<PAGE>
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
FIXED INCOME
- --------------------------------------------------------------------------------
[LOGO] LOOMIS * SAYLES FUNDS
SEMI-ANNUAL REPORT
MARCH 31, 2000
<PAGE>
TABLE OF CONTENTS
Corporate Overview 1
Letter from the President 2
Economic and Market Overview 4
Institutional Class Total Return vs.
Lipper Category and Lipper Category Index 8
Fund and Manager Reviews 10
Portfolio of Investments 26
Statements of Assets and Liabilities 68
Statements of Operations 70
Statements of Changes in Net Assets 72
Financial Highlights 80
Notes to Financial Statements 96
<PAGE>
CORPORATE OVERVIEW
LOOMIS SAYLES FUNDS
Loomis Sayles Funds is a Boston-based family of predominantly 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
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.
LOOMIS SAYLES FIXED INCOME FUNDS 1
<PAGE>
LETTER FROM THE PRESIDENT
[PHOTO]
DANIEL J. FUSS
PRESIDENT AND
PORTFOLIO MANAGER
DEAR SHAREHOLDERS,
The last six months ended March 31, 2000 showed continued strength in the U.S.
stock market and changing conditions in the U.S. bond market. The broad bond
market finished 1999 on a disappointing note, with rising interest rates and
negative returns for most sectors. While short-term rates continued to climb
into 2000, the higher-quality, longer-term sectors rebounded somewhat during the
first three months of 2000, led in large part by a bounce-back in the U.S.
Treasury sector.
At Loomis Sayles, our domestic bond funds successfully persevered through the
challenging bond market climate of the past six months. Spreads remained wide
throughout the period, which presented us with excellent long-term buying
opportunities. Because our expertise is in researching and selecting attractive
bonds, we were very comfortable with this environment.
The worst may be over for the bond market, and we're probably already off the
bottom. But, because short-term rates may continue to rise for a while, barring
a stock market drop, the market shouldn't get away from us on the upside. It's a
good time to be gradually buying discount, reasonable credits with fairly long
maturities. It's also important to get extra value by emphasizing
non-market-related factors. We have to remain cautious with corporate bonds,
though, because it's a very competitive market. All in all, it's a
better-than-average time to be in the market, particularly if focused on long,
discount, non-U.S. Treasury securities.
In the equity arena, growth stocks across all capitalization ranges remained on
a strong upward course, led by the powerful, high-flying technology sector. A
couple of rallies among value stocks were short-lived, and the growth-stock
sector emerged as the unrivaled style leader for the period. The Loomis Sayles
growth-oriented stock funds benefited nicely from this trend and posted
attractive six-month returns. Nevertheless, we continue to believe that value
stocks remain good long-term investments, and we have been able to take
advantage of good buying opportunities within this sector.
As we look ahead, the levels of debt in the economies of the major countries
remain a valid concern. As short-term interest rates move up, this may serve as
a depressant on the financial markets and a slowing mechanism for the economies.
Nevertheless, this one factor alone doesn't seem to be enough to put an end to
the economic expansion. In fact, unless the central banks go overboard, we
believe that there really is no visible factor threatening to clobber the
economies.
There are many factors, though, that appear to be dampeners of economic growth,
particularly in North America: relatively full employment, rising short-term
interest rates and the resulting slowing of private-sector borrowing, and some
deterioration in consumer sentiment. Put together, these factors could and
should slow the level of economic expansion to something more in line with
normal growth.
<PAGE>
The magnitude of stock-market leverage also is an important and growing concern
in the U.S., Europe and Japan. The Federal Reserve Board has said it won't raise
margin requirements, but a market that trends sharply downwards could feed on
itself. Those investing in volatile instruments with borrowed money eventually
will have to face up to it, and this really could put a damper on the stock
market and the economy. Stock market valuations in the U.S., and to a lesser
degree in Europe, also remain a concern given the extraordinary returns in the
past five years. These are huge markets, and a return to more normalized
performance could be disappointing in the future. If this does occur, though, I
suspect it will be a gradual process.
Sincerely,
/s/ Daniel J. Fuss
Daniel J. Fuss
President
Loomis Sayles Funds
LOOMIS SAYLES FIXED INCOME FUNDS 3
<PAGE>
ECONOMIC AND MARKET OVERVIEW
LOOMIS SAYLES ECONOMIC AND MARKET OVERVIEW
SEMI-ANNUAL REPORT FOR THE PERIOD ENDED MARCH 31, 2000
STOCK MARKET REVIEW
The broad-based stock market continued its amazing run during 1999, posting its
fifth-consecutive year of returns in excess of 20% (as measured by the S&P 500
Index). Much of last year's performance was concentrated in the fourth quarter,
when the S&P 500 Index was up 14.9%, primarily on strong technology sector
returns.
The upward trend continued into 2000, but volatility among the soaring
technology sector in the final few weeks of the first quarter slowed down the
market. The S&P 500 ended the first quarter with a return of 2.3% and posted a
17.6% return for the six-month period ended March 31, 2000.
Two distinguishing characteristics of the period were the continued dominance of
growth over value and the outperformance of small-cap stocks versus their larger
counterparts. After a very strong fourth quarter 1999, in which the Russell 2000
Growth Index returned an astounding 33.4%, small-cap stocks were up 7.1% in the
first quarter of 2000. For the entire six-month period, the Russell 2000 Growth
Index was up 45.75%, outpacing the larger S&P 500 Index by 28 percentage points.
Once again, the technology and telecommunications sectors fueled the market's
drive across all capitalization ranges, and the sectors' strength was the
primary reason that growth stocks maintained "favored" status over value stocks.
Even within the value sector, technology and communications companies were the
performance leaders.
Among the more notable events of the period, the January 10, 2000 merger
announcement between America Online and Time Warner gave the markets a big
boost. In addition, the technology-heavy Nasdaq Index shattered several records
during the period. But, a downward trend emerged in the final weeks of March,
reinforcing the volatility inherent among technology stocks and igniting a
leadership battle between "old economy" and "new economy" companies. A study by
Pegasus Research published in BARRON'S stated that 51 of 207 surveyed internet
firms were "likely to run out of funds soon", including such high-profile names
as music vendor CDNow and Peapod, the online grocer which saw its value drop by
56% in one day when its CEO suddenly resigned and investors pulled $120 million
in financing.
Across the board, international stocks also enjoyed a strong fourth quarter,
which capped off a year that saw the EAFE (Europe, Australasia, Far East) Index
outperforming the S&P 500 Index for the first full year since 1994. But EAFE
retreated during the first quarter of 2000, as Japan's recovery hit a roadblock,
bringing the rest of developed Asia down with it. Performance was stronger
throughout the period among the emerging markets, particularly oil exporting
nations such as Mexico and Venezuela.
<PAGE>
BOND MARKET REVIEW
It was almost as if there were two different bond markets over the last six
months. In the fourth quarter of 1999 there was a noticeable trend of investors
willing to take on some credit risk. In the battle between rising interest rates
and strengthening credits, strengthening credits emerged the winner, and
high-yield bonds were the leading performers. Government bonds, which are only
sensitive to interest-rate movements, finished the quarter on a negative note.
The first quarter of 2000 saw a reversal of this activity. A flight to quality
emerged, as investors showed little concern for interest rate hikes alone.
Instead, they acted on the notion that for lower-rated credits, higher interest
rates would make it more costly to raise capital.
The bond market also was bolstered in the first quarter of 2000 by the U.S.
Treasury department's announcement that it was buying back long-term debt. This
created huge demand for long-term Treasuries and led to an inverted yield curve,
with rates peaking at about the 10-year range. At the beginning of the quarter,
the two-year Treasury yielded 6.24% and the 30-year Treasury was at 6.48%. By
the end of March, the yield on the two-year Treasury was up to 6.49%, while the
yield on the 30-year Treasury had fallen to 5.84%.
For the entire six-month period, government bonds outperformed all other
fixed-income securities with a return of 2.7%, as measured by the Lehman
Brothers Government Bond Index. Mortgage-backed securities were up 1.8%,
according to the Lehman Brothers Fixed Rate Mortgage-Backed Index, and
investment-grade corporate securities, as measured by Lehman Brothers
Government/Corporate Bond Index, were up 1.5%. High-yield bonds, as measured by
the Lehman Brothers High Yield Bond Index, finished the six-month period down
0.7%.
U.S. AND GLOBAL ECONOMIC REVIEW
Continuing in its proactive battle against inflationary signs, the Federal
Reserve Board implemented three separate quarter-point interest rate increases
during the six-month period. The last increase, on March 21, 2000, came on the
heels of news that the annual growth rate in the fourth-quarter of 1999 was an
astounding 6.9%-about twice the rate that Alan Greenspan would like to see.
Inflation remained relatively dormant during the period. Labor costs have gone
up slightly, but most of this seems to be offset by increased efficiency due to
technological advances.
Clearly, the Federal Reserve's efforts have not phased the economy or investors
as much as Chairman Greenspan might like. For example, growth-oriented
companies-investor favorites for the last several years-have basically been
immune to the rate increases. When these companies have needed cash, all they
have had to do is sell more stock, and there has been no shortage of buyers. As
such, the general consensus is that the Federal Reserve will raise interest
rates several more times.
LOOMIS SAYLES FIXED INCOME FUNDS 5
<PAGE>
ECONOMIC AND MARKET OVERVIEW (CONTINUED)
Outside the U.S., we believe economic conditions generally remain favorable
throughout Europe, although the Euro recently weakened to a record low against
the U.S. dollar. Most European countries have shown robust GDP growth. In
particular, France, which is Europe's second-largest economy, grew at an
annualized rate of 3.6% in the fourth quarter of 1999. Germany, Europe's largest
and most influential economy, showed a 3.3% annualized GDP in the fourth
quarter. The outlook for Germany remains especially positive, as the ruling
coalition has implemented encouraging budgetary and tax reforms designed to
support more of a free-market economy than a government-subsidized economy.
In Japan, GDP plunged 5.5% (annualized) in the fourth quarter, representing the
country's third-largest decline since GDP data were first collected in 1960.
This was the second decline in as many quarters. Two economic "shocks"
contributed to the fourth quarter's plunge: the completion of the government's
final fiscal stimulus package and the strong appreciation of the yen. The
outlook for Japan remains uncertain, as the government struggles to implement a
plan to put economic growth back on track.
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
LOOMIS SAYLES FIXED INCOME FUNDS 7
<PAGE>
INSTITUTIONAL CLASS
<TABLE>
<CAPTION>
TOTAL RETURN(1) VS. LIPPER CATEGORY AND LIPPER CATEGORY INDEX(2) FOR THE PERIODS ENDED MARCH 31, 2000
- --------------------------------------------------------------------------------------------------------------------
Modified Actual
6 Months* 1 Year 3 Years 5 Years Inception(3) Inception(4)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
LOOMIS SAYLES BOND FUND % 6.99 5.16 8.82 11.75 12.09 11.98
Lipper Corporate Debt Funds
BBB-Rated Average % 1.88 0.57 5.57 7.13 8.17 NA
Rank NA 5/143 3/88 1/56 1/23 NA
Percentile NA 4 4 2 5 NA
Lipper Corporate Debt Funds
BBB-Rated Index % 2.15 0.94 5.83 7.08 7.61 NA
LOOMIS SAYLES GLOBAL
BOND FUND % -1.17 -0.93 5.38 11.33 8.44 8.39
Lipper Global Income Funds Average % 0.62 -0.47 2.99 5.66 5.97 NA
Rank NA 49/131 15/114 4/83 1/24 NA
Percentile NA 38 14 5 4 NA
Lipper Global Income Funds Index % 0.19 -0.83 3.15 5.98 6.14 NA
LOOMIS SAYLES HIGH
YIELD FUND % 11.70 16.34 8.41 NA 7.63 7.90
Lipper High Current Yield
Funds Average % 1.27 0.06 4.32 NA 4.93 NA
Rank NA 2/349 8/189 NA 17/166 NA
Percentile NA 1 5 NA 11 NA
Lipper High Yield Funds Index % 1.13 0.00 5.12 NA 5.53 NA
LOOMIS SAYLES INTERMEDIATE
MATURITY BOND FUND % 3.12 4.19 5.40 NA NA 4.95
Lipper Intermediate Investment Grade
Debt Funds Average % 1.61 0.99 5.72 NA NA 5.08
Rank NA 8/284 130/203 NA NA 99/188
Percentile NA 3 65 NA NA 53
Lipper Intermediate Investment Grade
Debt Funds Index % 1.77 1.38 6.00 NA NA 5.36
</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 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 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 INC.
* NOT ANNUALIZED.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Modified Actual
6 Months* 1 Year 3 Years 5 Years Inception(3) Inception(4)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
LOOMIS SAYLES INVESTMENT
GRADE BOND FUND % 5.41 5.89 8.97 NA NA 8.06
Lipper Corporate Debt Funds
BBB-Rated Average % 1.88 0.57 5.57 NA NA 4.95
Rank NA 3/143 2/88 NA NA 2/84
Percentile NA 3 3 NA NA 3
Lipper Corporate Debt Funds
BBB-Rated Index % 2.15 0.94 5.83 NA NA 5.15
LOOMIS SAYLES MUNICIPAL
BOND FUND % 1.91 -1.46 5.02 5.41 6.37 6.41
Lipper General Municipal Debt
Funds Average % 1.21 -2.40 4.22 4.95 6.13 NA
Rank NA 77/270 29/221 44/179 26/90 NA
Percentile NA 29 13 25 29 NA
Lipper General Municipal Debt
Funds Index % 1.37 -1.93 4.59 5.27 6.25 NA
LOOMIS SAYLES SHORT-TERM
BOND FUND % 1.88 3.66 5.71 5.87 5.52 5.52
Lipper Short Investment Grade
Debt Funds Average % 1.93 3.27 5.17 5.64 5.14 NA
Rank NA 32/112 15/100 20/70 7/30 NA
Percentile NA 29 15 29 23 NA
Lipper Short Investment Grade
Debt Funds Index % 1.98 3.40 5.30 5.79 5.28 NA
LOOMIS SAYLES U.S.
GOVERNMENT
SECURITIES FUND % 4.41 3.06 8.47 7.99 8.78 8.79
Lipper General U.S. Government
Bond Funds Average % 1.86 0.75 5.77 6.11 6.50 NA
Rank NA 4/185 6/160 5/126 1/55 NA
Percentile NA 3 4 4 2 NA
Lipper General U.S. Government
Bond Funds Index % 1.86 0.86 5.76 6.06 6.19 NA
</TABLE>
(3) FOR THOSE FUNDS WITH INCEPTION DATES OTHER THAN MONTH-END, 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
LOOMIS SAYLES FIXED INCOME FUNDS 9
<PAGE>
FUND AND MANAGER REVIEW
[PHOTO]
DANIEL J. FUSS
[PHOTO]
KATHLEEN C. GAFFNEY
LOOMIS SAYLES BOND FUND
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) $1,733.4 MM
- -------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional, Retail and
Admin classes of the Bond Fund returned 6.99%, 6.88% and 6.68%, respectively,
compared to the 2.27% return for the Fund's benchmark, the Lehman Brothers
Government/Corporate Bond Index. The average corporate debt fund BBB-rated, as
measured by Lipper Inc., posted a total return of 1.88% for the same period.
PORTFOLIO REVIEW
The Fund successfully persevered two challenging bond market
climates over the past six-month period. The final three months of 1999 capped
off a year that produced rising interest rates and negative returns for most
major bond market sectors. Then, in the first three months of 2000, a flight to
quality ensued as long-term U.S. Treasuries outperformed all other bond market
sectors, primarily due to the U.S. Treasury Department's announcement that it
would start buying back longer-term bonds.
Nevertheless, the Fund is designed to gain extra value by emphasizing
non-market-related factors. Throughout the six-month period, despite the
volatility and uncertainty in the bond market, the Fund enjoyed solid returns
from its exposure to emerging markets, Canadian bonds and convertible
securities. As of March 31, 2000, the Fund held 19% of its assets in emerging
markets, 19% in Canadian bonds and 16% in convertible securities.
Emerging markets closed out 1999 with a stellar rebound that continued into the
new year. Asian markets benefited from a reformed Indonesian government, an
upgraded Korea and Malaysia and a strong restructuring in Thailand. In Latin
America, a strong U.S. economy and rising oil prices contributed to investors'
confidence and optimism. These markets were bolstered further by Mexico's
upgrade to investment-grade status and Brazil's ability to sustain strong
economic numbers.
Additionally, as the stock market remained strong throughout the period,
convertible securities showed excellent performance, particularly in the
high-flying technology sector. In Canada, a record supply of new issuance helped
Canadian credits continue to provide positive returns for the Fund.
PORTFOLIO POSITIONING
As spreads remain wide, we continue to believe that the bond market offers many
good value opportunities. We will maintain an opportunistic approach toward
convertible securities and emerging market bonds. We also will rely on our
credit research efforts to attempt to uncover good value opportunities in the
high-yield sector.
/s/ Daniel J. Fuss /s/ Kathleen C. Gaffney
Daniel J. Fuss Kathleen C. Gaffney
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- ---------------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years 5 Years Inception(a)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LOOMIS SAYLES BOND FUND (INSTITUTIONAL) 6.99 5.16 8.82 11.75 11.98
LOOMIS SAYLES BOND FUND (RETAIL) 6.88 4.97 8.55 11.47 11.71
LOOMIS SAYLES BOND FUND (ADMIN) 6.68 4.71 8.28 11.18 11.43
Lipper Corporate Debt Funds BBB-Rated Index(b) 2.15 0.94 5.83 7.08 7.61
Lehman Brothers Government/Corporate Bond Index(c) 2.27 1.70 6.79 7.13 7.54
</TABLE>
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000
- -------------------------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
Lipper Corporate Lehman Brothers
Loomis Sayles Debt Funds BBB- Government/Corporate
Bond Fund(d) Rated Index Bond Index
<S> <C> <C> <C>
5/31/91 $10,000 $10,000 $10,000
6/30/91 $9,849 $9,975 $9,989
7/31/91 $10,090 $10,084 $10,114
8/31/91 $10,502 $10,327 $10,348
9/30/91 $10,522 $10,551 $10,564
10/31/91 $10,815 $10,648 $10,658
11/30/91 $10,702 $10,734 $10,764
12/31/91 $10,931 $11,137 $11,127
1/31/92 $11,102 $11,001 $10,962
2/29/92 $11,380 $11,062 $11,021
3/31/92 $11,294 $11,025 $10,960
4/30/92 $11,456 $11,083 $11,026
5/31/92 $11,794 $11,308 $11,240
6/30/92 $11,838 $11,473 $11,404
7/31/92 $12,222 $11,789 $11,696
8/31/92 $12,333 $11,897 $11,801
9/30/92 $12,399 $12,041 $11,962
10/31/92 $12,255 $11,830 $11,779
11/30/92 $12,380 $11,843 $11,770
12/31/92 $12,493 $12,040 $11,971
1/31/93 $12,927 $12,303 $12,231
2/28/93 $13,180 $12,593 $12,485
3/31/93 $13,446 $12,671 $12,528
4/30/93 $13,650 $12,766 $12,624
5/31/93 $13,871 $12,796 $12,617
6/30/93 $14,164 $13,084 $12,904
7/31/93 $14,508 $13,206 $12,986
8/31/93 $14,770 $13,513 $13,284
9/30/93 $14,795 $13,553 $13,331
10/31/93 $15,018 $13,647 $13,385
11/30/93 $15,081 $13,490 $13,234
12/31/93 $15,289 $13,581 $13,282
1/31/94 $15,873 $13,816 $13,492
2/28/94 $15,604 $13,515 $13,198
3/31/94 $15,040 $13,130 $12,875
4/30/94 $14,703 $12,971 $12,769
5/31/94 $14,648 $12,938 $12,745
6/30/94 $14,607 $12,885 $12,715
7/31/94 $14,830 $13,105 $12,969
8/31/94 $15,052 $13,157 $12,975
9/30/94 $14,872 $12,975 $12,778
10/31/94 $14,803 $12,934 $12,764
11/30/94 $14,605 $12,899 $12,741
12/31/94 $14,647 $12,954 $12,825
1/31/95 $14,953 $13,173 $13,072
2/28/95 $15,390 $13,474 $13,375
3/31/95 $15,725 $13,580 $13,464
4/30/95 $16,300 $13,824 $13,652
5/31/95 $17,174 $14,420 $14,224
6/30/95 $17,411 $14,529 $14,338
7/31/95 $17,362 $14,495 $14,283
8/31/95 $17,723 $14,708 $14,465
9/30/95 $18,160 $14,880 $14,612
10/31/95 $18,340 $15,079 $14,827
11/30/95 $18,890 $15,326 $15,071
12/31/95 $19,328 $15,579 $15,293
1/31/96 $19,721 $15,705 $15,388
2/29/96 $19,124 $15,375 $15,062
3/31/96 $19,139 $15,261 $14,935
4/30/96 $18,984 $15,164 $14,833
5/31/96 $19,192 $15,153 $14,808
6/30/96 $19,448 $15,327 $15,006
7/31/96 $19,438 $15,365 $15,041
8/31/96 $19,600 $15,357 $15,004
9/30/96 $20,209 $15,665 $15,270
10/31/96 $20,884 $16,041 $15,627
11/30/96 $21,696 $16,398 $15,915
12/31/96 $21,318 $16,240 $15,737
1/31/97 $21,300 $16,291 $15,756
2/28/97 $21,610 $16,384 $15,789
3/31/97 $21,266 $16,131 $15,601
4/30/97 $21,543 $16,369 $15,830
5/31/97 $22,017 $16,557 $15,977
6/30/97 $22,508 $16,804 $16,169
7/31/97 $23,666 $17,385 $16,664
8/31/97 $23,148 $17,155 $16,477
9/30/97 $23,898 $17,456 $16,736
10/31/97 $23,818 $17,634 $17,004
11/30/97 $23,945 $17,720 $17,093
12/31/97 $24,024 $17,910 $17,273
1/31/98 $24,323 $18,138 $17,516
2/28/98 $24,585 $18,132 $17,481
3/31/98 $24,941 $18,224 $17,534
4/30/98 $25,036 $18,302 $17,623
5/31/98 $25,036 $18,458 $17,812
6/30/98 $25,055 $18,594 $17,993
7/31/98 $24,788 $18,579 $18,008
8/31/98 $23,007 $18,444 $18,359
9/30/98 $23,801 $18,825 $18,884
10/31/98 $23,731 $18,592 $18,751
11/30/98 $25,182 $18,936 $18,863
12/31/98 $25,152 $18,983 $18,909
1/31/99 $25,615 $19,148 $19,043
2/28/99 $25,152 $18,734 $18,591
3/31/99 $26,057 $18,943 $18,683
4/30/99 $26,955 $19,079 $18,729
5/31/99 $26,333 $18,821 $18,536
6/30/99 $26,161 $18,722 $18,478
7/31/99 $25,764 $18,628 $18,427
8/31/99 $25,524 $18,559 $18,412
9/30/99 $25,611 $18,719 $18,578
10/31/99 $25,631 $18,755 $18,627
11/30/99 $25,876 $18,801 $18,616
12/31/99 $26,284 $18,770 $18,503
1/31/00 $26,238 $18,715 $18,498
2/29/00 $27,037 $18,946 $18,730
3/31/00 $27,402 $19,120 $19,000
</TABLE>
Foreign investments involve special risks including greater economic, political
and currency fluctuation risks, which may be even greater in emerging markets.
In addition, foreign countries may have different accounting standards than
those of the U.S., which may adversely affect the value of the fund. High yield
securities are subject to a high degree of market and credit risk. In addition,
the secondary market for these securities may lack liquidity which, in turn, may
adversely affect the value of these securities and that of the fund.
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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(a): INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS MAY 16, 1991. SINCE
LIPPER CORPORATE DEBT FUNDS BBB-RATED INDEX 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. PERFORMANCE SHOWN FOR
PERIODS PRIOR TO THE INCEPTION DATE OF THE RETAIL CLASS (DECEMBER 31, 1996)
AND ADMIN CLASS (JANUARY 2, 1998) REPRESENT THE PERFORMANCE OF THE
INSTITUTIONAL CLASS OF SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT
THE CURRENT LEVELS OF MANAGEMENT AND 12b-1 FEES PAYABLE BY THE RESPECTIVE
CLASS OF SHARES.
(b): THE LIPPER CORPORATE DEBT FUNDS BBB-RATED INDEX IS AN EQUALLY WEIGHTED
UNMANAGED 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 AN UNMANAGED 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, DUE TO THE
HIGHER FEES PAID BY THE RETAIL AND ADMIN CLASSES OF SHARES, BE LOWER.
LOOMIS SAYLES FIXED INCOME FUNDS 11
<PAGE>
FUND AND MANAGER REVIEW
[PHOTO]
E. JOHN DEBEER
LOOMIS SAYLES GLOBAL BOND FUND
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) $45.1 MM
- --------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional and Retail
classes of the Global Bond Fund returned -1.17% and -1.25%, respectively,
compared to the -1.17% return for the Fund's benchmark, the Salomon Brothers
World Government Bond Index. The average global income fund, as measured by
Lipper Inc., posted a total return of 0.62% for the same period.
PORTFOLIO REVIEW
Currency valuations played a large role in the Fund's performance during the
six-month period. We felt that the yen was overvalued, so our Asian exposure was
concentrated in dollar-denominated Asian credits. As such, the portfolio missed
out on the yen's relative strength during the fourth quarter of 1999.
Another key negative factor influencing the Fund's performance was the strength
of the U.S. dollar. The euro, which represented approximately 40% of the
portfolio during the period, declined relative to the U.S. dollar. Nevertheless,
a partial hedge against the euro helped limit the effects of this decline. Also,
the Australian dollar, which represented close to 9% of the portfolio, declined
relative to the U.S. dollar.
On the bright side, emerging markets bonds of Argentina, Peru, Thailand and
Malaysia, which represented nearly 13% of the portfolio, performed well and
enhanced Fund performance. In addition, our specific bond selections throughout
all markets contributed positively to performance.
PORTFOLIO POSITIONING
We continue to look for attractive opportunities throughout Europe, Asia and the
emerging markets. We believe that Asian growth should support strong
improvements in Asian credits. In Europe, corporate bond offerings are growing
in size, availability, diversity and liquidity, and our credit research allows
us to attempt to seek out good value ahead of the competition. We also remain
confident that the euro will strengthen and eventually become a second reserve
currency alongside the U.S. dollar, which would benefit the Fund.
/s/ E. John DeBeer
E. John DeBeer
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- ---------------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years 5 Years Inception(a)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LOOMIS SAYLES GLOBAL BOND FUND (INSTITUTIONAL) -1.17 -0.93 5.38 11.33 8.39
LOOMIS SAYLES GLOBAL BOND FUND (RETAIL) -1.25 -1.17 5.09 11.15 8.29
Lipper Global Income Funds Index(b) 0.19 -0.83 3.15 5.98 6.14
Salomon Brothers World Government Bond Index(c) -1.17 -0.25 4.96 4.27 7.75
</TABLE>
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
[GRAPH]
<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 $10,000 $10,000
6/30/91 $9,560 $9,829 $9,895
7/31/91 $9,860 $9,979 $10,107
8/31/91 $10,000 $10,125 $10,302
9/30/91 $10,530 $10,453 $10,706
10/31/91 $10,581 $10,566 $10,818
11/30/91 $10,822 $10,577 $10,987
12/31/91 $11,687 $10,940 $11,558
1/31/92 $11,266 $10,759 $11,353
2/29/92 $11,174 $10,808 $11,290
3/31/92 $11,112 $10,750 $11,170
4/30/92 $11,215 $10,832 $11,250
5/31/92 $11,604 $11,059 $11,595
6/30/92 $12,045 $11,225 $11,920
7/31/92 $12,351 $11,418 $12,197
8/31/92 $12,222 $11,492 $12,539
9/30/92 $11,846 $11,356 $12,664
10/31/92 $11,995 $11,338 $12,321
11/30/92 $11,732 $11,224 $12,125
12/31/92 $11,786 $11,325 $12,197
1/31/93 $11,809 $11,476 $12,410
2/28/93 $12,060 $11,740 $12,654
3/31/93 $12,357 $11,860 $12,849
4/30/93 $12,735 $12,005 $13,120
5/31/93 $12,816 $12,136 $13,252
6/30/93 $12,388 $12,292 $13,223
7/31/93 $12,249 $12,435 $13,263
8/31/93 $12,900 $12,733 $13,660
9/30/93 $13,190 $12,724 $13,822
10/31/93 $13,422 $12,896 $13,798
11/30/93 $13,294 $12,812 $13,699
12/31/93 $13,508 $13,095 $13,816
1/31/94 $13,765 $13,256 $13,927
2/28/94 $13,362 $12,810 $13,836
3/31/94 $13,007 $12,411 $13,816
4/30/94 $12,922 $12,315 $13,832
5/31/94 $12,638 $12,226 $13,711
6/30/94 $12,192 $12,122 $13,909
7/31/94 $12,268 $12,220 $14,019
8/31/94 $12,218 $12,222 $13,971
9/30/94 $12,155 $12,255 $14,072
10/31/94 $12,193 $12,374 $14,298
11/30/94 $12,343 $12,320 $14,101
12/31/94 $12,331 $12,152 $14,140
1/31/95 $12,256 $12,169 $14,437
2/28/95 $12,230 $12,340 $14,806
3/31/95 $11,967 $12,660 $15,686
4/30/95 $12,507 $12,965 $15,976
5/31/95 $13,260 $13,394 $16,426
6/30/95 $13,109 $13,383 $16,522
7/31/95 $13,461 $13,484 $16,561
8/31/95 $13,900 $13,435 $15,992
9/30/95 $14,177 $13,660 $16,349
10/31/95 $14,340 $13,786 $16,471
11/30/95 $14,943 $14,022 $16,657
12/31/95 $15,279 $14,308 $16,832
1/31/96 $15,641 $14,476 $16,624
2/29/96 $15,319 $14,223 $16,539
3/31/96 $15,400 $14,234 $16,516
4/30/96 $15,695 $14,356 $16,450
5/31/96 $15,789 $14,397 $16,454
6/30/96 $16,151 $14,537 $16,583
7/31/96 $16,124 $14,686 $16,901
8/31/96 $16,298 $14,820 $16,967
9/30/96 $16,792 $15,101 $17,036
10/31/96 $17,197 $15,407 $17,355
11/30/96 $17,736 $15,782 $17,583
12/31/96 $17,574 $15,742 $17,441
1/31/97 $17,360 $15,608 $16,975
2/28/97 $17,645 $15,619 $16,848
3/31/97 $17,488 $15,425 $16,720
4/30/97 $17,403 $15,470 $16,573
5/31/97 $17,801 $15,692 $17,023
6/30/97 $18,200 $15,882 $17,226
7/31/97 $18,399 $16,016 $17,092
8/31/97 $18,186 $15,934 $17,082
9/30/97 $18,556 $16,274 $17,446
10/31/97 $18,300 $16,257 $17,808
11/30/97 $18,243 $16,258 $17,535
12/31/97 $17,979 $16,312 $17,482
1/31/98 $18,374 $16,432 $17,652
2/28/98 $18,724 $16,573 $17,795
3/31/98 $18,511 $16,643 $17,619
4/30/98 $18,754 $16,775 $17,901
5/31/98 $18,694 $16,756 $17,943
6/30/98 $18,314 $16,705 $17,969
7/31/98 $18,481 $16,778 $17,993
8/31/98 $17,387 $16,176 $18,483
9/30/98 $18,131 $16,839 $19,466
10/31/98 $19,165 $16,983 $20,042
11/30/98 $19,955 $17,162 $19,759
12/31/98 $19,883 $17,344 $20,157
1/31/99 $20,278 $17,381 $19,972
2/28/99 $19,998 $16,935 $19,330
3/31/99 $20,655 $17,070 $19,379
4/30/99 $21,461 $17,225 $19,371
5/31/99 $20,935 $16,881 $19,045
6/30/99 $20,705 $16,722 $18,711
7/31/99 $20,803 $16,781 $19,170
8/31/99 $20,557 $16,746 $19,259
9/30/99 $20,705 $16,898 $19,559
10/31/99 $20,623 $16,875 $19,549
11/30/99 $20,477 $16,788 $19,345
12/31/99 $20,643 $16,868 $19,297
1/31/00 $20,121 $16,591 $18,886
2/29/00 $20,229 $16,729 $18,750
3/31/00 $20,463 $16,929 $19,331
</TABLE>
Foreign investments involve special risks including greater economic, political
and currency fluctuation risks, which may be even greater in emerging markets.
In addition, foreign countries may have different accounting standards than
those of the U.S., which may adversely affect the value of the fund. High yield
securities are subject to a high degree of market and credit risk. In addition,
the secondary market for these securities may lack liquidity which, in turn, may
adversely affect the value of these securities and that of the fund.
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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(a) INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS MAY 10, 1991. SINCE
LIPPER GLOBAL INCOME FUNDS INDEX 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. PERFORMANCE SHOWN FOR
PERIODS PRIOR TO THE INCEPTION DATE OF THE RETAIL CLASS (DECEMBER 31, 1996)
REPRESENT THE PERFORMANCE OF THE INSTITUTIONAL CLASS OF SHARES DURING THE
PERIOD SHOWN, ADJUSTED TO REFLECT THE CURRENT LEVELS OF MANAGEMENT AND
12b-1 FEES PAYABLE BY THE RESPECTIVE CLASS OF SHARES.
(b) THE LIPPER GLOBAL INCOME FUNDS INDEX IS AN EQUALLY WEIGHTED UNMANAGED 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
UNMANAGED 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.
LOOMIS SAYLES FIXED INCOME FUNDS 13
<PAGE>
FUND AND MANAGER REVIEW
[PHOTO]
DANIEL J. FUSS
[PHOTO]
KATHLEEN C. GAFFNEY
LOOMIS SAYLES HIGH YIELD FUND
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 $23.4 MM
- -------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional class of the
High Yield Fund returned 11.70%, compared to the -0.74% return for the Fund's
benchmark, the Merrill Lynch High Yield Master Index. The average high current
yield fund, as measured by Lipper Inc., posted a total return of 1.27% for the
same period.
PORTFOLIO REVIEW
In general, high-yield bonds experienced a difficult six-month period. In the
fourth quarter of 1999, a combination of Y2K-related uncertainty, inflation
fears and interest-rate fluctuations contributed to falling bond prices and
rising yields. In the first quarter of 2000, rising interest rates continued to
weigh on the market, as did a flight to quality, a record number of credit
defaults and low trading volume.
Nevertheless, the Loomis Sayles High Yield Fund bucked the trend and posted a
solid six-month return by continuing to stress a bottom-up approach and
diversifying across numerous sectors and issues. In addition, we generally
structure the Fund so that market-related factors have little impact on
performance. As such, the Fund had low interest-rate sensitivity, a high coupon
and yield, and a relatively short maturity.
The Fund's outperformance for the period was due to the recovery of emerging
markets and the strength of convertible securities. As of March 31, 2000, the
Fund held 36% of its assets in emerging markets and 25% in convertible
securities. The return of liquidity to many of the smaller, lesser-known bonds
the Fund holds, as well as some successful issue and sector selections, also
contributed to the Fund's positive return.
PORTFOLIO POSITIONING
We believe that the economic scenario remains positive for high-yield bonds,
with a robust economy, low inflation and wide spreads. The Fund remains well
diversified across 19 countries, 37 industries and 153 issues that focus on
long-term capital appreciation and current income. In addition, we believe that
it also has excellent call protection and moderate upgrade potential.
/s/ Daniel J. Fuss /s/ Kathleen C. Gaffney
Daniel J. Fuss Kathleen C. Gaffney
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- ------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years Inception(a)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LOOMIS SAYLES HIGH YIELD FUND (INSTITUTIONAL) 11.70 16.34 8.41 7.90
Lipper High Current Yield Funds Index(b) 1.13 0.00 5.12 5.53
Merrill Lynch High Yield Master Index(c) -0.74 -1.33 4.90 5.66
</TABLE>
CUMULATIVE PERFORMANCE-SEPTEMBER 30, 1996 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
Lipper High Merrill Lynch
Loomis Sayles Current Yield High Yield
High Yield Fund Funds Index Master Index
<S> <C> <C> <C>
9/30/96 $10,000 $10,000 $10,000
10/31/96 $9,931 $10,048 $10,110
11/30/96 $10,148 $10,221 $10,314
12/31/96 $10,173 $10,347 $10,393
1/31/97 $10,193 $10,449 $10,473
2/28/97 $10,213 $10,625 $10,620
3/31/97 $10,153 $10,395 $10,502
4/30/97 $10,212 $10,483 $10,622
5/31/97 $10,489 $10,761 $10,836
6/30/97 $10,756 $10,945 $11,001
7/31/97 $11,265 $11,237 $11,265
8/31/97 $11,276 $11,262 $11,245
9/30/97 $11,663 $11,535 $11,431
10/31/97 $11,354 $11,490 $11,507
11/30/97 $11,482 $11,573 $11,616
12/31/97 $11,333 $11,710 $11,726
1/31/98 $11,400 $11,937 $11,901
2/28/98 $11,725 $12,050 $11,950
3/31/98 $12,083 $12,224 $12,053
4/30/98 $12,029 $12,263 $12,110
5/31/98 $11,766 $12,249 $12,195
6/30/98 $11,515 $12,271 $12,255
7/31/98 $11,384 $12,354 $12,325
8/31/98 $9,674 $11,413 $11,793
9/30/98 $9,568 $11,344 $11,817
10/31/98 $9,753 $11,087 $11,622
11/30/98 $10,533 $11,738 $12,152
12/31/98 $10,290 $11,701 $12,156
1/31/99 $10,583 $11,913 $12,276
2/28/99 $10,609 $11,865 $12,182
3/31/99 $11,119 $12,074 $12,287
4/30/99 $11,844 $12,387 $12,480
5/31/99 $11,556 $12,151 $12,393
6/30/99 $11,817 $12,153 $12,370
7/31/99 $11,715 $12,157 $12,388
8/31/99 $11,527 $12,034 $12,267
9/30/99 $11,581 $11,940 $12,215
10/31/99 $11,854 $11,905 $12,144
11/30/99 $12,148 $12,115 $12,283
12/31/99 $12,450 $12,261 $12,347
1/31/00 $12,465 $12,201 $12,286
2/29/00 $12,850 $12,287 $12,296
3/31/00 $12,935 $12,075 $12,124
</TABLE>
Foreign investments involve special risks including greater economic, political
and currency fluctuation risks, which may be even greater in emerging markets.
In addition, foreign countries may have different accounting standards than
those of the U.S., which may adversely affect the value of the fund. High yield
securities are subject to a high degree of market and credit risk. In addition,
the secondary market for these securities may lack liquidity which, in turn, may
adversely affect the value of these securities and that of the fund.
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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(a) INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS SEPTEMBER 11, 1996.
SINCE LIPPER HIGH CURRENT YIELD FUNDS INDEX 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 UNMANAGED
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 IS AN UNMANAGED INDEX CONSISTING 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.
LOOMIS SAYLES FIXED INCOME FUNDS 15
<PAGE>
FUND AND MANAGER REVIEW
[PHOTO]
ANTHONY J. WILKINS
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND
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) $13.8 MM
- --------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional and Retail
classes of the Intermediate Maturity Bond Fund returned 3.12% and 3.01%,
respectively, compared to the 1.56% return for the Fund's benchmark, the Lehman
Brothers Government/Corporate Intermediate Bond Index. The average intermediate
investment grade debt fund, as measured by Lipper Inc., posted a total return of
1.61% for the same period.
PORTFOLIO REVIEW
Short-term interest rates continued to increase during the six-month period, as
the Federal Reserve Board maintained its pre-emptive inflation-fighting course.
Long-term rates increased during the first half of the period, then sharply
declined in the second half. The yield on the 30-year U.S. Treasury reached its
1999 peak in December, ending the year at 6.48%. Early in the fourth quarter of
1999, high-yield bonds fell behind their high-grade counterparts. But as the
flight to quality subsided and with corporate spreads tightening, investors
swapped out of Treasuries and turned toward more market-related issues in the
lagging bond market.
Market sentiment and performance shifted with the start of the new year.
Treasuries regained favor with investors and outperformed all other bond market
sectors during the first quarter of 2000. The catalyst was the U.S. Treasury
department, which announced that it would start buying back its long-term debt.
This contributed to a widening of corporate spreads and an inverted yield curve.
While the Fed continued to raise short-term rates, the yield on the 30-year
Treasury fell to 5.83%. Despite the spread widening, investment-grade credits
were able to realize positive gains, but high-yield markets lagged.
The Fund's overweighting in Yankee bonds contributed positively to performance
throughout the period. Higher oil prices also led to strong returns among the
Fund's oil and gas holdings. In addition, an overweighting in the financials
sector during the first quarter of 2000, particularly among banking and REITs
(real estate investment trusts), contributed to the Fund's relatively strong
performance.
PORTFOLIO POSITIONING
Our approach continues to focus on identifying undervalued credits to create a
flexible balance between high current income and the potential for capital
appreciation. Our maturity and quality guidelines are designed to create a
shorter-maturity, higher-quality portfolio that provides above-average yield and
call protection. The Fund's duration remains slightly longer than the
benchmark's to capture yield advantages.
/s/ Anthony J. Wilkins
Anthony J. Wilkins
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- -------------------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years Inception(a)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (INSTITUTIONAL) 3.12 4.19 5.40 4.95
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (RETAIL) 3.01 3.92 5.17 4.70
Lipper Intermediate Investment Grade Debt Funds Index(b) 1.77 1.38 6.00 5.36
Lehman Brothers Government/Corporate Intermediate Bond Index(c) 1.56 2.09 6.07 5.55
</TABLE>
CUMULATIVE PERFORMANCE-DECEMBER 31, 1996 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
[GRAPH[
<TABLE>
<CAPTION>
Loomis Sayles Lipper Intermediate Lehman Brothers
Intermediate Maturity Investment Grade Government/Corporate
Bond Fund(d) Debt Funds Index Intermediate Bond Index
<S> <C> <C> <C>
12/31/96 $10,000 $10,000 $10,000
1/31/97 $10,060 $10,031 $10,039
2/28/97 $10,080 $10,056 $10,058
3/31/97 $9,990 $9,948 $9,989
4/30/97 $10,106 $10,084 $10,106
5/31/97 $10,228 $10,174 $10,190
6/30/97 $10,340 $10,294 $10,283
7/31/97 $10,574 $10,566 $10,492
8/31/97 $10,502 $10,470 $10,439
9/30/97 $10,625 $10,621 $10,561
10/31/97 $10,586 $10,749 $10,678
11/30/97 $10,607 $10,780 $10,701
12/31/97 $10,643 $10,878 $10,787
1/31/98 $10,759 $11,023 $10,928
2/28/98 $10,812 $11,007 $10,920
3/31/98 $10,918 $11,047 $10,955
4/30/98 $10,969 $11,099 $11,010
5/31/98 $11,023 $11,199 $11,091
6/30/98 $11,034 $11,288 $11,161
7/31/98 $11,059 $11,311 $11,201
8/31/98 $10,895 $11,465 $11,377
9/30/98 $11,016 $11,722 $11,663
10/31/98 $10,969 $11,627 $11,651
11/30/98 $11,080 $11,685 $11,650
12/31/98 $11,068 $11,735 $11,697
1/31/99 $11,125 $11,808 $11,761
2/28/99 $11,033 $11,597 $11,588
3/31/99 $11,228 $11,688 $11,675
4/30/99 $11,409 $11,727 $11,711
5/31/99 $11,281 $11,608 $11,621
6/30/99 $11,304 $11,569 $11,629
7/31/99 $11,273 $11,528 $11,618
8/31/99 $11,202 $11,516 $11,627
9/30/99 $11,344 $11,642 $11,736
10/31/99 $11,388 $11,660 $11,766
11/30/99 $11,449 $11,674 $11,781
12/31/99 $11,502 $11,620 $11,742
1/31/00 $11,465 $11,579 $11,699
2/29/00 $11,563 $11,704 $11,796
3/31/00 $11,698 $11,849 $11,919
</TABLE>
Foreign investments involve special risks including greater economic, political
and currency fluctuation risks, which may be even greater in emerging markets.
In addition, foreign countries may have different accounting standards than
those of the U.S., which may adversely affect the value of the fund.
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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(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 UNMANAGED 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 IS AN
UNMANAGED INDEX CONSISTING 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.
LOOMIS SAYLES FIXED INCOME FUNDS 17
<PAGE>
FUND AND MANAGER REVIEW
[PHOTO]
DANIEL J. FUSS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
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) $22.3 MM
- --------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional, Retail and J
classes of the Investment Grade Bond Fund returned 5.41%, 5.28% and 5.01%
(before deducting the maximum 3.50% front end sales charge), respectively,
compared to the 2.27% return for the Fund's benchmark, the Lehman Brothers
Government/Corporate Bond Index. The average corporate debt fund BBB-rated, as
measured by Lipper Inc., posted a total return of 1.88% for the same period.
PORTFOLIO REVIEW
Market sentiment during the six-month period reflected investor
concerns over the approach of Y2K and rising interest rates. In addition, a
yield-curve inversion unfolded in the first quarter of 2000. Short-term rates
continued to increase, due to the Federal Reserve Board's tightening course, and
long-term rates declined after the U.S. Treasury announced it was buying back
its long-term debt. This led to a very strong quarter for Treasuries and a
difficult quarter for investment-grade corporate bonds, as investors scrambled
to assess the relative value of non-government debt.
Despite all of these factors, the Fund performed well by continuing to stress a
bottom-up approach, diversifying across numerous sectors, and concentrating on
convertible bonds, Yankee securities and emerging market debt. Emerging markets
rallied throughout the period. In Asian markets, a reformed Indonesian
government, an upgraded Korea and Malaysia and a restructuring of Thailand
contributed to strong investor sentiment. Latin American markets benefited from
a strong U.S. economy and rising oil prices. Additionally, Mexico was upgraded
to "investment-grade" status, and Brazil continued to post strong economic
numbers.
The Fund also was positively affected by the return of liquidity to many of the
smaller, lesser-known bonds in the portfolio and by successful issue and sector
selections. For example, Canadian bonds continued to offer strong performance,
and the energy sector remained a top performer due to rising oil prices.
PORTFOLIO POSITIONING
We continue to maintain the Fund's long-term investment strategy of buying
longer, discounted corporate bonds for the added yield and call protection they
provide. The Fund remains well diversified across 16 countries, 38 industries
and 137 issues that focus on long-term capital appreciation and current income.
We believe that the Fund has excellent call protection and moderate upgrade
potential.
/s/ Daniel J. Fuss
Daniel J. Fuss
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- ----------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years Inception(a)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (INSTITUTIONAL) 5.41 5.89 8.97 8.06
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (RETAIL) 5.28 5.67 8.71 7.79
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (J CLASS)(b) 1.35 1.54 7.45 6.67
Lipper Corporate Debt Funds BBB-Rated Index(c) 2.15 0.94 5.83 5.15
Lehman Brothers Government/Corporate Bond Index(d) 2.27 1.70 6.79 5.97
</TABLE>
CUMULATIVE PERFORMANCE-DECEMBER 31, 1996 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
[GRAPH}
<TABLE>
<CAPTION>
Loomis Sayles Lipper Corporate Lehman Brothers
Investment Grade Debt Funds BBB- Government/Corporate
Bond Fund(e) Rated Index Bond Index
<S> <C> <C> <C>
12/31/96 $10,000 $10,000 $10,000
1/31/97 $9,950 $10,032 $10,012
2/28/97 $10,150 $10,089 $10,033
3/31/97 $9,940 $9,933 $9,914
4/30/97 $10,133 $10,080 $10,059
5/31/97 $10,325 $10,195 $10,153
6/30/97 $10,599 $10,347 $10,274
7/31/97 $11,281 $10,705 $10,589
8/31/97 $10,972 $10,563 $10,470
9/30/97 $11,281 $10,749 $10,635
10/31/97 $11,443 $10,858 $10,805
11/30/97 $11,422 $10,911 $10,862
12/31/97 $11,451 $11,029 $10,976
1/31/98 $11,570 $11,169 $11,130
2/28/98 $11,602 $11,165 $11,108
3/31/98 $11,743 $11,222 $11,142
4/30/98 $11,785 $11,270 $11,198
5/31/98 $11,862 $11,365 $11,318
6/30/98 $11,851 $11,450 $11,434
7/31/98 $11,700 $11,441 $11,443
8/31/98 $11,199 $11,358 $11,666
9/30/98 $11,455 $11,592 $12,000
10/31/98 $11,347 $11,449 $11,915
11/30/98 $11,723 $11,660 $11,986
12/31/98 $11,829 $11,689 $12,016
1/31/99 $12,018 $11,791 $12,101
2/28/99 $11,876 $11,536 $11,813
3/31/99 $12,148 $11,665 $11,872
4/30/99 $12,433 $11,748 $11,901
5/31/99 $12,337 $11,590 $11,779
6/30/99 $12,289 $11,529 $11,742
7/31/99 $12,078 $11,471 $11,709
8/31/99 $12,035 $11,428 $11,700
9/30/99 $12,203 $11,526 $11,805
10/31/99 $12,202 $11,549 $11,836
11/30/99 $12,252 $11,577 $11,829
12/31/99 $12,293 $11,558 $11,757
1/31/00 $12,281 $11,524 $11,754
2/29/00 $12,673 $11,666 $11,902
3/31/00 $12,864 $11,774 $12,074
</TABLE>
Foreign investments involve special risks including greater economic,
political and currency fluctuation risks, which may be even greater in emerging
markets. In addition, foreign countries may have different accounting standards
than those of the U.S., which may adversely affect the value of the fund.
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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(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.
PERFORMANCE SHOWN FOR PERIODS PRIOR TO THE INCEPTION DATE OF THE J CLASS
(MAY 24, 1999) REPRESENT THE PERFORMANCE OF THE INSTITUTIONAL CLASS OF
SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT THE CURRENT LEVELS OF
MANAGEMENT AND 12b-1 FEES PAYABLE BY THE RESPECTIVE CLASS OF SHARES.
(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
UNMANAGED 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 IS AN UNMANAGED INDEX
CONSISTING 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 THE UNITED STATES AND ARE NOT ELIGIBLE
FOR SALE TO U.S. INVESTORS.
LOOMIS SAYLES FIXED INCOME FUNDS 19
<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: 0.50%
TOTAL NET ASSETS $8.3 MM
- --------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional class of the
Municipal Bond Fund returned 1.91%, compared to the 2.12% return for the Fund's
benchmark, the Lehman Brothers Municipal Bond Index. The average general
municipal debt fund, as measured by Lipper Inc., posted a total return of 1.21%
for the same period.
PORTFOLIO REVIEW
Municipal market conditions flip-flopped over the six-month period. During the
last quarter of 1999, with rising interest rates and slow demand, municipal
bonds weakened, especially at the long end of the yield curve. In the first
quarter of 2000, much of that damage was reversed after municipal bonds rallied
along with the U.S. Treasury market. The sector also improved due to a
diminished supply of municipal bonds. With a strong economy and good balance
sheets for municipalities, there was little need to tap the bond market. Buyers
had fewer bonds to choose from, and even poorly structured issues began to see
renewed demand.
In the fourth quarter of 1999, the Fund's strongest performers were very
short-maturity bonds, and the weakest were long discount issues. But, in the
first quarter of 2000, long discount bonds were the best performers, and
short-term bonds underperformed. The municipal yield curve remained positively
sloped, while the Treasury yield curve inverted during the first quarter of
2000. Because of this, some traditional municipal investors found the taxable
market more attractive, thus further diminishing the demand for short-term
municipal bonds.
PORTFOLIO POSITIONING
Our strategy of investing in undervalued issues and trying to keep portfolio
turnover low remains unchanged. Looking ahead, we believe the relationship
between supply and demand likely will be the primary driver of performance.
Demand has been weak, due to low relative yields on municipal bonds and stiff
competition from the stock market for investors' attention. Municipals have
performed fairly well this year because of the lack of new issues. Should
municipalities make a strong return to the market, prices could decline as
yields would be forced upward to attract investors. On the other hand, a stock
market correction could fuel demand in the municipal market, which should
improve performance.
/s/Martha F. Hodgman
Martha F. Hodgman
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- --------------------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years 5 Years Inception(a)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LOOMIS SAYLES MUNICIPAL BOND FUND (INSTITUTIONAL) 1.91 -1.46 5.02 5.41 6.41
Lipper General Municipal Debt Funds Index(b) 1.37 -1.93 4.59 5.27 6.25
Lehman Brothers Municipal Bond Index(c) 2.12 -0.08 5.52 6.07 6.79
</TABLE>
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
[CHART]
<TABLE>
<CAPTION>
Loomis Sayles Lipper General Lehman Brothers
Municipal Bond Municipal Debt Municipal
Fund Funds Index Bond Index
<S> <C> <C> <C>
5/31/91 $10,000 $10,000 $10,000
6/30/91 $10,011 $ 9,971 $ 9,990
7/31/91 $10,131 $10,097 $10,112
8/31/91 $10,300 $10,228 $10,245
9/30/91 $10,418 $10,366 $10,379
10/31/91 $10,528 $10,463 $10,472
11/30/91 $10,521 $10,476 $10,501
12/31/91 $10,780 $10,727 $10,726
1/31/92 $10,764 $10,721 $10,751
2/29/92 $10,797 $10,736 $10,755
3/31/92 $10,777 $10,741 $10,759
4/30/92 $10,877 $10,843 $10,854
5/31/92 $11,058 $10,993 $10,982
6/30/92 $11,237 $11,200 $11,165
7/31/92 $11,707 $11,593 $11,501
8/31/92 $11,500 $11,407 $11,389
9/30/92 $11,541 $11,453 $11,463
10/31/92 $11,315 $11,251 $11,351
11/30/92 $11,668 $11,537 $11,554
12/31/92 $11,791 $11,682 $11,672
1/31/93 $11,922 $11,820 $11,808
2/28/93 $12,367 $12,293 $12,235
3/31/93 $12,176 $12,152 $12,105
4/30/93 $12,344 $12,280 $12,227
5/31/93 $12,413 $12,345 $12,296
6/30/93 $12,625 $12,563 $12,502
7/31/93 $12,594 $12,556 $12,518
8/31/93 $12,895 $12,838 $12,779
9/30/93 $13,065 $12,986 $12,924
10/31/93 $13,080 $13,007 $12,949
11/30/93 $12,915 $12,876 $12,835
12/31/93 $13,149 $13,134 $13,106
1/31/94 $13,311 $13,279 $13,256
2/28/94 $12,971 $12,954 $12,912
3/31/94 $12,422 $12,412 $12,386
4/30/94 $12,493 $12,453 $12,492
5/31/94 $12,647 $12,563 $12,600
6/30/94 $12,581 $12,484 $12,523
7/31/94 $12,829 $12,699 $12,752
8/31/94 $12,833 $12,739 $12,796
9/30/94 $12,614 $12,542 $12,609
10/31/94 $12,359 $12,302 $12,385
11/30/94 $12,139 $12,049 $12,161
12/31/94 $12,441 $12,342 $12,428
1/31/95 $12,804 $12,717 $12,784
2/28/95 $13,180 $13,096 $13,155
3/31/95 $13,256 $13,217 $13,397
4/30/95 $13,260 $13,217 $13,322
5/31/95 $13,664 $13,639 $13,747
6/30/95 $13,499 $13,486 $13,627
7/31/95 $13,614 $13,574 $13,756
8/31/95 $13,742 $13,729 $13,931
9/30/95 $13,834 $13,815 $14,019
10/31/95 $14,049 $14,034 $14,223
11/30/95 $14,340 $14,314 $14,459
12/31/95 $14,499 $14,478 $14,598
1/31/96 $14,616 $14,548 $14,708
2/29/96 $14,469 $14,442 $14,609
3/31/96 $14,232 $14,221 $14,422
4/30/96 $14,160 $14,161 $14,381
5/31/96 $14,164 $14,170 $14,376
6/30/96 $14,283 $14,301 $14,532
7/31/96 $14,455 $14,424 $14,664
8/31/96 $14,421 $14,417 $14,661
9/30/96 $14,603 $14,637 $14,865
10/31/96 $14,777 $14,800 $15,033
11/30/96 $15,070 $15,049 $15,309
12/31/96 $14,983 $14,996 $15,244
1/31/97 $14,992 $14,994 $15,273
2/28/97 $15,121 $15,126 $15,413
3/31/97 $14,902 $14,939 $15,208
4/30/97 $15,032 $15,067 $15,335
5/31/97 $15,283 $15,284 $15,566
6/30/97 $15,442 $15,465 $15,732
7/31/97 $15,950 $15,929 $16,167
8/31/97 $15,726 $15,747 $16,016
9/30/97 $15,956 $15,945 $16,206
10/31/97 $16,034 $16,051 $16,310
11/30/97 $16,153 $16,143 $16,406
12/31/97 $16,456 $16,404 $16,645
1/31/98 $16,618 $16,562 $16,817
2/28/98 $16,598 $16,562 $16,822
3/31/98 $16,577 $16,579 $16,837
4/30/98 $16,455 $16,478 $16,761
5/31/98 $16,762 $16,746 $17,026
6/30/98 $16,812 $16,806 $17,094
7/31/98 $16,848 $16,839 $17,136
8/31/98 $17,172 $17,101 $17,401
9/30/98 $17,431 $17,304 $17,618
10/31/98 $17,349 $17,241 $17,618
11/30/98 $17,398 $17,299 $17,679
12/31/98 $17,471 $17,329 $17,724
1/31/99 $17,715 $17,518 $17,935
2/28/99 $17,556 $17,420 $17,857
3/31/99 $17,516 $17,127 $17,881
4/30/99 $17,583 $17,475 $17,926
5/31/99 $17,406 $17,351 $17,822
6/30/99 $17,060 $17,076 $17,565
7/31/99 $17,173 $17,107 $17,629
8/31/99 $16,994 $16,903 $17,488
9/30/99 $16,936 $16,859 $17,495
10/31/99 $16,739 $16,625 $17,306
11/30/99 $16,944 $16,783 $17,490
12/31/99 $16,776 $16,623 $17,359
1/31/00 $16,638 $16,490 $17,284
2/29/00 $16,890 $16,723 $17,485
3/31/00 $17,256 $17,090 $17,867
</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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(a): INCEPTION DATE OF THE LOOMIS SAYLES MUNICIPAL BOND FUND IS MAY 29, 1991.
SINCE LIPPER GENERAL MUNICIPAL DEBT FUNDS INDEX 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
UNMANAGED 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 AN UNMANAGED INDEX 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.
LOOMIS SAYLES FIXED INCOME FUNDS 21
<PAGE>
FUND AND MANAGER REVIEW
LOOMIS SAYLES SHORT-TERM BOND FUND
[PHOTO]
JOHN HYLL
KEY FUND FACTS
OBJECTIVE High total investment return
STRATEGY Invests 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: 0.37%, Retail: 0.61%
TOTAL NET ASSETS (ALL CLASSES) $36.2 MM
- --------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional and Retail
classes of the Short-Term Bond Fund returned 1.88% and 1.86%, respectively,
compared to the 1.89% 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 Inc., posted a total return of 1.93% for the same
period.
PORTFOLIO REVIEW
The five-year U.S. Treasury went from being the worst performer during the
fourth quarter of 1999 to a strong performer during the first quarter of 2000.
While interest rates continued to rise, securities maturing in five years and
beyond rallied in the first quarter of 2000. The catalyst was the U.S. Treasury
department, which announced a buyback program of its long-term debt. This
triggered an inverted yield curve in which bonds with maturities of five years
and longer generally declined in yield. The Fund's yield curve positioning
reflected approximately 16% invested in maturities of less than one year and 12%
of the Fund invested in maturities greater than five years contributed nicely to
performance.
In general, corporate bond returns were mixed during the period, as spreads
tightened in the fourth quarter of 1999 and widened in the first quarter of
2000. As spreads widened, we took advantage of cheaper valuations and increased
the Fund's allocation to corporate bonds from 48% on December 31, 1999, to 51%
on March 31, 2000. The Fund also realized generally positive results from
mortgage and agency holdings.
PORTFOLIO POSITIONING
We plan to maintain overweighted positions in corporate and mortgage-backed
securities and a longer average maturity relative to the benchmark. Given the
very wide yield spreads and inverted yield curve, we believe the Fund is
positioned to take advantage of a narrowing of yield spreads and the return to a
more normally-shaped yield curve.
/s/John Hyll
John Hyll
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- --------------------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years 5 Years Inception(a)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LOOMIS SAYLES SHORT-TERM BOND FUND (INSTITUTIONAL) 1.88 3.66 5.71 5.87 5.52
LOOMIS SAYLES SHORT-TERM BOND FUND (RETAIL) 1.86 3.40 5.42 5.70 5.40
Lipper Short Investment Grade Debt Funds Index(b) 1.98 3.40 5.30 5.79 5.28
Lehman Brothers 1-3 Year Government/Corporate
Bond Index(c) 1.89 3.72 5.79 6.11 5.42
</TABLE>
CUMULATIVE PERFORMANCE-AUGUST 31, 1992 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
[CHART]
<TABLE>
<CAPTION>
Loomis Sayles Lipper Short Lehman Brothers
Short-Term Bond Investment Grade 1-3 Year Government/
Fund(d) Debt Funds Index Corporate Bond Index
<S> <C> <C> <C>
8/31/92 $10,000 $10,000 $10,000
9/30/92 $10,103 $10,066 $10,095
10/31/92 $10,020 $10,011 $10,034
11/30/92 $ 9,984 $10,024 $10,020
12/31/92 $10,052 $10,100 $10,115
1/31/93 $10,181 $10,219 $10,223
2/28/93 $10,334 $10,330 $10,307
3/31/93 $10,377 $10,380 $10,340
4/30/93 $10,442 $10,435 $10,405
5/31/93 $10,443 $10,454 $10,381
6/30/93 $10,519 $10,544 $10,460
7/31/93 $10,542 $10,603 $10,484
8/31/93 $10,639 $10,699 $10,572
9/30/93 $10,669 $10,734 $10,606
10/31/93 $10,721 $10,788 $10,630
11/30/93 $10,720 $10,793 $10,633
12/31/93 $10,751 $10,863 $10,677
1/31/94 $10,825 $10,934 $10,745
2/28/94 $10,759 $10,873 $10,680
3/31/94 $10,702 $10,790 $10,624
4/30/94 $10,670 $10,748 $10,584
5/31/94 $10,686 $10,760 $10,599
6/30/94 $10,729 $10,769 $10,626
7/31/94 $10,840 $10,831 $10,723
8/31/94 $10,894 $10,888 $10,759
9/30/94 $10,884 $10,873 $10,736
10/31/94 $10,916 $10,891 $10,760
11/30/94 $10,926 $10,872 $10,715
12/31/94 $10,943 $10,846 $10,735
1/31/95 $11,064 $10,957 $10,883
2/28/95 $11,221 $11,087 $11,033
3/31/95 $11,298 $11,148 $11,096
4/30/95 $11,384 $11,244 $11,195
5/31/95 $11,575 $11,449 $11,384
6/30/95 $11,650 $11,520 $11,453
7/31/95 $11,666 $11,557 $11,499
8/31/95 $11,752 $11,634 $11,569
9/30/95 $11,814 $11,690 $11,626
10/31/95 $11,899 $11,800 $11,723
11/30/95 $12,021 $11,900 $11,823
12/31/95 $12,103 $11,982 $11,913
1/31/96 $12,232 $12,090 $12,015
2/29/96 $12,149 $12,046 $11,969
3/31/96 $12,117 $11,992 $11,961
4/30/96 $12,122 $12,001 $11,973
5/31/96 $12,093 $12,025 $12,000
6/30/96 $12,215 $12,111 $12,088
7/31/96 $12,237 $12,161 $12,135
8/31/96 $12,259 $12,204 $12,180
9/30/96 $12,409 $12,321 $12,291
10/31/96 $12,473 $12,453 $12,294
11/30/96 $12,700 $12,557 $12,523
12/31/96 $12,670 $12,582 $12,525
1/31/97 $12,723 $12,626 $12,586
2/28/97 $12,763 $12,669 $12,617
3/31/97 $12,725 $12,656 $12,607
4/30/97 $12,833 $12,757 $12,711
5/31/97 $12,928 $12,843 $12,799
6/30/97 $13,035 $12,932 $12,889
7/31/97 $13,221 $13,079 $13,032
8/31/97 $13,208 $13,089 $13,044
9/30/97 $13,345 $13,191 $13,141
10/31/97 $13,455 $13,272 $13,239
11/30/97 $13,501 $13,305 $13,272
12/31/97 $13,575 $13,385 $13,360
1/31/98 $13,741 $13,501 $13,489
2/28/98 $13,736 $13,519 $13,500
3/31/98 $13,791 $13,575 $13,552
4/30/98 $13,845 $13,638 $13,619
5/31/98 $13,929 $13,711 $13,694
6/30/98 $14,012 $13,773 $13,764
7/31/98 $14,067 $13,834 $13,828
8/31/98 $14,224 $13,928 $13,987
9/30/98 $14,496 $14,075 $14,175
10/31/98 $14,405 $14,056 $14,237
11/30/98 $14,431 $14,093 $14,234
12/31/98 $14,479 $14,153 $14,289
1/31/99 $14,524 $14,225 $14,350
2/28/99 $14,359 $14,178 $14,290
3/31/99 $14,499 $14,288 $14,391
4/30/99 $14,578 $14,340 $14,440
5/31/99 $14,523 $14,321 $14,429
6/30/99 $14,572 $14,348 $14,471
7/31/99 $14,591 $14,364 $14,513
8/31/99 $14,626 $14,392 $14,551
9/30/99 $14,753 $14,488 $14,649
10/31/99 $14,783 $14,519 $14,692
11/30/99 $14,844 $14,567 $14,725
12/31/99 $14,766 $14,598 $14,740
1/31/00 $14,831 $14,604 $14,740
2/29/00 $14,961 $14,699 $14,842
3/31/00 $15,030 $14,775 $14,926
</TABLE>
Foreign investments involve special risks including greater economic, political
and currency fluctuation risks, which may be even greater in emerging markets.
In addition, foreign countries may have different accounting standards than
those of the U.S., which may adversely affect the value of the fund. Small and
mid-cap stocks may be more volatile and subject to wider value fluctuations than
larger, more established companies. The secondary market of small and mid-cap
stocks may be less liquid, or harder to sell, which could also adversely impact
the fund's value
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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(a): INCEPTION DATE OF THE INSTITUTIONAL CLASS OF SHARES IS AUGUST 3, 1992.
SINCE LIPPER SHORT INVESTMENT GRADE DEBT FUNDS INDEX 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. PERFORMANCE SHOWN FOR PERIODS PRIOR TO THE INCEPTION DATE OF THE
RETAIL CLASS (DECEMBER 31, 1996) REPRESENT THE PERFORMANCE OF THE
INSTITUTIONAL CLASS OF SHARES DURING THE PERIOD SHOWN, ADJUSTED TO REFLECT
THE CURRENT LEVELS OF MANAGEMENT AND 12B-1 FEES PAYABLE BY THE RESPECTIVE
CLASS OF SHARES.
(b): THE LIPPER SHORT INVESTMENT GRADE DEBT FUNDS INDEX IS AN EQUALLY WEIGHTED
UNMANAGED 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 IS AN UNMANAGED
INDEX CONSISTING 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.
LOOMIS SAYLES FIXED INCOME FUNDS 23
<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: 0.50%
TOTAL NET ASSETS (ALL CLASSES) $13.7 MM
- --------------------------------------------------------------------------------
PERFORMANCE
For the six-month period ended March 31, 2000, the Institutional class of the
U.S. Government Securities Fund returned 4.41%, compared to the 2.70% return for
the Fund's benchmark, the Lehman Brothers Government Bond Index. The average
general U.S. government debt fund, as measured by Lipper Analytical Services,
posted a total return of 1.86% for the same period.
PORTFOLIO REVIEW
Long-term U.S. Treasury bonds went from poor performers to top performers in the
course of the six-month period. During the fourth quarter of 1999, yields on
long-term Treasuries rose considerably, finishing the year at 6.48%. Longer
Treasuries represented a significant portion of the Fund, and rising yields on
these bonds, combined with the Fund's extended duration during the period,
contributed to the Fund's fourth-quarter underperformance.
Treasuries staged a strong rally in the first quarter of 2000, after the U.S.
Treasury Department made a surprise announcement that it was instituting a
buyback program of longer-term debt. At the same time, short-term rates
continued to rise as the Federal Reserve Board maintained its tightening course.
The result was an inverted yield curve, along with strong Fund performance. We
attempted to take advantage of the yield-curve anomaly by selling 30-year
Treasuries and purchasing 10-year securities. In addition, as long-term rates
declined, the Fund's longer duration aided performance relative to the peer
group.
Government mortgage-backed securities, which constituted approximately 30% of
the portfolio during the six-month period, outperformed Treasuries in the fourth
quarter of 1999 and underperformed widely in the first quarter of 2000.
PORTFOLIO POSITIONING
The Fund ended the period with a duration of 8.44 years, far longer than most
Fund competitors. While this positioning was a negative factor throughout 1999,
it has served the Fund well so far in 2000. Looking ahead, we will continue to
look for opportunities to benefit from moves in the yield curve and
supply/demand forces in the U.S. Treasury market.
/s/Kent P. Newmark
Kent P. Newmark
<PAGE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS (%)-PERIOD ENDED MARCH 31, 2000
- --------------------------------------------------------------------------------------------------------------------
Since
6 Months 1 Year 3 Years 5 Years Inception(a)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES
FUND (INSTITUTIONAL) 4.41 3.06 8.47 7.99 8.79
Lipper General U.S. Government
Funds Index(b) 1.86 0.86 5.76 6.06 6.19
Lehman Brothers Government Bond Index(c) 2.70 2.50 7.04 7.16 7.45
</TABLE>
[CHART]
CUMULATIVE PERFORMANCE-MAY 31, 1991 TO MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Loomis Sayles Lipper General Lehman Brothers
U.S. Government U.S. Government Government
Securities Fund Funds Index Bond Index
<S> <C> <C> <C>
5/31/91 $10,000 $10,000 $10,000
6/30/91 $ 9,970 $ 9,975 $ 9,986
7/31/91 $10,120 $10,111 $10,104
8/31/91 $10,399 $10,334 $10,339
9/30/91 $10,688 $10,544 $10,555
10/31/91 $10,769 $10,637 $10,648
11/30/91 $10,880 $10,707 $10,755
12/31/91 $11,494 $11,073 $11,121
1/31/92 $11,099 $10,883 $10,948
2/29/92 $11,259 $10,942 $10,991
3/31/92 $11,110 $10,875 $10,926
4/30/92 $11,057 $10,934 $10,995
5/31/92 $11,393 $11,129 $11,198
6/30/92 $11,588 $11,275 $11,359
7/31/92 $12,034 $11,503 $11,645
8/31/92 $12,144 $11,598 $11,753
9/30/92 $12,397 $11,716 $11,920
10/31/92 $12,098 $11,562 $11,748
11/30/92 $12,143 $11,570 $11,730
12/31/92 $12,500 $11,749 $11,925
1/31/93 $12,788 $11,943 $12,178
2/28/93 $13,206 $12,121 $12,422
3/31/93 $13,218 $12,164 $12,464
4/30/93 $13,322 $12,239 $12,559
5/31/93 $13,347 $12,247 $12,546
6/30/93 $13,832 $12,472 $12,824
7/31/93 $14,042 $12,540 $12,902
8/31/93 $14,547 $12,752 $13,190
9/30/93 $14,597 $12,766 $13,241
10/31/93 $14,620 $12,799 $13,291
11/30/93 $14,408 $12,660 $13,145
12/31/93 $14,465 $12,726 $13,196
1/31/94 $14,836 $12,891 $13,376
2/28/94 $14,314 $12,649 $13,093
3/31/94 $13,710 $12,329 $12,799
4/30/94 $13,487 $12,187 $12,698
5/31/94 $13,403 $12,141 $12,682
6/30/94 $13,333 $12,089 $12,653
7/31/94 $13,732 $12,290 $12,885
8/31/94 $13,718 $12,292 $12,888
9/30/94 $13,320 $12,106 $12,706
10/31/94 $13,251 $12,070 $12,696
11/30/94 $13,309 $12,038 $12,673
12/31/94 $13,561 $12,123 $12,750
1/31/95 $13,914 $12,336 $12,988
2/28/95 $14,223 $12,612 $13,267
3/31/95 $14,326 $12,670 $13,350
4/30/95 $14,519 $12,827 $13,525
5/31/95 $15,252 $13,292 $14,070
6/30/95 $15,371 $13,373 $14,178
7/31/95 $15,306 $13,325 $14,126
8/31/95 $15,610 $13,481 $14,292
9/30/95 $15,838 $13,607 $14,430
10/31/95 $16,067 $13,787 $14,650
11/30/95 $16,360 $13,982 $14,878
12/31/95 $16,685 $14,177 $15,089
1/31/96 $16,700 $14,249 $15,181
2/29/96 $16,120 $13,957 $14,872
3/31/96 $15,901 $13,839 $14,748
4/30/96 $15,699 $13,744 $14,654
5/31/96 $15,618 $13,693 $14,629
6/30/96 $15,906 $13,852 $14,818
7/31/96 $15,945 $13,879 $14,855
8/31/96 $15,750 $13,842 $14,822
9/30/96 $16,188 $14,075 $15,068
10/31/96 $16,776 $14,380 $15,399
11/30/96 $17,237 $14,633 $15,667
12/31/96 $16,905 $14,482 $15,507
1/31/97 $16,854 $14,513 $15,524
2/28/97 $16,854 $14,544 $15,546
3/31/97 $16,486 $14,372 $15,381
4/30/97 $16,893 $14,585 $15,603
5/31/97 $17,081 $14,706 $15,738
6/30/97 $17,354 $14,880 $15,914
7/31/97 $18,161 $15,291 $16,366
8/31/97 $17,849 $15,131 $16,204
9/30/97 $18,248 $15,362 $16,448
10/31/97 $18,613 $15,588 $16,732
11/30/97 $18,824 $15,644 $16,818
12/31/97 $19,058 $15,803 $16,994
1/31/98 $19,343 $16,003 $17,248
2/28/98 $19,272 $15,972 $17,201
3/31/98 $19,308 $16,012 $17,250
4/30/98 $19,432 $16,074 $17,328
5/31/98 $19,666 $16,224 $17,506
6/30/98 $19,901 $16,382 $17,705
7/31/98 $19,929 $16,386 $17,732
8/31/98 $20,387 $16,707 $18,193
9/30/98 $20,881 $17,085 $18,684
10/31/98 $20,723 $16,958 $18,620
11/30/98 $20,871 $16,996 $18,626
12/31/98 $20,827 $17,042 $18,668
1/31/99 $21,015 $17,140 $18,776
2/28/99 $20,414 $16,770 $18,330
3/31/99 $20,414 $16,856 $18,402
4/30/99 $20,520 $16,900 $18,444
5/31/99 $20,272 $16,714 $18,282
6/30/99 $20,082 $16,628 $18,245
7/31/99 $19,976 $16,533 $18,218
8/31/99 $19,918 $16,488 $18,215
9/30/99 $20,151 $16,690 $18,386
10/31/99 $20,224 $16,716 $18,395
11/30/99 $20,126 $16,702 $18,370
12/31/99 $19,899 $16,589 $18,251
1/31/00 $19,999 $16,538 $18,277
2/29/00 $20,479 $16,748 $18,537
3/31/00 $21,039 $17,000 $18,862
</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. PERFORMANCE DATA REFLECTS CERTAIN FEE WAIVERS AND
REIMBURSEMENTS, AND THAT, WITHOUT SUCH WAIVERS, PERFORMANCE, AND THEREFORE
RANKINGS, WOULD BE LOWER.
(a): INCEPTION DATE OF THE LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND IS
MAY 21, 1991. SINCE LIPPER GENERAL U.S. GOVERNMENT FUNDS INDEX 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
UNMANAGED 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 AN UNMANAGED INDEX 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.
25
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-93.1% OF NET ASSETS
NON-CONVERTIBLE BONDS--76.8%
AEROSPACE/DEFENSE--1.5%
Lockheed Martin Corp., 7.750%, 5/01/26 USD 2,500,000 $ 2,334,150
Loral Corp., 7.000%, 9/15/23 3,020,000 2,589,016
Raytheon Co., 6.400%, 12/15/18 17,000,000 14,055,600
Raytheon Co., 7.000%, 11/01/28 3,450,000 2,970,415
Raytheon Co., 7.200%, 8/15/27 5,000,000 4,427,000
--------------
26,376,181
--------------
AIRLINES--0.2%
Delta Air Lines, Inc., 8.300%, 12/15/29 2,500,000 2,276,675
NWA Trust, 9.360%, 3/10/06 632,700 666,680
--------------
2,943,355
--------------
AUTO & RELATED--1.1%
Dana Corp., 7.000%, 3/01/29 3,250,000 2,780,083
Delphi Automotive Systems Corp., 7.125%, 5/01/29 3,900,000 3,369,639
TRW, Inc., 6.650%, 1/15/28 3,350,000 2,698,760
TRW, Inc., 7.750%, 6/01/29 10,500,000 9,720,070
--------------
18,568,552
--------------
BANKS/SAVINGS & LOANS--0.4%
First Union Institutional Trust, 7.850%, 1/01/27 2,000,000 1,857,440
Keycorp Capital II, 6.875%, 3/17/29 5,000,000 4,315,000
--------------
6,172,440
--------------
BROADCASTING--0.2%
CBS, Inc., 7.125%, 11/01/23 1,435,000 1,296,035
Fox Family Worldwide, Inc., Zero Coupon Bond,
11/01/07 (step to 10.250% on 11/01/02)# 4,975,000 3,034,750
--------------
4,330,785
--------------
BUILDING MATERIALS--0.3%
Owens Corning, 7.500%, 8/01/18 5,925,000 4,958,159
--------------
CANADIAN--18.7%
Canadian Government, Zero Coupon Bond, 6/01/22 CAD 11,050,000 2,200,479
Canadian Government, Zero Coupon Bond, 6/01/25 301,510,000 52,782,695
Clearnet Communications, Inc., Zero Coupon Bond,
8/13/07 (step to 11.750% on 8/13/02)# 38,000,000 18,662,761
Clearnet Communications, Inc., Zero Coupon Bond,
5/15/08 (step to 10.400% on 5/15/03)# 4,160,000 1,777,839
Clearnet Communications, Inc., Zero Coupon Bond,
2/15/09 (step to 10.750% on 2/15/04)# 2,400,000 942,960
Hydro Quebec, Zero Coupon Bond, 8/15/20 35,000,000 6,526,900
Microcell Telecommunications, Inc., Zero Coupon
Bond, 10/15/07 (step to 11.125% on 10/15/02)# 5,000,000 2,369,464
Milit-Air, Inc., 5.750%, 6/30/19 6,950,000 4,533,704
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
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BONDS AND NOTES-CONTINUED
CANADIAN--CONTINUED
New Brunswick FM Project, Zero Coupon Bond,
11/30/27 (step to 6.470% on 5/30/03) 144A# CAD 10,000,000 $ 5,540,100
Ontario Hydro, Zero Coupon Bond, 11/27/20 1,507,000 291,937
Ontario Hydro, Zero Coupon Bond, 10/15/21 114,125,000 21,026,690
Province of Alberta, 5.394%, 6/14/13 15,559,500 10,201,755
Province of Alberta, 5.400%, 6/15/10 5,000,000 3,299,018
Province of Alberta, 5.930%, 9/16/16 26,224,650 17,744,367
Province of British Columbia, Zero Coupon Bond, 8/23/13 25,000,000 7,445,632
Province of British Columbia, Zero Coupon Bond, 6/09/14 10,000,000 2,831,018
Province of British Columbia, Zero Coupon Bond, 9/05/20 54,528,000 10,606,039
Province of British Columbia, Zero Coupon Bond, 6/09/22 96,208,000 16,778,622
Province of British Columbia, Zero Coupon Bond, 8/19/22 31,387,000 5,407,672
Province of British Columbia, Zero Coupon Bond, 9/08/23 37,950,000 6,126,934
Province of British Columbia, Zero Coupon Bond, 8/23/24 122,250,000 18,606,943
Province of British Columbia, Zero Coupon Bond, 11/19/27 41,600,000 5,223,979
Province of Manitoba, Zero Coupon Bond, 7/22/13 2,500,000 740,479
Province of Manitoba, Zero Coupon Bond, 3/05/31 36,929,000 3,800,957
Province of Manitoba, 6.500%, 9/22/17 34,300,000 23,613,390
Province of Manitoba, 7.750%, 12/22/25 39,245,000 31,810,700
Province of Newfoundland, 6.150%, 4/17/28 2,500,000 1,638,291
Province of Ontario, Zero Coupon Bond, 7/13/22 13,000,000 2,313,162
Province of Ontario, Zero Coupon Bond, 6/02/27 167,775,000 22,957,102
Province of Ontario, Zero Coupon Bond, 3/08/29 18,600,000 2,323,670
Province of Ontario (Certificate of Deposit),
Zero Coupon Bond, 12/02/25 7,650,000 1,127,554
Province of Saskatchewan, Zero Coupon Bond, 4/10/14 27,000,000 7,770,491
Province of Saskatchewan (Certificate of Deposit),
Zero Coupon Bond, 2/04/22 2,350,000 414,342
Province of Saskatchewan (Certificate of Deposit),
Zero Coupon Bond, 5/30/25 36,780,000 5,270,765
--------------
324,708,411
--------------
CHEMICALS--SPECIALTY--0.2%
Methanex Corp., 7.750%, 8/15/05 USD 5,000,000 3,200,000
--------------
COMMUNICATIONS--0.3%
Century Communications Corp., 8.375%, 11/15/17 5,000,000 4,100,000
Charter Communications Holdings, Zero Coupon Bond,
4/01/11 (step to 9.920% on 4/04/04) 1,000,000 550,000
--------------
4,650,000
--------------
COMPUTER HARDWARE--1.0%
Seagate Technology, Inc., 7.370%, 3/01/07 6,000,000 5,218,020
Seagate Technology, Inc., 7.450%, 3/01/37 5,237,000 4,190,281
Seagate Technology, Inc., 7.875%, 3/01/17 10,250,000 7,696,315
--------------
17,104,616
--------------
</TABLE>
27
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
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BONDS AND NOTES-CONTINUED
COMPUTER SERVICES--0.3%
Rhythms NetConnections, Inc., Series B, Zero Coupon
Bond, 5/15/08 (step to 13.50% on 5/15/03) USD 9,000,000 $ 4,410,000
--------------
ELECTRONIC COMPONENTS--0.9%
Westinghouse Electric Corp., 7.875%, 9/01/23 15,350,000 15,021,357
Zenith Electronics Corp., 8.190%, 11/01/09 1,161,000 417,960
--------------
15,439,317
--------------
ELECTRONIC COMPONENTS--SEMICONDUCTORS--0.2%
Micron Technology, Inc., 6.500%, 9/30/05 144A 3,000,000 2,490,000
Pioneer Standard Electronics, Inc., 8.500%, 8/01/06 1,000,000 956,847
--------------
3,446,847
--------------
ENTERTAINMENT--3.8%
Boston Celtics Ltd., 6.000%, 6/30/38 1,230,000 654,975
Time Warner Entertainment Co., 6.875%, 6/15/18 8,710,000 7,916,519
Time Warner Entertainment Co., 6.950%, 1/15/28 38,900,000 34,727,197
Time Warner Entertainment Co., 7.570%, 2/01/24 17,170,000 16,511,702
Time Warner, Inc., 6.625%, 5/15/29 7,500,000 6,391,200
--------------
66,201,593
--------------
FINANCIAL SERVICES--2.1%
Merey Sweeny LP, 8.850%, 12/18/19 144A 5,000,000 4,921,150
Security Capital Group, Inc., 7.700%, 6/15/28 16,725,000 13,813,010
US West Capital Funding, Inc., 6.500%, 11/15/18 2,000,000 1,734,000
US West Capital Funding, Inc., 6.875%, 7/15/28 18,550,000 16,354,979
--------------
36,823,139
--------------
FOOD & BEVERAGE--1.9%
Borden, Inc., 7.875%, 2/15/23 5,500,000 4,395,820
ConAgra, Inc., 7.000%, 10/01/28 23,375,000 20,475,799
Pepsi Bottling Group, Inc., 7.000%, 3/01/29 8,500,000 7,682,113
--------------
32,553,732
--------------
FOREIGN GOVERNMENT/AGENCY--6.4%
Escom, 11.000%, 6/01/08 ZAR 43,250,000 5,525,856
Republic of Argentina, 6.000%, 3/31/23 USD 1,000,000 702,550
Republic of Brazil, 10.125%, 5/15/27 36,181,000 29,487,515
Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 42,401,616 31,750,330
Republic of Ecuador, 7.1875%, 2/27/15++ ^ 2,386,918 660,890
Republic of Panama, 4.250%, 7/17/14
(step to 4.500% on 7/17/00) 950,000 760,000
Republic of Peru, 3.750%, 3/07/17
(step to 4.000% on 3/07/01) 6,000,000 3,675,000
Republic of South Africa, 12.000%, 2/28/05 ZAR 20,000,000 2,896,362
Republic of South Africa, 12.500%, 12/21/06 42,450,000 6,098,222
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
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BONDS AND NOTES-CONTINUED
FOREIGN GOVERNMENT/AGENCY--CONTINUED
Republic of South Africa, 13.500%, 9/15/15 ZAR 64,350,000 $ 9,446,550
Republic of Venezuela, 9.250%, 9/15/27 USD 31,350,000 20,691,000
--------------
111,694,275
--------------
FOREIGN ISSUER--10.5%
APP China Group Ltd., 14.000%, 3/15/10 4,800,000 4,152,000
Bangko Sentral Pilipinas, 8.600%, 6/15/27 2,500,000 1,956,675
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 44,185,000 34,795,687
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 10,500,000 8,574,510
Compania de Alimentos Fargo SA, 13.250%, 8/01/08 3,000,000 2,670,000
Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 7,850,000 6,515,500
Hyundai Semiconductor, 8.625%, 5/15/07 144A 500,000 452,241
Indah Kiat Finance Mauritius Ltd., 10.000%, 7/01/07 500,000 350,000
Industrial Finance Corp. of Thailand,
7.375%, 1/14/07 144A 1,500,000 1,419,795
Korea Electric Power Corp., 7.400%, 4/01/16 11,486,537 10,450,566
Multicanal SA, 10.500%, 4/15/18 4,000,000 3,360,000
PDVSA Finance Ltd., 7.400%, 8/15/16 3,000,000 2,291,757
PDVSA Finance Ltd., 7.500%, 11/15/28 1,000,000 710,650
Perez Companc SA, 8.125%, 7/15/07 144A 3,590,000 3,123,300
Petroleos Mexicanos, 8.625%, 12/01/23 144A 3,100,000 2,852,000
Petroleos Mexicanos, 9.250%, 3/30/18 2,500,000 2,431,250
Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07 12,360,000 8,837,400
Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27 16,250,000 9,587,500
Pindo Deli Finance Mauritius Ltd., 11.750%, 10/01/17 2,200,000 1,518,000
Pycsa Panama SA, 10.280%, 12/15/12 144A 1,958,000 1,174,800
Quezon Power Philippines Co., 8.860%, 6/15/17 7,875,000 6,112,969
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 12,500,000 9,750,000
Siam Commercial Bank Public Co. Ltd.,
7.500%, 3/15/06 144A 7,000,000 5,880,000
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 10,525,000 8,926,968
TFM SA de CV, Zero Coupon Bond, 6/15/09
(step to 11.750% on 6/15/02)# 5,650,000 3,955,000
Thai Farmers Bank Plc, 8.250%, 8/21/16 144A 18,140,000 14,285,250
Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04 17,200,000 12,814,000
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A 12,575,000 10,563,000
Transener SA, 9.250%, 4/01/08 144A 2,250,000 2,064,375
--------------
181,575,193
--------------
FOREST & PAPER PRODUCTS--0.3%
Georgia-Pacific Group, 7.375%, 12/01/25 5,400,000 4,866,156
--------------
GOVERNMENT AGENCIES--5.1%
Federal Home Loan Mortgage Corp., 5.750%, 12/15/25 5,276,200 4,718,875
Federal Home Loan Mortgage Corp., 6.000%, 4/15/28 5,000,000 4,445,300
</TABLE>
29
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
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AMOUNT VALUE +
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BONDS AND NOTES-CONTINUED
GOVERNMENT AGENCIES--CONTINUED
Federal National Mortgage Association,
Zero Coupon Bond, 10/29/07 NZD 103,925,000 $ 28,316,556
Federal National Mortgage Association,
6.000%, 7/01/29 USD 4,842,725 4,409,882
Federal National Mortgage Association, 6.250%, 5/15/29 23,000,000 20,735,880
Federal National Mortgage Association, 6.375%, 8/15/07 AUD 10,000,000 5,833,441
Federal National Mortgage Association, 6.625%, 9/15/09 USD 20,000,000 19,234,400
--------------
87,694,334
--------------
HEALTH CARE--PRODUCTS--0.5%
Bausch & Lomb, Inc., 7.125%, 8/01/28 10,200,000 8,629,710
--------------
HEALTH CARE--SERVICES--0.9%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 6,300,000 4,898,250
Columbia/HCA Healthcare Corp., 7.190%, 11/15/15 4,000,000 3,260,000
Columbia/HCA Healthcare Corp., 7.500%, 12/15/23 1,965,000 1,591,650
Columbia/HCA Healthcare Corp., 7.580%, 9/15/25 1,300,000 1,075,750
Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 5,000,000 4,006,250
--------------
14,831,900
--------------
HOME BUILDERS--0.3%
Pulte Corp., 7.300%, 10/24/05 1,000,000 922,230
Pulte Corp., 7.625%, 10/15/17 5,000,000 3,981,250
--------------
4,903,480
--------------
OIL & GAS--2.8%
Anadarko Petroleum Corp., 6.625%, 1/15/28 3,000,000 2,533,830
Chesapeake Energy Corp., 8.500%, 3/15/12 3,575,000 2,886,812
Global Marine, Inc., 7.000%, 6/01/28 1,000,000 861,100
Hvide Marine, Inc., 12.500%, 6/30/07 144A 5,425,000 4,882,500
Pennzoil-Quaker State Co., 7.375%, 4/01/29 2,421,000 1,754,039
Pioneer Natural Resources Co., 6.500%, 1/15/08 1,000,000 861,260
Pioneer Natural Resources Co., 7.200%, 1/15/28 2,000,000 1,480,000
Seagull Energy Corp., 7.500%, 9/15/27 3,850,000 3,137,750
Tennessee Gas Pipeline Co., 7.000%, 10/15/28 8,000,000 7,083,920
Union Pacific Resources Group, Inc., 7.150%, 5/15/28 11,500,000 10,148,175
Union Pacific Resources Group, Inc., 7.500%, 10/15/26 10,400,000 9,602,216
Union Pacific Resources Group, Inc., 7.950%, 4/15/29 3,950,000 3,766,246
--------------
48,997,848
--------------
OIL & GAS DRILLING EQUIPMENT--0.9%
R & B Falcon Corp., 6.750%, 4/15/05 2,500,000 2,162,500
R & B Falcon Corp., Series B, 7.375%, 4/15/18 18,000,000 13,770,000
--------------
15,932,500
--------------
OIL & GAS EXPLORATION--0.3%
Anadarko Petroleum Corp., 7.200%, 3/15/29 4,935,000 4,426,843
--------------
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
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BONDS AND NOTES-CONTINUED
RAIL--TRANSPORT--0.1%
Missouri Pacific Railroad Co., 5.000%, 1/01/45 USD 2,876,000 $ 1,466,760
--------------
REAL ESTATE INVESTMENT TRUSTS--3.3%
AMB Property Corp., 7.500%, 6/30/18 7,500,000 6,632,475
CarrAmerica Realty Corp., 6.875%, 3/01/08 1,500,000 1,355,400
EOP Operating LP, 7.500%, 4/19/29 3,500,000 3,038,455
First Industrial, 7.500%, 12/01/17 6,500,000 5,578,235
First Industrial, 7.600%, 7/15/28 18,750,000 15,857,250
Highwoods Realty LP, 7.500%, 4/15/18 3,750,000 3,185,400
Meditrust Corp., 7.000%, 8/15/07 5,000,000 2,925,000
Security Capital Industrial Trust, 7.625%, 7/01/17 2,125,000 1,896,138
Spieker Properties, Inc., 7.500%, 10/01/27 1,173,000 986,739
Susa Partnership LP, 7.450%, 7/01/18 6,500,000 5,566,730
Susa Partnership LP, 7.500%, 12/01/27 7,905,000 6,582,968
Susa Partnership LP, 8.200%, 6/01/17 760,000 702,726
Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17 5,000,000 3,557,050
--------------
57,864,566
--------------
RETAIL--GENERAL--1.3%
Dillon Read Structured Finance Corp., 7.430%, 8/15/18 2,000,000 1,694,380
Dillon Read Structured Finance Corp., 7.600%, 8/15/07 188,572 176,115
Dillon Read Structured Finance Corp., 8.550%, 8/15/19 500,000 431,705
Dillon Read Structured Finance Corp., Series A,
6.660%, 8/15/10 2,255,466 2,009,192
J.C. Penney Co., Inc., 6.875%, 10/15/15 500,000 350,965
J.C. Penney Co., Inc., 7.125%, 11/15/23 3,000,000 2,151,600
J.C. Penney Co., Inc., 7.950%, 4/01/17 1,000,000 772,140
K Mart Corp., 7.950%, 2/01/23 14,365,000 12,940,567
Woolworth Corp., 8.500%, 1/15/22 4,475,000 2,808,062
--------------
23,334,726
--------------
STEEL--0.0%
Geneva Steel Co., 9.500%, 1/15/04 ^ 3,500,000 665,000
--------------
SUPRANATIONAL--3.0%
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/07 NZD 152,375,000 43,176,797
International Bank for Reconstruction & Development,
8.000%, 5/23/07 19,000,000 9,541,897
--------------
52,718,694
--------------
TAXABLE MUNICIPAL--0.1%
Orange County, California Pension Obligation,
Zero Coupon Bond, 9/01/16 USD 5,000,000 1,478,800
--------------
</TABLE>
31
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
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BONDS AND NOTES-CONTINUED
TELECOMMUNICATIONS--3.8%
Intermedia Communications, Inc., Zero Coupon Bond,
3/01/09 (step to 12.250% on 3/01/04)# USD 10,000,000 $ 6,000,000
McCaw International Ltd., Zero Coupon Bond,
4/15/07 (step to 13.000% on 4/15/02)# 2,250,000 1,620,000
Nextel Communications, Inc., Zero Coupon Bond,
10/31/07 (step to 9.750% on 10/31/02)# 8,880,000 6,082,800
Nextel International, Inc., Zero Coupon Bond,
4/15/08 (step to 12.125% on 4/15/03)# 23,650,000 14,663,000
Nextlink Communications, Inc., Zero Coupon Bond,
4/15/08 (step to 9.450% on 4/15/03)# 5,000,000 2,950,000
Nextlink Communications, Inc., Zero Coupon Bond,
6/01/09 (step to 12.250% on 6/01/04)# 5,000,000 2,825,000
RCN Corp., Zero Coupon Bond, 10/15/07
(step to 11.125% on 10/15/02)# 8,350,000 5,344,000
RCN Corp., Zero Coupon Bond, 2/15/08
(step to 9.800% on 2/15/03)# 5,170,000 3,076,150
RCN Corp., Zero Coupon Bond, 7/01/08
(step to 11.000% on 7/01/03)# 15,650,000 9,155,250
Teligent, Inc., Zero Coupon Bond, 3/01/08
(step to 11.500% on 3/01/03)# 28,375,000 15,038,750
--------------
66,754,950
--------------
TEXTILE & APPAREL--0.6%
Burlington Industries, Inc., 7.250%, 8/01/27 9,000,000 6,075,000
Fruit of the Loom, Inc., 7.000%, 3/15/11 500,000 150,000
Fruit of the Loom, Inc., 7.375%, 11/15/23 ^ 3,000,000 1,170,000
Kellwood Co., 7.625%, 10/15/17 2,500,000 2,210,800
Phillips Van Heusen Corp., 7.750%, 11/15/23 1,000,000 772,500
--------------
10,378,300
--------------
TOBACCO--2.3%
Philip Morris Cos., Inc., 7.750%, 1/15/27 49,235,000 40,662,202
--------------
TRANSPORTATION--0.0%
American President Cos. Ltd., 8.000%, 1/15/24 1,425,000 840,750
--------------
UTILITIES--1.2%
AES Corp., 8.875%, 11/01/27 5,000,000 3,850,000
Boston Edison Co., 7.800%, 3/15/23 1,000,000 937,996
Commonwealth Edison Co., 4.750%, 12/01/11 838,000 648,696
KN Capital Trust, 7.630%, 4/15/28 15,750,000 13,947,223
Texas-New Mexico Power Co., 6.250%, 1/15/09 1,000,000 847,330
--------------
20,231,245
--------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $1,399,412,873) 1,331,835,359
--------------
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
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BONDS AND NOTES-CONTINUED
CONVERTIBLE BONDS--16.3%
AUTO & RELATED--0.5%
Exide Corp., 2.900%, 12/15/05 144A USD 5,625,000 $ 3,234,375
Magna International, Inc. Class A, 4.875%, 2/15/05 6,035,000 5,197,644
--------------
8,432,019
--------------
CANADIAN--0.2%
Rogers Communications, Inc., 2.000%, 11/26/05 3,000,000 3,067,500
--------------
COMPUTERS--0.6%
Cray Research, Inc., 6.125%, 2/01/11 635,000 384,175
Hutchinson Technology, Inc., 6.000%, 3/15/05 2,400,000 1,857,000
Maxtor Corp., 5.750%, 3/01/12 6,950,000 4,865,000
Quantum Corp. - DLT & Storage Systems, 7.000%,
8/01/04 881,000 709,205
Silicon Graphics, Inc., 5.250%, 9/01/04 1,275,000 953,063
Telxon Corp., 5.750%, 1/01/03 225,000 191,531
Western Digital, Zero Coupon Bond, 2/18/18 4,150,000 798,875
--------------
9,758,849
--------------
DIVERSIFIED OPERATIONS--1.6%
Ogden Corp., 5.750%, 10/20/02 1,750,000 1,460,476
Thermo Electron Corp., 4.250%, 1/01/03 144A 28,325,000 25,775,750
--------------
27,236,226
--------------
ELECTRONIC COMPONENTS--0.4%
EDO Corp., 7.000%, 12/15/11 934,000 735,525
Kent Electronics Corp., 4.500%, 9/01/04 6,975,000 6,190,313
--------------
6,925,838
--------------
ELECTRONIC COMPONENTS--SEMICONDUCTORS--0.2%
Cirrus Logic, Inc., 6.000%, 12/15/03 1,600,000 1,440,000
Lam Research Corp., 5.000%, 9/01/02 453,000 761,606
Park Electrochemical Corp., 5.500%, 3/01/06 1,000,000 826,250
Richardson Electronics Ltd., 7.250%, 12/15/06 450,000 331,875
--------------
3,359,731
--------------
ELECTRONIC MEASURING INSTRUMENTS--0.0%
Thermedics, Inc., Zero Coupon Bond, 6/01/03 950,000 665,000
--------------
ENVIRONMENTAL SERVICES--0.3%
Thermo TerraTech, Inc., 4.625%, 5/01/03 400,000 354,000
Thermo TerraTech, Inc., 4.625%, 5/01/03 144A 5,020,000 4,442,700
--------------
4,796,700
--------------
FINANCIAL SERVICES--0.6%
Bell Atlantic Financial Services, 5.750%, 4/01/03 10,450,000 10,639,667
--------------
</TABLE>
33
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
FOREIGN ISSUER--2.3%
APP Finance VII Mauritius Ltd.,
Zero Coupon Bond, 11/18/12 USD 7,000,000 $ 1,312,500
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 8,125,000 6,398,437
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 8,070,000 6,355,125
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04 14,700,000 7,938,000
Banpu Public Co., 2.750%, 4/10/03 1,080,000 1,155,600
Burns, Philp, 5.500%, 4/30/04 4,480,000 2,688,000
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 2,233,000
Sappi BVI Finance, 7.500%, 8/01/02 2,850,000 2,736,000
Siam Commercial Bank Public Co. Ltd., 3.250%,
1/24/04 3,075,000 1,645,125
Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 1,930,000 1,346,175
Ssangyong Oil Refining Co., Inc., 3.750%, 12/31/08 455,000 526,663
Total Access Communication Public Co. Ltd.,
2.000%, 5/31/06 3,400,000 3,825,000
--------------
40,342,625
--------------
FREIGHT TRANSPORTATION--0.1%
Builders Transportation, Inc., 8.000%, 8/15/05 ^ 1,000,000 1,250
Preston Corp., 7.000%, 5/01/11 750,000 562,500
Worldway Corp., 6.250%, 4/15/11 1,288,000 1,043,280
--------------
1,607,030
--------------
HEALTH CARE--BIOTECHNOLOGY--0.1%
Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 1,750,000 1,085,000
--------------
HEALTH CARE--DRUGS--0.4%
Dura Pharmaceuticals, Inc., 3.500%, 7/15/02 2,540,000 2,047,875
Glycomed, Inc., 7.500%, 1/01/03 1,148,100 1,057,102
NABI, Inc., 6.500%, 2/01/03 3,750,000 3,042,187
--------------
6,147,164
--------------
HEALTH CARE--PRODUCTS--0.1%
Centocor, Inc., 4.750%, 2/15/05 1,750,000 1,938,125
--------------
HEALTH CARE--SERVICES--0.2%
Healthsouth Corp., 3.250%, 4/01/03 3,000,000 2,325,000
Medical Care International, Inc., 6.750%, 10/01/06 1,500,000 1,267,500
--------------
3,592,500
--------------
HOME BUILDERS--0.0%
Schuler Homes, Inc., 6.500%, 1/15/03 750,000 615,000
--------------
INSURANCE--4.2%
Loews Corp., 3.125%, 9/15/07 80,700,000 72,125,625
--------------
MACHINERY--0.0%
Intevac, Inc., 6.500%, 3/01/04 1,250,000 637,500
--------------
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
MANUFACTURING--0.1%
FMC Corp., 6.750%, 1/16/05 USD 1,325,000 $ 1,126,250
Hexcel Corp., 7.000%, 8/01/11 1,775,000 1,136,000
--------------
2,262,250
--------------
MULTI-INDUSTRY--0.4%
Thermo Instrument Systems, Inc., 4.500%, 10/15/03
144A 7,243,000 6,627,345
--------------
OFFICE EQUIPMENT--0.5%
Xerox Corp., 0.570%, 4/21/18 16,800,000 9,156,000
--------------
OIL & GAS--2.5%
Baker Hughes, Inc., Zero Coupon Bond, 5/05/08 45,772,000 34,100,140
Diamond Offshore Drilling, Inc., 3.750%, 2/15/07 5,175,000 6,028,875
Key Energy Group, Inc., 5.000%, 9/15/04 2,950,000 2,201,438
Noram Energy Corp., 6.000%, 3/15/12 447,500 379,256
--------------
42,709,709
--------------
PUBLISHING--0.1%
Scholastic Corp., 5.000%, 8/15/05 144A 2,550,000 2,438,438
--------------
REAL ESTATE INVESTMENT TRUSTS--0.5%
Federal Realty Investors Trust, 5.250%, 10/28/03 2,250,000 1,912,500
Rockefeller Properties, Zero Coupon Bond, 12/31/00 7,000,000 5,740,000
Sizeler Property Investors, Inc., 8.000%, 7/15/03 1,175,000 1,075,125
--------------
8,727,625
--------------
RESTAURANTS--0.1%
Einstein/Noah Bagel Corp., 7.250%, 6/01/04 2,880,000 1,152,000
--------------
RETAIL--SPECIALTY--0.0%
Bell Sports Corp., 4.250%, 11/15/00 96,000 84,480
CML Group, Inc., 5.500%, 1/15/03 ^ 1,224,000 771
Jacobson Stores, Inc., 6.750%, 12/15/11 540,000 368,550
--------------
453,801
--------------
TELECOMMUNICATIONS--0.3%
Broadband Technologies, Inc., 5.000%, 5/15/01 9,800,000 5,390,000
--------------
TEXTILE & APPAREL--0.0%
Dixie Yarns, Inc., 7.000%, 5/15/12 265,000 180,200
Fieldcrest Cannon, Inc., 6.000%, 3/15/12 890,000 204,700
--------------
384,900
--------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $289,347,682) 282,274,167
--------------
TOTAL BONDS AND NOTES
(Identified Cost $1,688,760,555) 1,614,109,526
--------------
</TABLE>
35
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS--0.1% OF NET ASSETS
OIL & GAS--0.0%
Hvide Marine, Inc.* 45,939 $ 602,949
--------------
RESTAURANTS--0.1%
Advantica Restaurant Group, Inc. * 646,448 969,672
--------------
TOTAL COMMON STOCKS
(Identified Cost $12,248,663) 1,572,621
--------------
PREFERRED STOCKS-3.2% OF NET ASSETS
AEROSPACE/DEFENSE--0.2%
Coltec Capital Trust, 5.250% 88,500 3,219,187
--------------
AUTO & RELATED--0.0%
Federal-Mogul Financing Trust, 7.000% 27,500 797,500
--------------
BUILDING MATERIALS--0.2%
Owens Corning, 6.500% 73,500 2,590,875
--------------
CHEMICALS--MAJOR--0.0%
E.I. du Pont DeNemours & Co., $3.50 3,775 200,075
--------------
CONTAINERS--0.0%
Owens-Illinois, Inc., 4.750% 29,500 798,344
--------------
FREIGHT TRANSPORTATION--0.0%
Arkansas Best Corp., $2.875 16,670 625,125
--------------
METALS--0.2%
Bethlehem Steel Corp., $3.50 99,050 2,575,300
--------------
OIL & GAS--0.4%
Chesapeake Energy Corp., 7.000% 55,000 2,048,750
EVI, Inc., Conv., 5.000% 109,500 5,297,063
--------------
7,345,813
--------------
OIL & GAS DRILLING EQUIPMENT--0.2%
R & B Falcon Corp., 13.875% PIK 3,112 3,423,192
--------------
REAL ESTATE INVESTMENT TRUSTS--0.8%
AMB Property Corp., 8.50% 18,500 408,156
Archstone Communities Trust, Series C, 8.625% 6,900 138,431
Camden Property Trust, $2.25 13,500 299,531
CarrAmerica Realty Corp., Series B, 8.570% 101,200 1,922,800
CarrAmerica Realty Corp., Series C 8.55% 27,550 525,172
Developers Diversified Realty Corp., 9.440% 28,200 613,350
Developers Diversified Realty Corp., 9.500% 45,500 989,625
Duke-Weeks Realty Corp., Series F, 8.000% 8,103 155,983
Equity Office Properties Trust, Series C, 8.625% 29,300 631,781
Equity Residential Properties Trust, 7.250% 69,200 1,366,700
Equity Residential Properties Trust, Series L, 7.625% 72,068 1,315,241
First Industrial Realty Trust, Inc., Series D, 7.950% 30,200 547,375
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCKS-CONTINUED
REAL ESTATE INVESTMENT TRUSTS--CONTINUED
First Industrial Realty Trust, Inc., Series E, 7.900% 153,000 $ 2,811,375
Highwoods Properties, Inc., Series B, 8.000% 37,400 647,487
Highwoods Properties, Inc., Series D, 8.000% 6,800 120,700
Liberty Property Trust, Series A, 8.800% 5,300 106,331
ProLogis Trust, Series D, 7.92% 18,500 344,563
ProLogis Trust, Series E, 8.75% 10,000 216,250
Public Storage, Inc., Series K, 8.250% 18,750 404,297
Public Storage, Inc., Series L, 8.250% 35,000 748,125
Shurgard Storage Centers, Inc., Series C, 8.700% 3,400 69,063
Spieker Properties, Inc., 8.000% 6,600 136,538
--------------
14,518,874
--------------
TELECOMMUNICATIONS--1.1%
Adelphia Business Solutions, Inc., Series B, 12.875% PIK 17,429 16,870,838
Nextel Communications, Inc., 11.125% PIK 1,546 1,468,700
--------------
18,339,538
--------------
UTILITIES--0.1%
Central Maine Power Co., 3.500% 2,230 92,266
Connecticut Light & Power Co., $1.90 2,925 62,888
Entergy Louisiana, Inc., 4.160% 2,600 128,700
Jersey Central Power & Light Co., 4.000% 2,020 111,100
MDU Resources Group, Inc., 5.100% 144A 3,790 329,730
Minnesota Power & Light Co., 5.000% 200 12,000
Niagara Mohawk Power Corp., 4.850% 5,000 285,000
Northern States Power Co., $3.60 1,100 50,600
PECO Energy Co., $3.80 300 16,050
Public Service Co., 4.000% 360 19,440
--------------
1,107,774
--------------
TOTAL PREFERRED STOCKS
(Identified Cost $53,991,532) 55,541,597
--------------
WARRANTS-0.1% OF NET ASSETS
OIL & GAS--0.0%
Hvide Marine, Inc., expiring 06/30/07 144A * 30,619 137,785
Hvide Marine, Inc., expiring 12/15/03 * 4,212 8,424
--------------
146,209
--------------
OIL & GAS DRILLING EQUIPMENT--0.1%
R & B Falcon Corp., expiring 5/01/09 144A * 2,800 980,000
--------------
RETAIL--GENERAL--0.0%
Penn Traffic Co., expiring 6/07/05 * 1 1
--------------
TOTAL WARRANTS
(Identified Cost $483,928) 1,126,210
--------------
</TABLE>
37
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENT-1.9% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 3/31/00 at 4.750% to be repurchased
at $32,855,000 on 4/03/00 collateralized by
$27,055,000 U.S. Treasury Bond, 8.000% due
11/15/21 with a value of $33,500,448 USD 32,842,000 $ 32,842,000
--------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $32,842,000) 32,842,000
--------------
TOTAL INVESTMENTS--98.4%
(IDENTIFIED COST $1,788,326,678) @ 1,705,191,954
Cash and Other Assets, Less Liabilities--1.6% 28,256,975
--------------
NET ASSETS--100% $1,733,448,929
--------------
--------------
</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.
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.
++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate
(LIBOR) plus .8125%.
^ Security in default
* Non-income producing security
@ At March 31, 2000, the net unrealized depreciation on investments based on
cost of $1,788,326,678 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 $76,042,017 and $159,176,741, respectively, resulting in
net unrealized depreciation of $83,134,724.
KEY TO ABBREVIATIONS:
AUD: Australian Dollar
CAD: Canadian Dollar
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES GLOBAL BOND FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-90.7% OF NET ASSETS
ARGENTINA--1.1%
Republic of Argentina, 6.000%, 3/31/23 USD 700,000 $ 490,000
--------------
AUSTRALIA--8.7%
New South Wales Trust, 6.500%, 5/01/06 AUD 1,900,000 1,134,677
News America Holdings, Inc., 8.625%, 2/07/14 1,240,000 751,025
Queensland Treasury, 6.000%, 7/14/09 760,000 435,029
Queensland Treasury, 8.000%, 9/14/07 1,600,000 1,039,325
South Australia Government Finance Authority,
Zero Coupon Bond, 12/21/15 2,750,000 567,317
--------------
3,927,373
--------------
CANADA--4.4%
Government of Canada, 8.750%, 12/01/05 CAD 700,000 543,484
Magna International, Inc. Class A, 4.875%, 2/15/05 USD 600,000 516,750
Province of Ontario, 5.700%, 12/01/08 CAD 1,425,000 941,408
--------------
2,001,642
--------------
FINLAND--2.6%
Republic of Finland, 6.000%, 4/25/08 EUR 1,177,315 1,173,562
--------------
GERMANY--26.4%
Bayerische Vereinsbank, 6.000%, 1/23/06 1,022,583 1,009,445
Deutsche Ausgleichsbank, 4.000%, 7/04/09 1,850,000 1,613,722
Deutsche Finance BV, 7.500%, 2/10/03 2,300,000 1,188,138
Deutsche Telekom AG, 5.250%, 5/20/08 1,369,196 1,255,875
Eurohypo AG--Europaeische Hypothekenbank
der Deutschen Bank, 4.000%, 2/01/07 950,000 834,029
Federal Republic of Germany, 4.250%, 2/18/05 760,000 707,639
Federal Republic of Germany, 4.500%, 8/19/02 800,000 764,778
Federal Republic of Germany, 4.750%, 7/04/28 2,000,000 1,671,492
Kreditanstalt Wierdarauf, 6.000%, 2/09/06 1,062,421 1,054,766
Mannesmann Finance BV, 4.750%, 5/27/09
(step to 4.75% on 5/9/00)# 1,250,000 1,068,594
Westdt Landesbank, 5.250%, 10/14/05 766,937 732,583
--------------
11,901,061
--------------
IRELAND--6.2%
Republic of Ireland, 3.500%, 10/18/05 1,335,000 1,179,819
Republic of Ireland, 4.600%, 4/18/16 1,875,000 1,608,450
--------------
2,788,269
--------------
JAPAN--3.1%
MBL International Finance (Bermuda),
3.000%, 11/30/02 +++ USD 300,000 337,500
MBL International Finance (Bermuda),
3.000%, 11/30/02 +++ 950,000 1,068,750
--------------
1,406,250
--------------
</TABLE>
39
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
MALAYSIA--4.5%
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A USD 2,375,000 $ 2,014,399
--------------
NETHERLANDS--2.0%
Dutch Government, 5.750%, 9/15/02 EUR 907,560 888,956
--------------
NEW ZEALAND--4.8%
Government of New Zealand, 6.000%, 11/15/11 NZD 1,375,000 631,509
Government of New Zealand, 7.000%, 7/15/09 1,820,000 903,175
Government of New Zealand, 8.000%, 11/15/06 1,200,000 625,871
--------------
2,160,555
--------------
PERU--0.6%
Republic of Peru, 3.750%, 3/07/17
(step to 4.000% on 3/07/01)# USD 450,000 275,625
--------------
PHILIPPINES--6.0%
Bangko Sentral Pilipinas, 8.600%, 6/15/27 1,300,000 1,033,258
FLI Capital Cayman, 6.250%, 2/01/02 900,000 981,000
MBIA, Inc., Zero Coupon Bond, 12/18/01 800,000 686,000
--------------
2,700,258
--------------
SOUTH AFRICA--8.0%
Escom, 11.000%, 6/01/08 ZAR 6,000,000 766,593
Republic of South Africa, 8.500%, 6/23/17 USD 1,400,000 1,298,500
Republic of South Africa, 13.500%, 9/15/15 ZAR 4,600,000 679,371
Sappi BVI Finance, 7.500%, 8/01/02 USD 900,000 864,000
--------------
3,608,464
--------------
SOUTH KOREA--0.5%
Samsung Electronics Co. Ltd., 5.375%, 12/16/01 EUR 500,000 242,068
--------------
SUPRANATIONAL--0.9%
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/07 NZD 1,500,000 425,038
--------------
THAILAND--6.7%
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04 USD 2,800,000 1,512,000
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^ 700,000 203,000
Thai Farmers Bank Plc, 8.250%, 8/21/16 144A 1,650,000 1,299,375
--------------
3,014,375
--------------
UNITED KINGDOM--1.6%
Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08
(step to 11.625% on 6/01/03)# EUR 1,700,000 725,993
--------------
UNITED STATES--2.6%
Federal National Mortgage Association, 6.375%, 8/15/07 AUD 525,000 306,256
Household Finance Corp., 5.125%, 6/24/09 EUR 430,000 380,263
United States Treasury Notes, 5.625%, 5/15/08 USD 500,000 480,390
--------------
1,166,909
--------------
TOTAL BONDS AND NOTES
(Identified Cost $44,851,343) 40,910,797
--------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2000 (UNAUDITED)
SHARES VALUE +
- -------------------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCKS - 2.2% OF NET ASSETS
JAPAN--2.2%
Sanwa International Ltd. (Bermuda) 99,000,000 $ 966,476
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $954,267) 966,476
-----------
FACE
AMOUNT
- -------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT-5.1% OF NET ASSETS
Repurchase Agreement with State Street Bank and Trust Co.,
dated 3/31/00 at 4.750% to be repurchased at $2,301,911 on
4/03/00 collateralized by $1,900,000 U.S. Treasury Bond,
8.000% due 11/15/21 with a value of $2,352,647 USD 2,301,000 2,301,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $2,301,000) 2,301,000
-----------
TOTAL INVESTMENTS--98.0%
(IDENTIFIED COST $48,106,610) @ 44,178,273
Cash and Other Assets, Less Liabilities--2.0% 914,660
-----------
NET ASSETS--100% $45,092,933
===========
</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.
+++ 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.
^ Security in default
@ At March 31, 2000, the net unrealized depreciation on investments
based on cost of $48,106,610 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 $1,622,089 and $5,550,426, respectively,
resulting in net unrealized depreciation of $3,928,337.
KEY TO ABBREVIATIONS:
AUD: Australian Dollar
CAD: Canadian Dollar
EUR: Euro
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
41
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES GLOBAL BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
Ten Largest Sector Holdings at March 31, 2000
as a Percentage of Net Assets
<S> <C>
Foreign Government/Agency 41.7%
Banking & Finance 22.6%
Financial Services 11.9%
Utilities 4.5%
Telecommunications 4.4%
Government Agencies 3.0%
Media & Entertainment 1.7%
Auto & Related 1.1%
Supranational 0.9%
Electronic Components 0.5%
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-85.8% OF NET ASSETS
NON-CONVERTIBLE BONDS--61.1%
CANADIAN--4.2%
Call-Net Enterprises, Inc., Zero Coupon Bond, 5/15/09
(step to 10.800% on 5/15/04)# USD 250,000 $ 101,875
Clearnet Communications, Inc., Zero Coupon Bond,
8/13/07 (step to 11.750% on 8/13/02)# CAD 300,000 147,338
Clearnet Communications, Inc., Zero Coupon Bond,
5/15/08 (step to 10.400% on 5/15/03)# 300,000 128,209
Clearnet Communications, Inc., Zero Coupon Bond,
2/15/09 (step to 10.750% on 2/15/04)# 350,000 137,515
Microcell Telecommunications, Inc., Zero Coupon Bond,
10/15/07 (step to 11.125% on 10/15/02)# 985,000 466,785
-----------
981,722
-----------
COMPUTER HARDWARE--0.2%
Seagate Technology, Inc., 7.875%, 3/01/17 USD 50,000 37,543
-----------
COMPUTER SERVICES--0.3%
Rhythms NetConnections, Inc., Series B, Zero Coupon
Bond, 5/15/08 (step to 13.50% on 5/15/03)# 150,000 73,500
-----------
ELECTRONIC COMPONENTS--0.3%
Zenith Electronics Corp., 8.190%, 11/01/09 169,000 60,840
-----------
ENTERTAINMENT--0.6%
Boston Celtics Ltd., 6.000%, 6/30/38 263,000 140,048
-----------
FOOD & BEVERAGE--0.8%
Borden, Inc., 7.875%, 2/15/23 250,000 199,810
-----------
FOREIGN GOVERNMENT/AGENCY--12.7%
City of Buenos Aires, 10.500%, 5/28/04 144A ARS 150,000 133,500
Escom, 11.000%, 6/01/08 ZAR 1,275,000 162,901
Ivory Coast, Inc., 2.000%, 3/31/18
(step to 2.500% on 3/31/05) ^ USD 500,000 87,500
Ivory Coast, Inc., 2.000%, 3/31/18
(step to 3.000% on 3/31/08) ^ 962,500 196,157
Republic of Argentina, 8.875%, 3/01/29 375,000 270,225
Republic of Argentina, 11.750%, 2/12/07 200,000 188,093
Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 1,122,218 840,317
Republic of Ecuador, 7.1875%, 2/27/15 ++ ^ 174,653 48,358
Republic of Panama, 4.250%, 7/17/14
(step to 4.500% on 7/17/00)# 250,000 200,000
Republic of Panama, 8.875%, 9/30/27 125,000 110,781
Republic of Peru, 3.750%, 3/07/17
(step to 4.000% on 3/07/01)# 500,000 306,250
Republic of South Africa, 12.500%, 12/21/06 ZAR 1,000,000 143,657
Republic of Venezuela, 9.250%, 9/15/27 USD 425,000 280,500
-----------
2,968,239
-----------
43
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES- CONTINUED
FOREIGN ISSUER--18.7%
Bangko Sentral Pilipinas, 8.600%, 6/15/27 USD 350,000 $ 278,185
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 500,000 393,750
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 100,000 81,662
Compania de Alimentos Fargo SA, 13.250%, 8/01/08 100,000 89,000
Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08
(step to 11.625% on 6/01/03)# EUR 250,000 106,764
Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 USD 350,000 290,500
Indah Kiat Finance Mauritius Ltd., 10.000%, 7/01/07 300,000 210,000
Korea Electric Power Corp., 7.400%, 4/01/16 227,907 207,352
Multicanal SA, 10.500%, 2/01/07 125,000 117,500
Multicanal SA, 10.500%, 4/15/18 250,000 210,000
Murrin Murrin Holdings Property Ltd., 9.375%,
8/31/07 50,000 43,000
Philippine Long Distance Telephone Co., 8.350%,
3/06/17 200,000 155,516
Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07 450,000 321,750
Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27 410,000 241,900
Pycsa Panama SA, 10.280%, 12/15/12 144A 97,900 58,740
Quezon Power Philippines Co., 8.860%, 6/15/17 550,000 426,937
Siam Commercial Bank Public Co. Ltd., 7.500%,
3/15/06 144A 100,000 84,000
Tata Electric Co., 8.500%, 8/19/17 144A 200,000 176,612
TFM SA de CV, Zero Coupon Bond, 6/15/09
(step to 11.750% on 6/15/02)# 250,000 175,000
Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04 400,000 298,000
Total Access Communication Public Co. Ltd.,
7.625%, 11/04/01 144A 100,000 90,000
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A 400,000 336,000
-----------
4,392,168
-----------
HEALTH CARE--SERVICES--2.9%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27 75,000 58,313
Columbia/HCA Healthcare Corp., 7.690%, 6/15/25 250,000 200,312
Columbia/HCA Healthcare Corp., 7.750%, 7/15/36 500,000 414,525
-----------
673,150
-----------
OIL & GAS--3.3%
Chesapeake Energy Corp., 8.500%, 3/15/12 250,000 201,875
Chesapeake Energy Corp., Series B, 7.875%, 3/15/04 100,000 89,000
Hvide Marine, Inc., 12.500%, 6/30/07 144A 125,000 112,500
Pioneer Natural Resources Co., 7.200%, 1/15/28 350,000 259,000
Seagull Energy Corp., 7.500%, 9/15/27 125,000 101,875
-----------
764,250
-----------
OIL & GAS DRILLING EQUIPMENT--1.6%
R & B Falcon Corp., Series B, 7.375%, 4/15/18 500,000 382,500
-----------
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES - CONTINUED
RAIL--TRANSPORT--0.1%
Missouri Pacific Railroad Co., 4.750%, 1/01/20 USD 30,000 $ 18,300
-----------
REAL ESTATE INVESTMENT TRUSTS--1.4%
Meditrust Corp., 7.000%, 8/15/07 100,000 58,500
Meditrust Corp., 7.375%, 7/15/00 100,000 98,000
Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17 250,000 177,852
-----------
334,352
-----------
RETAIL--GENERAL--2.2%
Dillon Read Structured Finance Corp., 7.430%, 8/15/18 300,000 254,157
Woolworth Corp., 8.500%, 1/15/22 400,000 251,000
-----------
505,157
-----------
RETAIL--SPECIALTY--0.4%
Musicland Group, Inc., Series B, 9.875%, 3/15/08 100,000 87,000
-----------
STEEL--0.1%
Geneva Steel Co., 9.500%, 1/15/04 ^ 150,000 28,500
-----------
TELECOMMUNICATIONS--8.0%
Level 3 Communications, Inc., Zero Coupon Bond,
12/01/08 (step to 10.500% on 12/01/03)# 250,000 144,375
Level 3 Communications, Inc., Zero Coupon Bond,
3/15/10 (step to 12.875% on 3/15/05)# 144A 350,000 174,125
Nextel Communications, Inc., Zero Coupon Bond,
10/31/07 (step to 9.750% on 10/31/02)# 100,000 68,500
Nextel Communications, Inc., Zero Coupon Bond,
2/15/08 (step to 9.950% on 2/15/03)# 100,000 67,500
Nextlink Communications, Inc., Zero Coupon Bond,
4/15/08 (step to 9.450% on 4/15/03)# 100,000 59,000
NTL Communications Corp., 11.500%, 11/15/09
144A EUR 250,000 137,490
RCN Corp., Zero Coupon Bond, 10/15/07
(step to 11.125% on 10/15/02)# USD 375,000 240,000
RCN Corp., Zero Coupon Bond, 2/15/08
(step to 9.800% on 2/15/03)# 550,000 327,250
RCN Corp., Zero Coupon Bond, 7/01/08
(step to 11.000% on 7/01/03)# 100,000 58,500
TeleCorp PCS, Inc., Zero Coupon Bond, 4/15/09
(step to 11.625% on 4/15/04)# 500,000 307,500
Teligent, Inc., Zero Coupon Bond, 3/01/08
(step to 11.500% on 3/01/03)# 400,000 212,000
Triton Communications LLC, Zero Coupon Bond,
5/01/08 (step to 11.000% on 5/01/03)# 100,000 68,750
-----------
1,864,990
-----------
TEXTILE & APPAREL--1.7%
Fruit of the Loom, Inc., 7.375%, 11/15/23 ^ 250,000 97,500
Phillips Van Heusen Corp., 7.750%, 11/15/23 250,000 193,125
45
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES - CONTINUED
TEXTILE & APPAREL--CONTINUED
Pillowtex Corp., Series B, 9.000%, 12/15/07 USD 350,000 $ 120,750
-----------
411,375
-----------
TRANSPORTATION--0.5%
American President Cos. Ltd., 8.000%, 1/15/24 200,000 118,000
-----------
UTILITIES--1.1%
AES Corp., 8.875%, 11/01/27 350,000 269,500
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $14,885,741) 14,310,944
-----------
CONVERTIBLE BONDS--24.7%
AUTO & RELATED--1.0%
Exide Corp., 2.900%, 12/15/05 144A 425,000 244,375
-----------
CANADIAN--0.8%
Rogers Communications, Inc., 2.000%, 11/26/05 190,000 194,275
-----------
COMPUTERS--4.0%
Cray Research, Inc., 6.125%, 2/01/11 113,000 68,365
HMT Technology Corp., 5.750%, 1/15/04 75,000 34,500
Hutchinson Technology, Inc., 6.000%, 3/15/05 100,000 77,375
Ingram Micro, Inc., Zero Coupon Bond, 6/09/18 50,000 17,375
Maxtor Corp., 5.750%, 3/01/12 500,000 350,000
Quantum Corp.--DLT & Storage Systems,
7.000%, 8/01/04 125,000 100,625
S3, Inc., 5.750%, 10/01/03 200,000 226,750
Telxon Corp., 5.750%, 1/01/03 50,000 42,562
Western Digital, Zero Coupon Bond, 2/18/18 150,000 28,875
-----------
946,427
-----------
ELECTRONIC COMPONENTS--1.4%
EDO Corp., 7.000%, 12/15/11 50,000 39,375
Kent Electronics Corp., 4.500%, 9/01/04 325,000 288,437
-----------
327,812
-----------
ELECTRONIC COMPONENTS--SEMICONDUCTORS--2.2%
Cirrus Logic, Inc., 6.000%, 12/15/03 250,000 225,000
Park Electrochemical Corp., 5.500%, 3/01/06 300,000 247,875
Richardson Electronics Ltd., 7.250%, 12/15/06 50,000 36,875
-----------
509,750
-----------
FOREIGN ISSUER--3.5%
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 125,000 98,437
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03 200,000 157,500
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04 225,000 121,500
Burns, Philp, 5.500%, 4/30/04 50,000 30,000
Empresas ICA Sociedad, 5.000%, 3/15/04 80,000 47,200
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^ 100,000 29,000
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES - CONTINUED
FOREIGN ISSUER--CONTINUED
Sappi BVI Finance, 7.500%, 8/01/02 USD 125,000 $ 120,000
Siam Commercial Bank Public Co. Ltd., 3.250%,
1/24/04 250,000 133,750
Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 125,000 87,188
-----------
824,575
-----------
FREIGHT TRANSPORTATION--0.2%
Builders Transportation, Inc., 8.000%, 8/15/05 ^ 75,000 94
Worldway Corp., 6.250%, 4/15/11 55,000 44,550
-----------
44,644
-----------
HEALTH CARE--BIOTECHNOLOGY--0.3%
Human Genome Sciences, Inc., 3.750%, 3/15/07 144A 100,000 62,000
-----------
HEALTH CARE--DRUGS--2.8%
Dura Pharmaceuticals, Inc., 3.500%, 7/15/02 450,000 362,813
Glycomed, Inc., 7.500%, 1/01/03 200,000 184,148
NABI, Inc., 6.500%, 2/01/03 125,000 101,406
-----------
648,367
-----------
HEALTH CARE--PRODUCTS--0.5%
Centocor, Inc., 4.750%, 2/15/05 100,000 110,750
-----------
HEALTH CARE--SERVICES--0.5%
PhyCor, Inc., 4.500%, 2/15/03 150,000 62,063
Tenet Healthcare Corp., 6.000%, 12/01/05 75,000 62,250
-----------
124,313
-----------
HOME BUILDERS--0.2%
Schuler Homes, Inc., 6.500%, 1/15/03 70,000 57,400
-----------
HOTELS--0.3%
Hilton Hotels Corp., 5.000%, 5/15/06 100,000 75,750
-----------
INDUSTRIAL EQUIPMENT--0.3%
MascoTech, Inc., 4.500%, 12/15/03 100,000 73,875
-----------
INSURANCE--1.9%
Loews Corp., 3.125%, 9/15/07 500,000 446,875
-----------
MACHINERY--0.1%
Intevac, Inc., 6.500%, 3/01/04 25,000 12,750
-----------
MANUFACTURING--1.4%
Hexcel Corp., 7.000%, 8/01/03 350,000 239,750
Hexcel Corp., 7.000%, 8/01/11 125,000 80,000
-----------
319,750
-----------
OIL & GAS--2.5%
Key Energy Group, Inc., 5.000%, 9/15/04 550,000 410,437
Pogo Producing Co., 5.500%, 6/15/06 100,000 86,500
47
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES - CONTINUED
OIL & GAS--CONTINUED
Pride International, Inc., Zero Coupon Bond, 4/24/18 USD 200,000 $ 76,250
-----------
573,187
-----------
REAL ESTATE INVESTMENT TRUSTS--0.1%
Sizeler Property Investors, Inc., 8.000%, 7/15/03 15,000 13,725
-----------
RESTAURANTS--0.1%
Einstein/Noah Bagel Corp., 7.250%, 6/01/04 50,000 20,000
-----------
RETAIL--SPECIALTY--0.4%
CML Group, Inc., 5.500%, 1/15/03 ^ 100,000 63
Jacobson Stores, Inc., 6.750%, 12/15/11 150,000 102,375
-----------
102,438
-----------
TELECOMMUNICATIONS--0.2%
Broadband Technologies, Inc., 5.000%, 5/15/01 100,000 55,000
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $5,988,330) 5,788,038
-----------
TOTAL BONDS AND NOTES
(Identified Cost $20,874,071) 20,098,982
-----------
SHARES
- -------------------------------------------------------------------------------------
COMMON STOCKS-3.8% OF NET ASSETS
FOREIGN ISSUER--1.0%
Sappi Ltd. ADR 29,500 234,156
-----------
OIL & GAS--1.0%
Chesapeake Energy Corp. * 16,000 52,000
Hvide Marine, Inc. * 13,066 171,491
-----------
223,491
-----------
REAL ESTATE INVESTMENT TRUSTS--0.8%
Associated Estates Realty Corp. 15,500 124,969
Developers Diversified Realty Corp. 4,825 66,947
-----------
191,916
-----------
RESTAURANTS--0.0%
Advantica Restaurant Group, Inc. * 7,197 10,796
-----------
UTILITIES--0.5%
Wisconsin Energy Corp. 6,000 119,625
-----------
UTILITIES--ELECTRIC--0.5%
Texas Utilities Co. 4,000 118,750
-----------
TOTAL COMMON STOCKS
(Identified Cost $1,196,935) 898,734
-----------
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
SHARES VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS-5.8% OF NET ASSETS
AUTO & RELATED--0.3%
Federal-Mogul Financing Trust, 7.000% 2,500 $ 72,500
-----------
BUILDING MATERIALS--0.6%
Owens Corning, 6.500% 4,000 141,000
-----------
CONTAINERS--0.1%
Owens-Illinois, Inc., 4.750% 1,000 27,062
-----------
FINANCIAL SERVICES--0.4%
Hercules Trust I, 6.50% * 150 87,150
-----------
FOREIGN ISSUER--0.3%
Philippine Long Distance Telephone Co., $3.50, GDS 1,000 41,625
Siam Commercial Bank Public Co. Ltd., 5.250% 144A * 20,000 16,003
-----------
57,628
-----------
OIL & GAS--1.2%
Chesapeake Energy Corp., 7.000% 7,250 270,063
-----------
OIL & GAS DRILLING EQUIPMENT--0.5%
R & B Falcon Corp., 13.875% PIK 111 122,257
-----------
REAL ESTATE INVESTMENT TRUSTS--0.6%
AMB Property Corp., 8.50% 4,700 103,694
JDN Reality Corp., Series A, 9.375% 2,000 34,375
-----------
138,069
-----------
TELECOMMUNICATIONS--1.5%
Adelphia Business Solutions, Inc., Series B, 12.875% PIK 264 255,137
Nextel Communications, Inc., 11.125% PIK 111 105,450
-----------
360,587
-----------
UTILITIES--0.3%
Central Maine Power Co., 3.500% 1,460 60,407
Entergy Gulf States, Inc., 4.400% 270 13,770
-----------
74,177
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $1,213,056) 1,350,493
-----------
WARRANTS--0.2% OF NET ASSETS
FINANCIAL SERVICES--0.0%
Siam Commercial Bank Public Co. Ltd., expiring 5/10/02 * 20,000 5,423
-----------
OIL & GAS--0.0%
Hvide Marine, Inc., expiring 06/30/07 144A * 706 3,177
-----------
49
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES HIGH YIELD FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
SHARES VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
WARRANTS-CONTINUED
OIL & GAS DRILLING EQUIPMENT--0.2%
R & B Falcon Corp., expiring 5/01/09 144A * 100 $ 35,000
-----------
TOTAL WARRANTS
(Identified Cost $15,986) 43,600
-----------
FACE
AMOUNT
- -------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT-2.8% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 3/31/00 at 4.750% to be repurchased
at $661,262 on 4/03/00 collateralized by $545,000
U.S. Treasury Bond, 8.000% due 11/15/21 with
a value of $674,838 USD 661,000 661,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $661,000) 661,000
-----------
TOTAL INVESTMENTS--98.4%
(IDENTIFIED COST $23,961,048) @ 23,052,809
Cash and Other Assets, Less Liabilities--1.6% 364,215
-----------
NET ASSETS--100% $23,417,024
===========
</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.
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.
++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate
(LIBOR) plus .8125%.
^ Security in default.
* Non-income producing security.
@ At March 31, 2000, the net unrealized depreciation on investments based on
cost of $23,961,048 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 $1,306,412 and $2,214,651, respectively, resulting in net
unrealized depreciation of $908,239.
KEY TO ABBREVIATIONS:
ADR: American Depositary Receipts
ARS: Argentina Peso
CAD: Canadian Dollar
EUR: Euro
GDS: Global Depositary Shares
USD: United States Dollar
ZAR: South African Rand
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-97.0% OF NET ASSETS
NON-CONVERTIBLE BONDS-95.4%
AEROSPACE/DEFENSE--3.3%
Lockheed Martin Corp., 7.700%, 6/15/08 USD 200,000 $ 194,272
Raytheon Co., 6.150%, 11/01/08 150,000 132,905
Raytheon Co., 6.550%, 3/15/10 150,000 135,000
-----------
462,177
-----------
AUTO & RELATED--4.1%
Cummins Engine Co., Inc., 6.250%, 3/01/03 250,000 240,297
Dana Corp., 6.250%, 3/01/04 150,000 143,433
Delphi Automotive Systems Corp., 6.125%, 5/01/04 100,000 94,220
TRW, Inc., 6.625%, 6/01/04 100,000 94,509
-----------
572,459
-----------
BANKS/SAVINGS & LOANS--2.5%
Capital One Bank, 5.950%, 2/15/01 200,000 196,832
Capital One Bank, 6.375%, 2/15/03 100,000 95,890
NationsBank Corp., 7.000%, 9/15/01 55,000 54,891
-----------
347,613
-----------
BEVERAGES--1.4%
Whitman Corp., 6.000%, 5/01/04 200,000 188,870
-----------
BROADCASTING--1.6%
Comcast Cable Communications, 6.200%, 11/15/08 250,000 225,435
-----------
CANADIAN--1.8%
MacMillan Bloedel Ltd., 6.750%, 2/15/06 150,000 143,523
Province of Alberta, 5.400%, 6/15/10 CAD 150,000 98,971
-----------
242,494
-----------
CHEMICALS--MAJOR--1.1%
Rohm & Haas Co., 6.950%, 7/15/04 USD 150,000 148,086
-----------
COMPUTER HARDWARE--2.3%
Dell Computer Corp., 6.550%, 4/15/08 250,000 232,617
Sun Microsystems, Inc., 7.350%, 8/15/04 90,000 89,770
-----------
322,387
-----------
DATA PROCESSING SERVICES--1.4%
Ceridian Corp., 7.250%, 6/01/04 200,000 194,960
-----------
ENTERTAINMENT--1.1%
Time Warner Entertainment Co., 7.750%, 6/15/05 155,000 156,065
-----------
FINANCIAL SERVICES--17.5%
Associates Corporation of North America,
6.250%, 11/01/08 250,000 228,235
Associates Manufactured Housing, 6.475%, 3/15/28 50,000 49,477
CIT Group, Inc., 5.800%, 2/26/01 230,000 227,084
Duke Capital Corp., 7.250%, 10/01/04 100,000 98,794
Finova Capital Corp., 7.250%, 11/08/04 200,000 194,070
51
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
FINANCIAL SERVICES--CONTINUED
Ford Motor Credit Co., 5.800%, 1/12/09 USD 450,000 $ 398,655
Ford Motor Credit Co. Class B, 7.370%, 7/15/04 300,000 300,813
Green Tree Financial Corp., 6.950%, 3/15/27 196,133 192,631
Household Finance Corp., 5.875%, 9/25/04 350,000 328,314
OSCC Home Equity Loan Trust, 6.025%, 6/15/08 126,731 122,604
Vanderbilt Mortgage & Finance, Inc., 6.545%, 4/07/18 300,000 289,011
-----------
2,429,688
-----------
FOREIGN GOVERNMENT/AGENCY--2.7%
Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 181,981 136,267
Republic of South Africa, 8.375%, 10/17/06 250,000 240,625
-----------
376,892
-----------
FOREIGN ISSUER--10.2%
Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 150,000 124,500
Gruma SA de CV, 7.625%, 10/15/07 200,000 177,750
Korea Development Bank, 6.750%, 12/01/05 100,000 94,094
Korea Electric Power Corp., 7.750%, 4/01/13 150,000 139,913
PDVSDA Finance Ltd., 6.450%, 2/15/04 250,000 227,930
Pemex Finance Ltd., 9.140%, 8/15/04 100,000 102,048
Perez Companc SA, 8.125%, 7/15/07 144A 250,000 217,500
Tenaga Nasional Berhad, 7.625%, 4/29/07 144A 125,000 119,116
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A 220,000 184,800
YPF SA, 7.000%, 10/26/02 17,892 17,488
-----------
1,405,139
-----------
FOREST & PAPER PRODUCTS--0.7%
Temple-Inland, Inc., 6.750%, 3/01/09 100,000 92,999
-----------
GOVERNMENT AGENCIES--8.4%
Federal Home Loan Mortgage Corp., 5.000%, 1/15/04 50,000 46,610
Federal Home Loan Mortgage Corp., 5.125%, 10/15/08 370,000 321,841
Federal Home Loan Mortgage Corp., 6.250%, 7/15/04 350,000 339,227
Federal Home Loan Mortgage Corp., 6.250%, 10/15/07 55,000 53,659
Federal National Mortgage Association, 5.500%, 4/25/06 216,134 212,892
Federal National Mortgage Association, 6.000%, 5/25/08 108,649 106,510
Federal National Mortgage Association, 6.500%, 8/15/16 79,548 79,249
-----------
1,159,988
-----------
HEALTH CARE--PRODUCTS--1.7%
Bausch & Lomb, Inc., 6.500%, 8/01/05 250,000 233,688
-----------
OIL & GAS--2.9%
Kinder Morgan, Inc., 6.650%, 3/01/05 200,000 190,060
Pioneer Natural Resources Co., 6.500%, 1/15/08 250,000 215,315
-----------
405,375
-----------
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
OIL & GAS DRILLING EQUIPMENT--2.2%
R & B Falcon Corp., 6.750%, 4/15/05 USD 350,000 $ 302,750
RAIL--TRANSPORT--1.3%
Burlington Northern Santa Fe Corp., 6.125%, 3/15/09 200,000 180,156
REAL ESTATE INVESTMENT TRUSTS--12.4%
American Health Properties, Inc., 7.050%, 1/15/02 65,000 62,871
American Health Properties, Inc., 7.500%, 1/15/07 275,000 242,435
Excel Realty Trust, Inc., 6.875%, 10/15/04 165,000 156,727
First Industrial, 7.000%, 12/01/06 250,000 229,107
Highwoods Realty LP, 6.750%, 12/01/03 350,000 327,698
Oasis Residential, Inc., 6.750%, 11/15/01 350,000 342,062
Trinet Corporate Realty Trust, Inc., 6.750%, 3/01/13 335,000 300,740
Trinet Corporate Realty Trust, Inc., 7.300%, 5/15/01 55,000 53,332
-----------
1,714,972
-----------
RETAIL--GENERAL--1.2%
J.C. Penney Co., Inc., 7.600%, 4/01/07 200,000 170,288
-----------
SECURITIES--4.2%
Bear Stearns Cos., Inc., 6.125%, 2/01/03 250,000 241,037
Lehman Brothers Holdings, Inc., 6.125%, 2/01/01 60,000 59,325
Lehman Brothers Holdings, Inc., 7.125%, 9/15/03 100,000 98,418
Morgan Stanley Dean Witter & Co., 5.625%, 1/20/04 200,000 188,618
-----------
587,398
-----------
TELECOMMUNICATIONS--4.7%
Cox Communications, Inc., 6.500%, 11/15/02 165,000 160,231
Intermedia Communications, Inc., 8.600%, 6/01/08 125,000 110,000
Sprint Capital Corp., 5.875%, 5/01/04 100,000 94,594
TCI Communications, Inc., 6.875%, 2/15/06 290,000 282,782
-----------
647,607
-----------
TEXTILE & APPAREL--1.3%
Tommy Hilfiger Corp., 6.500%, 6/01/03 200,000 184,354
-----------
TOBACCO--0.5%
Philip Morris Cos., Inc., 7.250%, 9/15/01 65,000 64,330
-----------
TRUCKING & LEASING--1.5%
Amerco, 7.490%, 9/18/01 200,000 200,896
-----------
UTILITIES--1.4%
Texas Utilities Co., 5.940%, 4/15/00 200,000 196,138
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $13,643,297) 13,213,204
-----------
53
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INTERMEDIATE MATURITY BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
CONVERTIBLE BONDS--1.6%
AUTO & RELATED--0.8%
Magna International, Inc. Class A, 4.875%, 2/15/05 USD 125,000 $ 107,187
-----------
DIVERSIFIED OPERATIONS--0.8%
Thermo Electron Corp., 4.250%, 1/01/03 144A 125,000 113,750
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $221,793) 220,937
-----------
TOTAL BONDS AND NOTES
(Identified Cost $13,865,090) 13,434,141
-----------
SHORT-TERM INVESTMENT-2.9% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 3/31/00 at 4.750% to be repurchased
at $397,157 on 4/03/00 collateralized by $330,000
U.S. Treasury Bond, 8.000% due 11/15/21 with a
value of $408,618 397,000 397,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $397,000) 397,000
-----------
TOTAL INVESTMENTS--99.9%
(IDENTIFIED COST $14,262,090) @ 13,831,141
Cash and Other Assets, Less Liabilities--0.1% 15,998
-----------
NET ASSETS--100% $13,847,139
===========
</TABLE>
+ See Note 1.
PIK All or a portion of income may be received as additional securities
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.
@ At March 31, 2000, the net unrealized depreciation on investments based on
cost of $14,262,090 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 $80,519 and $511,468, respectively, resulting in net
unrealized depreciation of $430,949.
KEY TO ABBREVIATIONS:
CAD: Canadian Dollar
USD: United States Dollar
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-94.4% OF NET ASSETS
NON-CONVERTIBLE BONDS-82.2%
AEROSPACE/DEFENSE--4.5%
Lockheed Martin Corp., 7.750%, 5/01/26 USD 325,000 $ 303,440
Raytheon Co., 6.400%, 12/15/18 700,000 578,760
Raytheon Co., 7.375%, 7/15/25 145,000 125,074
-----------
1,007,274
-----------
AUTO & RELATED--8.2%
Cummins Engine Co., Inc., 7.125%, 3/01/28 250,000 219,272
Delphi Automotive Systems Corp., 7.125%, 5/01/29 800,000 691,208
Ford Motor Co., 6.375%, 2/01/29 750,000 632,527
TRW, Inc., 6.650%, 1/15/28 225,000 181,260
TRW, Inc., 7.750%, 6/01/29 100,000 92,572
-----------
1,816,839
-----------
BANKS/SAVINGS & LOANS--1.5%
Key Bank NA, 6.950%, 2/01/28 100,000 90,603
Keycorp Capital III, 7.750%, 7/15/29 250,000 230,345
-----------
320,948
-----------
BUILDING & CONSTRUCTION--1.0%
Lennar Corp., 7.625%, 3/01/09 250,000 228,883
-----------
BUILDING MATERIALS--0.9%
Owens Corning, 7.500%, 8/01/18 250,000 209,205
-----------
CANADIAN--15.8%
Canadian Government, Zero Coupon Bond, 6/01/21 CAD 150,000 30,563
Canadian Government, Zero Coupon Bond, 6/01/25 5,290,000 926,074
MacMillan Bloedel Ltd., 7.700%, 2/15/26 USD 100,000 96,951
New Brunswick FM Project, Zero Coupon Bond,
11/30/27 (step to 6.470% on 5/30/03) 144A# CAD 75,000 41,551
Ontario Hydro, 8.900%, 8/18/22 55,000 49,224
Province of Alberta, 5.394%, 6/14/13 235,750 154,572
Province of Alberta, 5.930%, 9/16/16 45,450 30,753
Province of British Columbia, Zero Coupon Bond, 6/09/22 250,000 43,600
Province of British Columbia, Zero Coupon Bond, 8/19/22 605,000 104,236
Province of British Columbia, Zero Coupon Bond, 8/23/24 4,850,000 738,189
Province of Manitoba, Zero Coupon Bond, 3/05/31 1,100,000 113,219
Province of Manitoba, 6.500%, 9/22/17 25,000 17,211
Province of Manitoba, 7.750%, 12/22/25 55,000 44,581
Province of Nova Scotia, 6.600%, 6/01/27 500,000 346,983
Province of Ontario, Zero Coupon Bond, 6/02/27 4,700,000 643,113
Province of Saskatchewan (Certificate of Deposit),
Zero Coupon Bond, 2/04/22 650,000 114,605
Province of Saskatchewan (Certificate of Deposit),
Zero Coupon Bond, 5/30/25 215,000 30,811
-----------
3,526,236
-----------
55
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
COMPUTER HARDWARE--0.9%
Seagate Technology, Inc., 7.450%, 3/01/37 USD 175,000 $ 140,023
Seagate Technology, Inc., 7.875%, 3/01/17 75,000 56,314
-----------
196,337
-----------
ENTERTAINMENT--3.2%
Time Warner, Inc., 6.625%, 5/15/29 840,000 715,814
-----------
FINANCIAL SERVICES--6.0%
Household Finance Corp., 5.875%, 2/01/09 625,000 549,100
Merey Sweeny LP, 8.850%, 12/18/19 144A 100,000 98,423
Security Capital Group, Inc., 7.700%, 6/15/28 225,000 185,825
US West Capital Funding, Inc., 6.375%, 7/15/08 250,000 230,975
US West Capital Funding, Inc., 6.875%, 7/15/28 300,000 264,501
-----------
1,328,824
-----------
FOOD & BEVERAGE--1.2%
Pepsi Bottling Group, Inc., 7.000%, 3/01/29 300,000 271,133
-----------
FOREIGN GOVERNMENT/AGENCY--5.4%
Republic of Brazil, 10.125%, 5/15/27 10,000 8,150
Republic of Brazil C Bond, 8.000%, 4/15/14 PIK 788,586 590,493
Republic of Peru, 3.750%, 3/07/17
(step to 4.000% on 3/07/01) # 300,000 183,750
Republic of South Africa, 8.500%, 6/23/17 200,000 185,500
Republic of South Africa, 12.500%, 12/21/06 ZAR 400,000 57,462
Republic of South Africa, 13.000%, 8/31/10 125,000 18,032
Republic of South Africa, 13.500%, 9/15/15 150,000 22,020
Republic of Venezuela, 9.250%, 9/15/27 USD 200,000 132,000
-----------
1,197,407
-----------
FOREIGN ISSUER--12.5%
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A 50,000 39,375
Cerro Negro Finance Ltd., 7.900%, 12/01/20 144A 50,000 40,831
Embotelladora Andina SA, 7.625%, 10/01/27 125,000 107,265
Empresa Nacional de Electricidad SA (Endesa),
7.875%, 2/01/27 500,000 445,685
Enersis SA, 7.400%, 12/01/16 200,000 177,748
Espirito Santo Centrais Eletricas SA, 10.000%, 7/15/07 150,000 124,500
Korea Electric Power Corp., 7.750%, 4/01/13 150,000 139,912
PDVSA Finance Ltd., 7.400%, 8/15/16 100,000 76,392
PDVSA Finance Ltd., 7.500%, 11/15/28 50,000 35,532
Pemex Finance Ltd., 10.610%, 8/15/17 250,000 294,530
Petrozuata Finance, Inc., 8.220%, 4/01/17 144A 200,000 156,000
Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07 100,000 71,500
Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27 100,000 59,000
Quezon Power Philippines Co., 8.860%, 6/15/17 50,000 38,813
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A 100,000 78,000
Telekom Malaysia Berhad, 7.875%, 8/01/25 144A 500,000 453,500
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A 400,000 339,267
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
FOREIGN ISSUER--CONTINUED
Total Access Communication Public Co. Ltd., 8.375%,
11/04/06 144A USD 25,000 $ 21,000
Transgas De Occidente SA, 9.790%, 11/01/10 144A 97,433 84,524
-----------
2,783,374
-----------
FOREST & PAPER PRODUCTS--0.4%
Westvaco Corp., 7.000%, 8/15/23 100,000 86,401
-----------
GOVERNMENT AGENCIES--2.2%
Federal National Mortgage Association,
Zero Coupon Bond, 10/29/07 NZD 200,000 54,494
Federal National Mortgage Association,
6.000%, 7/01/29 USD 484,272 440,988
-----------
495,482
-----------
HEALTH CARE--PRODUCTS--0.6%
Bausch & Lomb, Inc., 7.125%, 8/01/28 150,000 126,908
-----------
HOME BUILDERS--0.1%
Pulte Corp., 7.625%, 10/15/17 25,000 19,906
-----------
OIL & GAS--8.7%
Anadarko Petroleum Corp., 6.625%, 1/15/28 250,000 211,153
Ensco International, Inc., 6.750%, 11/15/07 250,000 233,110
Ensco International, Inc., 7.200%, 11/15/27 250,000 218,917
Global Marine, Inc., 7.000%, 6/01/28 250,000 215,275
Kerr-McGee Corp., 7.125%, 10/15/27 200,000 175,102
Pennzoil-Quaker State Co., 7.375%, 4/01/29 250,000 181,128
Pioneer Natural Resources Co., 7.200%, 1/15/28 40,000 29,600
Seagull Energy Corp., 7.500%, 9/15/27 180,000 146,700
Union Pacific Resources Group, Inc., 7.150%, 5/15/28 600,000 529,470
-----------
1,940,455
-----------
OIL & GAS DRILLING EQUIPMENT--0.3%
R & B Falcon Corp., Series B, 7.375%, 4/15/18 100,000 76,500
-----------
RAIL--TRANSPORT--0.7%
Louisville & Nashville Railroad Co., 2.875%, 4/01/03 4,000 3,471
Louisville & Nashville Railroad Co., 3.375%, 4/01/03 12,000 10,784
Missouri Pacific Railroad Co., 4.250%, 1/01/05 39,000 33,493
Missouri Pacific Railroad Co., 4.750%, 1/01/20 46,000 28,060
Missouri Pacific Railroad Co., 4.750%, 1/01/30 86,000 52,460
Missouri Pacific Railroad Co., 5.000%, 1/01/45 50,000 25,500
-----------
153,768
-----------
REAL ESTATE INVESTMENT TRUSTS--2.6%
First Industrial, 7.500%, 12/01/17 100,000 85,819
First Industrial, 7.600%, 7/15/28 150,000 126,858
Highwoods Realty LP, 7.500%, 4/15/18 50,000 42,472
Security Capital Industrial Trust, 7.625%, 7/01/17 75,000 66,923
Susa Partnership LP, 7.500%, 12/01/27 125,000 104,095
Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17 200,000 142,282
-----------
568,449
-----------
57
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
SECURITIES--1.0%
Lehman Brothers Inc., 6.500%, 4/15/08 USD 250,000 $ 230,875
-----------
SUPRANATIONAL--0.9%
International Bank for Reconstruction & Development,
Zero Coupon Bond, 8/20/07 NZD 585,000 165,765
International Bank for Reconstruction & Development,
8.000%, 5/23/07 45,000 22,599
-----------
188,364
-----------
TELECOMMUNICATIONS--1.6%
Sprint Capital Corp., 6.375%, 5/01/09 USD 250,000 230,505
Sprint Capital Corp., 6.875%, 11/15/28 150,000 134,516
-----------
365,021
-----------
TEXTILE & APPAREL--0.1%
Kellwood Co., 7.625%, 10/15/17 25,000 22,108
-----------
TOBACCO--1.9%
Philip Morris Cos., Inc., 7.750%, 1/15/27 500,000 412,940
-----------
TOTAL NON-CON VERTIBLE BONDS
(Identified Cost $18,541,942) 18,289,451
-----------
CONVERTIBLE BONDS-12.2%
AUTO & RELATED--0.6%
Magna International, Inc. Class A, 4.875%, 2/15/05 150,000 129,188
-----------
COMPUTERS--0.0%
Maxtor Corp., 5.750%, 3/01/12 10,000 7,000
-----------
DIVERSIFIED OPERATIONS--2.3%
Thermo Electron Corp., 4.250%, 1/01/03 144A 550,000 500,500
-----------
ELECTRONIC COMPONENTS--0.2%
Kent Electronics Corp., 4.500%, 9/01/04 50,000 44,375
-----------
ELECTRONIC MEASURING INSTRUMENTS--0.3%
Thermedics, Inc., Zero Coupon Bond, 6/01/03 100,000 70,000
-----------
ENVIRONMENTAL SERVICES--0.4%
Thermo TerraTech, Inc., 4.625%, 5/01/03 144A 110,000 97,350
-----------
FINANCIAL SERVICES--0.5%
Bell Atlantic Financial Services, 5.750%, 4/01/03 100,000 101,815
-----------
FOREIGN ISSUER--0.5%
Burns, Philp, 5.500%, 4/30/04 20,000 12,000
Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04 30,000 20,925
Telekom Malaysia Berhad, 4.000%, 10/03/04 50,000 45,625
Total Access Communication Public Co. Ltd.,
2.000%, 5/31/06 30,000 33,750
-----------
112,300
-----------
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS AND NOTES-CONTINUED
HEALTH CARE--SERVICES--0.5%
Healthsouth Corp., 3.250%, 4/01/03 USD 150,000 $ 116,250
-----------
INDUSTRIAL EQUIPMENT--0.3%
MascoTech, Inc., 4.500%, 12/15/03 75,000 55,406
-----------
INSURANCE--2.4%
Loews Corp., 3.125%, 9/15/07 590,000 527,312
-----------
MULTI-INDUSTRY--1.0%
Thermo Instrument Systems, Inc., 4.500%, 10/15/03 144A 250,000 228,750
-----------
OFFICE EQUIPMENT--1.2%
Xerox Corp., 0.570%, 4/21/18 500,000 272,500
-----------
OIL & GAS--1.8%
Baker Hughes, Inc., Zero Coupon Bond, 5/05/08 400,000 298,000
Diamond Offshore Drilling, Inc., 3.750%, 2/15/07 50,000 58,250
Noram Energy Corp., 6.000%, 3/15/12 60,000 50,850
-----------
407,100
-----------
PUBLISHING--0.2%
Scholastic Corp., 5.000%, 8/15/05 144A 50,000 47,813
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $2,692,695) 2,717,659
-----------
TOTAL BONDS AND NOTES
(Identified Cost $21,234,637) 21,007,110
-----------
SHARES
- -------------------------------------------------------------------------------------
PREFERRED STOCKS-2.0% OF NET ASSETS
AEROSPACE/DEFENSE--0.2%
Coltec Capital Trust, 5.250% 1,000 36,375
-----------
OIL & GAS--0.6%
EVI, Inc., Conv., 5.000% 3,000 145,125
-----------
REAL ESTATE INVESTMENT TRUSTS--1.0%
Camden Property Trust, $2.25 250 5,547
CarrAmerica Realty Corp., Series C 8.550% 500 9,531
CarrAmerica Realty Corp., Series D 8.450% 200 3,800
Equity Residential Properties Trust, 7.250% 6,050 119,487
Equity Residential Properties Trust, Series L, 7.625% 1,200 21,900
First Industrial Realty Trust, Inc., Series D, 7.950% 1,000 18,125
First Industrial Realty Trust, Inc., Series E, 7.900% 2,000 36,750
ProLogis Trust, Series D, 7.920% 900 16,763
-----------
231,903
-----------
59
<PAGE>
<CAPTION>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES INVESTMENT GRADE BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
SHARES VALUE +
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
PREFERRED STOCKS-CONTINUED
UTILITIES--0.2%
Duquesne Light Co., 4.000% 810 $ 22,275
New York State Electric & Gas Corp., 3.750% 100 4,700
Northern States Power Co., $3.60 200 9,200
Pacific Gas & Electric Corp., Series C, 5.00% 100 1,612
PG&E Corp., 4.50% 100 1,600
Southern California Edison Co., 4.780% 100 1,413
Wisconsin Power & Light Co., 4.500% 10 600
-----------
41,400
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $434,128) 454,803
-----------
FACE
AMOUNT
- -------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT-0.8% OF NET ASSETS
Repurchase Agreement with State Street Bank and Trust Co.,
dated 3/31/00 at 4.750% to be repurchased at $189,075
on 4/03/00 collateralized by $160,000 U.S. Treasury
Bond, 8.000% due 11/15/21 with a value of $198,118 USD 189,000 189,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $189,000) 189,000
-----------
TOTAL INVESTMENTS--97.2%
(IDENTIFIED COST $21,857,765) @ 21,650,913
Cash and Other Assets, Less Liabilities--2.8% 613,389
-----------
NET ASSETS--100% $22,264,302
===========
</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 March 31, 2000 the net unrealized depreciation on investments based on
cost of 21,857,765 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 $695,393 and $902,245, respectively, resulting in net
unrealized depreciation of $206,852.
KEY TO ABBREVIATIONS:
CAD: Canadian Dollar
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS AND NOTES-97.3% OF NET ASSETS
ARIZONA--1.9%
Phoenix Street & Highway User, 6.250%, 7/01/11 $150,000 $ 156,713
------------
CALIFORNIA--8.2%
Foothill Eastern Transportation Corridor,
Zero Coupon Bond, 1/01/23 500,000 133,190
Foothill Eastern Transportation Corridor, 6.000%, 1/01/16 250,000 270,487
Fresno Sewer Revenue, (AMBAC Insured), 6.250%, 9/01/14 250,000 278,813
------------
682,490
------------
FLORIDA--3.3%
Florida State Board of Education, Capital Outlay, 5.000%, 6/01/19 300,000 274,698
------------
HAWAII--3.2%
Hawaii State, (MBIA Insured), 4.750%, 4/01/18 300,000 264,180
------------
ILLINOIS--2.2%
Illinois Development Finance Authority Pollution Control,
7.250%, 6/01/11 25,000 25,783
Illinois State Sales Tax Revenue, 6.375%, 6/15/14 150,000 158,895
------------
184,678
------------
KENTUCKY--3.0%
Kentucky State Property & Building Commission Revenue,
4.500%, 5/01/03 250,000 247,160
------------
MASSACHUSETTS--7.0%
Massachusetts State College Building Authority, (MBIA Insured),
5.125%, 5/01/19 250,000 232,352
Massachusetts State Consolidated Loan, Series C, 4.500%, 9/01/04 100,000 98,464
Massachusetts State Water Pollution, Series A, 5.250%, 8/01/04 250,000 254,435
------------
585,251
------------
MICHIGAN--5.6%
Detroit, Michigan, (MBIA Insured), 5.000%, 4/01/06 250,000 250,127
Michigan State Trunk Line, Refunding Series A (MBIA Insured),
4.750%, 11/01/20 250,000 217,055
------------
467,182
------------
NEW JERSEY--8.8%
New Jersey Building Authority State Building, 5.750%, 6/15/09 250,000 262,172
New Jersey State Transportation Authority, Series A,
5.250%, 6/15/08 250,000 253,473
New Jersey State Turnpike Authority, 6.500%, 1/01/08 200,000 215,598
------------
731,243
------------
NEW YORK--21.7%
Long Island Power Authority New York, (FSA Insured),
5.000%, 12/01/18 250,000 229,493
New York City Housing Development Corp., 5.625%, 5/01/12 145,000 144,427
New York City Transitional Finance Authority, 5.000%, 8/15/13 200,000 192,254
New York State Certificates of Participation, 5.650%, 8/01/02 160,000 162,603
New York State Dormitory Authority, 5.100%, 2/15/12 250,000 235,810
New York State Dormitory Authority, 6.500%, 5/15/05 250,000 265,470
61
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES MUNICIPAL BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- ------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES-CONTINUED
<S> <C> <C>
NEW YORK--CONTINUED
New York State Environmental Pollution Control, 5.150%, 6/15/13 $125,000 $ 123,063
New York State, General Obligation, 5.250%, 7/15/10 200,000 200,384
Tsasc Inc., 5.125%, 7/15/09 250,000 244,117
------------
1,797,621
------------
NORTH CAROLINA--1.3%
North Carolina Eastern Municipal Power, Refunding Series C,
5.375%, 1/01/05 110,000 108,655
------------
PENNSYLVANIA--2.7%
Philadelphia Pennsylvania, General Obligation (FGIC Insured),
4.750%, 5/15/16 250,000 223,695
------------
PUERTO RICO--2.9%
Puerto Rico Electric Power Authority, 6.125%, 7/01/09 225,000 241,645
------------
RHODE ISLAND--3.0%
Rhode Island Convention Center Authority, (MBIA Insured),
5.000%, 5/15/10 250,000 246,475
------------
SOUTH CAROLINA--2.8%
Georgetown County Pollution Control, Refunding Project Series A,
5.125%, 2/01/12 250,000 230,140
------------
TENNESSEE--3.7%
Metropolitan Nashville Airport, (FGIC Insured), 6.600%, 7/01/15 30,000 31,203
Shelby County, General Obligation Series A, 4.750%, 5/01/15 300,000 273,675
------------
304,878
------------
TEXAS--4.6%
San Antonio Electric & Gas Revenue, Refunding Series A,
5.000%, 2/01/18 250,000 228,975
University Texas University Revenue, Financing Systems
Series B, 5.700%, 8/15/20 150,000 149,272
------------
378,247
------------
VIRGINIA--6.2%
Pocahontas Parkway Associates Virginia Toll, 5.000%, 8/15/11 300,000 265,299
Southeastern Public Service Authority Virginia, (MBIA Insured),
5.150%, 7/01/09 250,000 250,435
------------
515,734
------------
WASHINGTON--2.4%
Snohomish County, Washington Public Distribution Utility 1,
Refunding, 5.000%, 12/01/05 200,000 200,280
------------
WISCONSIN--2.8%
Wisconsin State Transportation Revenue, Unrefunded Series B,
5.500%, 7/01/22, 5.500%, 7/01/22 250,000 236,198
------------
TOTAL MUNICIPAL BONDS AND NOTES
(Identified Cost $8,223,169) 8,077,163
------------
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES MUNICIPAL BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- ------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT-1.7% OF NET ASSETS
Repurchase Agreement with State Street Bank and Trust Co.,
dated 3/31/00 at 4.750% to be repurchased at $139,055 on
4/03/00 collateralized by $115,000 U.S. Treasury Bond,
8.500% due 2/15/20 with a value of $145,210 $139,000 $ 139,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $139,000) 139,000
------------
TOTAL INVESTMENTS--99.0%
(IDENTIFIED COST $8,362,169) @ 8,216,163
Cash and Other Assets, Less Liabilities--1.0% 85,959
------------
NET ASSETS--100% $ 8,302,122
============
</TABLE>
+ See Note 1.
@ At March 31, 2000, the net unrealized depreciation on investments based on
cost of $ 8,362,169 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 $ 138,703 and $284,709, respectively, resulting in net
unrealized depreciation of $ 146,006.
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.
63
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
BONDS AND NOTES-95.1% OF NET ASSETS
AIRLINES--1.0%
Northwest Airlines Corp., 8.375%, 3/15/04 $400,000 $ 378,996
------------
BROADCASTING--2.7%
Adelphia Communications Corp., Series B, 9.250%, 10/01/02 1,000,000 990,000
------------
CHEMICALS--2.8%
ICI Wilmington, Inc., 8.750%, 5/01/01 1,000,000 1,010,910
------------
DIVERSIFIED OPERATIONS--2.7%
Textron, Inc., 6.750%, 9/15/02 1,000,000 984,990
------------
FINANCIAL SERVICES--6.8%
Associates Corp. of North America, 5.750%, 11/01/03 770,000 734,903
BankBoston Home Equity Loan Trust, 6.140%, 1/25/19 550,000 509,476
Fleetwood Credit Grantor Trust, 6.900%, 3/15/12 198,640 196,502
Ford Motor Credit Co., 6.125%, 4/28/03 710,000 684,433
Sears Roebuck Acceptance Corp., 6.950%, 5/15/02 340,000 337,192
------------
2,462,506
------------
FOREIGN ISSUER--3.2%
Alestra SA de RL de CV, 12.125%, 5/15/06 600,000 600,000
PDVSA Finance Ltd., 6.650%, 2/15/06 645,000 557,808
------------
1,157,808
------------
FOREST & PAPER PRODUCTS--1.0%
Fort James Corp., 6.625%, 9/15/04 360,000 345,474
------------
GOVERNMENT AGENCIES--18.2%
Federal Home Loan Mortgage Corp., 5.750%, 6/15/01 2,100,000 2,075,388
Federal Home Loan Mortgage Corp., 6.000%, 2/01/13 370,754 349,317
Federal Home Loan Mortgage Corp., 6.500%, 5/15/08 355,264 346,158
Federal National Mortgage Association, 5.650%, 6/12/00 2,300,000 2,296,412
Federal National Mortgage Association, 6.000%, 3/01/13 922,743 872,084
Federal National Mortgage Association, 6.000%, 4/01/13 663,569 627,139
------------
6,566,498
------------
MANUFACTURING--2.6%
FMC Corp., 7.125%, 11/25/02 975,000 954,923
------------
MORTGAGE RELATED--1.8%
Residential Funding Mortgage, Inc., 6.750%, 12/25/14 688,584 662,280
------------
OIL & GAS--6.8%
Nabors Industries, Inc., 6.800%, 4/15/04 1,000,000 970,040
Occidental Petroleum Corp., 6.400%, 4/01/03 500,000 486,045
Tosco Corp., 7.625%, 5/15/06 1,000,000 990,260
------------
2,446,345
------------
OIL & GAS EXPLORATION--0.8%
Parker & Parsley Petroleum Co., 8.875%, 4/15/05 275,000 275,619
------------
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES SHORT-TERM BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------------
BONDS AND NOTES-CONTINUED
PACKAGING--2.8%
Stone Container Corp., 12.250%, 4/01/02 $1,000,000 $ 1,007,500
------------
REAL ESTATE INVESTMENT TRUSTS--4.7%
Host Marriot Corp., Series A, 7.875%, 8/01/05 600,000 526,500
Meditrust Corp., 7.375%, 7/15/00 1,000,000 980,000
Oasis Residential, Inc., 7.000%, 11/15/03 200,000 191,952
------------
1,698,452
------------
RESTAURANTS--1.8%
Tricon Global Restaurants, Inc., 7.450%, 5/15/05 680,000 652,854
------------
RETAIL--GENERAL--1.1%
Dillard's, Inc., 6.430%, 8/01/04 410,000 380,881
------------
SECURITIES--2.7%
Morgan Stanley Dean Witter & Co., 7.125%, 1/15/03 1,000,000 993,430
------------
TELECOMMUNICATIONS--4.2%
A T & T Corp., 6.800%, 2/01/01 1,000,000 996,380
Sprint Spectrum LP, Zero
Coupon Bond, 8/15/06
(step to 12.500% on 8/15/01) # 560,000 535,971
------------
1,532,351
------------
TEXTILE & APPAREL--0.8%
Tommy Hilfiger Corp., 6.500%, 6/01/03 300,000 276,531
------------
TRUCKING & LEASING--1.1%
Amerco, 7.850%, 5/15/03 420,000 402,536
------------
U.S. GOVERNMENT--22.8%
U.S. Treasury Notes, 6.250%, 2/28/02 4,000,000 3,981,240
U.S. Treasury Notes, 6.250%, 8/31/02 3,570,000 3,550,472
U.S. Treasury Strips, Zero Coupon Bond, 11/15/01 800,000 721,184
------------
8,252,896
------------
WASTE MANAGEMENT--2.7%
Waste Management, Inc., 6.000%, 5/15/01 1,000,000 962,250
------------
TOTAL BONDS AND NOTES
(Identified Cost $35,114,591) 34,396,030
------------
65
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES SHORT-TERM BOND FUND (CONTINUED)
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT-10.3% OF NET ASSETS
Repurchase Agreement with State Street Bank and
Trust Co., dated 3/31/00 at 4.750% to be repurchased
at $3,744,482 on 4/03/00 collateralized by $3,085,000
U.S. Treasury Bond, 8.000% due 11/15/21 with a value
of $3,819,955 $3,743,000 $ 3,743,000
------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $3,743,000) 3,743,000
------------
TOTAL INVESTMENTS--105.4%
(IDENTIFIED COST $38,857,591) @ 38,139,030
Liabilities, Less Cash and Other Assets--(5.4%) (1,960,439)
------------
NET ASSETS--100% $36,178,591
============
</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 March 31, 2000, the unrealized depreciation on investments based on cost
of $38,857,591 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 $22,684
and $741,245, respectively, resulting in net unrealized depreciation of
$718,561.
See accompanying notes to financial statements.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
LOOMIS SAYLES U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS-AS OF MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ------------------------------------------------------------------------------------------------------
BONDS AND NOTES-98.4% OF NET ASSETS
<S> <C> <C>
GOVERNMENT AGENCIES--32.9%
Federal National Mortgage Association, 6.250%, 5/15/29 $ 500,000 $ 450,780
Government National Mortgage Association, 6.500%, 5/15/28 1,911,472 1,803,952
Government National Mortgage Association, 7.000%, 1/15/28 831,200 805,483
Government National Mortgage Association, 7.500%, 9/15/27 1,452,303 1,441,861
------------
4,502,076
------------
U.S. GOVERNMENT--65.5%
U.S. Treasury Bonds, 6.000%, 2/15/26 1,000,000 988,120
U.S. Treasury Bonds, 7.250%, 5/15/16 4,150,000 4,585,750
U.S. Treasury Bonds, 7.500%, 11/15/24 1,200,000 1,408,500
U.S. Treasury Notes, 6.000%, 8/15/09 2,000,000 1,974,680
------------
8,957,050
------------
TOTAL BONDS AND NOTES
(Identified Cost $13,473,177) 13,459,126
------------
TOTAL INVESTMENTS--98.4%
(IDENTIFIED COST $13,473,177) @ 13,459,126
Cash and Other Assets, Less Liabilities--1.6% 223,731
------------
NET ASSETS--100% $13,682,857
============
</TABLE>
+ See Note 1.
@ At March 31, 2000, the unrealized depreciation on investments based on cost of
$13,473,177 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 $201,273
and $215,324, respectively, resulting in net unrealized depreciation of
$14,051.
See accompanying notes to financial statements.
67
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
BOND BOND
FUND FUND
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
Investments at value $1,705,191,954 $44,178,273
Cash 97 84
Receivable for:
Fund shares sold 6,663,153 76,664
Securities sold 2,727,619 0
Dividends and interest 26,015,419 910,306
Due from the adviser (Note 3) 37 226
Other assets (Note 1I) 0 0
-------------- -----------
1,740,598,279 45,165,553
-------------- -----------
LIABILITIES
Payable for:
Securities purchased 5,097,713 0
Fund shares redeemed 1,344,267 450
Forward foreign currency exchange contracts (Note 1D) 0 25,856
Dividends declared 9,459 0
Accrued expenses:
Management fees (Note 3) 28,349 739
Trustees' fees (Note 3A) 1,138 1,139
Administrative fees 62,271 2,025
Other (Note 3) 606,153 42,411
-------------- -----------
7,149,350 72,620
-------------- -----------
NET ASSETS $1,733,448,929 $45,092,933
============== ===========
Net Assets consist of:
Capital paid in $1,808,471,855 $48,211,969
Undistributed (or Distribution in excess of)
net investment income 32,092,156 695,781
Accumulated net realized gain (loss) (23,942,483) 176,020
Unrealized appreciation (depreciation) on:
Investments * (83,134,724) (3,928,337)
Foreign currency translations (37,875) (62,500)
-------------- -----------
NET ASSETS $1,733,448,929 $45,092,933
============== ===========
INSTITUTIONAL CLASS:
Net assets $1,660,667,985 $34,841,257
Shares of beneficial interest outstanding, no par value 138,234,914 3,063,112
Net asset value and redemption price per Institutional share** $ 12.01 $ 11.37
RETAIL CLASS:
Net assets $ 70,274,450 $10,251,676
Shares of beneficial interest outstanding, no par value 5,855,815 902,156
Net asset value and redemption price per Retail share $ 12.00 $ 11.36
ADMIN CLASS:
Net assets $ 2,506,494 --
Shares of beneficial interest outstanding, no par value 208,979 --
Net asset value and redemption price per Admin share $ 11.99 --
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 $1,788,326,678 $48,106,610
============== ===========
* NET OF CAPITAL GAIN WITHHOLDING TAXES OF $1,189 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.
<PAGE>
<CAPTION>
HIGH INTERMEDIATE INVESTMENT
YIELD MATURITY BOND GRADE BOND
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments at value $23,052,809 $13,831,141 $21,650,913
Cash 95 710 251
Receivable for:
Fund shares sold 0 0 193,371
Securities sold 308,784 0 0
Dividends and interest 423,432 246,759 387,615
Due from the adviser (Note 3) 350 401 70,454
Other assets (Note 1I) 2,604 60 0
----------- ----------- -----------
23,788,074 14,079,071 22,302,604
----------- ----------- -----------
LIABILITIES
Payable for:
Securities purchased 294,144 197,536 0
Fund shares redeemed 21,478 0 4,044
Forward foreign currency exchange contracts (Note 1D) 0 0 0
Dividends declared 0 0 0
Accrued expenses:
Management fees (Note 3) 385 151 241
Trustees' fees (Note 3A) 1,139 1,135 1,116
Administrative fees 738 961 1,449
Other (Note 3) 53,166 32,149 31,452
----------- ----------- -----------
371,050 231,932 38,302
----------- ----------- -----------
NET ASSETS $23,417,024 $13,847,139 $22,264,302
=========== =========== ===========
Net Assets consist of:
Capital paid in $24,121,908 $14,325,583 $22,483,001
Undistributed (or Distribution in excess of)
net investment income 567,962 201,779 126,597
Accumulated net realized gain (loss) (362,997) (249,317) (138,359)
Unrealized appreciation (depreciation) on:
Investments * (909,428) (430,949) (206,852)
Foreign currency translations (421) 43 (85)
----------- ----------- -----------
NET ASSETS $23,417,024 $13,847,139 $22,264,302
=========== =========== ===========
INSTITUTIONAL CLASS:
Net assets $23,417,024 $11,870,613 $ 2,592,602
Shares of beneficial interest outstanding, no par value 2,581,577 1,246,784 256,269
Net asset value and redemption price per Institutional share** $ 9.07 $ 9.52 $ 10.12
RETAIL CLASS:
Net assets -- $ 1,976,526 $ 2,857,002
Shares of beneficial interest outstanding, no par value -- 207,840 282,526
Net asset value and redemption price per Retail share -- $ 9.51 $ 10.11
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 -- -- $16,814,698
Shares of beneficial interest outstanding, no par value -- -- 1,663,450
Net asset value and redemption price per J share -- -- $ 10.11
Maximum offering price per share (net asset value/96.50%) -- -- $ 10.48
Identified cost of investments $23,961,048 $14,262,090 $21,857,765
=========== =========== ===========
<PAGE>
<CAPTION>
U.S.
MUNICIPAL SHORT-TERM GOVERNMENT
BOND BOND SECURITIES
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments at value $8,216,163 $38,139,030 $13,459,126
Cash 776 95 53,556
Receivable for:
Fund shares sold 0 77 0
Securities sold 0 0 0
Dividends and interest 121,385 594,202 207,021
Due from the adviser (Note 3) 294 243 275
Other assets (Note 1I) 0 0 0
---------- ----------- -----------
8,338,618 38,733,647 13,719,978
---------- ----------- -----------
LIABILITIES
Payable for:
Securities purchased 0 2,503,176 0
Fund shares redeemed 0 0 35
Forward foreign currency exchange contracts (Note 1D) 0 0 0
Dividends declared 9,719 17,152 0
Accrued expenses:
Management fees (Note 3) 68 245 112
Trustees' fees (Note 3A) 1,135 1,149 1,152
Administrative fees 911 2,261 953
Other (Note 3) 24,663 31,073 34,869
---------- ----------- -----------
36,496 2,555,056 37,121
---------- ----------- -----------
NET ASSETS $8,302,122 $36,178,591 $13,682,857
========== =========== ===========
Net Assets consist of:
Capital paid in $8,505,587 $37,620,996 $14,284,003
Undistributed (or Distribution in excess of)
net investment income 12,106 8,047 229,872
Accumulated net realized gain (loss) (69,565) (731,891) (816,967)
Unrealized appreciation (depreciation) on:
Investments * (146,006) (718,561) (14,051)
Foreign currency translations 0 0 0
---------- ----------- -----------
NET ASSETS $8,302,122 $36,178,591 $13,682,857
========== =========== ===========
INSTITUTIONAL CLASS:
Net assets $8,302,122 $35,584,686 $13,682,857
Shares of beneficial interest outstanding, no par value 763,469 3,794,979 1,300,705
Net asset value and redemption price per Institutional share** $ 10.87 $ 9.38 $ 10.52
RETAIL CLASS:
Net assets -- $ 593,905 --
Shares of beneficial interest outstanding, no par value -- 63,349 --
Net asset value and redemption price per Retail share -- $ 9.38 --
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 -- -- --
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 $8,362,169 $38,857,591 $13,473,177
========== =========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
69
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
BOND BOND
FUND FUND
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends* $ 1,937,416 $ 0
Interest 70,111,036 1,566,684
------------ -----------
72,048,452 1,566,684
------------ -----------
Expenses
Management fees (Note 3) 4,865,663 127,041
12b-1 fees (Retail Class) 77,071 10,423
12b-1 fees (Admin Class) 2,784 0
12b-1 fees (J Class) 0 0
Trustees' fees and expenses (Note 3A) 2,022 2,022
Administrative fees 339,958 12,375
Custodian and accounting fees 223,432 37,541
Transfer agent fees (Institutional Class) (Note 3) 441,991 14,420
Transfer agent fees (Retail Class) (Note 3) 27,606 10,163
Transfer agent fees (Admin Class) 9,653 0
Transfer agent fees (J Class) (Note 3) 0 0
Audit and tax services fees 27,121 15,659
Registration fees 56,273 10,881
Amortization of organization expenses (Note 1I):
Institutional Class 0 0
Other expenses 105,543 8,804
------------ -----------
Total expenses 6,179,117 249,329
Less expenses waived and reimbursed by the
investment adviser (Note 3) (16,638) (48,345)
------------ -----------
Net expenses 6,162,479 200,984
------------ -----------
Net investment income 65,885,973 1,365,700
------------ -----------
NET REALIZED GAIN (LOSS) ON:
Investments (21,450,898) 242,812
Foreign currency transactions (16,784) (56,833)
------------ -----------
Total net realized gain (loss) (21,467,682) 185,979
------------ -----------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments** 66,551,087 (1,985,844)
Foreign currency translations (46,919) (21,039)
------------ -----------
Total net change in unrealized appreciation (depreciation) 66,504,168 (2,006,883)
------------ -----------
Total net realized gain (loss) and change
in unrealized appreciation (depreciation) 45,036,486 (1,820,904)
------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $110,922,459 $ (455,204)
============ ===========
* NET OF FOREIGN WITHHOLDING TAXES OF $309 FOR THE HIGH YIELD FUND.
** NET OF CHANGE IN CAPITAL GAIN WITHHOLDING TAXES OF $535 FOR THE HIGH YIELD
FUND.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
HIGH INTERMEDIATE INVESTMENT
YIELD MATURITY BOND GRADE BOND
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends* $ 69,392 $ 0 $ 14,761
Interest 1,188,001 435,909 845,103
---------- -------- ----------
1,257,393 435,909 859,864
---------- -------- ----------
Expenses
Management fees (Note 3) 66,216 23,796 42,974
12b-1 fees (Retail Class) 0 2,330 3,385
12b-1 fees (Admin Class) 0 0 0
12b-1 fees (J Class) 0 0 61,328
Trustees' fees and expenses (Note 3A) 2,021 2,022 2,021
Administrative fees 5,891 4,865 15,121
Custodian and accounting fees 27,583 30,675 38,148
Transfer agent fees (Institutional Class) (Note 3) 14,822 12,522 12,248
Transfer agent fees (Retail Class) (Note 3) 0 9,649 9,658
Transfer agent fees (Admin Class) 0 0 0
Transfer agent fees (J Class) (Note 3) 0 0 3,704
Audit and tax services fees 13,518 9,177 9,177
Registration fees 8,869 9,001 9,245
Amortization of organization expenses (Note 1I):
Institutional Class 853 0 0
Other expenses 9,485 7,055 83,669
---------- -------- ----------
Total expenses 149,258 111,092 290,678
Less expenses waived and reimbursed by the
investment adviser (Note 3) (66,488) (76,043) (166,875)
---------- -------- ----------
Net expenses 82,770 35,049 123,803
---------- -------- ----------
Net investment income 1,174,623 400,860 736,061
---------- -------- ----------
NET REALIZED GAIN (LOSS) ON:
Investments (172,841) (16,037) (42,810)
Foreign currency transactions (5) 0 59
---------- -------- ----------
Total net realized gain (loss) (172,846) (16,037) (42,751)
---------- -------- ----------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments** 1,414,157 17,934 393,558
Foreign currency translations (531) 27 (214)
---------- -------- ----------
Total net change in unrealized appreciation (depreciation) 1,413,626 17,961 393,344
---------- -------- ----------
Total net realized gain (loss) and change
in unrealized appreciation (depreciation) 1,240,780 1,924 350,593
---------- -------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $2,415,403 $402,784 $1,086,654
========== ======== ==========
<PAGE>
<CAPTION>
U.S.
MUNICIPAL SHORT-TERM GOVERNMENT
BOND BOND SECURITIES
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends* $ 0 $ 0 $ 0
Interest 230,294 1,083,550 521,141
-------- ---------- --------
230,294 1,083,550 521,141
-------- ---------- --------
Expenses
Management fees (Note 3) 13,264 39,589 23,014
12b-1 fees (Retail Class) 0 868 0
12b-1 fees (Admin Class) 0 0 0
12b-1 fees (J Class) 0 0 0
Trustees' fees and expenses (Note 3A) 2,021 2,022 2,021
Administrative fees 2,164 9,512 3,147
Custodian and accounting fees 22,638 27,512 19,073
Transfer agent fees (Institutional Class) (Note 3) 12,723 14,517 14,377
Transfer agent fees (Retail Class) (Note 3) 0 9,526 0
Transfer agent fees (Admin Class) 0 0 0
Transfer agent fees (J Class) (Note 3) 0 0 0
Audit and tax services fees 8,515 9,675 9,293
Registration fees 6,834 10,279 6,959
Amortization of organization expenses (Note 1I):
Institutional Class 0 0 0
Other expenses 6,884 7,315 9,149
-------- ---------- --------
Total expenses 75,043 130,815 87,033
Less expenses waived and reimbursed by the
investment adviser (Note 3) (52,936) (71,255) (48,677)
-------- ---------- --------
Net expenses 22,107 59,560 38,356
-------- ---------- --------
Net investment income 208,187 1,023,990 482,785
-------- ---------- --------
NET REALIZED GAIN (LOSS) ON:
Investments (67,072) (187,182) (384,165)
Foreign currency transactions 0 0 0
-------- ---------- --------
Total net realized gain (loss) (67,072) (187,182) (384,165)
-------- ---------- --------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments** 10,919 (255,592) 519,145
Foreign currency translations 0 0 0
-------- ---------- --------
Total net change in unrealized appreciation (depreciation) 10,919 (255,592) 519,145
-------- ---------- --------
Total net realized gain (loss) and change
in unrealized appreciation (depreciation) (56,153) (442,774) 134,980
-------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $152,034 $ 581,216 $617,765
======== ========== ========
</TABLE>
* NET OF FOREIGN WITHHOLDING TAXES OF $309 FOR THE HIGH YIELD FUND.
** NET OF CHANGE IN CAPITAL GAIN WITHHOLDING TAXES OF $535 FOR THE HIGH YIELD
FUND.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
71
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
BOND FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 65,885,973 $ 128,881,830
Net realized gain (loss) (21,467,682) 18,870,044
Change in unrealized appreciation
(depreciation) 66,504,168 (35,325,692)
-------------- --------------
Increase (decrease) in net assets from
operations 110,922,459 112,426,182
-------------- --------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (63,125,228) (122,784,914)
Net realized gain on investments 0 (61,875,293)
Retail Class
Net investment income (2,305,994) (4,275,392)
Net realized gain on investments 0 (2,285,658)
Admin Class
Net Investment Income (79,152) (90,938)
Net realized gain on investments 0 (52,035)
-------------- --------------
(65,510,374) (191,364,230)
-------------- --------------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions 89,165,129 167,959,892
-------------- --------------
Total increase (decrease) in net assets 134,577,214 89,021,844
NET ASSETS
Beginning of the period 1,598,871,715 1,509,849,871
-------------- --------------
End of the period $1,733,448,929 $1,598,871,715
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 32,092,156 $ 31,716,557
============== ==============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL BOND FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 1,365,700 $ 2,515,205
Net realized gain (loss) 185,979 883,182
Change in unrealized appreciation
(depreciation) (2,006,883) 1,728,984
----------- -----------
Increase (decrease) in net assets from
operations (455,204) 5,127,371
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (1,914,609) (1,752,877)
Net realized gain on investments (1,173,369) (736,862)
Retail Class
Net investment income (425,871) (288,728)
Net realized gain on investments (265,483) (127,023)
----------- -----------
(3,779,332) (2,905,490)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived from
capital share transactions 8,068,036 2,802,005
----------- -----------
Total increase (decrease) in net assets 3,833,500 5,023,886
NET ASSETS
Beginning of the period 41,259,433 36,235,547
----------- -----------
End of the period $45,092,933 $41,259,433
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 695,781 $ 1,670,561
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
73
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
HIGH YIELD FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 1,174,623 $ 2,102,109
Net realized gain (loss) (172,846) (187,724)
Change in unrealized appreciation
(depreciation) 1,413,626 1,138,430
----------- -----------
Increase (decrease) in net assets from
operations 2,415,403 3,052,815
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net Investment income (1,205,588) (1,560,761)
Net realized gain on investments (2,459) (238,840)
Retail Class
Net investment income 0 (270,450)
Net realized gain on investments 0 (125,847)
----------- -----------
(1,208,047) (2,195,898)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions 2,059,570 8,611,790
----------- -----------
Redemption Fees (Note 1H) 518 36,460
----------- -----------
Total increase (decrease) in net assets 3,267,444 9,505,167
NET ASSETS
Beginning of the period 20,149,580 10,644,413
----------- -----------
End of the period $23,417,024 $20,149,580
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 567,962 $ 598,927
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
INTERMEDIATE MATURITY BOND FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 400,860 $ 696,954
Net realized gain (loss) (16,037) (219,936)
Change in unrealized appreciation
(depreciation) 17,961 (188,090)
----------- -----------
Increase (decrease) in net assets from
operations 402,784 288,928
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (316,846) (636,123)
Net realized gain on investments 0 (77,718)
RETAIL CLASS
Net investment income (61,493) (60,288)
Net realized gain on investments 0 (6,918)
----------- -----------
(378,339) (781,047)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions 3,064,965 1,985,972
----------- -----------
Total increase (decrease) in net assets 3,089,410 1,493,853
NET ASSETS
Beginning of the period 10,757,729 9,263,876
----------- -----------
End of the period $13,847,139 $10,757,729
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 201,779 $ 179,258
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
75
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
INVESTMENT GRADE BOND FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 736,061 $ 651,731
Net realized gain (loss) (42,751) (29,646)
Change in unrealized appreciation
(depreciation) 393,344 (410,003)
----------- -----------
Increase (decrease) in net assets from
operations 1,086,654 212,082
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (88,910) (194,834)
Net realized gain on investments 0 (69,604)
RETAIL CLASS
Net investment income (95,287) (158,241)
Net realized gain on investments 0 (64,811)
J Class
Net investment income (539,290) (258,512)
----------- -----------
(723,487) (746,002)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions 606,074 17,308,327
----------- -----------
Total increase (decrease) in net assets 969,241 16,774,407
NET ASSETS
Beginning of the period 21,295,061 4,520,654
----------- -----------
End of the period $22,264,302 $21,295,061
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 126,597 $ 114,023
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 208,187 $ 464,723
Net realized gain (loss) (67,072) 31,069
Change in unrealized appreciation
(depreciation) 10,919 (784,422)
----------- -----------
Increase (decrease) in net assets from
operations 152,034 (288,630)
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (208,187) (464,723)
Net realized gain on investments (8,414) (163,734)
----------- -----------
(216,601) (628,457)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions (1,455,836) 683,252
----------- -----------
Total increase (decrease) in net assets (1,520,403) (233,835)
NET ASSETS
Beginning of the period 9,822,525 10,056,360
----------- -----------
End of the period $ 8,302,122 $ 9,822,525
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 12,106 $ 12,106
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
77
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM BOND FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 1,023,990 $ 1,772,846
Net realized gain (loss) (187,182) (142,500)
Change in unrealized appreciation
(depreciation) (255,592) (1,150,808)
----------- -----------
Increase (decrease) in net assets from
operations 581,216 479,538
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (1,002,457) (1,735,033)
RETAIL CLASS
Net investment income (21,533) (37,813)
----------- -----------
(1,023,990) (1,772,846)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions 8,985,791 867,559
----------- -----------
Total increase (decrease) in net assets 8,543,017 (425,749)
NET ASSETS
Beginning of the period 27,635,574 28,061,323
----------- -----------
End of the period $36,178,591 $27,635,574
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 8,047 $ 8,047
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
U.S. GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
MARCH 31, ENDED
2000 SEPTEMBER 30,
(UNAUDITED) 1999
- ---------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income $ 482,785 $ 1,137,504
Net realized gain (loss) (384,165) (28,225)
Change in unrealized appreciation
(depreciation) 519,145 (1,901,732)
----------- -----------
Increase (decrease) in net assets from
operations 617,765 (792,453)
----------- -----------
FROM DISTRIBUTIONS TO SHAREHOLDERS
INSTITUTIONAL CLASS
Net investment income (467,089) (1,273,767)
----------- -----------
(467,089) (1,273,767)
----------- -----------
FROM CAPITAL SHARE TRANSACTIONS (NOTE 6)
Increase (decrease) in net assets derived
from capital share transactions (2,609,275) (11,038,231)
----------- -----------
Total increase (decrease) in net assets (2,458,599) (13,104,451)
NET ASSETS
Beginning of the period 16,141,456 29,245,907
----------- -----------
End of the period $13,682,857 $16,141,456
=========== ===========
UNDISTRIBUTED NET INVESTMENT INCOME
End of the period $ 229,872 $ 214,176
=========== ===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
79
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
BOND FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
----------------------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
----------------------------------------------------------------
(UNAUDITED) 1999 1998 1997
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.70 $ 12.30 $ 12.83 $ 12.38
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS-
Net investment income (loss) 0.47 0.98 0.69 0.86
Net realized and unrealized gain
(loss) on investments 0.32 (0.06) (0.78) 0.67
---------- ---------- ---------- ----------
Total from investment operations 0.79 0.92 (0.09) 1.53
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS-
Dividends from net investment income (0.48) (1.00) (0.44) (0.86)
Distributions from net realized capital gains 0.00 (0.52) 0.00 (0.22)
---------- ---------- ---------- ----------
Total distributions (0.48) (1.52) (0.44) (1.08)
---------- ---------- ---------- ----------
Net asset value, end of period $ 12.01 $ 11.70 $ 12.30 $ 12.83
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
Total return (%)(a) 7.0 7.6 (0.9) 12.7
Net assets, end of period (000) $1,660,668 $1,541,834 $1,455,312 $1,261,910
Ratios to average net assets:
Net expenses (%)(b)(c) 0.75 0.75 0.75 0.75
Gross expenses (%)(c) 0.75 0.75 0.76 0.77
Net investment income (loss) (%)(c) 8.13 8.15 7.34 7.36
Portfolio turnover (%) 15 33 24 41
</TABLE>
* FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER
31, 1997.
** FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1998 THROUGH SEPTEMBER
30, 1998.
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
<PAGE>
<TABLE>
<CAPTION>
INSTITUTIONAL
CLASS RETAIL CLASS
---------------------- ---------------------------------------------------------
SIX MONTHS NINE MONTHS
YEAR ENDED ENDED YEAR ENDED ENDED PERIOD ENDED
DECEMBER 31, MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
--------------------- -------------- ------------- ------------- -----------
1996 1995 (UNAUDITED) 1999 1998 1997*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.29 $ 10.05 $ 11.69 $ 12.29 $ 12.82 $ 12.38
-------- -------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.86 0.82 0.45 0.96 0.66 0.84(d)
Net realized and unrealized gain
(loss) on investments 0.35 2.32 0.33 (0.08) (0.77) 0.65
-------- -------- ------- ------- ------- -------
Total from investment operations 1.21 3.14 0.78 0.88 (0.11) 1.49
-------- -------- ------- ------- ------- -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.86) (0.82) (0.47) (0.96) (0.42) (0.83)
Distributions from net realized capital gains (0.26) (0.08) 0.00 (0.52) 0.00 (0.22)
-------- -------- ------- ------- ------- -------
Total distributions (1.12) (0.90) (0.47) (1.48) (0.42) (1.05)
-------- -------- ------- ------- ------- -------
Net asset value, end of period $ 12.38 $ 12.29 $ 12.00 $ 11.69 $ 12.29 $ 12.82
======== ======== ======= ======= ======= =======
Total return (%)(a) 10.3 32.0 6.9 7.3 (1.1) 12.4
Net assets, end of period (000) $541,244 $255,710 $70,274 $55,490 $53,908 $33,240
Ratios to average net assets:
Net expenses (%)(b)(c) 0.75 0.79 1.00 1.00 1.00 1.00
Gross expenses (%)(c) 0.75 0.79 1.03 1.04 1.06 1.20
Net investment income (loss) (%)(c) 7.93 8.34 7.90 7.90 7.13 7.09
Portfolio turnover (%) 42 35 15 33 24 41
<CAPTION>
ADMIN CLASS
----------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED PERIOD ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30,
--------------- -------------- -------------
(UNAUDITED) 1999 1998**
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $11.69 $12.28 $12.83
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.41 0.92(d) 0.47
Net realized and unrealized gain
(loss) on investments 0.34 (0.06) (0.62)
------ ------ ------
Total from investment operations 0.75 0.86 (0.15)
------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.45) (0.93) (0.40)
Distributions from net realized capital gains 0.00 (0.52) 0.00
------ ------ ------
Total distributions (0.45) (1.45) (0.40)
------ ------ ------
Net asset value, end of period $11.99 $11.69 $12.28
====== ====== ======
Total return (%)(a) 6.7 7.1 (1.3)
Net assets, end of period (000) $2,506 $1,548 $ 630
Ratios to average net assets:
Net expenses (%)(b)(c) 1.25 1.25 1.25
Gross expenses (%)(c) 1.81 2.38 6.32
Net investment income (loss) (%)(c) 7.64 7.66 7.45
Portfolio turnover (%) 15 33 24
</TABLE>
81
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
GLOBAL BOND FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30,
-------------- ------------- ------------
(UNAUDITED) 1999 1998
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 12.60 $ 11.93 $ 11.83
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.35 0.79 0.53
Net realized and unrealized gain (loss)
on investments (0.48) 0.87 (0.43)
------- ------- -------
Total from investment operations (0.13) 1.66 0.10
------- ------- -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.67) (0.70) 0.00
Distributions in excess of net investment income 0.00 0.00 0.00
Distributions from net realized capital gains (0.43) (0.29) 0.00
------- ------- -------
Total distributions (1.10) (0.99) 0.00
------- ------- -------
Net asset value, end of period $ 11.37 $ 12.60 $ 11.93
======= ======= =======
Total return (%)(a) (1.2) 14.2 0.9
Net assets, end of period (000) $34,841 $34,154 $29,860
Ratios to average net assets:
Net expenses (%)(b)(c) 0.90 0.90 0.90
Gross expenses (%)(c) 1.10 1.10 1.18
Net investment income (loss) (%)(c) 6.50 6.32 6.00
Portfolio turnover (%) 7 42 28
</TABLE>
* FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER
31, 1997.
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
<PAGE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------
1997 1996 1995
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 12.35 $ 11.39 $ 9.82
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.71 0.44 1.04
Net realized and unrealized gain (loss)
on investments (0.42) 1.27 1.31
------- ------- -------
Total from investment operations 0.29 1.71 2.35
------- ------- -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.69) (0.75) (0.78)
Distributions in excess of net investment income (0.12) 0.00 0.00
Distributions from net realized capital gains 0.00 0.00 0.00
------- ------- -------
Total distributions (0.81) (0.75) (0.78)
------- ------- -------
Net asset value, end of period $ 11.83 $ 12.35 $ 11.39
======= ======= =======
Total return (%)(a) 2.3 15.0 23.9
Net assets, end of period (000) $28,401 $26,513 $10,304
Ratios to average net assets:
Net expenses (%)(b)(c) 0.90 1.50 1.50
Gross expenses (%)(c) 1.22 1.77 1.69
Net investment income (loss) (%)(c) 5.88 6.37 8.17
Portfolio turnover (%) 75 131 148
<CAPTION>
RETAIL CLASS
----------------------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
-------------- ------------- ------------- -------------
(UNAUDITED) 1999 1998 1997*
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.57 $11.91 $11.83 $12.35
------- ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.30 0.76(d) 0.44 0.63(d)
Net realized and unrealized gain (loss)
on investments (0.44) 0.86 (0.36) (0.37)
------- ------ ------ ------
Total from investment operations (0.14) 1.62 0.08 0.26
------- ------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.64) (0.67) 0.00 (0.69)
Distributions in excess of net investment income 0.00 0.00 0.00 (0.09)
Distributions from net realized capital gains (0.43) (0.29) 0.00 0.00
------- ------ ------ ------
Total distributions (1.07) (0.96) 0.00 (0.78)
------- ------ ------ ------
Net asset value, end of period $ 11.36 $12.57 $11.91 $11.83
======= ====== ====== ======
Total return (%)(a) (1.3) 13.8 0.7 2.0
Net assets, end of period (000) $10,252 $7,106 $6,376 $4,694
Ratios to average net assets:
Net expenses (%)(b)(c) 1.15 1.15 1.15 1.15
Gross expenses (%)(c) 1.51 1.61 1.78 2.44
Net investment income (loss) (%)(c) 6.26 6.08 5.77 5.60
Portfolio turnover (%) 7 42 28 75
</TABLE>
83
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
HIGH YIELD FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-----------------------------
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30,
-------------- -------------
(UNAUDITED) 1999
- --------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $ 8.61 $ 8.17
------- -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.47 0.91
Net realized and unrealized gain (loss)
on investments 0.49 0.68
------- -------
Total from investment operations 0.96 1.59
------- -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.50) (0.96)
Distributions from net realized capital gains 0.00(e) (0.21)
------- -------
Total distributions (0.50) (1.17)
------- -------
Redemption fees 0.00(e) 0.02
------- -------
Net asset value, end of period $ 9.07 $ 8.61
======= =======
Total return (%)(a) 11.7 21.0
Net assets, end of period (000) $23,417 $20,150
Ratios to average net assets:
Net expenses (%)(b)(c) 0.75 0.75
Gross expenses (%)(c) 1.35 1.81
Net investment income (loss) (%)(c) 10.64 11.61
Portfolio turnover (%) 20 24
</TABLE>
* COMMENCEMENT OF FUND OPERATIONS ON SEPTEMBER 11, 1996.
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
(e) AMOUNT IS LESS THAN $0.01 PER SHARE.
<PAGE>
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-----------------------------------------------
NINE MONTHS
ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, DECEMBER 31, DECEMBER 31,
------------- ------------ ------------
1998 1997 1996*
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $10.12 $10.11 $10.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.78(d) 0.83 0.20
Net realized and unrealized gain (loss)
on investments (2.28) 0.27 0.11
------ ------ ------
Total from investment operations (1.50) 1.10 0.31
------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.46) (0.86) (0.20)
Distributions from net realized capital gains 0.00 (0.26) 0.00
------ ------ ------
Total distributions (0.46) (1.12) (0.20)
------ ------ ------
Redemption fees 0.01 0.03 0.00
------ ------ ------
Net asset value, end of period $ 8.17 $10.12 $10.11
====== ====== ======
Total return (%)(a) (15.6) 11.4 3.1
Net assets, end of period (000) $6,624 $5,266 $1,939
Ratios to average net assets:
Net expenses (%)(b)(c) 0.75 0.75 0.75
Gross expenses (%)(c) 2.42 3.81 12.06
Net investment income (loss) (%)(c) 10.54 8.96 8.85
Portfolio turnover (%) 33 68 0
</TABLE>
85
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
INTERMEDIATE MATURITY BOND FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-----------------------------------
SIX MONTHS
ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30,
-------------- -------------
(UNAUDITED) 1999
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $ 9.56 $10.06
------- ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.31 0.67
Net realized and unrealized gain (loss) on investments (0.02) (0.38)
------- ------
Total from investment operations 0.29 0.29
------- -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.33) (0.70)
Distributions in excess of net investment income 0.00 0.00
Distributions from net realized capital gains 0.00 (0.09)
------- ------
Total distributions (0.33) (0.79)
------- ------
Net asset value, end of period $ 9.52 $ 9.56
======= ======
Total return (%)(a) 3.1 3.0
Net assets, end of period (000) $11,871 $8,978
Ratios to average net assets:
Net expenses (%)(b)(c) 0.55 0.55
Gross expenses (%)(c) 1.70 1.92
Net investment income (loss) (%)(c) 6.78 6.98
Portfolio turnover (%) 14 16
* FROM COMMENCEMENT OF FUND OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER
31, 1997.
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
<PAGE>
<CAPTION>
INSTITUTIONAL CLASS
------------------------------
NINE MONTHS
ENDED PERIOD ENDED
SEPTEMBER 30, DECEMBER 31,
------------- ------------
1998 1997*
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $10.03 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.51(d) 0.64(d)
Net realized and unrealized gain (loss) on investments (0.16) 0.00
------ ------
Total from investment operations 0.35 0.64
------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.32) (0.56)
Distributions in excess of net investment income 0.00 (0.03)
Distributions from net realized capital gains 0.00 (0.02)
------ ------
Total distributions (0.32) (0.61)
------ ------
Net asset value, end of period $10.06 $10.03
====== ======
Total return (%)(a) 3.5 6.4
Net assets, end of period (000) $8,601 $6,305
Ratios to average net assets:
Net expenses (%)(b)(c) 0.55 0.55
Gross expenses (%)(c) 2.27 3.66
Net investment income (loss) (%)(c) 6.71 6.38
Portfolio turnover (%) 32 119
<CAPTION>
RETAIL CLASS
----------------------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
--------------- ------------- ------------- ------------
(UNAUDITED) 1999 1998 1997*
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.55 $10.06 $10.03 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.31 0.64 0.49(d) 0.64(d)
Net realized and unrealized gain (loss) on investments (0.03) (0.38) (0.15) (0.02)
------ ------ ------ ------
Total from investment operations 0.28 0.26 0.34 0.62
------ ------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.32) (0.68) (0.31) (0.54)
Distributions in excess of net investment income 0.00 0.00 0.00 (0.03)
Distributions from net realized capital gains 0.00 (0.09) 0.00 (0.02)
------ ------ ------ ------
Total distributions (0.32) (0.77) (0.31) (0.59)
------ ------ ------ ------
Net asset value, end of period $ 9.51 $ 9.55 $10.06 $10.03
====== ====== ====== =======
Total return (%)(a) 3.0 2.6 3.4 6.2
Net assets, end of period (000) $1,977 $1,780 $ 663 $ 423
Ratios to average net assets:
Net expenses (%)(b)(c) 0.80 0.80 0.80 0.80
Gross expenses (%)(c) 2.75 3.86 5.64 14.56
Net investment income (loss) (%)(c) 6.52 6.76 6.47 6.13
Portfolio turnover (%) 14 16 32 119
</TABLE>
87
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
INVESTMENT GRADE BOND FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
-------------- ------------ ------------ ------------
(UNAUDITED) 1999 1998 1997*
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.96 $10.28 $10.59 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.36 0.76 0.52 0.65
Net realized and unrealized gain (loss)
on investments 0.16 (0.12) (0.50) 0.77
------ ------ ------ ------
Total from investment operations 0.52 0.64 0.02 1.42
------ ------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.36) (0.70) (0.33) (0.63)
Distributions in excess of net investment income 0.00 0.00 0.00 (0.08)
Distributions from net realized capital gains 0.00 (0.26) 0.00 (0.12)
------ ------ ------ ------
Total distributions (0.36) (0.96) (0.33) (0.83)
------ ------ ------ ------
Net asset value, end of period $10.12 $ 9.96 $10.28 $10.59
====== ====== ====== ======
Total return (%)(a) 5.4 6.5 0.0 14.5
Net assets, end of period (000) $2,593 $2,427 $2,778 $2,445
Ratios to average net assets:
Net expenses (%)(b)(c) 0.55 0.55 0.55 0.55
Gross expenses (%)(c) 2.75 2.87 4.19 7.59
Net investment income (loss) (%)(c) 7.45 6.83 6.68 6.74
Portfolio turnover (%) 12 42 48 112
* 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) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(d) PER SHARE NET INVESTMENT INCOME HAS BEEN DETERMINED ON THE BASIS OF THE
WEIGHTED AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD.
(e) TOTAL RETURN DOES NOT INCLUDE THE EFFECT OF ANY FRONT END SALES CHARGES FOR
THE J CLASS.
<PAGE>
<CAPTION>
RETAIL CLASS
-------------------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
-------------- ------------- ------------- ------------
(UNAUDITED) 1999 1998 1997*
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.95 $10.27 $10.59 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.35 0.64 0.48 0.62(d)
Net realized and unrealized gain (loss)
on investments 0.16 (0.03) (0.49) 0.78
------ ------ ------ ------
Total from investment operations 0.51 0.61 (0.01) 1.40
------ ------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.35) (0.67) (0.31) (0.62)
Distributions in excess of net investment income 0.00 0.00 0.00 (0.07)
Distributions from net realized capital gains 0.00 (0.26) 0.00 (0.12)
------ ------ ------ ------
Total distributions (0.35) (0.93) (0.31) (0.81)
------ ------ ------ ------
Net asset value, end of period $10.11 $ 9.95 $10.27 $10.59
====== ====== ====== ======
Total return (%)(a) 5.3 6.2 (0.2) 14.3
Net assets, end of period (000) $2,857 $2,561 $1,743 $ 862
Ratios to average net assets:
Net expenses (%)(b)(c) 0.80 0.80 0.80 0.80
Gross expenses (%)(c) 2.85 3.20 5.25 10.95
Net investment income (loss) (%)(c) 7.21 6.60 6.43 6.51
Portfolio turnover (%) 12 42 48 112
<CAPTION>
J CLASS
-------------------------------
SIX MONTHS
ENDED PERIOD ENDED
MARCH 31, 2000 SEPTEMBER 30,
-------------- -------------
(UNAUDITED) 1999**
- --------------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $ 9.95 $ 10.29
------ -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.33 0.21
Net realized and unrealized gain (loss)
on investments 0.16 (0.36)
------ -------
Total from investment operations 0.49 (0.15)
------ -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.33) (0.19)
Distributions in excess of net investment income 0.00 0.00
Distributions from net realized capital gains 0.00 0.00
------ -------
Total distributions (0.33) (0.19)
------ -------
Net asset value, end of period $ 10.11 $ 9.95
======= =======
Total return (%)(a) 5.0(e) (1.5)(e)
Net assets, end of period (000) $16,815 $16,307
Ratios to average net assets:
Net expenses (%)(b)(c) 1.30 1.30
Gross expenses (%)(c) 2.67 2.16
Net investment income (loss) (%)(c) 6.70 6.11
Portfolio turnover (%) 12 42
</TABLE>
89
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
--------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30,
-------------- ------------- -------------
(UNAUDITED) 1999 1998
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $10.93 $11.96 $ 11.70
------ ------ -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.26 0.52 0.40
Net realized and unrealized gain (loss)
on investments (0.06) (0.84) 0.27
------ ------ -------
Total from investment operations 0.20 (0.32) 0.67
------ ------ -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.25) (0.52) (0.40)
Distributions from net realized capital gains (0.01) (0.19) (0.01)
------ ------ -------
Total distributions (0.26) (0.71) (0.41)
------ ------ -------
Net asset value, end of period $10.87 $10.93 $ 11.96
====== ====== =======
Total return (%)(a) 1.9 (2.8) 5.9
Net assets, end of period (000) $8,302 $9,823 $10,056
Ratios to average net assets:
Net expenses (%)(b)(c) 0.50 0.54 0.60
Gross expenses (%)(c) 1.70 1.63 1.70
Net investment income (loss) (%)(c) 4.71 4.54 4.62
Portfolio turnover (%) 15 38 30
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
<PAGE>
<CAPTION>
INSTITUTIONAL CLASS
--------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------
1997 1996 1995
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $11.29 $11.53 $10.41
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.56 0.52 0.52
Net realized and unrealized gain (loss)
on investments 0.51 (0.15) 1.16
------ ------ ------
Total from investment operations 1.07 0.37 1.68
------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.56) (0.52) (0.52)
Distributions from net realized capital gains (0.10) (0.09) (0.04)
------ ------ ------
Total distributions (0.66) (0.61) (0.56)
------ ------ ------
Net asset value, end of period $11.70 $11.29 $11.53
====== ====== ======
Total return (%)(a) 9.8 3.3 16.5
Net assets, end of period (000) $8,752 $8,701 $7,961
Ratios to average net assets:
Net expenses (%)(b)(c) 0.60 1.00 1.00
Gross expenses (%)(c) 1.80 2.31 2.02
Net investment income (loss) (%)(c) 4.90 4.61 4.72
Portfolio turnover (%) 50 38 41
</TABLE>
91
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
SHORT-TERM BOND FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30,
-------------- ------------- -------------
(UNAUDITED) 1999 1998
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 9.51 $ 9.96 $ 9.75
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.30 0.62 0.44
Net realized and unrealized gain (loss)
on investments (0.12) (0.45) 0.21
------ ------ ------
Total from investment operations 0.18 0.17 0.65
------ ------ ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.31) (0.62) (0.44)
------ ------ ------
Net asset value, end of period $ 9.38 $ 9.51 $ 9.96
====== ====== ======
Total return (%)(a) 1.9 1.8 6.8
Net assets, end of period (000) $35,585 $26,849 $27,288
Ratios to average net assets:
Net expenses (%)(b)(c) 0.37 0.27 0.50
Gross expenses (%)(c) 0.76 0.87 0.83
Net investment income (loss) (%)(c) 6.47 6.38 5.94
Portfolio turnover (%) 39 81 47
* FROM COMMENCEMENT OF CLASS OPERATIONS ON JANUARY 2, 1997 THROUGH DECEMBER
31, 1997.
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
<PAGE>
<CAPTION>
INSTITUTIONAL CLASS RETAIL CLASS
--------------------------- -------------------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED
YEAR ENDED DECEMBER 31, MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30, DECEMBER 31,
-------------------------- -------------- ------------- ------------- ------------
1997 1996 1995 (UNAUDITED) 1999 1998 1997*
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.70 $ 9.81 $ 9.46 $ 9.50 $ 9.96 $ 9.75 $ 9.70
------ ------- ------- ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.61 0.55 0.63 0.29 0.59 0.42 0.59
Net realized and unrealized gain (loss)
on investments 0.06 (0.11) 0.35 (0.12) (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) (0.29) (0.59) (0.42) (0.60)
------ ------ ------ ------ ------ ------ ------
Net asset value, end of period $ 9.75 $ 9.70 $ 9.81 $ 9.38 $ 9.50 $ 9.96 $ 9.75
======= ======= ======= ====== ====== ====== ======
Total return (%)(a) 7.1 4.7 10.6 1.9 1.4 6.6 6.9
Net assets, end of period (000) $18,792 $18,229 $26,039 $ 594 $ 786 $ 773 $ 285
Ratios to average net assets:
Net expenses (%)(b)(c) 0.50 1.00 1.00 0.61 0.52 0.75 0.75
Gross expenses (%)(c) 1.19 1.17 1.03 3.67 4.21 6.00 17.77
Net investment income (loss) (%)(c) 6.34 5.69 6.46 6.20 6.14 5.66 6.04
Portfolio turnover (%) 91 120 214 39 81 47 91
</TABLE>
93
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
FINANCIAL HIGHLIGHTS
U.S. GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
INSTITUTIONAL CLASS
------------------------------------------
SIX MONTHS NINE MONTHS
ENDED YEAR ENDED ENDED
MARCH 31, 2000 SEPTEMBER 30, SEPTEMBER 30,
-------------- ------------- -------------
(UNAUDITED) 1999 1998
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 10.38 $ 11.41 $ 10.70
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.34 0.65 0.43
Net realized and unrealized gain (loss)
on investments 0.10 (1.03) 0.58
------- ------- -------
Total from investment operations 0.44 (0.38) 1.01
------- ------- -------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.30) (0.65) (0.30)
------- ------- -------
Net asset value, end of period $ 10.52 $ 10.38 $ 11.41
======= ======= =======
Total return (%)(a) 4.4 (3.5) 9.6
Net assets, end of period (000) $13,683 $16,141 $29,246
Ratios to average net assets:
Net expenses (%)(b)(c) 0.50 0.52 0.60
Gross expenses (%)(c) 1.13 1.03 0.97
Net investment income (loss) (%)(c) 6.29 5.75 5.61
Portfolio turnover (%) 32 75 84
(a) TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT REDUCED ITS
ADVISORY FEES AND/OR BORNE OTHER EXPENSES. PERIODS LESS THAN ONE YEAR ARE
NOT ANNUALIZED.
(b) THE ADVISER HAS AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING
THE PERIOD. WITHOUT THIS REIMBURSEMENT THE FUND'S RATIO OF EXPENSES WOULD
HAVE BEEN HIGHER.
(c) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
<PAGE>
<CAPTION>
INSTITUTIONAL CLASS
---------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------
1997 1996 1995
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 10.08 $ 10.64 $ 9.22
------- ------- ------
INCOME FROM INVESTMENT OPERATIONS--
Net investment income (loss) 0.63 0.68 0.66
Net realized and unrealized gain (loss)
on investments 0.61 (0.57) 1.42
------- ------- ------
Total from investment operations 1.24 0.11 2.08
------- ------- ------
LESS DISTRIBUTIONS--
Dividends from net investment income (0.62) (0.67) (0.66)
------- ------- ------
Net asset value, end of period $ 10.70 $ 10.08 $ 10.64
======= ======= =======
Total return (%)(a) 12.7 1.3 23.0
Net assets, end of period (000) $17,668 $14,192 $19,499
Ratios to average net assets:
Net expenses (%)(b)(c) 0.60 1.00 1.00
Gross expenses (%)(c) 1.23 1.19 1.22
Net investment income (loss) (%)(c) 6.29 6.23 6.47
Portfolio turnover (%) 156 137 169
</TABLE>
95
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
1. The Loomis Sayles Funds is comprised of predominantly 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 registered with the
Securities and Exchange Commission under the Investment Company Act of 1940, as
amended (the "1940 Act") and organized as a Massachusetts business trust on
February 20, 1991. 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 Emerging Markets Fund
Loomis Sayles Intermediate Maturity Bond Fund Loomis Sayles Global Technology Fund
Loomis Sayles Investment Grade Bond Fund Loomis Sayles Growth Fund
Loomis Sayles Municipal Bond Fund Loomis Sayles International Equity Fund
Loomis Sayles Short-Term Bond Fund Loomis Sayles Mid-Cap Value Fund
Loomis Sayles U.S. Government Securities Fund Loomis Sayles Small Cap Growth Fund
Loomis Sayles Small Cap Value Fund
Loomis Sayles Worldwide Fund
</TABLE>
The Fixed Income Funds (excluding the High Yield Fund, the Municipal Bond and
U.S. Government Securities Funds, which only offer Institutional Class shares)
offer Institutional and Retail Class shares. The Bond Fund offers Admin Class
shares and the Investment Grade Bond Fund offers 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% of the respective Class' average
net assets, pursuant to distribution plans adopted in accordance with Rule 12b-1
under the Investment Company Act of 1940. The Admin Class shares are subject to
a service fee at an annual rate of 0.25% of the Fund's average net assets
attributable to the Admin Class. The J Class shares are subject to a service fee
at an annual rate of 0.25% and a distribution fee at the annual rate of 0.50% of
the respective Class' average net assets, pursuant to a service and distribution
plan adopted under Rule 12b-1. 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
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. 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.
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.
97
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
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.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
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 unanticipated movements in the value of a foreign currency
relative to the U.S. dollar. At March 31, 2000, 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) 6/15/00 23,460,000 $220,158 $231,443 $(11,285)
Japanese Yen (sell) 6/15/00 17,145,000 160,429 169,143 (8,714)
Japanese Yen (sell) 6/15/00 8,865,000 82,642 87,457 (4,815)
Japanese Yen (sell) 6/15/00 5,880,000 54,129 58,009 (3,880)
Japanese Yen (sell) 6/15/00 45,000,000 446,783 443,945 2,838
--------
$(25,856)
========
</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.
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
99
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
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 six
months ended March 31, 2000, the redemption fees amounted to $518 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.
2. PURCHASES AND SALES OF SECURITIES -- (excluding short-term investments) for
each Fund for the period ended March 31, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES
---------------------------------
U.S. GOVERNMENT OTHER
--------------- -----
<S> <C> <C>
Bond Fund ................................. $46,278,668 $237,484,588
Global Bond Fund .......................... 0 6,772,989
High Yield Fund ........................... 0 5,201,704
Intermediate Maturity Bond Fund ........... 962,120 3,940,887
Investment Grade Bond Fund ................ 0 3,235,947
Municipal Bond Fund ....................... 440,679 875,946
Short-Term Bond Fund ...................... 13,904,750 6,068,529
U.S. Government Securities Fund ........... 4,831,794 0
<CAPTION>
SALES
---------------------------------
U.S. GOVERNMENT OTHER
--------------- -----
<S> <C> <C>
Bond Fund ................................. $98,965,562 $140,366,468
Global Bond Fund .......................... 0 2,885,258
High Yield Fund ........................... 0 4,116,076
Intermediate Maturity Bond Fund ........... 1,393,032 272,058
Investment Grade Bond Fund ................ 1,724,652 891,391
Municipal Bond Fund ....................... 99,336 2,254,376
Short-Term Bond Fund ...................... 8,507,843 2,707,414
U.S. Government Securities Fund ........... 7,055,974 0
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES -- During the period
ended March 31, 2000, 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. Metropolitan Life
Insurance Company is a wholly owned subsidiary of MetLife, Inc., a publicly
traded company. Separate management agreements for each Fund in effect during
the period ended March 31, 2000 provided for fees at the following annual
percentage rate of each Fund's average daily net assets indicated below. Loomis
Sayles has contractually agreed, until February 1, 2001, 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 ............... 0.40% 0.55% 0.80% -- 1.30%
Municipal Bond
Fund (1) ................ 0.30% 0.50% -- -- --
Short-Term Bond
Fund (2) ................ 0.25% 0.50% 0.75% -- --
U.S. Government
Securities Fund ......... 0.30% 0.50% -- -- --
</TABLE>
(1) Since February 1, 1999, and continuing through February 1, 2001, the
Municipal Bond Fund reduced its management fees from 0.40%.
(2) Effective January 1, 2000, the Short-Term Bond Fund increased its
management fees and the Fund's expense limitation for the Institutional and
Retail Classes. From October 27, 1998 through December 31, 1999, Loomis
Sayles waived the management fee, and the expense limitations were 0.25%
and 0.50% for the Institutional and Retail Classes, respectively.
The Institutional Class, Retail Class and J Class of shares of the Funds may pay
Loomis Sayles Distributors, L.P. (the "Distributor"), a subsidiary 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
101
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
directly. As of March 31, 2000, the following amount was paid under this
arrangement: Bond Fund Institutional Share class $265,656.
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.
B. SHAREHOLDERS -- At March 31, 2000, Loomis Sayles Distributors, LP held 19,327
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..................................... 1,050,834 1,036,141
Global Bond Fund.............................. 730,224 273,875
High Yield Fund............................... 393,107 623,321
Intermediate Maturity Bond Fund............... 555,499 212,717
Investment Grade Bond Fund.................... 0 135,509
Short-Term Bond Fund.......................... 3,370 363,698
U.S. Government Securities Fund............... 177,186 230,481
</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 six months ended
March 31, 2000, the Funds had no borrowings under the agreement.
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
6. CAPITAL SHARE TRANSACTIONS -- The tables below summarize the transactions in
Fund shares for the periods indicated:
<TABLE>
<CAPTION>
LOOMIS SAYLES BOND FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale
of shares ................. 31,994,308 $ 372,391,950 45,186,642 $ 546,081,627
Issued in connection with
the reinvestment of
distributions ............. 4,728,685 54,098,177 11,973,285 144,036,419
Redeemed ..................... (30,258,594) (351,084,915) (43,681,014) (527,470,996)
----------- -------------- ----------- ---------------
Net change ................... 6,464,399 $ 75,405,212 13,478,913 $ 162,647,050
=========== ============== =========== ===============
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale
of shares ................. 2,025,228 $ 23,555,115 2,061,328 $ 24,858,182
Issued in connection with
the reinvestment of
distributions ............. 183,566 2,100,530 503,055 6,047,054
Redeemed ..................... (1,098,511) (12,774,828) (2,205,035) (26,569,909)
----------- -------------- ----------- ---------------
Net change ................... 1,110,283 $ 12,880,817 359,348 $ 4,335,327
=========== ============== =========== ===============
<CAPTION>
ADMIN CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------ ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale
of shares ................. 107,944 $ 1,251,859 192,735$ 2,291,952
Issued in connection with
the reinvestment of
distributions ............. 6,910 79,150 11,891 142,967
Redeemed ..................... (38,328) (451,909) (123,431) (1,457,404)
----------- -------------- ----------- ---------------
Net change ................... 76,526 $ 879,100 81,195 $ 977,515
=========== ============== =========== ===============
</TABLE>
103
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LOOMIS SAYLES GLOBAL BOND FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale
of shares ................. 340,938 $ 3,959,493 374,228 $ 4,678,699
Issued in connection with
the reinvestment of
distributions ............. 246,308 2,903,411 192,759 2,349,727
Redeemed ..................... (235,020) (2,727,765) (358,078) (4,539,678)
----------- -------------- ----------- ---------------
Net change ................... 352,226 $ 4,135,139 208,909 $ 2,488,748
=========== ============== =========== ===============
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale
of shares ................. 413,554 $ 4,818,052 288,336 $ 3,620,204
Issued in connection with
the reinvestment of
distributions ............. 54,410 640,845 32,073 390,975
Redeemed ..................... (130,954) (1,526,000) (290,413) (3,697,922)
----------- -------------- ----------- ---------------
Net change ................... 337,010 $ 3,932,897 29,996 $ 313,257
=========== ============== =========== ===============
</TABLE>
<TABLE>
<CAPTION>
LOOMIS SAYLES HIGH YIELD FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale
of shares ................. 600,113 $ 5,257,547 1,586,791 $ 13,266,474
Issued in connection with
the reinvestment of
distributions ............. 124,031 1,052,185 195,150 1,638,247
Redeemed ..................... (483,302) (4,250,162) (252,091) (2,173,082)
----------- -------------- ----------- ---------------
Net change ................... 240,842 $ 2,059,570 1,529,850 $ 12,731,639
=========== ============== =========== ===============
</TABLE>
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LOOMIS SAYLES INTERMEDIATE MATURITY FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares.................... 340,096 $ 3,177,482 113,016 $ 1,094,638
Issued in connection with
the reinvestment of
distributions............. 31,604 295,808 67,894 658,132
Redeemed..................... (64,543) (609,425) (95,859) (927,086)
----------- -------------- ----------- ---------------
Net change................... 307,157 $ 2,863,865 85,051 $ 825,684
=========== ============== =========== ===============
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of shares 27,798 $ 261,399 122,742 $ 1,181,866
Issued in connection with
the reinvestment of
distributions.............. 5,223 48,864 6,033 58,346
Redeemed...................... (11,610) (109,163) (8,249) (79,924)
----------- -------------- ----------- ---------------
Net change.................... 21,411 $ 201,100 120,526 $ 1,160,288
=========== ============== =========== ===============
</TABLE>
<TABLE>
<CAPTION>
LOOMIS SAYLES INVESTMENT GRADE BOND FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares..................... 41,197 $ 407,636 132,615 $ 1,341,490
Issued in connection with
the reinvestment of
distributions.............. 6,276 61,757 21,477 216,240
Redeemed...................... (34,881) (345,542) (180,728) (1,824,504)
----------- -------------- ----------- ---------------
Net change.................... 12,592 $ 123,851 (26,636) $ (266,774)
=========== ============== =========== ===============
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares.................... 38,277 $ 377,702 185,638 $ 1,869,371
Issued in connection with
the reinvestment of
distributions............. 4,687 46,140 17,707 178,049
Redeemed..................... (17,948) (179,014) (115,588) (1,161,421)
----------- -------------- ----------- ---------------
Net change................... 25,016 $ 244,828 87,757 $ 885,999
=========== ============== =========== ===============
<CAPTION>
J CLASS SHARES SHARES AMOUNT SHARES* AMOUNT
- -------------- ----------- -------------- ----------- ---------------
Issued from the sale of
shares.................... 205,500 $ 2,031,056 1,788,840 $ 18,214,195
Issued in connection with
the reinvestment of
distributions............. 0 0 0 0
Redeemed..................... (181,390) (1,793,661) (149,500) (1,525,093)
----------- -------------- ----------- ---------------
Net change................... 24,110 $ 237,395 1,639,340 $ 16,689,102
=========== ============== =========== ===============
</TABLE>
*FROM MAY 24, 1999 (COMMENCEMENT OF CLASS OPERATIONS).
105
<PAGE>
LOOMIS SAYLES FIXED INCOME FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
MARCH 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
LOOMIS SAYLES MUNICIPAL BOND FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares.................... 33,308 $ 357,720 112,105 $ 1,290,401
Issued in connection with
the reinvestment of
distributions............. 14,024 150,590 38,193 440,141
Redeemed..................... (182,789) (1,964,146) (92,039) (1,047,290)
----------- -------------- ----------- ---------------
Net change................... (135,457) $ (1,455,836) 58,259 $ 683,252
=========== ============== =========== ===============
</TABLE>
<TABLE>
<CAPTION>
LOOMIS SAYLES SHORT-TERM BOND FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares.................... 2,017,505 $ 19,004,047 1,171,829 $ 11,357,676
Issued in connection with
the reinvestment of
distributions............. 92,919 874,040 160,415 1,547,434
Redeemed..................... (1,140,180) (10,710,214) (1,247,202) (12,080,617)
----------- -------------- ----------- ---------------
Net change................... 970,244 $ 9,167,873 85,042 $ 824,493
=========== ============== =========== ===============
<CAPTION>
RETAIL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares.................... 4,903 $ 46,041 61,280 $ 594,618
Issued in connection with
the reinvestment of
distributions............. 2,175 20,473 3,749 36,056
Redeemed..................... (26,465) (248,596) (59,909) (587,608)
----------- -------------- ----------- ---------------
Net change................... (19,387) $ (182,082) 5,120 $ 43,066
=========== ============== =========== ===============
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
LOOMIS SAYLES U.S GOVERNMENT SECURITIES FUND
---------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
MARCH 31, 2000 SEPTEMBER 30, 1999
---------------------------- -------------------------------
INSTITUTIONAL CLASS SHARES SHARES AMOUNT SHARES AMOUNT
- -------------------------- ----------- -------------- ----------- ---------------
<S> <C> <C> <C> <C>
Issued from the sale of
shares.................... 200,712 $ 2,041,109 688,401 $ 7,460,731
Issued in connection with
the reinvestment of
distributions............. 42,371 430,073 108,431 1,186,786
Redeemed..................... (497,556) (5,080,457) (1,804,315) (19,685,748)
----------- -------------- ----------- ---------------
Net change................... (254,473) $ (2,609,275) (1,007,483) $ (11,038,231)
=========== ============== =========== ===============
</TABLE>
107
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