047) (271,328) (307,093)
---------------- ---------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 1,985,972 2,538,483 6,762,701
---------------- ---------------- ---------------
Total increase (decrease) in net assets................ 1,493,853 2,536,364 6,727,492
NET ASSETS
Beginning of the period.............................. 9,263,876 6,727,512 20
---------------- ---------------- ---------------
End of the period.................................... $ 10,757,729 $ 9,263,876 $ 6,727,512
================ ================ ===============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period.................................... $ 179,258 $ 183,124 $ (768)
================ ================ ===============
</TABLE>
* Commencement of operations on January 2, 1997.
See accompanying notes to financial
statements.
69
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT GRADE BOND FUND
---------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997*
---------------- ---------------- ---------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 651,731 $ 202,996 $ 144,252
Net realized gain (loss)............................. (29,646) 46,898 53,214
Change in unrealized appreciation (depreciation)..... (410,003) (283,537) 93,259
---------------- ---------------- ---------------
Increase (decrease) in net assets from
operations....................................... 212,082 (33,643) 290,725
---------------- ---------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (194,834) (87,749) (116,549)
In excess of net investment income................. 0 0 (18,144)
Net realized gain on investments................... (69,604) 0 (26,811)
RETAIL CLASS
Net investment income.............................. (158,241) (39,214) (27,969)
In excess of net investment income................. 0 0 (5,864)
Net realized gain on investments................... (64,811) 0 (9,286)
J CLASS
Net investment income.............................. (258,512) 0 0
---------------- ---------------- ---------------
(746,002) (126,963) (204,623)
---------------- ---------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 17,308,327 1,374,285 3,220,853
---------------- ---------------- ---------------
Total increase (decrease) in net assets.............. 16,774,407 1,213,679 3,306,955
NET ASSETS
Beginning of the period.............................. 4,520,654 3,306,975 20
---------------- ---------------- ---------------
End of the period.................................... $ 21,295,061 $ 4,520,654 $ 3,306,975
================ ================ ===============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period.................................... $ 114,023 $ 75,724 $ (44)
================ ================ ===============
</TABLE>
* Commencement of operations on January 2, 1997.
See accompanying notes to financial statements.
70
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL BOND FUND
---------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997
---------------- ---------------- ---------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 464,723 $ 324,727 $ 417,885
Net realized gain (loss)............................. 31,069 145,955 70,207
Change in unrealized appreciation (depreciation)..... (784,422) 92,266 291,399
---------------- ---------------- ---------------
Increase (decrease) in net assets from
operations....................................... (288,630) 562,948 779,491
---------------- ---------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (464,723) (324,727) (421,574)
Net realized gain on investments................... (163,734) (11,732) (76,418)
---------------- ---------------- ---------------
(628,457) (336,459) (497,992)
---------------- ---------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 683,252 1,077,927 (230,703)
---------------- ---------------- ---------------
Total increase (decrease) in net assets.............. (233,835) 1,304,416 50,796
NET ASSETS
Beginning of the period.............................. 10,056,360 8,751,944 8,701,148
---------------- ---------------- ---------------
End of the period.................................... $ 9,822,525 $ 10,056,360 $ 8,751,944
================ ================ ===============
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period.................................... $ 12,106 $ 9,525 $ 0
================ ================ ===============
</TABLE>
See accompanying notes to financial statements.
71
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-TERM BOND FUND
---------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997
---------------- ---------------- ---------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 1,772,846 $ 1,089,305 $ 1,044,815
Net realized gain (loss)............................. (142,500) 27,770 4,131
Change in unrealized appreciation (depreciation)..... (1,150,808) 531,158 82,076
---------------- ---------------- ---------------
Increase (decrease) in net assets from
operations....................................... 479,538 1,648,233 1,131,022
---------------- ---------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (1,735,033) (1,073,593) (1,046,180)
RETAIL CLASS
Net investment income.............................. (37,813) (15,712) (10,909)
---------------- ---------------- ---------------
(1,772,846) (1,089,305) (1,057,089)
---------------- ---------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... 867,559 8,425,891 773,904
---------------- ---------------- ---------------
Total increase (decrease) in net assets.............. (425,749) 8,984,819 847,837
NET ASSETS
Beginning of the period.............................. 28,061,323 19,076,504 18,228,667
---------------- ---------------- ---------------
End of the period.................................... $ 27,635,574 $ 28,061,323 $ 19,076,504
================ ================ ===============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)
End of the period.................................... $ 8,047 $ (1,502) $ (3,124)
================ ================ ===============
</TABLE>
See accompanying notes to financial statements.
72
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
------------------------------------------------
NINE MONTHS
YEAR ENDED ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
1999 1998 1997
---------------- ---------------- ------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income................................ $ 1,137,504 $ 911,351 $ 865,819
Net realized gain (loss)............................. (28,225) 513,739 377,725
Change in unrealized appreciation (depreciation)..... (1,901,732) 750,226 420,082
---------------- ---------------- ------------
Increase (decrease) in net assets from
operations....................................... (792,453) 2,175,316 1,663,626
---------------- ---------------- ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income.............................. (1,273,767) (566,117) (857,571)
---------------- ---------------- ------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions......................... (11,038,231) 9,968,273 2,670,263
---------------- ---------------- ------------
Total increase (decrease) in net assets.............. (13,104,451) 11,577,472 3,476,318
NET ASSETS
Beginning of the period.............................. 29,245,907 17,668,435 14,192,117
---------------- ---------------- ------------
End of the period.................................... $ 16,141,456 $ 29,245,907 $ 17,668,435
================ ================ ============
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period.................................... $ 214,176 $ 348,449 $ 3,216
================ ================ ============
</TABLE>
See accompanying notes to financial statements.
73
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
BOND FUND
--------------------
INSTITUTIONAL CLASS
--------------------
1999* 1998**
--------- ---------
<S> <C> <C>
Net asset value, beginning of period....... $ 12.30 $ 12.83
--------- ---------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.98 0.69
Net realized and unrealized gain (loss)
on investments......................... (0.06) (0.78)
--------- ---------
Total from investment operations....... 0.92 (0.09)
--------- ---------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (1.00) (0.44)
Distributions in excess of net investment
income................................. 0.00 0.00
Distributions from net realized capital
gains.................................. (0.52) 0.00
--------- ---------
Total distributions.................. (1.52) (0.44)
--------- ---------
Net asset value, end of period............. $ 11.70 $ 12.30
========= =========
Total return (%)(a)(b)..................... 7.6 (0.9)
Net assets, end of period (000)............ $1,541,834 $1,455,312
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.75 0.75
Ratio of net investment income (loss) to
average net assets (%)(c)................ 8.15 7.34
Portfolio turnover (%)(a).................. 33 24
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 0.75 0.76
Net investment income (loss) per share
would have been...................... $ 0.98 $ 0.69
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of class operations on January 2, 1997 through
December 31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
74
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
BOND FUND
------------------------------------------------------------
INSTITUTIONAL CLASS
-----------------------------------
FOR THE YEAR ENDED DECEMBER 31, RETAIL CLASS
----------------------------------- -----------------------
1997 1996 1995 1994 1999* 1998** 1997***
--------- ------- ------- ------ ------ ------ -------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $ 12.38 $ 12.29 $ 10.05 $11.37 $12.29 $12.82 $12.38
--------- ------- ------- ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.86 0.86 0.82 0.83 0.96 0.66 0.84(e)
Net realized and unrealized gain (loss)
on investments......................... 0.67 0.35 2.32 (1.29) (0.08) (0.77) 0.65
--------- ------- ------- ------ ------ ------ ------
Total from investment operations....... 1.53 1.21 3.14 (0.46) 0.88 (0.11) 1.49
--------- ------- ------- ------ ------ ------ ------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.86) (0.86) (0.82) (0.84) (0.96) (0.42) (0.83)
Distributions in excess of net investment
income................................. 0.00 0.00 0.00 (0.02) 0.00 0.00 0.00
Distributions from net realized capital
gains.................................. (0.22) (0.26) (0.08) 0.00 (0.52) 0.00 (0.22)
--------- ------- ------- ------ ------ ------ ------
Total distributions.................. (1.08) (1.12) (0.90) (0.86) (1.48) (0.42) (1.05)
--------- ------- ------- ------ ------ ------ ------
Net asset value, end of period............. $ 12.83 $ 12.38 $ 12.29 $10.05 $11.69 $12.29 $12.82
========= ======= ======= ====== ====== ====== ======
Total return (%)(a)(b)..................... 12.7 10.3 32.0 (4.1) 7.3 (1.1) 12.4
Net assets, end of period (000)............ $1,261,910 $541,244 $255,710 $82,985 $55,490 $53,908 $33,240
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.75 0.75 0.79 0.84 1.00 1.00 1.00
Ratio of net investment income to average
net assets (%)(c)........................ 7.36 7.93 8.34 7.92 7.90 7.13 7.09
Portfolio turnover (%)(a).................. 41 42 35 87 33 24 41
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 0.77 0.75 0.79 0.84 1.04 1.06 1.20
Net investment per share would have
been................................. $ 0.85 $ 0.86 $ 0.82 $ 0.83 $ 0.96 $ 0.66 $ 0.82(e)
</TABLE>
* For the year ended September 30, 1999.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
75
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
BOND FUND
-------------------------
ADMIN CLASS
-------------------------
1999* 1998**
----------- ------------
<S> <C> <C>
Net asset value, beginning of period....... $12.28 $12.83
----------- ------------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.92(e) 0.47
Net realized and unrealized gain (loss)
on investments......................... (0.06) (0.62)
----------- ------------
Total from investment operations....... 0.86 (0.15)
----------- ------------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.93) (0.40)
Distributions from net realized capital
gains.................................. (0.52) 0.00
----------- ------------
Total distributions.................. (1.45) (0.40)
----------- ------------
Net asset value, end of period............. $ 11.69 $ 12.28
=========== ============
Total return (%)(a)(b)..................... 7.1 (1.3)
Net assets, end of period (000)............ $ 1,548 $ 630
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 1.25 1.25
Ratio of net investment income to average
net assets (%)(c)........................ 7.66 7.45
Portfolio turnover (%)(a).................. 33 24
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 2.38 6.32
Net investment income (loss) per share
would have been...................... $ 0.78(e) $ 0.15
</TABLE>
* For the year ended September 30, 1999.
** From commencement of class operations on January 2, 1998 through
September 30, 1998.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
76
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
77
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL BOND FUND
-------------------
INSTITUTIONAL CLASS
-------------------
1999* 1998**
------ --------
<S> <C> <C>
Net asset value, beginning of period....... $11.93 $ 11.83
------ --------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.79 0.53
Net realized and unrealized gain (loss)
on investments......................... 0.87 (0.43)
------ --------
Total from investment operations....... 1.66 0.10
------ --------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.70) 0.00
Distributions in excess of net investment
income................................. 0.00 0.00
Distributions from capital............... 0.00 0.00
Distributions from net realized capital
gains.................................. (0.29) 0.00
------ --------
Total distributions.................... (0.99) 0.00
------ --------
Net asset value, end of period............. $12.60 $ 11.93
====== ========
Total return (%)(a)(b)..................... 14.2 0.9
Net assets, end of period (000)............ $34,154 $ 29,860
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.90 0.90
Ratio of net investment income to average
net assets (%)(c)........................ 6.32 6.00
Portfolio turnover (%)(a).................. 42 28
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 1.10 1.18
Net investment income (loss) per share
would have been...................... $ 0.76 $ 0.51
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of class operations on January 2, 1997 through December
31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
78
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL BOND FUND
----------------------------------------------------------
INSTITUTIONAL CLASS
----------------------------------
FOR THE YEAR ENDED DECEMBER 31, RETAIL CLASS
---------------------------------- ----------------------
1997 1996 1995 1994 1999* 1998** 1997***
------- ------- ------- ------- ----- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $12.35 $11.39 $ 9.82 $11.06 $11.91 $11.83 $ 12.35
------ ------ ------ ------ ----- ----- -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.71 0.44 1.04 0.67 0.76(e) 0.44 0.63(e)
Net realized and unrealized gain (loss)
on investments......................... (0.42) 1.27 1.31 (1.63) 0.86 (0.36) (0.37)
------ ------ ------ ------ ----- ----- -------
Total from investment operations....... 0.29 1.71 2.35 (0.96) 1.62 0.08 0.26
------ ------ ------ ------ ----- ----- -------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.69) (0.75) (0.78) (0.04) (0.67) 0.00 (0.69)
Distributions in excess of net investment
income................................. (0.12) 0.00 0.00 0.00 0.00 0.00 (0.09)
Distributions from capital............... 0.00 0.00 0.00 (0.24) 0.00 0.00 0.00
Distributions from net realized capital
gains.................................. 0.00 0.00 0.00 0.00 (0.29) 0.00 0.00
------ ------ ------ ------ ----- ----- -------
Total distributions.................... (0.81) (0.75) (0.78) (0.28) (0.96) 0.00 (0.78)
------ ------ ------ ------ ----- ----- -------
Net asset value, end of period............. $11.83 $12.35 $11.39 $ 9.82 $12.57 $11.91 $ 11.83
====== ====== ====== ====== ===== ===== =======
Total return (%)(a)(b)..................... 2.3 15.0 23.9 (8.7) 13.8 0.7 2.0
Net assets, end of period (000)............ $28,401 $26,513 $10,304 $25,584 $7,106 $6,376 $ 4,694
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.90 1.50 1.50 1.30 1.15 1.15 1.15
Ratio of net investment income to average
net assets (%)(c)........................ 5.88 6.37 8.17 7.02 6.08 5.77 5.60
Portfolio turnover (%)(a).................. 75 131 148 153 42 28 75
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 1.22 1.77 1.69 1.30 1.61 1.78 2.44
Net investment income (loss) per share
would have been...................... $ 0.67 $ 0.42 $ 1.02 $ 0.67 $0.71(e) $0.39 $ 0.49(e)
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of class operations on January 2, 1997 through December
31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
79
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
HIGH YIELD FUND
------------------------------
INSTITUTIONAL CLASS
------------------------------
FOR THE PERIOD
ENDED,
DECEMBER 31,
--------------
1999* 1998** 1997 1996***
------ ------ ----- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period......... $ 8.17 $10.12 $10.11 $ 10.00
------ ----- ----- -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............... 0.91 0.78(e) 0.83 0.20
Net realized and unrealized gain (loss) on
investments.............................. 0.68 (2.28) 0.27 0.11
------ ----- ----- -------
Total from investment operations......... 1.59 (1.50) 1.10 0.31
------ ----- ----- -------
LESS DISTRIBUTIONS --
Dividends from net investment income....... (0.96) (0.46) (0.86) (0.20)
Distributions from net realized capital
gains.................................... (0.21) 0.00 (0.26) 0.00
------ ----- ----- -------
Total distributions...................... (1.17) (0.46) (1.12) (0.20)
------ ----- ----- -------
Redemption fees.............................. 0.02 0.01 0.03 0.00
------ ----- ----- -------
Net asset value, end of period............... $ 8.61 $8.17 $10.12 $ 10.11
====== ===== ===== =======
Total return (%)(a)(b)....................... 21.0 (15.6) 11.4 3.1
Net assets, end of period (000).............. $20,150 $6,624 $5,266 $ 1,939
Ratio of operating expenses to average net
assets (%)(c)(d)........................... 0.75 0.75 0.75 0.75
Ratio of net investment income to average net
assets (%)(c).............................. 11.61 10.54 8.96 8.85
Portfolio turnover (%)(a).................... 24 33 68 0
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)................. 1.81 2.42 3.81 12.06
Net investment income (loss) per share
would have been........................ $ 0.83 $0.65(e) $0.54 $ (0.05)
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of fund operations on September 11, 1996.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
80
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
81
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MATURITY
BOND FUND
----------------------
INSTITUTIONAL CLASS
----------------------
1999* 1998** 1997***
----- ------ -------
<S> <C> <C> <C>
Net asset value, beginning of period......... $10.06 $10.03 $ 10.00
----- ----- -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............... 0.67 0.51(e) 0.64(e)
Net realized and unrealized gain (loss) on
investments.............................. (0.38) (0.16) 0.00
----- ----- -------
Total from investment operations......... 0.29 0.35 0.64
----- ----- -------
LESS DISTRIBUTIONS --
Dividends from net investment income....... (0.70) (0.32) (0.56)
Distributions in excess of net investment
income................................... 0.00 0.00 (0.03)
Distributions from net realized capital
gains.................................... (0.09) 0.00 (0.02)
----- ----- -------
Total distributions...................... (0.79) (0.32) (0.61)
----- ----- -------
Net asset value, end of period............... $9.56 $10.06 $ 10.03
===== ===== =======
Total return (%)(a)(b)....................... 3.0 3.5 6.4
Net assets, end of period (000).............. $8,978 $8,601 $ 6,305
Ratio of operating expenses to average net
assets (%)(c)(d)........................... 0.55 0.55 0.55
Ratio of net investment income to average net
assets (%)(c).............................. 6.98 6.71 6.38
Portfolio turnover (%)(a).................... 16 32 119
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)................. 1.92 2.27 3.66
Net investment income (loss) per share
would have been........................ $0.54 $0.38(e) $ 0.29(e)
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of fund operations on January 2, 1997 through
December 31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
82
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE MATURITY BOND FUND
--------------------------------
RETAIL CLASS
--------------------------------
1999* 1998** 1997***
--------- --------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period......... $10.06 $10.03 $ 10.00
------ ------ -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............... 0.64 0.49(e) 0.64(e)
Net realized and unrealized gain (loss) on
investments.............................. (0.38) (0.15) (0.02)
------ ------ -------
Total from investment operations......... 0.26 0.34 0.62
------ ------ -------
LESS DISTRIBUTIONS --
Dividends from net investment income....... (0.68) (0.31) (0.54)
Distributions in excess of net investment
income................................... 0.00 0.00 (0.03)
Distributions from net realized capital
gains.................................... (0.09) 0.00 (0.02)
------ ------ -------
Total distributions...................... (0.77) (0.31) (0.59)
------ ------ -------
Net asset value, end of period............... $ 9.55 $10.06 $ 10.03
====== ====== =======
Total return (%)(a)(b)....................... 2.6 3.4 6.2
Net assets, end of period (000).............. $1,780 $ 663 $ 423
Ratio of operating expenses to average net
assets (%)(c)(d)........................... 0.80 0.80 0.80
Ratio of net investment income to average net
assets (%)(c).............................. 6.76 6.47 6.13
Portfolio turnover (%)(a).................... 16 32 119
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)................. 3.86 5.64 14.56
Net investment income (loss) per share
would have been........................ $ 0.35 $ 0.12(e) $ (0.50)(e)
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of fund operations on January 2, 1997 through
December 31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
83
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT GRADE BOND
FUND
----------------------
INSTITUTIONAL CLASS
----------------------
1999* 1998** 1997***
----- ------ -------
<S> <C> <C> <C>
Net asset value, beginning of period....... $10.28 $10.59 $ 10.00
----- ----- -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.76 0.52 0.65
Net realized and unrealized gain (loss)
on investments......................... (0.12) (0.50) 0.77
----- ----- -------
Total from investment operations....... 0.64 0.02 1.42
----- ----- -------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.70) (0.33) (0.63)
Distributions in excess of net investment
income................................. 0.00 0.00 (0.08)
Distributions from net realized capital
gains.................................. (0.26) 0.00 (0.12)
----- ----- -------
Total distributions.................... (0.96) (0.33) (0.83)
----- ----- -------
Net asset value, end of period............. $9.96 $10.28 $ 10.59
===== ===== =======
Total return (%)(a)(b)..................... 6.5 0.0 14.5
Net assets, end of period (000)............ $2,427 $2,778 $ 2,445
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.55 0.55 0.55
Ratio of net investment income to average
net assets (%)(c)........................ 6.83 6.68 6.74
Portfolio turnover (%)(a).................. 42 48 112
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 2.87 4.19 7.59
Net investment income (loss) per share
would have been...................... $0.50 $0.24 $ (0.03)
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of fund operations on January 2, 1997 through
December 31, 1997.
# From commencement of class operations on May 24, 1999 through
September 30, 1999.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
(f) Total Return does not include the effect of any front end sales charges for
the J Class.
84
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT GRADE BOND FUND
--------------------------------
RETAIL CLASS J CLASS
----------------------- -------
1999* 1998** 1997*** 1999#
------ ------ ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period....... $10.27 $10.59 $ 10.00 $ 10.29
------ ------ ------- -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.64 0.48 0.62(e) 0.21
Net realized and unrealized gain (loss)
on investments......................... (0.03) (0.49) 0.78 (0.36)
------ ------ ------- -------
Total from investment operations....... 0.61 (0.01) 1.40 (0.15)
------ ------ ------- -------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.67) (0.31) (0.62) (0.19)
Distributions in excess of net investment
income................................. 0.00 0.00 (0.07) 0.00
Distributions from net realized capital
gains.................................. (0.26) 0.00 (0.12) 0.00
------ ------ ------- -------
Total distributions.................... (0.93) (0.31) (0.81) (0.19)
------ ------ ------- -------
Net asset value, end of period............. $ 9.95 $10.27 $ 10.59 $ 9.95
====== ====== ======= =======
Total return (%)(a)(b)..................... 6.2 (0.2) 14.3 (1.5)(f)
Net assets, end of period (000)............ $2,561 $1,743 $ 862 $16,307
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.80 0.80 0.80 1.30
Ratio of net investment income to average
net assets (%)(c)........................ 6.60 6.43 6.51 6.11
Portfolio turnover (%)(a).................. 42 48 112 42
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 3.20 5.25 10.95 2.16
Net investment income (loss) per share
would have been...................... $ 0.41 $ 0.15 $ (0.31)(e) $ 0.18
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of fund operations on January 2, 1997 through
December 31, 1997.
# From commencement of class operations on May 24, 1999 through
September 30, 1999.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
(f) Total Return does not include the effect of any front end sales charges for
the J Class.
85
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL BOND FUND
-------------------
INSTITUTIONAL CLASS
-------------------
1999* 1998**
------ --------
<S> <C> <C>
Net asset value, beginning of period....... $11.96 $ 11.70
------ --------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.52 0.40
Net realized and unrealized gain (loss)
on investments......................... (0.84) 0.27
------ --------
Total from investment operations....... (0.32) 0.67
------ --------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.52) (0.40)
Distributions from net realized capital
gains.................................. (0.19) (0.01)
------ --------
Total distributions.................. (0.71) (0.41)
------ --------
Net asset value, end of period........... $10.93 $ 11.96
====== ========
Total return (%)(a)(b)................... (2.8) 5.9
Net assets, end of period (000).......... $9,823 $ 10,056
Ratio of operating expenses to average
net assets (%)(c)(d)................... 0.54 0.60
Ratio of net investment income to average
net assets (%)(c)...................... 4.54 4.62
Portfolio turnover (%)(a)................ 38 30
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 1.63 1.70
Net investment income (loss) per share
would have been...................... $ 0.40 $ 0.31
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
86
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
MUNICIPAL BOND FUND
----------------------------------
INSTITUTIONAL CLASS
----------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------
1997 1996 1995 1994
------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period....... $11.29 $11.53 $10.41 $11.54
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.56 0.52 0.52 0.52
Net realized and unrealized gain (loss)
on investments......................... 0.51 (0.15) 1.16 (1.13)
------ ------ ------ ------
Total from investment operations....... 1.07 0.37 1.68 (0.61)
------ ------ ------ ------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.56) (0.52) (0.52) (0.52)
Distributions from net realized capital
gains.................................. (0.10) (0.09) (0.04) 0.00
------ ------ ------ ------
Total distributions.................. (0.66) (0.61) (0.56) (0.52)
------ ------ ------ ------
Net asset value, end of period........... $11.70 $11.29 $11.53 $10.41
====== ====== ====== ======
Total return (%)(a)(b)................... 9.8 3.3 16.5 (5.4)
Net assets, end of period (000).......... $8,752 $8,701 $7,961 $7,270
Ratio of operating expenses to average
net assets (%)(c)(d)................... 0.60 1.00 1.00 1.00
Ratio of net investment income to average
net assets (%)(c)...................... 4.90 4.61 4.72 4.79
Portfolio turnover (%)(a)................ 50 38 41 28
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 1.80 2.31 2.02 2.37
Net investment income (loss) per share
would have been...................... $ 0.42 $ 0.37 $ 0.41 $ 0.37
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
87
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-TERM BOND FUND
---------------------
INSTITUTIONAL CLASS
---------------------
1999* 1998**
------- ---------
<S> <C> <C>
Net asset value, beginning of period....... $ 9.96 $ 9.75
------ --------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.62 0.44
Net realized and unrealized gain (loss)
on investments......................... (0.45) 0.21
------ --------
Total from investment operations....... 0.17 0.65
------ --------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.62) (0.44)
------ --------
Net asset value, end of period............. $ 9.51 $ 9.96
====== ========
Total return (%)(a)(b)..................... 1.8 6.8
Net assets, end of period (000)............ $26,849 $ 27,288
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.27 0.50
Ratio of net investment income to average
net assets (%)(c)........................ 6.38 5.94
Portfolio turnover (%)(a).................. 81 47
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 0.87 0.83
Net investment income (loss) per share
would have been...................... $ 0.56 $ 0.41
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of class operations on January 2, 1997 through December
31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
88
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-TERM BOND FUND
----------------------------------------------------------
INSTITUTIONAL CLASS RETAIL CLASS
---------------------------------- ----------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------
1997 1996 1995 1994 1999* 1998** 1997***
------- ------- ------- ------- ----- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $ 9.70 $ 9.81 $ 9.46 $ 9.95 $9.96 $9.75 $ 9.70
------ ------ ------ ------ ----- ----- -------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............. 0.61 0.55 0.63 0.66 0.59 0.42 0.59
Net realized and unrealized gain (loss)
on investments......................... 0.06 (0.11) 0.35 (0.49) (0.46) 0.21 0.06
------ ------ ------ ------ ----- ----- -------
Total from investment operations....... 0.67 0.44 0.98 0.17 0.13 0.63 0.65
------ ------ ------ ------ ----- ----- -------
LESS DISTRIBUTIONS --
Dividends from net investment income..... (0.62) (0.55) (0.63) (0.66) (0.59) (0.42) (0.60)
------ ------ ------ ------ ----- ----- -------
Net asset value, end of period............. $ 9.75 $ 9.70 $ 9.81 $ 9.46 $9.50 $9.96 $ 9.75
====== ====== ====== ====== ===== ===== =======
Total return (%)(a)(b)..................... 7.1 4.7 10.6 1.8 1.4 6.6 6.9
Net assets, end of period (000)............ $18,792 $18,229 $26,039 $19,440 $ 786 $ 773 $ 285
Ratio of operating expenses to average net
assets (%)(c)(d)......................... 0.50 1.00 1.00 1.00 0.52 0.75 0.75
Ratio of net investment income to average
net assets (%)(c)........................ 6.34 5.69 6.46 6.88 6.14 5.66 6.04
Portfolio turnover (%)(a).................. 91 120 214 34 81 47 91
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)............... 1.19 1.17 1.03 1.33 4.21 6.00 17.77
Net investment income (loss) per share
would have been...................... $ 0.55 $ 0.53 $ 0.62 $ 0.63 $0.24 $0.03 $ (1.08)
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** From commencement of class operations on January 2, 1997 through December
31, 1997.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
89
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES FUND
-------------------
INSTITUTIONAL CLASS
-------------------
1999* 1998**
------ --------
<S> <C> <C>
Net asset value, beginning of period......... $11.41 $ 10.70
------ --------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............... 0.65 0.43
Net realized and unrealized gain (loss) on
investments.............................. (1.03) 0.58
------ --------
Total from investment operations......... (0.38) 1.01
------ --------
LESS DISTRIBUTIONS --
Dividends from net investment income....... (0.65) (0.30)
------ --------
Net asset value, end of period............... $10.38 $ 11.41
====== ========
Total return (%)(a)(b)....................... (3.5) 9.6
Net assets, end of period (000).............. $16,141 $ 29,246
Ratio of operating expenses to average net
assets (%)(c)(d)........................... 0.52 0.60
Ratio of net investment income to average net
assets (%)(c).............................. 5.75 5.61
Portfolio turnover (%)(a).................... 75 84
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements:
Ratio of expenses to average net assets
wouldhave been (%)(c).................. 1.03 0.97
Net investment income (loss) per share
would have been........................ $ 0.59 $ 0.40
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
90
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
----------------------------------
INSTITUTIONAL CLASS
----------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------
1997 1996 1995 1994
------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period......... $10.08 $10.64 $ 9.22 $10.53
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS --
Net investment income (loss)............... 0.63 0.68 0.66 0.64
Net realized and unrealized gain (loss) on
investments.............................. 0.61 (0.57) 1.42 (1.30)
------ ------ ------ ------
Total from investment operations......... 1.24 0.11 2.08 (0.66)
------ ------ ------ ------
LESS DISTRIBUTIONS --
Dividends from net investment income....... (0.62) (0.67) (0.66) (0.65)
------ ------ ------ ------
Net asset value, end of period............... $10.70 $10.08 $10.64 $ 9.22
====== ====== ====== ======
Total return (%)(a)(b)....................... 12.7 1.3 23.0 (6.3)
Net assets, end of period (000).............. $17,668 $14,192 $19,499 $17,341
Ratio of operating expenses to average net
assets (%)(c)(d)........................... 0.60 1.00 1.00 1.00
Ratio of net investment income to average net
assets (%)(c).............................. 6.29 6.23 6.47 6.60
Portfolio turnover (%)(a).................... 156 137 169 242
Without giving effect to the voluntary
expense limitations described in Note 3 to
the Financial Statements:
Ratio of expenses to average net assets
wouldhave been (%)(c).................. 1.23 1.19 1.22 1.22
Net investment income (loss) per share
would have been........................ $ 0.57 $ 0.66 $ 0.64 $ 0.62
</TABLE>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
91
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- -------------------------------------------------------
SEPTEMBER 30, 1999
1. The Loomis Sayles Funds is comprised of sixteen 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:
<TABLE>
<CAPTION>
FIXED INCOME FUNDS EQUITY FUNDS
- ------------------ ------------
<S> <C>
Loomis Sayles Bond Fund Loomis Sayles Aggressive Growth Fund
Loomis Sayles Global Bond Fund Loomis Sayles Core Value Fund
Loomis Sayles High Yield Fund Loomis Sayles Growth Fund
Loomis Sayles Intermediate Maturity Bond Fund Loomis Sayles International Equity Fund
Loomis Sayles Investment Grade Bond Fund Loomis Sayles Mid-Cap Value Fund
Loomis Sayles Municipal Bond Fund Loomis Sayles Small Cap Growth Fund
Loomis Sayles Short-Term Bond Fund Loomis Sayles Small Cap Value Fund
Loomis Sayles U.S. Government Securities Fund Loomis Sayles Worldwide Fund
</TABLE>
The Fixed Income Funds (excluding the High Yield Fund, which liquidated the
Retail Class shares effective March 1, 1999, the Municipal Bond and U.S.
Government Securities Funds which only offer Institutional Class shares) offer
Institutional and Retail Class shares. Additionally, the Bond Fund offers Admin
Class shares and, effective May 24, 1999, Investment Grade Bond Fund began to
offer J Class shares. Each class of shares has an equal pro rata interest in the
assets of the relevant fund and general voting privileges. Institutional,
Retail, Admin and J Classes differ with respect to distribution and certain
other class-specific expenses and expense reductions. Retail Class and Admin
Class shares are subject to distribution fees at an annual rate of 0.25%, and
0.50% for J Class shares, of the relevant Class' average net assets, pursuant to
distribution plans adopted in accordance with Rule 12b-1 under the Investment
Company Act of 1940. The Admin and J Class shares are subject to service and
account maintenance fees at an annual rate of 0.25% of the respective Class'
average net assets. The Funds may pay Loomis Sayles Distributors, L.P. (the
"Distributor"), an affiliate of the investment adviser, sub-accounting and/or
servicing fees with respect to omnibus Fund shareholder accounts in amounts that
will not cause the Funds' respective classes to exceed their voluntary expense
limitations and that do not exceed the amounts that the Funds' transfer agent
would charge if the beneficial owners of the omnibus accounts held Fund shares
directly. As of September 30, 1999, the following amount was paid under this
arrangement: Bond Fund Institutional Share class $346,051. Retail, Admin and J
Class shares have exclusive voting rights with respect to their distribution
plans.
Purchases of the J Class shares are subject to a maximum sales charge of 3.50%
(the "public offering price").
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the
92
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates. Effective September 30, 1998, the Board of
Trustees approved a change in the fiscal year end of the Funds to September 30.
The following summarizes the significant accounting policies of the Fixed Income
Funds:
A. SECURITY VALUATION -- Long-term debt securities for which quotations are
readily available are valued by a pricing service, as approved by the Board of
Trustees, which generally uses the most recent bid prices in the principal
market in which such securities are normally traded. Municipal debt securities
are valued by a pricing service, as approved by the Board of Trustees, which
generally uses a computerized matrix system or dealer supplied quotations that
consider market transactions for comparable securities. Equity securities for
which quotations are readily available are valued at their last sale price on
the exchange where primarily traded or, if there is no reported sale during the
day, at the closing bid price. Short-term securities with a remaining maturity
of 60 days or less are valued at amortized cost, which approximates market
value. Other securities for which quotations are not readily available
(including restricted securities, if any) are valued primarily using dealer
supplied quotations or at their fair values as determined in good faith under
the general supervision of the Board of Trustees.
B. REPURCHASE AGREEMENTS -- The Funds may 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 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 102% of the repurchase price. These
securities are marked-to-market daily. Loomis Sayles is responsible for
determining that the value of the collateral is at all times at least equal to
102% of 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 into insolvency proceedings, realization of the collateral
by the Funds may be delayed or limited.
C. FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS -- 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 are translated at contractual currency exchange rates established at
the time of the trade. Income and expenses are translated at prevailing exchange
rates on the respective dates of such transactions.
93
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
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 on investments.
Net realized and unrealized gains and losses on foreign currency transactions
represent foreign exchange gains and losses from the sale of holdings of foreign
currencies, foreign currency gains and losses between trade dates and settlement
dates on investment securities transactions, sales and maturities of forward
foreign currency exchange contracts, 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.
Certain Funds use foreign currency exchange contracts to facilitate transactions
in foreign-denominated securities. Losses may arise from changes in the value of
the foreign currency or if the counterparties do not perform under the
contracts' terms. The U.S. dollar value of foreign currency exchange contracts
is determined using contractual currency exchange rates established at the time
of each trade.
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 risk of
appropriation. Moreover, the markets for securities of many foreign companies
and foreign governments and their markets may be less liquid and the prices of
such securities may be more volatile than those of securities of comparable U.S.
companies and the U.S. government.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each Fund that may invest in
foreign securities may enter into forward foreign currency exchange contracts to
protect securities against changes in future foreign exchange rates. A forward
foreign currency exchange contract is an agreement between two parties to buy or
sell currency at a set price on a future date.
The market value of the contract will fluctuate with changes in currency
exchange rates. The contract is marked-to-market daily using the forward
currency exchange rate and the change in market value is recorded as unrealized
appreciation (depreciation) on foreign currency translations in the Funds'
Statements of Assets and Liabilities. Realized gain or loss is recognized when
the contract is closed 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 and recorded
as realized gain (loss) on foreign currency transactions in the Funds'
Statements of Operations.
Risks may arise upon entering into forward foreign currency exchange contracts
from the potential inability of the counterparties to meet the terms of their
contracts and from
94
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar. At September 30, 1999, the Global Bond Fund had the following open
forward foreign currency exchange contracts:
<TABLE>
<CAPTION>
LOCAL AGGREGATE UNREALIZED
DELIVERY CURRENCY FACE TOTAL APPRECIATION
DATE AMOUNT AMOUNT VALUE (DEPRECIATION)
-------- -------- --------- ----- --------------
<S> <C> <C> <C> <C> <C>
Japanese Yen (sell) 12/22/99 175,000,000 $1,505,635 $1,665,673 $ (160,038)
Japanese Yen (buy) 12/22/99 61,000,000 521,278 580,606 59,328
Japanese Yen (buy) 12/22/99 22,000,000 186,251 209,399 23,148
Japanese Yen (buy) 12/22/99 92,000,000 840,490 875,668 35,178
Japanese Yen (sell) 12/22/99 38,000,000 321,223 361,689 (40,466)
Japanese Yen (buy) 12/22/99 38,000,000 321,707 361,689 39,982
--------------
$ (42,868)
==============
</TABLE>
E. SECURITY TRANSACTIONS, RELATED INVESTMENT INCOME AND EXPENSES -- 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. Discounts on zero coupon bonds, original issue discount
bonds, step bonds and payment in kind bonds are accreted according to the
effective interest method. Interest income on the Municipal Bond Fund is
decreased by the amortization of premium. 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.
Most expenses of the Trust can be directly attributed to a particular fund.
Expenses which cannot be directly attributed are apportioned among the Funds
based on relative net assets.
Investment income, realized and unrealized gains and losses, and the common
expenses of the fund are allocated on a pro rata basis to each class based on
the relative net assets of each class to the total net assets of the fund. Each
class of shares differs in its respective distribution and certain other class
specific fees and expense reductions.
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.
At September 30, 1999, the Short-Term Bond Fund had available a capital loss
carryforward of $361,594, of which $73,003 will expire on September 30, 2002 and
$288,591 will expire on September 30, 2004. The U.S. Government Securities Fund
had available a capital loss carryforward of $388,287, which will expire on
September 30, 2004. The realized losses are intended to be used to offset future
capital gains.
95
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Municipal Bond Fund and
Short-Term Bond Fund declare dividends daily to shareholders of record at the
time and pay dividends monthly. The Investment Grade Bond Fund declares and pays
its net investment income to shareholders monthly. The Bond, High Yield,
Intermediate Maturity Bond, and U.S. Government Securities Funds declare and pay
their net investment income quarterly. The Global Bond Fund declares and pays
its net investment income to shareholders annually. Distributions from net
realized capital gains are declared and paid on an annual basis by all of the
funds. Income and capital gain distributions are determined in accordance with
Federal income tax regulations which may differ from generally accepted
accounting principles. These differences, which may result in reclassifications
to the Fund's capital accounts to reflect income and gains available for
distribution, are primarily due to differing book and tax treatments for
litigation proceeds, foreign currency transactions, capital loss carryforwards,
non-deductible organization costs, deferred losses due to wash sales, excise tax
regulations and net operating losses. Some of these classifications may include
temporary book and tax basis differences that will reverse in subsequent
periods. Dividends from net investment income are determined on a class level.
Capital gains are determined on a Fund level.
H. REDEMPTION FEES -- Shares held in the High Yield Fund less than one year are
subject to a redemption fee equal to 2% of the amount redeemed. For the twelve
months ended September 30, 1999, the redemption fees amounted to $36,460 for the
Institutional Class.
I. ORGANIZATION EXPENSE AND DEFERRED REGISTRATION COSTS -- Organization costs
incurred by the High Yield Fund are being amortized over 60 months.
96
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
2. PURCHASES AND SALES OF SECURITIES -- (excluding short-term investments) for
each Fund for the period ended September 30, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES
----------------------------
U.S. GOVERNMENT OTHER
--------------- -----
<S> <C> <C>
Bond Fund............................... $120,230,613 $440,701,258
Global Bond Fund........................ 1,943,750 16,614,105
High Yield Fund......................... 593,469 11,401,542
Intermediate Maturity Bond Fund......... 890,200 2,625,282
Investment Grade Bond Fund.............. 5,252,024 14,998,956
Municipal Bond Fund..................... 1,060,968 2,824,743
Short-Term Bond Fund.................... 11,479,546 9,923,956
U.S. Government Securities Fund......... 14,981,404 0
</TABLE>
<TABLE>
<CAPTION>
SALES
----------------------------
U.S. GOVERNMENT OTHER
--------------- -----
<S> <C> <C>
Bond Fund............................... $145,647,121 $367,047,450
Global Bond Fund........................ 2,204,795 13,801,472
High Yield Fund......................... 607,647 3,554,828
Intermediate Maturity Bond Fund......... 372,907 1,184,690
Investment Grade Bond Fund.............. 2,923,363 1,036,691
Municipal Bond Fund..................... 708,475 3,059,779
Short-Term Bond Fund.................... 15,302,634 5,809,812
U.S. Government Securities Fund......... 25,523,458 0
</TABLE>
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES -- During the period
ended September 30, 1999, 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
NVEST, 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 period ended September 30, 1999
provided for fees at the following annual percentage rate of each Fund's average
daily net assets indicated below. Loomis Sayles voluntarily agreed,
97
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
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 each
Fund to the following percentage rate of the Fund's average daily net assets:
<TABLE>
<CAPTION>
MAXIMUM EXPENSE RATIOS
----------------------------------------------
MANAGEMENT INSTITUTIONAL RETAIL ADMIN J
FUND FEES CLASS CLASS CLASS CLASS
- ---- ---------- ------------- ------ ----- -----
<S> <C> <C> <C> <C> <C>
Bond Fund............................... 0.60% 0.75% 1.00% 1.25% --
Global Bond Fund........................ 0.60% 0.90% 1.15% -- --
High Yield Fund......................... 0.60% 0.75% -- -- --
Intermediate Maturity Bond Fund......... 0.40% 0.55% 0.80% -- --
Investment Grade Bond Fund (1).......... 0.40% 0.55% 0.80% -- 1.30%
Municipal Bond Fund (2)................. 0.30% 0.50% -- -- --
Short-Term Bond Fund (3)................ 0.00% 0.25% 0.50% -- --
U.S. Government Securities Fund (4)..... 0.30% 0.50% -- -- --
</TABLE>
(1) Effective May 24, 1999, the Investment Grade Bond Fund began to offer J
Class shares.
(2) Effective February 1, 1999, the Municipal Bond Fund reduced its management
fees and expense limitation for the Institutional Class from 0.40% and
0.60%, respectively.
(3) Effective October 27, 1998, the Short-Term Bond Fund waived its management
fees and reduced the Fund's expense limitation for the Institutional and
Retail Classes. Previously, the management fees were 0.25%, and the expense
limitations were 0.50% and 0.75% for the Institutional and Retail Classes,
respectively. The waiver of management fees will remain in effect through
December 31, 1999.
(4) Effective December 1, 1998, the U.S. Government Securities Fund reduced its
management fees and expense limitation for the Institutional Class from
0.40% and 0.60%, respectively.
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.
A. 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 independent 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.
98
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
B. SHAREHOLDERS -- At September 30, 1999, Loomis Sayles Distributors, L.P. held
18,761 shares of the U.S. Government Securities Fund. In addition, Loomis Sayles
Funded Pension Plan and the Loomis, Sayles & Company, L.P. Employees' Defined
Contribution Retirement Plans held shares of beneficial interest in the Funds as
follows:
<TABLE>
<CAPTION>
DEFINED
PENSION CONTRIBUTION
PLAN PLANS
------- ------------
<S> <C> <C>
Bond Fund............................... 926,179 1,102,214
Global Bond Fund........................ 666,731 242,054
High Yield Fund......................... 265,370 587,782
Intermediate Maturity Bond Fund......... 339,759 151,691
Investment Grade Bond Fund.............. 0 114,073
Short-Term Bond Fund.................... 3,245 354,306
U.S. Government Securities Fund......... 171,996 219,573
</TABLE>
4. CREDIT RISK -- The Bond Fund may invest up to 35%, the High Yield Fund will
normally invest at least 65%, the Global Bond and Short-Term Bond Funds each may
invest up to 20%, the Intermediate Maturity Bond and the Investment Grade Bond
Funds each may invest up to 10%, and the Municipal Bond Fund may invest up to
25% 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. LINE OF CREDIT -- The Trust has entered into an agreement which enables each
Fund to borrow under a $25 million unsecured line of credit with several banks.
Borrowings will be made solely to temporarily finance the repurchase of capital
shares. Interest is charged to each participating Fund based on its borrowings
at a rate per annum equal to the Federal Funds rate plus 0.455%. In addition, a
commitment fee of 0.08% per annum, payable at the end of each calendar quarter,
is accrued by the Trust and apportioned among the Funds based on each Fund's
average daily unused portion of the line of credit. During the twelve months
ended September 30, 1999, the Funds had no borrowings under the agreement.
99
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
6. CAPITAL SHARE TRANSACTIONS -- The tables below summarize the transactions in
Fund shares for the periods indicated:
<TABLE>
<CAPTION>
LOOMIS SAYLES BOND FUND
-------------------------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997
INSTITUTIONAL CLASS ------------------------- ------------------------- -------------------------
SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 45,186,642 $546,081,627 49,569,713 $643,942,732 63,069,086 $809,023,819
Issued in connection with the reinvestment
of distributions......................... 11,973,285 144,036,419 3,232,707 42,426,449 5,492,835 70,465,752
Redeemed................................... (43,681,014) (527,470,996) (32,878,290) (415,107,300) (13,902,007) (177,561,664)
----------- ------------ ----------- ------------ ----------- ------------
Net change................................. 13,478,913 $162,647,050 19,924,130 $271,261,881 54,659,914 $701,927,907
=========== ============ =========== ============ =========== ============
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES* AMOUNT*
- ------------------- ------ ------ ------ ------ ------- -------
Issued from the
<S> <C> <C> <C> <C> <C> <C>
sale of shares........................... 2,061,328 $ 24,858,182 2,932,181 $ 38,054,173 2,944,758 $ 37,693,272
Issued in connection with the reinvestment
of distributions......................... 503,055 6,047,054 108,877 1,427,318 124,248 1,597,794
Redeemed................................... (2,205,035) (26,569,909) (1,247,077) (15,934,708) (476,803) (6,205,606)
----------- ------------ ----------- ------------ ----------- ------------
Net change................................. 359,348 $ 4,335,327 1,793,981 $ 23,546,783 2,592,203 $ 33,085,460
=========== ============ =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
ADMIN CLASS SHARES SHARES AMOUNT SHARES** AMOUNT**
- ------------------ ------ ------ -------- --------
<S> <C> <C> <C> <C>
Issued from the sale of shares............. 192,735 $ 2,291,952 56,540 $ 710,656
Issued in connection with the reinvestment
of distributions......................... 11,891 142,967 273 3,555
Redeemed................................... (123,431) (1,457,404) (5,555) (71,476)
---------- ------------ ----------- ------------
Net change................................. 81,195 $ 977,515 51,258 $ 642,735
========== ============ =========== ============
</TABLE>
* From January 2, 1997 (commencement of class operations).
** From January 2, 1998 (commencement of class operations).
100
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
LOOMIS SAYLES GLOBAL BOND FUND
-----------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997
--------------------- -------------------- --------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 374,228 $4,678,699 318,651 $3,936,730 450,349 $5,703,587
Issued in connection with the reinvestment
of distributions......................... 192,759 2,349,727 0 0 141,324 1,676,109
Redeemed................................... (358,078) (4,539,678) (217,195) (2,625,824) (338,278) (4,226,586)
--------- ---------- -------- ---------- -------- ----------
Net change................................. 208,909 $2,488,748 101,456 $1,310,906 253,395 $3,153,110
========= ========== ======== ========== ======== ==========
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES* AMOUNT*
- ------------------- ------ ------ ------ ------ ------- -------
Issued from the sale of shares. 288,336 $3,620,204 348,774 $4,233,202 568,889 $7,115,633
<S> <C> <C> <C> <C> <C> <C>
Issued in connection with the reinvestment
of distributions......................... 32,073 390,975 0 0 18,404 218,453
Redeemed................................... (290,413) (3,697,922) (210,389) (2,533,545) (190,528) (2,420,537)
--------- ---------- -------- ---------- -------- ----------
Net change................................. 29,996 $ 313,257 138,385 $1,699,657 396,765 $4,913,549
========= ========== ======== ========== ======== ==========
</TABLE>
* From January 2, 1997 (commencement of class operations).
<TABLE>
<CAPTION>
LOOMIS SAYLES HIGH YIELD FUND
---------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997
--------------------- -------------------- ------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of
shares................. 1,586,791 $13,266,474 403,057 $3,805,612 345,923 $3,577,772
Issued in connection with
the reinvestment of
distributions.......... 195,150 1,638,247 24,997 253,653 41,158 424,573
Redeemed................. (252,091) (2,173,082) (137,504) (1,355,726) (58,540) (600,500)
--------- ---------- -------- ---------- ------- ---------
Net change............... 1,529,850 $12,731,639 290,550 $2,703,539 328,541 $3,401,845
========= ========== ======== ========== ======= =========
<CAPTION>
RETAIL CLASS SHARES SHARES** AMOUNT** SHARES AMOUNT SHARES* AMOUNT*
- ------------------- -------- -------- ------ ------ ------- -------
Issued from the sale of shares. 249,386 2,039,291 518,798 5,290,659 343,422 3,602,850
<S> <C> <C> <C> <C> <C> <C>
Issued in connection with the
reinvestment of
distributions............. 36,252 290,541 20,313 204,878 20,171 207,933
Redeemed.................... (778,096) (6,449,681) (357,083) (3,384,654) (53,163) (558,960)
--------- ---------- -------- ---------- ------- ---------
Net change.................. (492,458) $(4,119,849) 182,028 $2,110,883 310,430 $3,251,823
========= ========== ======== ========== ======= =========
</TABLE>
* From January 2, 1997 (commencement of class operations).
** The High Yield Fund's Retail Class liquidated on March 1, 1999.
101
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND
----------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997*
-------------------- -------------------- --------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 113,016 $1,094,638 233,463 $2,368,867 713,449 $7,196,630
Issued in connection with the reinvestment
of distributions......................... 67,894 658,132 22,897 232,444 26,496 269,072
Redeemed................................... (95,859) (927,086) (30,328) (303,969) (111,401) (1,136,539)
------- --------- ------- --------- -------- ----------
Net change................................. 85,051 $ 825,684 226,032 $2,297,342 628,544 $6,329,163
======= ========= ======= ========= ======== ==========
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------------- ------ ------ ------ ------ ------ ------
Issued from the sale of shares. 122,742 $1,181,866 24,281 $ 245,832 40,713 $ 419,211
<S> <C> <C> <C> <C> <C> <C>
Issued in connection with the reinvestment
of distributions......................... 6,033 58,346 1,478 15,004 1,410 14,327
Redeemed................................... (8,249) (79,924) (1,979) (19,695) 0 0
------- --------- ------- --------- -------- ----------
Net change................................. 120,526 $1,160,288 23,780 $ 241,141 42,123 $ 433,538
======= ========= ======= ========= ======== ==========
</TABLE>
* From January 2, 1997 (commencement of operations).
<TABLE>
<CAPTION>
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
-------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997*
--------------------- ------------------ ------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 132,615 $1,341,490 83,930 $ 899,316 217,283 $2,218,354
Issued in connection with the reinvestment
of distributions......................... 21,477 216,240 6,974 75,189 14,216 150,066
Redeemed................................... (180,728) (1,824,504) (51,401) (544,680) (689) (7,042)
--------- ---------- ------- --------- ------- ---------
Net change................................. (26,636) $ (266,774) 39,503 $ 429,825 230,810 $2,361,378
========= ========== ======= ========= ======= =========
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- ------------------- ------ ------ ------ ------ ------ ------
Issued from the sale of shares. 185,638 $1,869,371 175,281 1,867,621 80,460 $ 849,980
<S> <C> <C> <C> <C> <C> <C>
Issued in connection with the reinvestment
of distributions......................... 17,707 178,049 3,339 35,976 3,968 42,198
Redeemed................................... (115,588) (1,161,421) (90,210) (959,137) (3,085) (32,703)
--------- ---------- ------- --------- ------- ---------
Net change................................. 87,757 $ 885,999 88,410 $ 944,460 81,343 $ 859,475
========= ========== ======= ========= ======= =========
<CAPTION>
J CLASS SHARES SHARES** AMOUNT**
- -------------- -------- --------
Issued from the sale of shares. 1,788,840 18,214,195
<S> <C> <C> <C> <C> <C> <C>
Issued in connection with the reinvestment
of distributions......................... 0 0
Redeemed................................... (149,500) (1,525,093)
--------- ----------
Net change................................. 1,639,340 $16,689,102
========= ==========
</TABLE>
* From January 2, 1997 (commencement of operations).
** From May 24, 1999 (commencement of class operations).
102
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
- -----------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- -------------------------------------------------------
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
LOOMIS SAYLES MUNICIPAL BOND FUND
------------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997
---------------------- -------------------- --------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 112,105 $1,290,401 143,442 $1,678,346 146,945 $1,692,152
Issued in connection with the reinvestment
of distributions......................... 38,193 440,141 18,995 222,768 29,000 331,863
Redeemed................................... (92,039) (1,047,290) (70,077) (823,187) (198,471) (2,254,718)
---------- ---------- --------- --------- -------- ----------
Net change................................. 58,259 $ 683,252 92,360 $1,077,927 (22,526) $ (230,703)
========== ========== ========= ========= ======== ==========
</TABLE>
<TABLE>
<CAPTION>
LOOMIS SAYLES SHORT-TERM BOND FUND
----------------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997
----------------------- --------------------- ----------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 1,171,829 $11,357,676 1,356,852 $13,272,732 1,184,127 $11,497,925
Issued in connection with the reinvestment
of distributions......................... 160,415 1,547,434 96,022 940,824 94,766 918,722
Redeemed................................... (1,247,202) (12,080,617) (639,795) (6,265,207) (1,232,069) (11,926,660)
---------- ----------- --------- ---------- ---------- ----------
Net change................................. 85,042 $ 824,493 813,079 $7,948,349 46,824 $ 489,987
========== =========== ========= ========== ========== ==========
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES* AMOUNT*
- ------------------- ------ ------ ------ ------ ------- -------
Issued from the sale of
<S> <C> <C> <C> <C> <C> <C>
shares................................... 61,280 $ 594,618 82,800 $ 812,944 45,040 $ 436,711
Issued in connection with the reinvestment
of distributions......................... 3,749 36,056 1,371 13,467 1,073 10,404
Redeemed................................... (59,909) (587,608) (35,738) (348,869) (16,930) (163,198)
---------- ----------- --------- ---------- ---------- ----------
Net change................................. 5,120 $ 43,066 48,433 $ 477,542 29,183 $ 283,917
========== =========== ========= ========== ========== ==========
</TABLE>
* From January 2, 1997 (commencement of class operations).
<TABLE>
<CAPTION>
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
--------------------------------------------------------------------
YEAR ENDED NINE MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1998 DECEMBER 31, 1997
----------------------- --------------------- --------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
- -------------------------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Issued from the sale of shares............. 688,401 $ 7,460,731 1,006,132 $11,019,527 444,723 $4,676,742
Issued in connection with the reinvestment
of distributions......................... 108,431 1,186,786 47,646 517,587 77,074 792,744
Redeemed................................... (1,804,315) (19,685,748) (142,676) (1,568,841) (277,818) (2,799,223)
---------- ----------- --------- ---------- -------- ----------
Net change................................. (1,007,483) $(11,038,231) 911,102 $9,968,273 243,979 $2,670,263
========== =========== ========= ========== ======== ==========
</TABLE>
103
<PAGE>
LOOMIS SAYLES INCOME FUNDS
- -----------------------------------------------------------------------
1999 U.S. TAX AND DISTRIBUTION INFORMATION TO SHAREHOLDERS (UNAUDITED)
A. EXEMPT INTEREST DIVIDENDS -- 94.74% of the dividends paid by the Municipal
Bond Fund from net investment income for the year ended September 30, 1999,
constituted exempt interest dividends for Federal income tax purposes.
B. CAPITAL GAINS DISTRIBUTIONS -- Pursuant to Internal Revenue Section 852(b),
the following Funds paid distributions, which have been designated as capital
gains distributions for the fiscal year ended September 30, 1999:
<TABLE>
<CAPTION>
DOLLAR
AMOUNT
----------
<S> <C>
Bond Fund.......................... $30,965,415
Global Bond Fund................... 804,917
High Yield Fund.................... 138,345
Intermediate Maturity Bond Fund.... 4,864
Investment Grade Bond Fund......... 88,707
Municipal Bond Fund................ 147,000
</TABLE>
C. CORPORATE DIVIDENDS RECEIVED DEDUCTION -- For the fiscal year ended
September 30, 1999, a percentage of dividends distributed by the Funds listed
below qualify for the dividends received deduction for corporate shareholders.
These percentages are as follows:
<TABLE>
<CAPTION>
QUALIFYING
PERCENTAGE
----------
<S> <C>
Bond Fund.......................... 1.98%
High Yield Fund.................... 2.42%
Investment Grade Bond Fund......... 2.13%
</TABLE>
104
<PAGE>
- -----------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- -------------------------------------------------------
To the Board of Trustees and Shareholders of the Loomis Sayles Fixed Income
Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Loomis Sayles Fixed Income
Funds (consisting of the Loomis Sayles Bond Fund, Global Bond Fund, High Yield
Fund, Intermediate Maturity Bond Fund, Investment Grade Bond Fund, Municipal
Bond Fund, Short-Term Bond Fund, and U.S. Government Securities Fund)
(collectively, the "Funds") at September 30, 1999, and the results of each of
their operations, the changes in each of their net assets and the financial
highlights for the periods indicated herein, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in acccordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statements presentation. We believe that our
audits, which included confirmation of investments at September 30, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 18, 1999
105
<PAGE>
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106
<PAGE>
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107
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
108
<PAGE>
BOARD OF TRUSTEES AND OFFICERS
- -----------------------------------------------------------------------
BOARD OF TRUSTEES
- -------------------------------------------------------
Joseph Alaimo
Richard S. Holway
Daniel J. Fuss
Michael T. Murray
OFFICERS
- -------------------------------------------------------
PRESIDENT
Daniel J. Fuss
EXECUTIVE VICE PRESIDENT
Robert J. Blanding
VICE PRESIDENTS
Dawn Alston Paige
TREASURER
Mark B. Baribeau
Mark W. Holland
James L. Carroll
Mary C. Champagne
ASSISTANT TREASURERS
E. John deBeer
Philip R. Murray
William H. Eigen, Jr.
Nicholas H. Palmerino
Christopher R. Ely
SECRETARY
Quentin P. Faulkner
Sheila M. Barry
Philip C. Fine
Kathleen C. Gaffney
ASSISTANT SECRETARY
Isaac H. Green
Bonnie S. Thompson
Martha F. Hodgman
John Hyll
Jeffrey L. Meade
Eswar Menon
Alexander Muromcew
Kent P. Newmark
Jeffrey C. Petherick
Bruce G. Picard, Jr.
Lauren B. Pitalis
David L. Smith
Sandra P. Tichenor
John Tribolet
Jeffrey W. Wardlow
Gregg D. Watkins
Anthony J. Wilkins
109
<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
PricewaterhouseCoopers LLP
160 Federal Street
Boston, Massachusetts 02110
This report has been prepared for the shareholders of the Funds and is not
authorized for distribution to
prospective investors in the Funds unless it is accompanied or preceded by an
effective prospectus.
