<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
Annual Report
September 30, 1999
CALIFORNIA TAX-FREE INCOME FUND
CORE FIXED INCOME FUND
FIXED INCOME FUND
HIGH YIELD FIXED INCOME FUND
INTERMEDIATE DURATION FIXED INCOME FUND
INVESTMENT GRADE FIXED INCOME FUND
PROVIDENT FUND
(FORMERLY CORE GROWTH FUND)
SMALL COMPANY GROWTH FUND
SMALL COMPANY VALUE FUND
LOOMIS SAYLES
INVESTMENT TRUST
A FAMILY OF INSTITUTIONAL MUTUAL FUNDS
One Financial Center - Boston, Massachusetts 02111
888-226-9699
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
[PHOTO]
Daniel J. Fuss
President
Dear Shareholders:
Despite continued economic strength, low inflation and relatively low interest
rates, the fiscal year ended September 30, 1999, proved to be a challenging
12-month period for equity and fixed-income investors.
The dominating characteristic of the bond market has been illiquidity,
particularly in the United States. The marvelous days of narrow spreads between
bid and ask and relatively narrow spreads between quality and sector components
of the bond market have not returned. Things did improve somewhat from the
beginning of the fiscal year to the end, but that's about it. In the 41 years
I've been in the investment management business, I never have seen markets this
thin, except for very brief periods.
Nevertheless, this does not mean there is a shortage of opportunities. On the
contrary, this is one of the better times to construct a bond portfolio,
primarily because market liquidity is poor and spreads, no matter how you define
them, are wide. While it is not a good time to try to sell bonds in the
secondary market, it is a wonderful time to be a bond buyer with a longer-term
horizon. And, because our expertise is researching and selecting attractive
bonds, we are obviously comfortable with this environment.
Our best guess is that this period of poor liquidity will probably last through
the rest of the year and perhaps into early 2000. The best way to structure a
portfolio for this type of environment is to focus on where the spreads are
wide, then buy, hold and wait.
In the equity arena, the technological revolution was almost solely responsible
for the market's continued momentum. Large-capitalization growth stocks
continued to be the favored investment, despite a short-lived rally by smaller
and value-oriented stocks in the second quarter of 1999. But the stock market
was plagued by volatility throughout the year, as nervous investors reacted
severely to global events, earnings disappointments and any signs of growing
inflation in the U.S.
Looking ahead, the markets will be faced with some uncertainties, such as the
effect of the euro, the future of Internet-related stocks, the direction of U.S.
interest rates, and Y2K. Our best course of action remains precaution.
1
<PAGE>
In the face of such uncertainty, we have positioned our funds to weather
wider-than-normal market swings, without giving up potential performance
advantages.
Regarding the Y2K issue, we believe the effects on the economy and markets are
likely to be only minor and temporary, but we do acknowledge that there remains
a degree of uncertainty surrounding the event. We want to assure you, our
shareholders, that at Loomis, Sayles & Company, L.P. we have been working
diligently to ensure a smooth transition into the Year 2000. We have taken steps
to prepare our systems and to ensure our business partners have done the same. A
contingency plan has been developed for the millennium rollover in the event
that unforeseen events occur. As a precautionary measure, though, we encourage
you to save all of your financial statements for the year. Also, if you have
particular questions or concerns about Y2K, speak with a Loomis representative
at (888) 226-9699 to gain further insight. The key to minimizing the impact of
Y2K is becoming familiar with the issue and preparing as well as you can.
Sincerely,
/s/ Daniel J. Fuss
Daniel J. Fuss
President
Loomis Sayles Investment Trust
2
<PAGE>
LOOMIS SAYLES CALIFORNIA
TAX-FREE INCOME FUND
- ------------------------------------------
The Loomis Sayles California Tax-Free Income Fund attempts to achieve a high
level of current income exempt from both federal income tax and California
personal income tax as consistent with preservation of capital. For the 12-month
period ended September 30, 1999, the Fund had a total return of 0.56%, as
compared to the Fund's benchmark, the Lehman Brothers 5 Year Municipal Bond
Index, total return of 1.55%. For the same period, the average California
intermediate municipal debt fund, as measured by Lipper Analytical Services, had
a total return of -0.43%.
Municipal bonds underperformed most taxable issues in the third quarter. The
third quarter saw an increase of issues in the municipal calendar as more
issuers tried to beat the Y2K fears before entering the fourth quarter. The
increase in mutual fund redemptions during the third quarter and a less active
group of Property and Casualty Insurance buyers put a strain on municipal yields
especially on the ten year and longer maturities.
Looking at the June 30 and September 30, 1999 yield curve demonstrates how
retail buyers have influenced the market. Yields at the short-end of the yield
curve through the ten year Treasury bond basically remained unchanged while the
yields of longer issues such as the 15 year Treasury bond were 20 basis points
higher and the thirty year Treasury bond were 30 basis points higher. It
certainly seems that moderately extending the Fund's duration by buying 12-16
year Treasury bonds with 15-20 basis points added yield will benefit the Fund
over the coming year. At the end of the third quarter, the Fund had a weighted
average life of 6.85 years and a coupon rate of 5.71%.
Going forward, the Fund is well positioned with a higher than market coupon
yield and a moderate maturity schedule to take advantage of stable market
environment.
ROBERT K. PAYNE IS THE PORTFOLIO MANAGER FOR THE CALIFORNIA TAX-FREE INCOME
FUND.
3
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
INCEPTION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
ANNUALIZED
1 YEAR 3 YEARS SINCE IINCEPTION
Loomis Sayles
California
Tax-Free
Income Fund 0.56 5.11 5.11
Lipper California
Intermediate
Municipal Bond
Funds - Index(b) -0.26 4.88 4.95
Lehman Brothers
5 Year Municipal
Bond Index(c) 1.55 4.97 5.04
Lipper
California
Loomis Sayles Intermediate Lehman Brothers
California Municipal 5 Year
Tax-Free Bond Funds - Municipal Bond
Income Fund Index(b) Index(c)
6/1/95 $10,000.00 $10,000.00 $10,000.00
6/30/95 $9,930.00 $9,921.00 $10,017.00
7/31/95 $10,047.17 $10,027.16 $10,139.00
8/31/95 $10,135.59 $10,136.45 $10,231.00
9/30/95 $10,188.29 $10,195.24 $10,257.00
10/31/95 $10,312.59 $10,313.51 $10,320.00
11/30/95 $10,437.37 $10,432.11 $10,414.00
12/31/95 $10,491.65 $10,493.66 $10,468.00
1/31/96 $10,594.47 $10,594.40 $10,572.00
2/29/96 $10,574.34 $10,557.32 $10,543.00
3/31/96 $10,466.48 $10,429.58 $10,469.00
4/30/96 $10,435.08 $10,422.28 $10,468.00
5/31/96 $10,419.43 $10,418.11 $10,464.00
6/30/96 $10,516.33 $10,487.91 $10,525.00
7/31/96 $10,597.30 $10,592.79 $10,602.00
8/31/96 $10,597.30 $10,591.73 $10,612.00
9/30/96 $10,687.38 $10,684.94 $10,699.00
10/31/96 $10,791.05 $10,793.92 $10,792.00
11/30/96 $10,969.10 $10,963.39 $10,932.00
12/31/96 $10,928.51 $10,923.92 $10,911.00
1/31/97 $10,947.09 $10,943.58 $10,949.00
2/28/97 $11,019.34 $11,019.09 $11,028.00
3/31/97 $10,919.07 $10,916.62 $10,908.00
4/30/97 $10,992.23 $10,970.11 $10,955.00
5/31/97 $11,119.73 $11,121.49 $11,090.00
6/30/97 $11,217.59 $11,219.36 $11,174.00
7/31/97 $11,465.50 $11,477.41 $11,371.00
8/31/97 $11,399.00 $11,387.68 $11,313.00
9/30/97 $11,498.17 $11,507.46 $11,414.00
10/31/97 $11,543.01 $11,538.53 $11,473.00
11/30/97 $11,609.96 $11,584.68 $11,508.00
12/31/97 $11,717.93 $11,734.12 $11,607.00
1/31/98 $11,830.43 $11,840.90 $11,713.00
2/28/98 $11,852.90 $11,852.75 $11,732.00
3/31/98 $11,852.90 $11,837.34 $11,742.00
4/30/98 $11,818.53 $11,766.31 $11,693.00
5/31/98 $11,955.63 $11,933.39 $11,833.00
6/30/98 $11,990.30 $11,968.00 $11,874.00
7/31/98 $12,035.86 $12,003.91 $11,915.00
8/31/98 $12,186.31 $12,181.56 $12,062.00
9/30/98 $12,337.42 $12,360.63 $12,186.00
10/31/98 $12,348.52 $12,345.80 $12,221.00
11/30/98 $12,371.98 $12,380.37 $12,243.00
12/31/98 $12,395.49 $12,390.27 $12,286.00
1/31/99 $12,513.25 $12,534.00 $12,416.00
2/28/99 $12,501.99 $12,477.60 $12,404.00
3/31/99 $12,525.74 $12,498.81 $12,415.00
4/30/99 $12,549.54 $12,511.31 $12,452.00
5/31/99 $12,501.85 $12,433.74 $12,401.00
6/30/99 $12,369.33 $12,273.34 $12,261.00
7/31/99 $12,429.94 $12,334.71 $12,337.00
8/31/99 $12,364.06 $12,292.77 $12,332.00
9/30/99 $12,406.10 $12,329.65 $12,377.00
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
REGISTRATION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
ANNUALIZED
SINCE
1 YEAR REGISTRATION
Loomis Sayles
California
Tax-Free
Income Fund 0.56 4.86
Lipper California
Intermediate
Municipal Bond
Fund Index(b) -0.26 4.98
Lehman Brothers
5 Year Municipal
Bond Index(c) 1.55 5.17
Lipper
California
Loomis Sayles Intermediate Lehman Brothers
California Municipal 5 Year
Tax-Free Bond Fund Municipal Bond
Income Fund Index(b) Index(c)
3/31/97 $10,000.00 $10,000.00 $10,000.00
4/30/97 $10,005.00 $10,049.00 $10,043.00
5/31/97 $10,121.00 $10,188.00 $10,167.00
6/30/97 $10,211.00 $10,277.00 $10,244.00
7/31/97 $10,436.00 $10,514.00 $10,424.00
8/31/97 $10,376.00 $10,432.00 $10,371.00
9/30/97 $10,467.00 $10,541.00 $10,463.00
10/31/97 $10,508.00 $10,570.00 $10,518.00
11/30/97 $10,569.00 $10,612.00 $10,550.00
12/31/97 $10,667.00 $10,749.00 $10,641.00
1/31/98 $10,770.00 $10,847.00 $10,738.00
2/28/98 $10,790.00 $10,858.00 $10,755.00
3/31/98 $10,790.00 $10,843.00 $10,765.00
4/30/98 $10,759.00 $10,778.00 $10,719.00
5/31/98 $10,884.00 $10,931.00 $10,848.00
6/30/98 $10,916.00 $10,963.00 $10,885.00
7/31/98 $10,958.00 $10,996.00 $10,923.00
8/31/98 $11,095.00 $11,159.00 $11,057.00
9/30/98 $11,236.00 $11,323.00 $11,171.00
10/31/98 $11,243.00 $11,309.00 $11,204.00
11/30/98 $11,264.00 $11,341.00 $11,224.00
12/31/98 $11,286.00 $11,350.00 $11,263.00
1/31/99 $11,393.00 $11,482.00 $11,383.00
2/28/99 $11,382.00 $11,430.00 $11,371.00
3/31/99 $11,404.00 $11,449.00 $11,381.00
4/30/99 $11,425.78 $11,460.45 $11,415.54
5/31/99 $11,382.14 $11,389.39 $11,368.74
6/30/99 $11,261.94 $11,242.47 $11,240.27
7/31/99 $11,316.67 $11,298.68 $11,309.96
8/31/99 $11,256.13 $11,260.27 $11,305.44
9/30/99 $11,294.85 $11,294.05 $11,346.14
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles California Tax-Free Income Fund is
June 1, 1995. Shares of the Fund were registered for offer and sale under
the Securities Act of 1933 on March 7, 1997. In accordance with SEC
regulations, performance information is provided for the period beginning
on March 7, 1997 ("Registration"). For the convenience of our long-term
shareholders, performance information is also provided for the period
beginning on June 1, 1995 ("Inception"). Since Lipper California
Intermediate Municipal Bond Fund Index & Lehman Brothers 5 Year Municipal
Bond Index performance data is not available coincident with the
registration date, comparative performance is presented from March 31,
1997.
(b): The Lipper California Intermediate Municipal Debt Funds Index is an equally
weighted index of typically the 10 largest funds within the California
intermediate municipal debt funds investment objective. Returns are
adjusted for the reinvestment of capital gains distributions and income
dividends.
(c): The Lehman Brothers 5 Year Municipal Bond Index is computed from prices on
approximately 6,100 bonds, with a maturity range of 4-6 years, consisting
of roughly 23% revenue bonds, 24% general obligation bonds, 41% insured
bonds, and 12% prerefunded bonds. The index returns have not been reduced
for ongoing management and operating expenses applicable to mutual fund
investments. Source: Lehman Brothers.
4
<PAGE>
LOOMIS SAYLES CORE FIXED INCOME FUND
- ------------------------------------------
The Loomis Sayles Core Fixed Income Fund attempts to achieve a high total
investment return through a combination of current income and capital
appreciation. For the 12-month period ended September 30, 1999, the Fund had a
total return of -1.37%, as compared to the Merrill Lynch Corporate Government
Bond Index of -1.48%. For the same period, the average
A-rated bond fund, as measured by Lipper Analytical Services, had a total return
of -2.19%.
Recent returns in the bond market have been driven primarily by three factors
working to lift yields from lows induced by last year's "flight to quality."
First, much of the fear surrounding last year's financial crisis has passed. As
such, the premium that investors are willing to pay for U.S. Treasuries bonds
has faded. Second, Federal Reserve Board Chairman, Alan Greenspan remarked that
the full extent of last year's interest rate cuts may no longer be necessary in
light of the recovery in world economies. In June, Federal Reserve Board
policymakers delivered a warning and raised interest rates. Finally, the
dramatic spike in world oil prices supported by increases in other commodities
has heightened concerns on the resurgence of inflation. While not yet evidenced
by consumer or producer prices, inflation fears continue to be fueled by strong
retail sales, tight labor markets and a weakening U.S. dollar. Overall, it is
currently a less than glamorous environment for fixed income investors.
Selected trades in Fannie Mae debentures and swaps in Household Finance
Corporation paper helped contribute favorably to performance while our position
in Waste Management and exposure to a generally underperforming corporate sector
put a drag on performance.
The Fund's strategic position currently remains neutral with respect to its
average maturity/duration position. We continue to favor the corporate sector
with its vast array of issuers and quality. Indeed, the difficult market
conditions have provided us a unique opportunity to leverage our research
efforts and add issues that we believe will provide superior yields and capital
gain potential. We also currently find opportunities in the mortgage sector to
be compelling. Based on historical valuations, the current yield advantage on
selected mortgage securities rivals levels not seen for a decade or more.
We believe the outlook for bond market investors is favorable. Higher yields
created by the reversal of last year's rally and opportunities in the corporate
and mortgage sectors lead us to believe that returns for fixed income investors
will be much friendlier in the coming quarters. We expect that inflation
pressure should be quickly contained by our watchful Federal Reserve Board to
sustain price stability so essential to long term economic expansion.
WILLIAM F. CAMP IS THE PORTFOLIO MANAGER FOR THE CORE FIXED INCOME FUND.
5
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
INCEPTION(A) TO SEPTEMBER 30, 1999
AVERAGE RETURNS (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C>
ANNUALIZED
SINCE
1 YEAR 3 YEARS INCEPTION
Loomis Sayles Core Fixed Income Fund -1.37 6.2 6.03
Lipper Corp. A Rated Bond Fund Index(b) -1.68 6.08 6.19
Merrill Lynch Corp./Government Bond Index(c) -1.48 6.8 6.82
Loomis Sayles Lipper Corp.
Core A Rated Merrill Lynch
Fixed Bond Fund Corp./Government
Income Fund Index(b) Bond Index(c)
4/30/96 $10,000.00 $10,000.00 $10,000.00
5/31/96 $9,930.00 $9,978.45 $9,986.41
6/30/96 $10,060.00 $10,102.75 $10,113.28
7/31/96 $10,060.00 $10,123.83 $10,136.78
8/31/96 $10,030.00 $10,095.72 $10,112.83
9/30/96 $10,210.00 $10,287.51 $10,288.03
10/31/96 $10,460.00 $10,539.44 $10,524.26
11/30/96 $10,680.00 $10,754.94 $10,718.12
12/31/96 $10,531.00 $10,633.75 $10,604.18
1/31/97 $10,542.00 $10,649.76 $10,617.90
2/28/97 $10,573.00 $10,687.43 $10,630.12
3/31/97 $10,438.00 $10,540.11 $10,520.87
4/30/97 $10,583.00 $10,688.59 $10,676.57
5/31/97 $10,666.00 $10,788.07 $10,768.79
6/30/97 $10,801.00 $10,933.92 $10,900.35
7/31/97 $11,118.00 $11,285.87 $11,230.95
8/31/97 $10,983.00 $11,142.80 $11,104.12
9/30/97 $11,160.00 $11,333.33 $11,282.43
10/31/97 $11,326.00 $11,479.30 $11,468.56
11/30/97 $11,367.00 $11,533.36 $11,518.44
12/31/97 $11,502.00 $11,655.56 $11,641.24
1/31/98 $11,653.00 $11,794.62 $11,810.35
2/28/98 $11,620.00 $11,774.47 $11,782.08
3/31/98 $11,642.00 $11,818.52 $11,825.98
4/30/98 $11,696.00 $11,872.86 $11,877.82
5/31/98 $11,815.00 $12,001.43 $12,007.56
6/30/98 $11,933.00 $12,107.98 $12,134.62
7/31/98 $11,934.00 $12,110.07 $12,146.14
8/31/98 $11,999.00 $12,218.03 $12,375.88
9/30/98 $12,398.00 $12,490.97 $12,721.37
10/31/98 $12,279.00 $12,333.13 $12,651.02
11/30/98 $12,376.00 $12,467.25 $12,698.39
12/31/98 $12,460.00 $12,507.59 $12,750.22
1/31/99 $12,576.00 $12,613.79 $12,842.24
2/28/99 $12,251.00 $12,333.94 $12,518.74
3/31/99 $12,356.00 $12,414.85 $12,597.55
4/30/99 $12,402.46 $12,455.82 $12,639.12
5/31/99 $12,228.58 $12,313.82 $12,501.36
6/30/99 $12,193.72 $12,253.48 $12,463.85
7/31/99 $12,101.05 $12,198.34 $12,427.71
8/31/99 $12,101.05 $12,165.41 $12,417.76
9/30/99 $12,228.60 $12,280.98 $12,532.01
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
REGISTRATION(A) TO SEPTEMBER 30, 1999
AVERAGE RETURNS (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C>
ANNUALIZED
SINCE
1 YEAR REGISTRATION
Loomis Sayles Core Fixed Income Fund -1.37 5.95
Lipper Corp. A Rated Bond Fund Index(b) -1.68 6.31
Merrill Lynch Corporate/Government Bond Index(c) -1.48 7.25
Loomis Sayles Lipper Corp. Merrill Lynch
Core Fixed A Rated Corporate/
Income Bond Fund Government
Fund Index(b) Bond Index(c)
3/31/97 $10,000.00 $10,000.00 $10,000.00
4/30/97 $10,039.00 $10,141.00 $10,148.00
5/31/97 $10,118.00 $10,235.00 $10,235.00
6/30/97 $10,246.00 $10,373.00 $10,360.00
7/31/97 $10,547.00 $10,708.00 $10,674.00
8/31/97 $10,419.00 $10,572.00 $10,553.00
9/30/97 $10,586.00 $10,752.00 $10,723.00
10/31/97 $10,744.00 $10,891.00 $10,900.00
11/30/97 $10,783.00 $10,942.00 $10,947.00
12/31/97 $10,911.00 $11,058.00 $11,064.00
1/31/98 $11,054.00 $11,190.00 $11,225.00
2/28/98 $11,024.00 $11,171.00 $11,198.00
3/31/98 $11,044.00 $11,212.00 $11,239.00
4/30/98 $11,095.00 $11,264.00 $11,289.00
5/31/98 $11,208.00 $11,385.00 $11,412.00
6/30/98 $11,320.00 $11,487.00 $11,533.00
7/31/98 $11,321.00 $11,489.00 $11,543.00
8/31/98 $11,382.00 $11,591.00 $11,761.00
9/30/98 $11,761.00 $11,850.00 $12,089.00
10/31/98 $11,648.00 $11,700.00 $12,023.00
11/30/98 $11,741.00 $11,828.00 $12,067.00
12/31/98 $11,820.00 $11,866.00 $12,117.00
1/31/99 $11,930.00 $11,967.00 $12,204.00
2/28/99 $11,622.00 $11,701.00 $11,897.00
3/31/99 $11,721.00 $11,778.00 $11,971.00
4/30/99 $11,765.07 $11,817.04 $12,010.50
5/31/99 $11,600.12 $11,682.33 $11,879.59
6/30/99 $11,567.06 $11,625.08 $11,843.95
7/31/99 $11,479.15 $11,572.77 $11,809.60
8/31/99 $11,479.15 $11,541.52 $11,800.16
9/30/99 $11,600.14 $11,651.17 $11,908.72
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Core Fixed Income Fund is April 24,
1996. Shares of the Fund were registered for offer and sale under the
Securities Act of 1933 on March 7, 1997. In accordance with SEC
regulations, performance information is provided for the period beginning
on March 7, 1997 ("Registration"). For the convenience of our long-term
shareholders, performance information is also provided for the period
beginning on April 24, 1996 ("Inception"). Since Lipper Corporate A Rated
Bond Fund Index & Merrill Lynch Corporate/Government Bond Index performance
data is not available coincident with the inception and registration dates,
comparative performance is presented from April 30, 1996 and March 31,
1997, respectively.
(b): The Lipper Corporate Debt Funds A Rated Index is an equally weighted index
of typically the 30 largest mutual funds within the Corporate Debt Funds A
Rated investment objective. Returns are adjusted for the reinvestment of
capital gains distributions and income dividends.
(c): The Merrill Lynch Corporate/Government Bond Index is comprised of all bonds
that are investment grade (rated Baa or higher by Moody's or BBB or higher
by S&P, if unrated by Moody's). Issues must have at least one year to
maturity. Total return comprises price appreciation/depreciation and income
as a percentage of the original investment. Indices are rebalanced monthly
by market capitalization. Source: Merrill Lynch.
6
<PAGE>
LOOMIS SAYLES FIXED INCOME FUND
- ------------------------------------------
The Loomis Sayles Fixed Income Fund attempts to achieve high total investment
return through a combination of current income and capital appreciation. For the
12-month period ended September 30, 1999, the Fund had a total return of 5.83%,
as compared to the Fund's benchmark, the Lehman Brothers Government/Corporate
Bond Index, total return of -1.62%. For the same period, the average BBB rated
fund, as measured by Lipper Analytical Services, had a total return of -0.99%.
The beginning of the fiscal year in 1998 saw a global flight to safety that was
triggered by a recession in Asia and Russia's default on its debt. What followed
was the "Asian Contagion" which spread throughout the global capital markets as
leveraged investors unwound their positions. Fortunately, the Federal Reserve
Board stepped in with three consecutive interest rate cuts which infused some
much-needed liquidity into the bond market. During the first quarter diminished
expectations of future interest rate cuts, rising Japanese bond yields, and a
stronger than expected domestic economy led investors to swap out of
particularly rich U.S. Treasury bonds into other segments of the market. The
broader bond market sold off in the second quarter amid concerns that inflation
was beginning to finally manifest itself in the domestic economy. During the
third quarter, the bond market faced expectations of higher U.S. interest rates,
trading illiquidity, and instability in certain emerging market economies. This
past quarter also saw renewed fears in lower-rated issues, while higher-rated
issues performed more consistently with the broader bond market.
The Fund was well positioned during the past fiscal year. Its Yankee bond
(foreign issues denominated in U.S. dollars) exposure rebounded sharply from
last summer's "Asian Contagion" and boosted overall performance. We accumulated
positions during the crisis and this willingness to go "bottom fishing" paid off
as Korean, Thai, and Malaysian issues were among the strongest performers in the
Fund. Latin American Yankee bonds had mixed results as Brazil and Ecuador
continued to experience instability in their economies. The Energy sector saw
strong gains as oil prices firmed and investors scrambled to hedge against
inflation. Canadian government and provincial debt continued to outperform due
to Canada's strong credit profile, call protection, and liquidity. Additionally,
our positions in Telecommunications and Cable and Media contributed positively
to the Fund's performance.
The Fund attempts to offer above-average yields as well as capital gains
potential and has a flexible blend of investment grade and non-investment grade
securities. Our approach is total-return oriented with a strong focus on
corporate security issues. It is a style fundamentally dependent on "bond
picking" with three major themes: participation in issues with improving credit
profiles; significant non-market relatedness; and the use of sector and spread
analysis. The Fund is currently diversified across 17 countries and 230 issues
and should offer excellent call protection and significant yield advantage over
U.S. Treasuries. We remain constructive on the market at current levels.
DANIEL J. FUSS IS THE PORTFOLIO MANAGER FOR THE FIXED INCOME FUND.
7
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
INCEPTION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
Annualized
SINCE
1 YEAR 3 YEARS INCEPTION
Loomis Sayles Fixed Income Fund 5.83 7.99 11.54
Lipper Corporate Debt Funds BBB Rated Index(b) -0.56 6.12 7.83
Lehman Brothers Government/Corp. Bond Index(c) -1.62 6.75 7.84
Loomis Sayles
Fixed Lipper Corporate
Income Debt Funds BBB Lehman
Fund Rated Index(b) Government/Corp. Bond Index(c)
01/31/95 $10,000.00 $10,000.00 $10,000.00
02/28/95 $10,320.00 $10,228.48 $10,231.88
03/31/95 $10,500.00 $10,308.82 $10,300.50
04/30/95 $10,810.00 $10,494.19 $10,444.20
05/31/95 $11,380.00 $10,946.83 $10,881.93
06/30/95 $11,550.00 $11,029.52 $10,968.90
07/31/95 $11,540.00 $11,003.65 $10,926.62
08/31/95 $11,770.00 $11,165.50 $11,066.41
09/30/95 $12,100.00 $11,296.39 $11,178.81
10/31/95 $12,140.00 $11,446.88 $11,342.98
11/30/95 $12,440.00 $11,634.60 $11,529.72
12/31/95 $12,742.00 $11,826.63 $11,699.60
01/31/96 $12,995.00 $11,922.25 $11,772.43
02/29/96 $12,626.00 $11,671.44 $11,522.64
03/31/96 $12,563.00 $11,585.34 $11,425.89
04/30/96 $12,447.00 $11,511.38 $11,347.49
05/31/96 $12,563.00 $11,503.50 $11,328.38
06/30/96 $12,721.00 $11,635.32 $11,479.61
07/31/96 $12,700.00 $11,664.15 $11,506.39
08/31/96 $12,869.00 $11,658.36 $11,478.10
09/30/96 $13,269.00 $11,891.67 $11,682.14
10/31/96 $13,693.00 $12,177.10 $11,954.80
11/30/96 $14,211.00 $12,448.60 $12,174.94
12/31/96 $13,986.00 $12,328.17 $12,039.21
01/31/97 $14,032.00 $12,367.34 $12,053.50
02/28/97 $14,229.00 $12,437.89 $12,078.93
03/31/97 $14,067.00 $12,245.84 $11,935.38
04/30/97 $14,218.00 $12,426.74 $12,109.93
05/31/97 $14,565.00 $12,569.07 $12,222.94
06/30/97 $14,878.00 $12,756.46 $12,369.65
07/31/97 $15,556.00 $13,197.53 $12,748.09
08/31/97 $15,250.00 $13,022.71 $12,604.99
09/30/97 $15,698.00 $13,251.79 $12,803.16
10/31/97 $15,733.00 $13,386.38 $13,008.25
11/30/97 $15,851.00 $13,451.80 $13,076.72
12/31/97 $15,860.00 $13,596.12 $13,213.95
01/31/98 $16,049.00 $13,769.64 $13,400.24
02/28/98 $16,187.00 $13,764.59 $13,373.00
03/31/98 $16,427.00 $13,834.45 $13,414.23
04/30/98 $16,490.00 $13,893.70 $13,481.64
05/31/98 $16,502.00 $14,012.52 $13,626.55
06/30/98 $16,515.00 $14,115.34 $13,765.14
07/31/98 $16,372.00 $14,104.36 $13,776.12
08/31/98 $15,258.00 $14,001.86 $14,045.32
09/30/98 $15,789.00 $14,290.52 $14,446.93
10/31/98 $15,625.00 $14,114.26 $14,344.91
11/30/98 $16,460.00 $14,375.22 $14,430.38
12/31/98 $16,447.00 $14,410.96 $14,465.74
01/31/99 $16,723.00 $14,536.36 $14,568.51
02/28/99 $16,391.00 $14,221.85 $14,222.27
03/31/99 $16,930.00 $14,380.32 $14,292.84
04/30/99 $17,455.17 $14,483.86 $14,328.57
05/31/99 $17,068.36 $14,288.33 $14,180.99
06/30/99 $16,971.58 $14,212.60 $14,137.03
07/31/99 $16,722.78 $14,141.54 $14,097.44
08/31/99 $16,584.65 $14,089.21 $14,086.17
09/30/99 $16,709.04 $14,210.38 $14,212.94
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
REGISTRATION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
ANNUALIZED
SINCE
1 YEAR REGISTRATION
Loomis Sayles Fixed Income Fund 5.83 6.56
Lipper Corporate Debt Funds BBB Rated Index(b) -0.56 6.13
Lehman Brothers Government/Corp. Bond Index(c) -1.62 7.24
Loomis Sayles
Fixed Lipper Corporate
Income Debt Funds BBB Lehman Brothers
Fund Rated Index(b) Government/Corp. Bond Index(c)
03/31/97 $10,000.00 $10,000.00 $10,000.00
04/30/97 $10,016.00 $10,148.00 $10,146.00
05/31/97 $10,261.00 $10,265.00 $10,240.00
06/30/97 $10,481.00 $10,418.00 $10,363.00
07/31/97 $10,959.00 $10,778.00 $10,680.00
08/31/97 $10,743.00 $10,636.00 $10,561.00
09/30/97 $11,058.00 $10,823.00 $10,727.00
10/31/97 $11,083.00 $10,933.00 $10,898.00
11/30/97 $11,166.00 $10,987.00 $10,956.00
12/31/97 $11,173.00 $11,105.00 $11,071.00
01/31/98 $11,306.00 $11,247.00 $11,227.00
02/28/98 $11,403.00 $11,242.00 $11,205.00
03/31/98 $11,572.00 $11,300.00 $11,239.00
04/30/98 $11,616.00 $11,348.00 $11,296.00
05/31/98 $11,625.00 $11,446.00 $11,416.00
06/30/98 $11,634.00 $11,529.00 $11,533.00
07/31/98 $11,533.00 $11,520.00 $11,542.00
08/31/98 $10,748.00 $11,436.00 $11,767.00
09/30/98 $11,123.00 $11,672.00 $12,104.00
10/31/98 $11,007.00 $11,528.00 $12,018.00
11/30/98 $11,596.00 $11,741.00 $12,090.00
12/31/98 $11,586.00 $11,771.00 $12,120.00
01/31/99 $11,781.00 $11,873.00 $12,206.00
02/28/99 $11,547.00 $11,617.00 $11,916.00
03/31/99 $11,927.00 $11,745.00 $11,975.00
04/30/99 $12,296.98 $11,830.04 $12,004.94
05/31/99 $12,024.47 $11,670.33 $11,881.29
06/30/99 $11,956.30 $11,608.48 $11,844.45
07/31/99 $11,781.02 $11,550.43 $11,811.29
08/31/99 $11,683.71 $11,507.70 $11,801.84
09/30/99 $11,771.33 $11,606.66 $11,908.06
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Fixed Income Fund is January 17, 1995.
Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with SEC regulations,
performance information is provided for the period beginning on March 7,
1997 ("Registration"). For the convenience of our long-term shareholders,
performance information is also provided for the period beginning on
January 17, 1995 ("Inception"). Since Lipper Corporate Debt Funds BBB Rated
Index & Lehman Brothers Government/Corporate Bond Index performance data is
not available coincident with the inception and registration dates,
comparative performance is presented from January 31, 1995 and March 31,
1997, respectively.
(b): The Lipper Corporate Debt Funds BBB Rated Index is an equally weighted
index of typically the 30 largest mutual funds within the BBB rated funds
investment objective. Returns are adjusted for the reinvestment of capital
gains distributions and income dividends.
(c): Lehman Brothers Government/Corporate Bond Index is a composite of
approximately 5,300 corporate and government issues with at least
$100 million outstanding for government issues and $25 million for
corporates and greater than 1 year maturity. The index returns have not
been lowered for ongoing management and operating expenses applicable to
mutual fund investments. Source: Lehman Brothers.
8
<PAGE>
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
- ------------------------------------------
The Loomis Sayles High Yield Fixed Income Fund attempts to achieve high total
investment return through a combination of current income and capital
appreciation. For the 12-month period ended September 30, 1999, the Fund had a
total return of 16.75%, as compared to the Fund's benchmark, the Merrill Lynch
High Yield Master Index, total return of 3.37%. For the same period, the average
high current yield fund, as measured by Lipper Analytical Services, had a total
return of 4.84%.
After a roller coaster 1998, the first half of 1999 got off to a strong start.
However, as the year progressed corporate credit spreads began widening due
largely to Wall Street dealers' unwillingness to hold large inventories of
bonds, which resulted in trading illiquidity. The summer saw a heavy new issue
calendar as companies rushed to get deals done before a looming Y2K deadline. By
the beginning of the third quarter this heavy deal flow resulted in dealer
fatigue and widening credit spreads. By September, the amount of new issues
dropped dramatically and spreads began to narrow. The third calendar quarter was
especially rough for high yield bonds because of a weak stock market and a rise
in default rates.
The Fund is currently diversified across 18 countries and 127 issues and has
significant positions in Energy, Telecommunications, and Yankee bonds (foreign
issues denominated in U.S. dollars). Our Yankee bond position (currently 36.1%
of the portfolio) has led the way all year long. Prices have risen steadily as
investors' risk premiums have declined and issues that were shunned in August of
1998 have rebounded and outperformed. The economic recoveries in Asia and Latin
America have benefited the Fund. Notable performers were South Korea, Thailand,
and Brazil. We have also maintained our significant positions in the
Telecommunications and Cable sectors. These areas have been the beneficiaries of
deregulation, explosive internet growth, and takeover and merger speculation. We
have also remained positive about Canadian government and provincial debt. To
date these issues have been able to sustain their strong credit profiles,
liquidity, and call-protection.
The portfolio continues to emulate our "bond picking" style which focuses on
individual credit specifics while attempting to capitalize on secular changes in
sectors in an attempt to capture attractive yields and lock them in for extended
periods of time. We remain constructive yet cautious on the market at current
levels.
DANIEL J. FUSS IS THE PORTFOLIO MANAGER FOR THE HIGH YIELD FIXED INCOME FUND.
9
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
INCEPTION(A) TO SEPTEMBER 30, 1999
AVERAGE RETURNS (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C>
ANNUALIZED
1 YEAR 3 YEARS SINCE INCEPTION
Loomis Sayles
High Yield
Fixed Income Fund 16.75 3.64 4.45
Lipper High
Current Yield
Funds Index(b) 5.25 6.09 7.12
Merrill Lynch
High Yield
Master Index(c) 3.37 6.90 6.61
Loomis Sayles Merrill Lynch
High Yield Lipper High High Yield
Fixed Current Yield Master
Income Fund Funds Index(b) Index(c)
6/30/96 $10,000.00 $10,000.00 $10,000.00
7/31/96 $9,970.00 $10,046.00 $10,068.00
8/31/96 $10,110.00 $10,208.00 $10,172.00
9/30/96 $10,380.00 $10,474.00 $10,390.00
10/31/96 $10,440.00 $10,524.00 $10,504.00
11/30/96 $10,740.00 $10,705.00 $10,716.00
12/31/96 $10,764.00 $10,837.00 $10,799.00
1/31/97 $10,817.00 $10,944.00 $10,882.00
2/28/'97 $10,732.00 $11,128.00 $11,034.00
3/31/97 $10,552.00 $10,887.00 $10,912.00
4/30/97 $10,689.00 $10,980.00 $11,036.00
5/31/97 $11,007.00 $11,270.00 $11,259.00
6/30/97 $11,219.00 $11,464.00 $11,430.00
7/31/97 $11,781.00 $11,769.00 $11,704.00
8/31/97 $11,770.00 $11,796.00 $11,684.00
9/30/97 $12,130.00 $12,082.00 $11,877.00
10/31/97 $11,770.00 $12,034.00 $11,956.00
11/30/97 $11,823.00 $12,122.00 $12,069.00
12/31/97 $11,715.00 $12,265.00 $12,184.00
1/31/98 $11,878.00 $12,503.00 $12,365.00
2/28/98 $12,112.00 $12,621.00 $12,416.00
3/31/98 $12,497.00 $12,804.00 $12,523.00
4/30/98 $12,462.00 $12,844.00 $12,583.00
5/31/98 $12,123.00 $12,829.00 $12,670.00
6/30/98 $11,843.00 $12,852.00 $12,733.00
7/31/98 $11,699.00 $12,940.00 $12,806.00
8/31/98 $9,922.00 $11,954.00 $12,253.00
9/30/98 $9,898.00 $11,882.00 $12,278.00
10/31/98 $9,887.00 $11,612.00 $12,076.00
11/30/98 $10,834.00 $12,294.00 $12,626.00
12/31/98 $10,676.00 $12,256.00 $12,630.00
1/31/99 $10,937.00 $12,478.00 $12,755.00
2/28/99 $10,868.00 $12,427.00 $12,658.00
3/31/99 $11,377.00 $12,647.00 $12,767.00
4/30/99 $12,092.00 $12,974.00 $12,966.00
5/31/99 $11,749.00 $12,728.00 $12,876.00
6/30/99 $11,927.00 $12,729.00 $12,852.00
7/31/99 $11,831.00 $12,733.00 $12,871.00
8/31/99 $11,583.00 $12,604.00 $12,745.00
9/30/99 $11,556.00 $12,506.00 $12,692.00
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
REGISTRATION(A) TO SEPTEMBER 30, 1999
AVERAGE RETURNS (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C>
ANNAULIZED
1 YEAR SINCE REGISTRATION
Loomis Sayles High Yield Fixed Income Fund 16.75 3.08
Lipper High Current Yield Funds Index(b) 5.25 5.70
Merrill Lynch High Yield Master Index(c) 3.37 6.23
Loomis Sayles Merrill Lynch
High Yield Lipper High High Yield
Fixed Current Yield Master
Income Fund Funds Index(b) Index(c)
3/31/97 $10,000.00 $10,000.00 $10,000.00
4/30/97 $10,000.00 $10,085.00 $10,114.00
5/31/97 $10,297.00 $10,352.00 $10,318.00
6/30/97 $10,496.00 $10,529.00 $10,475.00
7/31/97 $11,021.00 $10,810.00 $10,727.00
8/31/97 $11,011.00 $10,835.00 $10,708.00
9/30/97 $11,348.00 $11,097.00 $10,886.00
10/31/97 $11,011.00 $11,054.00 $10,958.00
11/30/97 $11,061.00 $11,135.00 $11,062.00
12/31/97 $10,959.00 $11,266.00 $11,167.00
1/31/98 $11,112.00 $11,485.00 $11,333.00
2/28/98 $11,331.00 $11,593.00 $11,380.00
3/31/98 $11,691.00 $11,761.00 $11,478.00
4/30/98 $11,658.00 $11,797.00 $11,532.00
5/31/98 $11,342.00 $11,784.00 $11,612.00
6/30/98 $11,080.00 $11,806.00 $11,671.00
7/31/98 $10,945.00 $11,886.00 $11,737.00
8/31/98 $9,282.00 $10,980.00 $11,230.00
9/30/98 $9,260.00 $10,914.00 $11,253.00
10/31/98 $9,249.00 $10,667.00 $11,068.00
11/30/98 $10,141.00 $11,293.00 $11,572.00
12/31/98 $9,987.00 $11,258.00 $11,575.00
1/31/99 $10,232.00 $11,461.00 $11,690.00
2/28/99 $10,167.00 $11,416.00 $11,601.00
3/31/99 $10,643.00 $11,616.00 $11,701.00
4/30/99 $11,312.23 $11,917.36 $11,883.54
5/31/99 $10,990.51 $11,690.93 $11,801.54
6/30/99 $11,157.79 $11,692.10 $11,779.12
7/31/99 $11,067.74 $11,695.61 $11,796.78
8/31/99 $10,836.10 $11,577.48 $11,681.18
9/30/99 $10,810.41 $11,487.18 $11,632.12
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles High Yield Fixed Income Fund is
June 5, 1996. Shares of the Fund were registered for offer and sale under
the Securities Act of 1933 on March 7, 1997. In accordance with SEC
regulations, performance information is provided for the period beginning
on March 7, 1997 ("Registration"). For the convenience of our long-term
shareholders, performance information is also provided for the period
beginning on June 5, 1996 ("Inception"). Since Lipper High Current Yield
Funds Index & Merrill Lynch High Yield Master Index performance data is not
available coincident with the inception and registration dates, comparative
performance is presented from June 30, 1996 and March 31, 1997,
respectively.
(b): The Lipper High Current Yield Funds Index is an equally weighted index of
typically the 30 largest mutual funds within the high current yield funds
investment objective. Returns are adjusted for the reinvestment of capital
gains distributions and income dividends..
(c): The Merrill Lynch High Yield Master Index consists of issues of publicly
placed non-convertible coupon bearing U.S. domestic debt and must carry a
term to maturity of at least one year. Par amounts outstanding must be no
less than $10 million at the start and at the close of the performance
measurement period. Issues must be rated by Standard & Poor's or by Moody's
as less than investment grade (i.e., BBB or Baa) but not in default (i.e.,
DDI or less). The index excludes floating rate debt equipment trust bond
certificates and Title 11 securities. Source: Merrill Lynch.
10
<PAGE>
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
- ------------------------------------------
The Loomis Sayles Intermediate Duration Fixed Income Fund attempts to achieve
high total investment return through a combination of current income and capital
appreciation. For the 12-month period ended September 30, 1999, the Fund had a
total return of 3.61%, as compared to the Fund's benchmark, the Lehman Brothers
Government/Corporate Intermediate Bond Index, total return of 0.63%. For the
same period, the average intermediate investment grade debt fund, as measured by
Lipper Analytical Services, had a total return of -1.01%.
After starting the fiscal year in the wake of a global flight to quality,
triggered by recession in Asia and Russia's default, the broader bond market saw
a marked sell off amid heightened inflation concerns and anticipated interest
rate hikes by the Federal Reserve Board. The continued growth of the domestic
economy led investors to swap out of particularly rich U.S. Treasuries bonds
into other segments of the market during the first quarter. However, Treasuries,
which performed poorly most of the year, witnessed a new flight to quality with
renewed fears in lower rated credits and Y2K paranoia. Yankee bonds (foreign
issues denominated in U.S. dollars) continued their rally in the second half of
the year, buoyed by the successful rebound in Southeast Asia and the upgrade of
Korean debt.
Strategic positioning of the Fund aided in its outperformance for the fiscal
year. Mortgage and asset-backed exposure had a positive impact on performance,
outperforming (similar duration) Treasuries on a relative basis. The successful
recovery in Southeast Asia aided our modest Yankee bond (foreign issues
denominated in U.S. dollars) allocation, contributing significantly to the
Fund's performance. One notable performer in this group was Korea Development
Bank, which rallied after being upgraded to investment grade status. In
addition, select financial credits benefited from merger and acquisition trends
within the industry, and our exposure to electric utilities, boosted by
deregulation within the industry, contributed positively to performance.
The portfolio's current structure emphasizes our continued focus on undervalued
bonds with call protection that should offer good yield advantage. The duration
of the portfolio remains longer than that of the benchmark index in an attempt
to capture the higher yield offered by the corporate curve for extending
maturity and to enhance capital appreciation should yield spreads narrow.
ANTHONY J. WILKINS IS THE PORTFOLIO MANAGER FOR THE INTERMEDIATE DURATION FIXED
INCOME FUND.
11
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
INCEPTION(A) TO SEPTEMBER 30, 1999
AVERAGE RETURNS (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C>
ANNUALIZED
SINCE
1 YEAR INCEPTION
Loomis Sayles
Intermediate Duration
Fixed Income Fund 3.61 3.31
Lipper Intermediate
Investment Grade
Debt Funds Index(b) -0.68 3.35
Lehman Brothers
Government/Corporate
Intermediate Bond
Index(c) 0.63 4.39
Loomis Sayles Lipper Intermediate Lehman Brothers
Intermediate Investment Grade Government/Corp.
Duration Fixed Debt Funds Intermediate
Income Fund Index(b) Bond Index(c)
01/31/98 $10,000.00 $10,000.00 $10,000.00
02/28/98 $10,040.00 $9,985.55 $9,992.38
03/31/98 $10,080.00 $10,022.43 $10,024.48
04/30/98 $10,121.00 $10,069.25 $10,074.71
05/31/98 $10,181.00 $10,160.06 $10,148.61
06/30/98 $10,212.00 $10,241.00 $10,213.39
07/31/98 $10,253.00 $10,261.96 $10,249.42
08/31/98 $10,150.00 $10,400.97 $10,410.49
09/30/98 $10,191.00 $10,634.14 $10,672.02
10/31/98 $10,211.00 $10,548.10 $10,661.51
11/30/98 $10,305.00 $10,600.69 $10,660.70
12/31/98 $10,321.00 $10,646.06 $10,703.54
01/31/99 $10,417.00 $10,712.11 $10,762.31
02/28/99 $10,321.00 $10,520.91 $10,604.12
03/31/99 $10,460.00 $10,603.66 $10,683.21
04/30/99 $10,578.20 $10,639.71 $10,716.33
05/31/99 $10,426.82 $10,531.19 $10,633.81
06/30/99 $10,459.88 $10,495.38 $10,641.26
07/31/99 $10,437.91 $10,458.65 $10,631.68
08/31/99 $10,415.47 $10,447.14 $10,640.18
09/30/99 $10,558.58 $10,562.06 $10,739.14
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Intermediate Duration Fixed Income Fund
is January 28, 1998. Since Lipper Intermediate Investment Grade Debt Funds
Index and Lehman Brothers Government/ Corporate Intermediate Bond Index
performance data is not available coincident with the inception date,
comparative performance is presented from January 31, 1998.
(b): The Lipper Intermediate Investment Grade Debt Funds Index is an equally
weighted index of typically the 30 largest mutual funds within the
intermediate investment grade debt funds investment objective. Returns are
adjusted for the reinvestment of capital gains distributions and income
dividends.
(c): The Lehman Brothers Government/Corporate Intermediate Bond Index consists
of those bonds held within the Lehman Brothers Government/Corporate Bond
Index which have an average maturity of 1-10 years. The Lehman Brothers
Government/Corporate Bond Index consists of approximately 5,300 corporate
and government issues with at least $100 million outstanding for government
issues and $25 million for corporates, and greater than 1 year maturity.
The index returns have not been lowered for ongoing management and
operating expenses applicable to mutual fund investments. Source: Lehman
Brothers.
12
<PAGE>
LOOMIS SAYLES INVESTMENT GRADE
FIXED INCOME FUND
- ------------------------------------------
The Loomis Sayles Investment Grade Fixed Income Fund attempts to achieve high
total investment return through a combination of current income and capital
appreciation. For the 12-month period ended September 30, 1999, the Fund had a
total return of 4.76%, as compared to the Fund's benchmark, the Lehman Brothers
Government/Corporate Bond Index, total return of -1.62%. For the same period,
the average BBB rated fund, as measured by Lipper Analytical Services, had a
total return of -0.99%. Our outperformance can be attributed to a more favorable
global economic climate and successful issue selection.
Following a turbulent fiscal year in 1998, which saw a massive flight to quality
on the news of Russia's default and the 'Asian Flu', three successive Federal
Reserve Board actions renewed confidence in the economy. This led investors to
swap out of particularly rich U.S. Treasury bonds into more attractive segments
of the market, bolstering performance for most of the year. However, the end of
the fiscal year was met with a broad bond market sell off, driven by anticipated
interest rate hikes by the Federal Reserve Board and Y2K paranoia, ushering in a
new flight to quality.
The Fund's strong performance over the past 12 months can be attributed to our
allocation into previously undervalued sectors. Our Yankee bond (foreign issues
denominated in U.S. dollars) allocation aided performance considerably, with the
successful rebound of Southeast Asia, led by the upgrade of Korean debt to
investment grade status. Energy and oil related holdings performed solidly,
boosted by rising oil prices. The modest allocation to this sector contributed
significantly to the Fund's outperformance. The Fund's position in Canadian
government and provincial debt has also contributed to performance over the past
twelve months, with an improving credit profile and the attractive structure of
their debt (i.e. good call protection and liquidity).
We believe that the current portfolio is well positioned to benefit from present
market conditions. Areas of focus continue to be the Yankee bond, Energy, Real
Estate Investment Trust, and Canadian government and provincial sectors. We
remain underweight in the U.S. Treasury sector relative to the benchmark,
primarily because we believe there is better value and more attractive yields in
other segments of the market. The Fund currently exhibits an attractive yield
advantage and is well diversified. The Fund has a longer average maturity and
duration than that of its benchmark in an attempt to capture additional yield
and lock it in through the call protection inherent in longer maturity bonds.
DANIEL J. FUSS IS THE PORTFOLIO MANAGER FOR THE INVESTMENT GRADE FIXED INCOME
FUND.
13
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
INCEPTION (A) TO SEPTEMBER 30, 1999
AVERAGE RETURNS (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C> <C>
ANNUALIZED
SINCE
1 YEAR 3 YEARS 5 YEARS INCEPTION
Loomis Sayles Investment Grade Fixed Income Fund 4.76 7.06 10.61 10.25
Lipper Corporate Debt Funds BBB Rated Index(b) -0.56 6.12 7.61 7.37
Lehman Brothers Government/Corp. Bond Index(c) -1.62 6.75 7.77 7.49
Loomis Sayles
Investment Lipper BBB Lehman
Grade Fixed Rated Bond Government/Corp.
Income Fund Fund Index(b) Bond Index(c)
7/1/94 $10,000.00 $10,000.00 $10,000.00
7/31/94 $10,120.00 $10,171.00 $10,200.00
8/31/94 $10,310.00 $10,210.67 $10,204.08
9/30/94 $10,078.00 $10,069.76 $10,050.00
10/31/94 $9,987.00 $10,037.54 $10,038.94
11/30/94 $9,915.00 $10,010.44 $10,020.87
12/31/94 $9,974.00 $10,060.49 $10,087.01
1/31/95 $10,152.00 $10,222.46 $10,280.68
2/28/95 $10,573.00 $10,455.53 $10,519.19
3/31/95 $10,753.00 $10,538.13 $10,589.67
4/30/95 $11,051.00 $10,727.82 $10,737.93
5/31/95 $11,618.00 $11,190.19 $11,187.85
6/30/95 $11,822.00 $11,275.23 $11,277.35
7/31/95 $11,745.00 $11,249.30 $11,233.37
8/31/95 $11,964.00 $11,414.66 $11,377.16
9/30/95 $12,270.00 $11,548.22 $11,493.20
10/31/95 $12,435.00 $11,701.81 $11,662.15
11/30/95 $12,755.00 $11,893.72 $11,854.58
12/31/95 $12,989.00 $12,089.96 $12,028.84
1/31/96 $13,214.00 $12,187.89 $12,103.42
2/29/96 $12,909.00 $11,931.95 $11,846.83
3/31/96 $12,909.00 $11,843.65 $11,747.31
4/30/96 $12,806.00 $11,767.85 $11,666.26
5/31/96 $12,874.00 $11,759.61 $11,646.42
6/30/96 $13,071.00 $11,894.85 $11,801.32
7/31/96 $13,106.00 $11,924.59 $11,828.46
8/31/96 $13,187.00 $11,918.62 $11,798.89
9/30/96 $13,598.00 $12,157.00 $12,008.91
10/31/96 $14,166.00 $12,448.76 $12,288.72
11/30/96 $14,665.00 $12,726.37 $12,514.83
12/31/96 $14,406.00 $12,602.93 $12,375.92
1/31/97 $14,382.00 $12,643.26 $12,390.77
2/28/97 $14,529.00 $12,715.32 $12,416.79
3/31/97 $14,233.00 $12,519.51 $12,269.03
4/30/97 $14,444.00 $12,704.79 $12,448.16
5/31/97 $14,683.00 $12,850.90 $12,563.93
6/30/97 $14,959.00 $13,042.38 $12,714.69
7/31/97 $15,722.00 $13,493.64 $13,103.76
8/31/97 $15,276.00 $13,315.53 $12,957.00
9/30/97 $15,687.00 $13,549.88 $13,160.43
10/31/97 $15,829.00 $13,688.09 $13,370.99
11/30/97 $15,855.00 $13,755.16 $13,441.86
12/31/97 $15,932.00 $13,902.34 $13,583.00
1/31/98 $16,105.00 $14,080.29 $13,774.52
2/28/98 $16,198.00 $14,074.66 $13,746.97
3/31/98 $16,372.00 $14,146.44 $13,789.59
4/30/98 $16,412.00 $14,207.27 $13,858.53
5/31/98 $16,521.00 $14,329.45 $14,006.82
6/30/98 $16,535.00 $14,434.06 $14,149.69
7/31/98 $16,326.00 $14,422.51 $14,161.01
8/31/98 $15,469.00 $14,317.23 $14,437.15
9/30/98 $15,927.00 $14,612.16 $14,850.05
10/31/98 $15,788.00 $14,432.43 $14,744.62
11/30/98 $16,365.00 $14,699.43 $14,833.08
12/31/98 $16,463.00 $14,736.18 $14,870.17
1/31/99 $16,780.00 $14,864.38 $14,975.74
2/28/99 $16,520.00 $14,543.31 $14,619.32
3/31/99 $16,942.00 $14,704.75 $14,692.42
4/30/99 $17,352.17 $14,810.62 $14,729.15
5/31/99 $17,027.85 $14,610.68 $14,577.44
6/30/99 $16,858.60 $14,533.24 $14,532.25
7/31/99 $16,626.79 $14,460.57 $14,491.56
8/31/99 $16,557.96 $14,407.07 $14,479.97
9/30/99 $16,685.12 $14,530.97 $14,610.28
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE INCEPTION(A) TO SEPTEMBER 30, 1999
REGISTRATION(A) TO SEPTEMBER 30, 1999
AVERAGE RETURN (%) - PERIOD ENDED SEPTEMBER 30, 1999
<S> <C> <C> <C>
ANNUALIZED
YEAR TO DATE 1 YEAR SINCE REGISTRATION
Loomis Sayles Investment Grade Fixed Income Fund 4.76 5.71
Lipper Corporate Debt Funds BBB Rated Index(b) -0.56 6.13
Lehman Brothers Government/Corp. Bond Index(c) -1.62 7.24
Loomis Sayles Lehman Brothers 5 Year
Investment Lipper Corporate Government/Corp.
Grade Fixed Debt Funds BBB Rated Bond
Income Fund Index(b) Index(c)
03/31/97 $10,000.00 $10,000.00 $10,000.00
04/30/97 $9,984.00 $10,148.00 $10,146.00
05/31/97 $10,149.00 $10,265.00 $10,240.00
06/30/97 $10,340.00 $10,418.00 $10,363.00
07/31/97 $10,867.00 $10,778.00 $10,680.00
08/31/97 $10,559.00 $10,636.00 $10,561.00
09/30/97 $10,843.00 $10,823.00 $10,727.00
10/31/97 $10,941.00 $10,933.00 $10,898.00
11/30/97 $10,959.00 $10,987.00 $10,956.00
12/31/97 $11,012.00 $11,105.00 $11,071.00
01/31/98 $11,132.00 $11,247.00 $11,227.00
02/28/98 $11,196.00 $11,242.00 $11,205.00
03/31/98 $11,316.00 $11,300.00 $11,239.00
04/30/98 $11,344.00 $11,348.00 $11,296.00
05/31/98 $11,419.00 $11,446.00 $11,416.00
06/30/98 $11,429.00 $11,529.00 $11,533.00
07/31/98 $11,284.00 $11,520.00 $11,542.00
08/31/98 $10,692.00 $11,436.00 $11,767.00
09/30/98 $11,009.00 $11,672.00 $12,104.00
10/31/98 $10,913.00 $11,528.00 $12,018.00
11/30/98 $11,312.00 $11,741.00 $12,090.00
12/31/98 $11,379.00 $11,771.00 $12,120.00
01/31/99 $11,599.00 $11,873.00 $12,206.00
02/28/99 $11,419.00 $11,617.00 $11,916.00
03/31/99 $11,711.00 $11,745.00 $11,975.00
04/30/99 $11,994.52 $11,830.04 $12,004.94
05/31/99 $11,770.35 $11,670.33 $11,881.29
06/30/99 $11,653.35 $11,608.48 $11,844.45
07/31/99 $11,493.11 $11,550.43 $11,811.29
08/31/99 $11,445.53 $11,507.70 $11,801.84
09/30/99 $11,533.44 $11,606.66 $11,908.06
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Investment Grade Fixed Income Fund is
July 1, 1994. Shares of the Fund were registered for offer and sale under
the Securities Act of 1933 on March 7, 1997. In accordance with SEC
regulations, performance information is provided for the period beginning
on March 7, 1997 ("Registration"). For the convenience of our long-term
shareholders, performance information is also provided for the period
beginning on July 1, 1994 ("Inception"). Since Lipper Corporate Debt Funds
BBB Rated Index & Lehman Brothers Government/Corporate Bond Index
performance data is not available coincident with the registration date,
comparative performance is presented from March 31, 1997.
(b): The Lipper Corporate Debt Funds BBB Rated Index is an equally weighted
index of typically the 30 largest mutual funds within the BBB rated funds
investment objective. Returns are adjusted for the reinvestment of capital
gains distributions and income dividends.
(c): Lehman Brothers Government/Corporate Bond Index is a composite of
approximately 5,300 corporates 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. Source: Lehman Brothers.
14
<PAGE>
LOOMIS SAYLES PROVIDENT FUND
(FORMERLY, LOOMIS SAYLES CORE GROWTH FUND)
- ------------------------------------------
The Loomis Sayles Provident Fund attempts to achieve long-term growth of
capital. For the 12-month period ended September 30, 1999, the Fund had a total
return of 31.66%, as compared to the Fund's benchmark, the S&P 500 Index total
return of 27.80%. For the same period, the average growth fund, as measured by
Lipper Analytical Services, had a total return of 30.34%.
The second quarter began with a dramatic shift to economically sensitive issues
and a move away from leaders in technology, financial services, and health care.
Limited but growing evidence of a worldwide economic recovery was the driving
force behind this change in market leadership which, even though it came to at
least a temporary pause in early May, was powerful enough to determine relative
sector performance for the entire quarter. As the putative new leaders
consolidated for much of May and all of June, other sectors attempted to rally
with varying degrees of success. Most significantly, much of the technology
sector recovered strongly as concerns about the impact of Y2K on second half
earnings gave way to growing anticipation of strong second quarter earnings
reports. Other important groups, most notably health care, continued to
languish.
The third quarter was not a pretty quarter. After peaking at 1,418.78 on
July 16, the Standard & Poor's 500 Index began a steep decline ending the
quarter down nearly 10% from the mid July peak. Not coincidentally, the dollar
also peaked in mid July, and began a decline which almost precisely matched the
pattern of the S&P 500. Fears of a reviving world economy with its implications
for the dollar, inflation, and interest rates were the driving forces behind
these declines. Market volatility was even greater beneath the surface with
abrupt shifts in sector leadership, and the vast majority of individual stocks
underperformed the major indexes. About the only winners for the entire quarter
were some technology stocks and the gold stocks. Perhaps the most notable shift
in sector performance during the quarter was the retrenchment of the cyclicals
and energy stocks following their strong second quarter gains.
Thus far, the new quarter is continuing the pattern that began in mid July.
Hints of rising inflation emanating from such sources as the Purchasing Managers
Index precipitate sharp selloffs only to be followed by rallies when more benign
numbers appear. Underneath all the confusion, however, the downtrend appears to
be more and more established. A number of reasons are being advanced for this
but I think three are of paramount
15
<PAGE>
importance. First is the soaring trade deficit. This has been well tolerated by
financial markets -- indeed embraced by many investors because of its anti-
inflationary implications -- but, with the current account deficit exceeding 4%
of GDP, it is beginning to raise alarms and put pressure on the dollar. This has
already greatly reduced the role of trade in controlling inflation and could
make it a source of inflation. Second, the Federal Reserve Board has made it
abundantly clear that it fears the consumption boom is close to if not past the
point of over stimulating the economy and that the stock market itself is one of
the drivers of this boom. Bull markets never occur with the Federal Reserve
Board in this mode. Finally, the breadth of the market (the ratio of advancing
issues to declining issues) has been bad for a long time and is getting worse.
Fewer and fewer issues are going up while the vast majority of stocks are
trading well below their highs. In short, Mr. Greenspan has his work cut out for
him. If he is successful, we believe that the dollar and the market will weaken
in a controlled fashion, the U.S. economy will slow but not go into recession,
and the recoveries now underway in Europe, Japan, and many of the developing
countries will remain intact. In that event, well-positioned U.S. companies
should generate earnings growth strong enough to offset the multiple compression
associated with higher interest rates. It is to participate in that scenario
that the Fund owns stocks like 3M, IBM, and Caterpillar. If Mr. Greenspan fails
we believe the U.S. will go into recession, the rest of the world will likely
follow, and currency, stock, and bond markets will be under pressure. It is to
control that risk that the Fund's cash reserves are well above normal.
QUENTIN P. FAULKNER IS THE PORTFOLIO MANAGER FOR THE LOOMIS SAYLES PROVIDENT
FUND.
16
<PAGE>
LOOMIS SAYLES PROVIDENT FUND
- ------------------------------------------
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
INCEPTION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
ANNUALIZED
SINCE
1 YEAR 3 YEARS INCEPTION
Loomis Sayles: Provident Fund 31.66 21.88 18.33
Lipper Growth Funds Index(b) 30.25 21.79 19.74
S&P 500 Index(c) 27.8 25.09 23.88
Loomis Sayles: Lipper
Provident Growth S&P 500
Fund Funds Index(b) Index(c)
10/1/95 $10,000.00 $10,000.00 $10,000.00
10/31/95 $9,800.00 $9,867.00 $9,964.00
11/30/95 $10,040.00 $10,200.50 $10,401.42
12/31/95 $10,042.00 $10,243.35 $10,602.17
1/31/96 $10,032.00 $10,491.24 $10,962.64
2/29/96 $10,213.00 $10,655.95 $11,064.59
3/31/96 $10,213.00 $10,704.97 $11,170.81
4/30/96 $10,443.00 $10,973.66 $11,335.02
5/31/96 $10,604.00 $11,167.89 $11,627.47
6/30/96 $10,533.00 $11,058.45 $11,671.65
7/31/96 $9,952.00 $10,460.19 $11,155.77
8/31/96 $10,283.00 $10,776.08 $11,391.15
9/30/96 $10,824.00 $11,378.47 $12,032.47
10/31/96 $11,085.00 $11,542.32 $12,364.57
11/30/96 $11,886.00 $12,271.79 $13,299.33
12/31/96 $11,609.00 $12,038.63 $13,036.00
1/31/97 $12,337.00 $12,665.84 $13,850.76
2/28/97 $12,236.00 $12,568.31 $13,958.79
3/31/97 $11,882.00 $11,992.68 $13,385.08
4/30/97 $12,408.00 $12,520.36 $14,184.17
5/31/97 $12,924.00 $13,386.77 $15,047.99
6/30/97 $13,136.00 $13,887.44 $15,723.65
7/31/97 $14,148.00 $15,038.71 $16,973.67
8/31/97 $13,511.00 $14,483.78 $16,023.15
9/30/97 $13,987.00 $15,312.25 $16,901.22
10/31/97 $13,532.00 $14,817.66 $16,336.72
11/30/97 $13,592.00 $15,158.47 $17,093.11
12/31/97 $13,430.00 $15,414.65 $17,387.11
1/31/98 $13,649.00 $15,517.93 $17,580.11
2/28/98 $14,656.00 $16,611.94 $18,847.63
3/31/98 $15,390.00 $17,322.93 $19,812.63
4/30/98 $15,697.00 $17,508.29 $20,012.74
5/31/98 $15,248.00 $17,077.58 $19,668.52
6/30/98 $15,719.00 $17,815.33 $20,467.06
7/31/98 $15,839.00 $17,626.49 $20,248.06
8/31/98 $13,528.00 $14,795.68 $17,324.24
9/30/98 $14,886.00 $15,782.55 $18,429.53
10/31/98 $15,511.00 $16,874.70 $19,929.69
11/30/98 $16,256.00 $17,880.43 $21,139.42
12/31/98 $18,026.00 $19,375.24 $22,357.06
1/31/99 $18,623.00 $20,202.56 $23,291.58
2/28/99 $17,997.00 $19,513.65 $22,567.21
3/31/99 $19,017.00 $20,360.55 $23,469.90
4/30/99 $19,570.39 $20,877.70 $24,378.19
5/31/99 $19,278.99 $20,470.59 $23,802.86
6/30/99 $20,545.81 $21,680.40 $25,126.30
7/31/99 $20,443.91 $21,144.89 $24,339.85
8/31/99 $20,196.33 $20,905.96 $24,220.58
9/30/99 $19,599.32 $20,556.83 $23,556.94
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
REGISTRATION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
ANNUALIZED
SINCE
1 YEAR REGISTRATION
Loomis Sayles Provident Fund 31.66 19.49
Lipper Growth Funds Index(b) 30.25 24.05
S&P 500 Index(c) 27.80 25.36
Loomis Sayles Lipper
Provident Growth Funds S&P 500
Fund Index(b) Index(c)
3/31/97 $10,000.00 $10,000.00 $10,000.00
4/30/97 $10,000.00 $10,440.00 $10,597.00
5/31/97 $10,415.00 $11,162.00 $11,242.00
6/30/97 $10,586.00 $11,580.00 $11,747.00
7/31/97 $11,403.00 $12,540.00 $12,681.00
8/31/97 $10,889.00 $12,077.00 $11,971.00
9/30/97 $11,272.00 $12,768.00 $12,627.00
10/31/97 $10,906.00 $12,356.00 $12,205.00
11/30/97 $10,954.00 $12,640.00 $12,770.00
12/31/97 $10,823.00 $12,853.00 $12,990.00
1/31/98 $11,000.00 $12,939.00 $13,134.00
2/28/98 $11,812.00 $13,852.00 $14,081.00
3/31/98 $12,404.00 $14,445.00 $14,802.00
4/30/98 $12,651.00 $14,599.00 $14,952.00
5/31/98 $12,289.00 $14,240.00 $14,694.00
6/30/98 $12,669.00 $14,855.00 $15,291.00
7/31/98 $12,766.00 $14,698.00 $15,127.00
8/31/98 $10,903.00 $12,337.00 $12,943.00
9/30/98 $11,998.00 $13,160.00 $13,769.00
10/31/98 $12,501.00 $14,071.00 $14,889.00
11/30/98 $13,101.00 $14,909.00 $15,793.00
12/31/98 $14,528.00 $16,156.00 $16,703.00
1/31/99 $15,009.00 $16,846.00 $17,401.00
2/28/99 $14,505.00 $16,271.00 $16,860.00
3/31/99 $15,326.00 $16,977.00 $17,534.00
4/30/99 $15,771.99 $17,408.70 $18,212.57
5/31/99 $15,537.14 $17,069.23 $17,782.75
6/30/99 $16,558.09 $18,078.02 $18,771.47
7/31/99 $16,475.96 $17,631.49 $18,183.92
8/31/99 $16,276.44 $17,432.26 $18,094.82
9/30/99 $15,795.30 $17,141.14 $17,599.02
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Provident Fund is October 1, 1995.
Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with SEC regulations,
performance information is provided for the period beginning on March 7,
1997 ("Registration"). For the convenience of our long-term shareholders,
performance information is also provided for the period beginning on
October 1, 1995 ("Inception"). Since Lipper Growth Funds Index & S&P 500
Index performance data is not available coincident with the registration
date, comparative performance is presented from March 31, 1997.
(b): The Lipper Growth Funds Index is an equally weighted index of typically the
30 largest mutual funds within the growth funds investment objective.
Returns are adjusted for the reinvestment of capital gains distributions
and income dividends.
(c): S&P 500 Index is a capitalization-weighted, total return index comprised of
500 widely held common stocks, representing industrial, utility,
transportation, and financial companies traded on the New York Stock
Exchange, the American Stock Exchange and in the Over-the-Counter market.
The index returns have not been reduced for ongoing management and
operating expenses applicable to mutual fund investments.
17
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
18
<PAGE>
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
- ------------------------------------------
The Loomis Sayles Small Company Growth Fund attempts to achieve long-term
capital growth by investing in the shares of smaller companies experiencing
rapid growth. For the period since the Fund's inception on May 7, 1999 through
September 30, 1999, the Fund had a total return of 16.70%, as compared to the
Fund's benchmark, Russell 2000 Index, total return of -2.09%. For the same
period, the average small cap fund, as measured by Lipper Analytical Services,
had a total return of 3.73%.
After a relatively strong second quarter, small cap stocks experienced increased
volatility as investors became increasingly concerned about further interest
rate hikes. Signs of a strong economy coupled with rising gold and energy prices
and a weakening dollar only added to investor concern. Finally, the devastating
earthquake in Taiwan in mid-September was an unexpected "jolt" to technology
investors. While we understand and share some of these concerns, we are somewhat
more sanguine regarding the outlook for stocks. Importantly, signs of a strong
economy should also be signs of continued strong earnings growth. In addition,
we see no end to the cycle of innovation and growth from the technology sector,
which has become an important component to U.S. economic growth.
During the third quarter of 1999, the Fund remained fully invested in small cap
growth stocks. Despite concerns ranging from overvaluation to the Taiwan quake,
the technology sector, which is the Fund's largest sector exposure, continued to
drive overall performance in the third quarter. Telecommunications equipment
stocks continued to perform well, driven by exploding demand for global
bandwidth that we believe is DOUBLING every 90 days. Suppliers of semiconductors
to telecommunication equipment manufacturers are, not surprisingly, experiencing
strong results as well. The Fund also benefited from the strong performances of
some of its healthcare holdings.
Under normal circumstances the Fund is fully invested. While the stock market
may remain volatile for the next six months, we see no reason to alter this
strategy. Investors' concerns regarding an overheating economy, rising interest
rates and high equity valuations have not gone away. It is our view, however,
that economic growth is not accelerating out of control, and we believe that as
a consequence inflation will remain subdued. As a result, interest rates should
not move substantially higher over the near term. Strong earnings growth driven
by a strong economy coupled with a benign inflation and interest rate
environment should be favorable for small cap growth stocks. Our sector
weightings may shift somewhat as we introduce new stocks to the portfolio.
Nevertheless, we expect that the Fund will maintain its significant exposure to
the technology, healthcare and business services sectors.
CHRISTOPHER R. ELY, PHILIP C. FINE AND DAVID L. SMITH ARE THE PORTFOLIO MANAGERS
FOR THE LOOMIS SAYLES SMALL COMPANY GROWTH FUND.
19
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
INCEPTION(a) TO SEPTEMBER 30, 1999
Average Returns (%) - Period Ended September 30, 1999
SINCE
INCEPTION
Loomis Sayles Small Company Growth Fund 16.70
Lipper Small Cap Funds Index(b) 4.62
Russell 2000 Index -2.09
Loomis Sayles Lipper Small Cap
Russell 2000 Index Small Company Growth Fund Funds Index (b)
5/31/99 $10,000.00 $10,000.00 $10,000.00
6/30/99 $10,452.00 $11,575.00 $10,700.00
7/31/99 $10,165.62 $11,155.99 $10,597.28
8/31/99 $9,789.49 $11,298.78 $10,384.27
9/30/99 $9,791.45 $11,932.64 $10,462.16
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Small Company Growth Fund is May 7,
1999. Since Lipper Small Cap Funds Index and Russell 2000 Index performance
data is not available coincident with the inception date, comparative
performance is presented from May 31, 1999.
(b): The Lipper Small Cap Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the small cap funds investment
objective. Returns are adjusted for the reinvestment of capital gains
distributions and income dividends.
(c): Russell 2000 Index is comprised of the 2,000 smallest companies in the
Russell 3000 Index (a broad market index), representing approximately 8% of
the Russell 3000 Index total market capitalization. The index returns have
not been reduced for ongoing management and operating expenses applicable
to mutual fund investments.
20
<PAGE>
LOOMIS SAYLES SMALL COMPANY VALUE FUND
- ------------------------------------------
The Loomis Sayles Small Company Value Fund attempts to achieve long-term capital
growth. From the Fund's inception on June 30, 1999 through September 30, 1999,
the Fund had a total return of -6.00% as compared to the Fund's benchmark,
Russell 2000 Index, total return of -6.32%. For the same period, the average
small cap funds, as measured by Lipper Analytical Services, had a total return
of -2.94%.
The third quarter of 1999 saw both sharp declines in virtually all broad-based
equity market indexes and a reversal in the relative performance of growth-style
investing compared to value. The extent of the market's decline was actually
somewhat masked by the fact that the quarter began with substantial positive
momentum, as evidenced by a record close for the Dow 30 Industrials as late as
August 25, 1999. However, ongoing concerns regarding prospective inflation
ultimately outweighed in investors' minds what appears to be a solid and
possibly improving earnings environment, with the result being a sell-off that
for many industries and sectors has achieved the historical definition of a
"bear" market. The quarter ended with a second discount rate increase by the
Federal Reserve Board.
The Fund's overall strategy has remained the same since inception. We have
decreased our exposure to financial stocks and increased our exposure to
technology stocks, which benefited the Fund.
The Fund is broadly diversified across Russell sectors and industry groups and
well positioned in the current environment, as we believe several factors are in
place that will drive better relative performance for value-style investing.
These include an apparent acceleration in economic growth in overseas markets,
which should directly and positively impact the profitability of a variety of
cyclical and traditionally value industries; a modest uptick in inflation trends
which has historically been consistent with the relative outperformance of
value; and a transition from an interest-rate driven to an earnings-driven
market environment, which we believe will reduce the valuation premium afforded
to growth-oriented sectors of the market.
JEFFREY C. PETHERICK IS THE PORTFOLIO MANAGER FOR THE LOOMIS SAYLES SMALL
COMPANY VALUE FUND.
21
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE
<S> <C> <C> <C>
INCEPTION(a) TO SEPTEMBER 30, 1999
Average Returns (%) -
Period Ended September 30, 1999
SINCE
INCEPTION
Loomis Sayles
Small Company
Value Fund -6.00
Lipper Small
Cap Funds
Index(b) -2.22
Russell 2000
Index(c) -6.32
Loomis
Sayles
Small Lipper
Company Small Cap Russell
Value Funds 2000
Fund Index(b) Index(c)
6/30/99 $10,000.00 $10,000.00 $10,000.00
7/31/99 $9,900.00 $9,904.00 $9,726.00
8/31/99 $9,610.03 $9,704.93 $9,366.14
9/30/99 $9,399.57 $9,777.72 $9,368.01
</TABLE>
Note: Past performance is not predictive of future performance.
(a): Inception date of the Loomis Sayles Small Company Value Fund is June 30,
1999.
(b): The Lipper Small Cap Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the small cap funds investment
objective. Returns are adjusted for the reinvestment of capital gains
distributions and income dividends.
(c): Russell 2000 Index is comprised of the 2,000 smallest companies in the
Russell 3000 Index (a broad market index), representing approximately 8% of
the Russell 3000 Index total market capitalization. The index returns have
not been reduced for ongoing, management and operating expenses applicable
to mutual fund investments.
22
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
<S> <C> <C>
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- 4.8% OF NET ASSETS
Lehman Brothers Holdings, Inc., 6.400%, 12/27/99........ $900,000 $ 899,820
-----------
TOTAL BONDS AND NOTES
(Identified Cost $899,338)............................ 899,820
-----------
MUNICIPAL BONDS AND NOTES -- 93.7% OF NET ASSETS
California Educational Facilities Authority Revenue,
6.000%, 2/15/17....................................... 600,000 613,260
California Health Facilities Authority Revenue, Series
A, (MBIA Insured), 5.550%, 8/15/25.................... 300,000 291,969
California Housing Finance Agency, (MBIA Insured),
5.200%, 8/01/05....................................... 230,000 234,386
California Housing Finance Agency, (MBIA Insured),
5.500%, 8/01/17....................................... 500,000 491,455
California Housing Finance Agency, (MBIA Insured),
5.850%, 8/01/09....................................... 300,000 307,962
California Pollution Control, 5.000%, 4/01/08........... 425,000 425,922
California Pollution Control, 5.900%, 6/01/14........... 400,000 422,872
California State General Obligations, 5.500%, 6/01/01... 500,000 513,325
California State General Obligations, 5.750%, 3/01/13... 505,000 524,498
California State General Obligations, (MBIA Insured),
6.000%, 10/01/14 (Prerefunded 10/01/02 @ 102)......... 240,000 257,801
California State General Obligations, (MBIA Insured),
6.000%, 10/01/14...................................... 10,000 10,348
California State Public Works Board, Community College,
5.200%, 3/01/06....................................... 200,000 206,894
California State Public Works Board, Community College,
5.200%, 4/01/07....................................... 500,000 516,595
California State Public Works Lease, 5.400%, 4/01/04.... 200,000 208,726
California State Water Resources Development, 5.000%,
3/01/01 (Prerefunded 6/15/00 @ 102)................... 200,000 200,800
California Statewide Community Development, St. Joseph
Health Systems, 4.750%, 7/01/16....................... 500,000 444,070
Clovis, California, Unified School District, (FGIC
Insured), Zero Coupon Bond, 8/01/04................... 200,000 161,678
Clovis, California, Unified School District, (FGIC
Insured), 10.625%, 8/01/03............................ 200,000 245,314
East Bay California Municipal Utility Water Systems,
6.000%, 6/01/12....................................... 500,000 526,010
Fresno, California, Unified School District, Series D,
(FSA Insured), 5.125%, 8/01/18........................ 500,000 473,035
Industry, California, (MBIA insured), 5.700%, 7/01/18... 290,000 293,622
</TABLE>
23
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES -- CONTINUED
<S> <C> <C>
Los Angeles State Building Authority, Lease Revenue,
5.375%, 5/01/06....................................... $300,000 $ 313,539
Los Angeles, California, Electric Plant Revenue,
Department of Water & Power, 6.000%, 6/01/13.......... 500,000 517,755
Los Angeles, California, Wastewater Systems, (FGIC
Insured), 5.375%, 11/01/07............................ 450,000 470,142
Los Angeles, California, Water and Power Waterworks
Revenue, (Department of Water & Power), 6.500%,
11/01/10.............................................. 350,000 371,434
Northern California Power Agency, Public Revenue,
5.250%, 7/01/02....................................... 250,000 255,928
Riverside, California, Electric Revenue, (MBIA Insured),
5.200%, 10/01/08...................................... 230,000 236,017
Sacramento, California, Municipal Utility District,
5.250%, 5/15/04....................................... 250,000 259,620
Sacramento, California, Municipal Utility District,
5.700%, 5/15/12....................................... 500,000 512,355
Sacramento, California, Power Authority, 6.000%,
7/01/02............................................... 500,000 522,095
San Diego, California, Industrial Development Revenue,
(AMBAC Insured), 5.900%, 6/01/18...................... 700,000 713,195
San Diego, California, Open Space Park Facility,
District One, 5.750%, 1/01/08......................... 250,000 262,490
San Francisco Bay Area Rapid Transit Authority, (FGIC
Insured), 5.450%, 7/01/08............................. 200,000 208,430
San Francisco, California, City & County International
Airport Revenue, (AMBAC Insured), 6.200%, 5/01/04
(Prerefunded 5/01/02 @ 102)........................... 120,000 128,617
San Francisco, California, City & County International
Airport Revenue, (AMBAC Insured), 6.200%, 5/01/04..... 180,000 191,965
San Francisco, California, City & County Library
Facilities, Series D, 6.100%, 6/15/07................. 250,000 259,340
San Francisco, California, City & County Public Utility
Water Revenue, Series A, 6.375%, 11/01/06............. 500,000 536,070
San Francisco, California, City & County Redevelopment
Project, Series B, 5.200%, 8/01/08 (Prerefunded
8/01/03 @ 100)........................................ 250,000 259,175
San Francisco, California, Public Utilities, 6.000%,
11/01/15.............................................. 500,000 509,780
San Francisco, California, Sewer Revenue, (AMBAC
Insured), 6.000%, 10/01/11............................ 500,000 527,205
San Francisco, California, State Building Authority,
5.125%, 10/01/07...................................... 250,000 257,535
San Francisco, California, Bay Transport Tax, 5.250%,
7/01/18............................................... 350,000 336,213
San Jose, California, Airport Revenue, (FGIC Insured),
5.875%, 3/01/07....................................... 200,000 215,852
Santa Clara, California, Electric Revenue, (MBIA
Insured), 6.250%, 7/01/13 (Prerefunded 7/01/01 @
102).................................................. 250,000 264,748
</TABLE>
24
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES -- CONTINUED
<S> <C> <C>
Southern California, Public Power Transmision Revenue,
5.250%, 7/01/10....................................... $500,000 $ 511,715
Turlock, California, Irrigation District Revenue,
5.750%, 1/01/18....................................... 500,000 501,455
University of California Revenue, Series B, 5.800%,
9/01/07 (Prerefunded 9/01/03 @ 102)................... 415,000 447,287
University of California Revenue, Series B, 6.500%,
9/01/03............................................... 300,000 323,370
University of California Revenue, Series C, (AMBAC
Insured), 4.700%, 9/01/06............................. 200,000 202,314
-----------
TOTAL MUNICIPAL BONDS AND NOTES
(Identified Cost $17,454,086)......................... 17,486,183
-----------
TOTAL INVESTMENTS -- 98.5%
(IDENTIFIED COST $18,353,424) @......................... 18,386,003
Cash and Other Assets, Less Liabilities -- 1.5%....... 285,661
-----------
NET ASSETS -- 100%........................................ $18,671,664
===========
</TABLE>
25
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<C> <S>
+ See Note 1.
@ At September 30, 1999, the net unrealized appreciation on
investments based on cost of $18,353,424 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 $281,049 and $248,470,
respectively, resulting in net unrealized appreciation of
$32,579.
</TABLE>
<TABLE>
<CAPTION>
Key to Abbreviations:
<C> <S>
AMBAC: American Municipal Bond Assurance Corporation
FGIC: Federal Guaranty Insurance Corporation
FSA: Financial Security Assurance
MBIA: Municipal Bond Insurance Association
</TABLE>
<TABLE>
<CAPTION>
TEN LARGEST MUNICIPAL AND SECTOR HOLDINGS AT
SEPTEMBER 30, 1999 AS A PERCENTAGE OF NET ASSETS
<S> <C>
General Obligations 22.2%
Utilities 16.6%
Education 14.6%
Revenue 14.5%
Water & Sewer 10.9%
Public Works 5.2%
Securities 4.8%
Health Care -- Services 3.9%
Transportation 2.9%
Air Transport 1.7%
</TABLE>
See accompanying notes to financial statements.
26
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CORE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
<S> <C> <C>
- -----------------------------------------------------------------------------------
BONDS AND NOTES -- 98.0% OF NET ASSETS
AEROSPACE/DEFENSE -- 2.0%
Lockheed Corp., 9.000%, 1/15/22........................ $ 406,000 $ 448,468
-----------
BANKS/SAVINGS & LOANS -- 4.8%
Bank of America Corp., 5.750%, 3/01/04................. 500,000 479,945
First America Bank Corp., 7.750%, 7/15/04.............. 150,000 154,365
Standard Federal Bank, 7.750%, 7/17/06................. 450,000 456,799
-----------
1,091,109
-----------
COMPUTERS -- 1.6%
Seagate Technology, Inc., 7.125%, 3/01/04.............. 122,000 114,792
Seagate Technology, Inc., 7.370%, 3/01/07.............. 265,000 240,106
-----------
354,898
-----------
ENTERTAINMENT -- 2.6%
Time Warner Entertainment Co., 7.250%, 9/01/08......... 600,000 597,726
-----------
ENVIRONMENTAL SERVICES -- 1.9%
WMX Technologies, Inc., 6.375%, 12/01/03............... 143,000 131,574
WMX Technologies, Inc., 7.000%, 10/15/06............... 325,000 294,028
-----------
425,602
-----------
FINANCIAL SERVICES -- 9.7%
Advanta Corp., 7.000%, 5/01/01......................... 100,000 93,225
Duke Capital Corp., 8.000%, 10/01/19................... 550,000 552,695
Ford Motor Credit Co., 7.750%, 11/15/02................ 200,000 205,766
Ford Motor Credit Co., 8.000%, 6/15/02................. 350,000 361,539
General Motors Acceptance Corp., 7.125%, 5/01/01....... 115,000 116,113
Household Finance Corp., 7.200%, 7/15/06............... 580,000 579,060
USL Capital Corp., 7.050%, 5/14/01..................... 275,000 278,724
-----------
2,187,122
-----------
FOOD & BEVERAGE -- 2.0%
ConAgra, Inc., 9.750%, 3/01/21......................... 375,000 442,399
-----------
FOREIGN ISSUER -- 4.2%
Philips Electronics NV, 8.375%, 9/15/06................ 515,000 533,396
Saga Petroleum ASA, 7.250%, 9/23/27.................... 450,000 413,275
-----------
946,671
-----------
FOREST & PAPER PRODUCTS -- 1.9%
Boise Cascade Corp., 9.800%, 4/15/03................... 200,000 212,762
Boise Cascade Corp., 9.980%, 3/27/03................... 200,000 213,718
-----------
426,480
-----------
GOVERNMENT AGENCIES -- 19.8%
Federal Home Loan Mortgage Corp., 6.000%, 11/01/13..... 698,569 672,589
Federal Home Loan Mortgage Corp., 6.500%, 1/01/27...... 99,350 95,437
</TABLE>
27
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CORE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C>
GOVERNMENT AGENCIES -- CONTINUED
Federal Home Loan Mortgage Corp., 7.000%, 1/01/12...... $ 66,053 $ 66,094
Federal Home Loan Mortgage Corp., 8.000%, 7/01/25...... 20,533 21,001
Federal Home Loan Mortgage Corp., 8.000%, 12/01/26..... 46,471 47,516
Federal National Mortgage Association, 5.625%,
5/14/04.............................................. 1,050,000 1,018,668
Federal National Mortgage Association, 6.000%,
2/01/29.............................................. 975,240 909,412
Federal National Mortgage Association, 7.000%,
12/01/11............................................. 622,101 621,516
Federal National Mortgage Association, 7.500%,
1/01/27.............................................. 104,829 105,123
Federal National Mortgage Association, 9.500%,
11/01/10............................................. 23,770 24,715
Government National Mortgage Association, 6.500%,
4/15/26.............................................. 113,137 108,717
Government National Mortgage Association, 6.500%,
9/15/28.............................................. 669,195 639,704
Government National Mortgage Association, 8.500%,
4/15/23.............................................. 61,787 64,355
Government National Mortgage Association, 9.500%,
9/15/20.............................................. 80,665 85,716
-----------
4,480,563
-----------
HOLDING COMPANIES -- DIVERSIFIED -- 0.8%
ITT Corp., 7.400%, 11/15/25............................ 225,000 185,513
-----------
NATURAL GAS -- 2.9%
Columbia Gas Systems, Inc., 7.050%, 11/28/07........... 675,000 648,486
-----------
OIL & GAS -- 5.5%
Coastal Corp., 6.950%, 6/01/28......................... 500,000 441,425
Ensco International, Inc., 6.750%, 11/15/07............ 350,000 332,454
Union Oil Co., 7.500%, 2/15/29......................... 500,000 477,790
-----------
1,251,669
-----------
REAL ESTATE INVESTMENT TRUSTS -- 1.1%
Developers Diversified Realty Corp., 6.800%, 7/23/02... 125,000 124,076
Meditrust Corp., 7.375%, 7/15/00....................... 125,000 121,859
-----------
245,935
-----------
SECURITIES -- 3.2%
Lehman Brothers Holdings, Inc., 6.125%, 7/15/03........ 495,000 477,913
Lehman Brothers Holdings, Inc., 7.250%, 4/15/03........ 150,000 150,445
Salomon Smith Barney Holdings, Inc., 6.650%, 7/15/01... 100,000 100,003
-----------
728,361
-----------
TELECOMMUNICATIONS -- 2.3%
MCI WorldCom, Inc., 7.550%, 4/01/04.................... 500,000 510,755
-----------
TRANSPORTATION -- 4.4%
Norfolk Southern Corp., 7.800%, 5/15/27................ 550,000 548,938
Union Pacific Corp., 6.625%, 2/01/08................... 200,000 189,434
Union Pacific Corp., 6.700%, 12/01/06.................. 260,000 248,937
-----------
987,309
-----------
</TABLE>
28
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES CORE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- -----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C>
U.S. GOVERNMENT -- 17.7%
U.S. Treasury Bonds, 6.250%, 8/15/23................... $ 595,000 $ 585,052
U.S. Treasury Notes, 6.250%, 2/15/07................... 1,005,000 1,013,794
U.S. Treasury Notes, 6.375%, 8/15/02................... 725,000 737,122
U.S. Treasury Notes, 7.250%, 8/15/04................... 1,580,000 1,668,622
-----------
4,004,590
-----------
UTILITIES -- 9.6%
Boston Edison Co., 6.800%, 3/15/03..................... 400,000 396,688
Boston Edison Co., 7.800%, 5/15/10..................... 300,000 307,719
Commonwealth Edison Co., 7.375%, 1/15/04............... 586,000 590,788
Gulf States Utilities Co., 6.410%, 8/01/01............. 435,000 430,519
Midamerican Energy Co., 6.500%, 12/15/01............... 441,000 442,319
-----------
2,168,033
-----------
TOTAL BONDS AND NOTES
(Identified Cost $22,990,788)........................ 22,131,689
-----------
SHORT-TERM INVESTMENT -- 0.8% OF NET ASSETS
Repurchase Agreement with State Street Bank and Trust
Co., dated 9/30/99 at 4.250% to be repurchased at
$190,022 on 10/01/99 collateralized by $155,000 U.S.
Treasury Bond, 8.875% due 2/15/19 with a value of
$196,293............................................. 190,000 190,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $190,000)........................... 190,000
-----------
TOTAL INVESTMENTS -- 98.8%
(IDENTIFIED COST $23,180,788) @........................ 22,321,689
Cash and Other Assets, Less Liabilities -- 1.2%...... 262,372
-----------
NET ASSETS -- 100%....................................... $22,584,061
===========
</TABLE>
<TABLE>
<C> <S>
+ See Note 1.
@ At September 30, 1999, the net unrealized depreciation on
investments based on cost of $23,193,512 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 $9,814 and $881,637,
respectively, resulting in net unrealized depreciation of
$871,823.
</TABLE>
See accompanying notes to financial statements.
29
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- 96.5% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 78.8%
AUTO & RELATED -- 1.7%
Delphi Automotive Systems Corp., 7.125%, 5/01/29.............................. USD 1,000,000 $ 900,690
Ford Motor Co., 6.625%, 10/01/28.............................................. 3,650,000 3,246,383
TRW, Inc., 6.650%, 1/15/28.................................................... 500,000 418,420
TRW, Inc., 7.750%, 6/01/29 144A............................................... 435,000 420,801
-----------
4,986,294
-----------
BANKS/SAVINGS & LOANS -- 0.1%
First Union Corp., 7.500%, 4/15/35............................................ 270,000 275,716
-----------
BROADCASTING -- 0.9%
Fox Family Worldwide, Inc., Zero Coupon Bond, 11/01/07 (step to 10.250% on
11/01/02) #................................................................. 4,100,000 2,644,500
-----------
BUILDING MATERIALS -- 0.9%
Owens Corning, 7.500%, 8/01/18................................................ 3,000,000 2,678,580
-----------
CANADIAN -- 16.7%
Canadian Government, Zero Coupon Bond, 6/01/22................................ CAD 2,500,000 438,674
Canadian Government, Zero Coupon Bond, 6/01/25................................ 71,460,000 10,879,021
Clearnet Communications, Inc., Zero Coupon Bond, 5/15/08 (step to 10.400% on
5/15/03) #.................................................................. 2,500,000 1,029,472
Hydro Quebec, Zero Coupon Bond, 8/15/20....................................... 7,500,000 1,258,899
New Brunswick FM Project, Zero Coupon Bond, 11/30/27 (step to 6.470% on
5/30/03) 144A #............................................................. 1,250,000 654,378
Province of Alberta, 5.394%, 6/14/13.......................................... 2,418,334 1,587,242
Province of Alberta, 5.930%, 9/16/16.......................................... 1,540,352 1,040,503
Province of British Columbia, Zero Coupon Bond, 8/23/13....................... 11,700,000 3,287,022
Province of British Columbia, Zero Coupon Bond, 9/05/20....................... 4,750,000 842,372
Province of British Columbia, Zero Coupon Bond, 8/19/22....................... 7,365,000 1,152,473
Province of British Columbia, Zero Coupon Bond, 9/08/23....................... 3,300,000 483,477
Province of British Columbia, Zero Coupon Bond, 8/23/24....................... 18,000,000 2,480,084
Province of British Columbia, Zero Coupon Bond, 11/19/27...................... 8,150,000 912,188
Province of British Columbia, 5.700%, 6/18/29................................. 4,300,000 2,640,350
Province of Manitoba, 6.500%, 9/22/17......................................... 5,075,000 3,508,182
Province of Manitoba, 7.750%, 12/22/25........................................ 5,295,000 4,239,928
Province of Newfoundland, 6.150%, 4/17/28..................................... 1,000,000 640,437
</TABLE>
30
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LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
CANADIAN -- CONTINUED
Province of Ontario, Zero Coupon Bond, 7/13/22................................ CAD 12,200,000 $ 1,912,125
Province of Ontario, Zero Coupon Bond, 6/02/27................................ 47,950,000 5,588,727
Province of Saskatchewan, Zero Coupon Bond, 4/10/14........................... 5,000,000 1,364,688
Province of Saskatchewan, 5.750%, 3/05/29..................................... 1,460,000 914,368
Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond,
2/04/22..................................................................... 13,500,000 2,214,563
Province of Saskatchewan (Certificate of Deposit), Zero Coupon Bond,
5/30/25..................................................................... 4,375,000 580,941
Semi-Tech Corp., Zero Coupon Bond, 8/15/03 (step to 11.50% on 8/15/00) #
-C-......................................................................... USD 3,600,000 40,500
-----------
49,690,614
-----------
COMPUTERS -- 1.2%
Apple Computer, Inc., 6.500%, 2/15/04......................................... 1,325,000 1,238,875
Seagate Technology, Inc., 7.450%, 3/01/37..................................... 2,725,000 2,477,843
-----------
3,716,718
-----------
ELECTRONICS -- 0.2%
Westinghouse Electric Corp., 7.875%, 9/01/23.................................. 500,000 489,125
-----------
ENTERTAINMENT -- 4.5%
Time Warner Entertainment Co., 6.875%, 6/15/18................................ 2,840,000 2,614,447
Time Warner Entertainment Co., 6.950%, 1/15/28................................ 5,650,000 5,163,309
Time Warner Entertainment Co., 7.570%, 2/01/24................................ 1,625,000 1,591,070
Time Warner, Inc., 6.625%, 5/15/29............................................ 4,700,000 4,098,400
-----------
13,467,226
-----------
FINANCIAL SERVICES -- 2.1%
Merey Sweeny LP, 8.850%, 12/18/19 144A........................................ 875,000 867,492
Security Capital Group, Inc., 7.700%, 6/15/28................................. 2,000,000 1,683,720
US West Capital Funding, Inc., 6.875%, 7/15/28................................ 4,320,000 3,829,853
-----------
6,381,065
-----------
FOOD & BEVERAGE -- 1.8%
Borden, Inc., 7.875%, 2/15/23................................................. 1,500,000 1,189,590
ConAgra, Inc., 7.000%, 10/01/28............................................... 2,500,000 2,229,700
Pepsi Bottling Group, Inc., 7.000%, 3/01/29................................... 2,250,000 2,073,038
-----------
5,492,328
-----------
FOREIGN GOVERNMENT/AGENCY -- 6.5%
Escom, 11.000%, 6/01/08....................................................... ZAR 2,500,000 329,686
Republic of Argentina, 6.000%, 3/31/23........................................ USD 500,000 320,000
Republic of Argentina, 6.8125%, 3/31/05 ++.................................... 968,000 848,258
</TABLE>
31
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LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FOREIGN GOVERNMENT/AGENCY -- CONTINUED
Republic of Argentina, 8.875%, 3/01/29........................................ USD 1,500,000 $ 1,023,300
Republic of Brazil, 10.125%, 5/15/27.......................................... 5,777,000 4,361,635
Republic of Brazil C Bond, 8.000%, 4/15/14 PIK................................ 10,010,471 6,369,663
Republic of South Africa, 8.500%, 6/23/17..................................... 1,800,000 1,561,500
Republic of South Africa, 12.000%, 2/28/05.................................... ZAR 10,500,000 1,598,897
Republic of South Africa, 12.500%, 12/21/06................................... 4,000,000 598,666
Republic of Venezuela, 9.250%, 9/15/27........................................ USD 3,750,000 2,475,000
-----------
19,486,605
-----------
FOREIGN ISSUER -- 10.1%
Bangko Sentral Pilipinas, 8.600%, 6/15/27..................................... 1,250,000 961,625
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29 144A............................ 3,400,000 2,345,965
Centragas, 10.650%, 12/01/10 144A............................................. 425,853 353,990
Embotelladora Andina SA, 7.625%, 10/01/27..................................... 1,300,000 960,804
Empresa Nacional de Electricidad SA (Endesa), 7.875%, 2/01/27................. 950,000 798,950
Hyundai Motor Co. Ltd., 7.600%, 7/15/07 144A.................................. 750,000 623,385
Indah Kiat Finance Mauritius Ltd., 10.000%, 7/01/07........................... 750,000 420,000
Industrial Finance Corp. of Thailand, 7.375%, 1/14/07 144A.................... 1,000,000 919,830
Korea Electric Power Corp., 6.750%, 8/01/27................................... 500,000 467,275
Korea Electric Power Corp., 7.400%, 4/01/16................................... 1,184,858 1,042,758
Multicanal SA, 10.500%, 4/15/18............................................... 500,000 375,000
Perez Companc SA, 8.125%, 7/15/07 144A........................................ 1,550,000 1,333,000
Petroleos Mexicanos, 9.250%, 3/30/18.......................................... 650,000 546,000
Petroleos Mexicanos, 9.500%, 9/15/27.......................................... 1,450,000 1,225,250
Petroleos Mexicanos, Medium Term, 8.625%, 12/01/23 144A....................... 250,000 193,750
Philippine Long Distance Telephone Co., 8.350%, 3/06/17....................... 400,000 310,654
Pindo Deli Finance Mauritius Ltd., 10.750%, 10/01/07.......................... 1,100,000 594,000
Pindo Deli Finance Mauritius Ltd., 10.875%, 10/01/27.......................... 2,250,000 1,023,750
Pindo Deli Finance Mauritius Ltd., 11.750%, 10/01/17.......................... 1,500,000 750,000
Quezon Power Philippines Co., 8.860%, 6/15/17................................. 1,820,000 1,396,450
Samsung Electronics Co. Ltd., 7.700%, 10/01/27 144A........................... 2,000,000 1,507,500
Siam Commercial Bank Public Co. Ltd., 7.500%, 3/15/06 144A.................... 750,000 585,000
Tata Electric Co., 8.500%, 8/19/17 144A....................................... 3,150,000 2,550,177
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A................................. 2,500,000 1,819,050
Thai Farmers Bank Plc, 8.250%, 8/21/16 144A................................... 3,000,000 2,070,000
Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04.................................. 1,675,000 921,250
</TABLE>
32
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LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FOREIGN ISSUER -- CONTINUED
Total Access Communication Public Co. Ltd., 7.625%, 11/04/01 144A............. USD 500,000 $ 420,000
Total Access Communication Public Co. Ltd., 8.375%, 11/04/06 144A............. 3,850,000 2,757,733
Transener SA, 9.250%, 4/01/08 144A............................................ 1,000,000 830,000
-----------
30,103,146
-----------
FOREST & PAPER PRODUCTS -- 0.2%
Georgia-Pacific Corp. (Timber Group), 7.250%, 6/01/28......................... 500,000 456,275
-----------
GOVERNMENT AGENCIES -- 2.4%
Federal Home Loan Mortgage Corp., 6.000%, 6/01/26............................. 1,706,132 1,606,954
Federal National Mortgage Association, Zero Coupon Bond, 10/29/07............. NZD 11,450,000 3,090,518
Federal National Mortgage Association, 6.000%, 7/01/29........................ USD 2,474,388 2,307,367
-----------
7,004,839
-----------
HEALTH CARE -- PRODUCTS -- 0.4%
Bausch & Lomb, Inc., 7.125%, 8/01/28.......................................... 1,250,000 1,080,375
-----------
HEALTH CARE -- SERVICES -- 1.0%
Columbia/HCA Healthcare Corp., 7.050%, 12/01/27............................... 2,250,000 1,687,500
Columbia/HCA Healthcare Corp., 7.580%, 9/15/25................................ 1,500,000 1,177,500
-----------
2,865,000
-----------
HOME BUILDERS -- 0.3%
Pulte Corp., 7.625%, 10/15/17................................................. 1,000,000 881,380
-----------
MEDIA & ENTERTAINMENT -- 0.2%
News America Holdings, Inc., 7.700%, 10/30/25................................. 700,000 656,670
-----------
OIL & GAS -- 5.3%
Anadarko Petroleum Corp., 6.625%, 1/15/28..................................... 1,000,000 844,740
Chesapeake Energy Corp., 8.500%, 3/15/12...................................... 500,000 405,000
Global Marine, Inc., 7.000%, 6/01/28.......................................... 1,000,000 879,800
Hvide Marine, Inc., 8.375%, 2/15/08 ^......................................... 600,000 264,000
Kerr-McGee Corp., 7.125%, 10/15/27............................................ 800,000 727,776
Pioneer Natural Resources Co., 6.500%, 1/15/08................................ 1,000,000 823,430
Pioneer Natural Resources Co., 7.200%, 1/15/28................................ 750,000 569,017
R & B Falcon Corp., 7.375%, 4/15/18........................................... 3,500,000 2,677,500
Seagull Energy Corp., 7.500%, 9/15/27......................................... 3,500,000 2,905,000
Tennessee Gas Pipeline Co., 7.000%, 10/15/28.................................. 1,750,000 1,574,545
</TABLE>
33
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LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
OIL & GAS -- CONTINUED
Union Pacific Resources Group, Inc., 7.050%, 5/15/18.......................... USD 500,000 $ 451,490
Union Pacific Resources Group, Inc., 7.150%, 5/15/28.......................... 2,500,000 2,227,225
Union Pacific Resources Group, Inc., 7.950%, 4/15/29.......................... 1,000,000 979,980
Williams Companies, Inc., 7.625%, 7/15/19..................................... 500,000 480,470
-----------
15,809,973
-----------
RAIL -- TRANSPORT -- 0.1%
Missouri Pacific Railroad Co., 5.000%, 1/01/45................................ 500,000 270,000
-----------
REAL ESTATE INVESTMENT TRUSTS -- 4.2%
AMB Property Corp., 7.500%, 6/30/18........................................... 1,500,000 1,336,545
CarrAmerica Realty Corp., 6.875%, 3/01/08..................................... 500,000 449,370
First Industrial, 7.500%, 12/01/17............................................ 3,000,000 2,571,540
First Industrial, 7.600%, 7/15/28............................................. 6,000,000 5,014,380
Susa Partnership LP, 7.450%, 7/01/18.......................................... 1,500,000 1,293,315
Susa Partnership LP, 7.500%, 12/01/27......................................... 1,750,000 1,466,990
Trinet Corporate Realty Trust, Inc., 7.700%, 7/15/17.......................... 500,000 352,115
-----------
12,484,255
-----------
RETAIL -- GENERAL -- 0.8%
Dillon Read Structured Finance Corp., 6.660%, 8/15/10......................... 194,030 179,983
Dillon Read Structured Finance Corp., 8.550%, 8/15/19......................... 500,000 469,413
K Mart Corp., 7.950%, 2/01/23................................................. 1,250,000 1,131,250
Woolworth Corp., 8.500%, 1/15/22.............................................. 1,000,000 670,000
-----------
2,450,646
-----------
STEEL -- 0.1%
Geneva Steel Co., 9.500%, 1/15/04 ^........................................... 1,500,000 311,250
-----------
SUPRANATIONAL -- 3.1%
International Bank for Reconstruction & Development, Zero Coupon Bond,
8/20/07..................................................................... NZD 30,250,000 8,598,258
International Bank for Reconstruction & Development, 8.000%, 5/23/07.......... 1,000,000 519,384
-----------
9,117,642
-----------
TAXABLE MUNICIPAL -- 0.2%
Orange County, California Pension Obligation, Zero Coupon Bond, 9/01/16....... USD 2,000,000 580,160
-----------
TELECOMMUNICATIONS -- 3.3%
Intermedia Communications, Inc., Zero Coupon Bond, 3/01/09 (step to 12.250% on
3/01/04) #.................................................................. 1,500,000 742,500
</TABLE>
34
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LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
TELECOMMUNICATIONS -- CONTINUED
Nextel Communications, Inc., Zero Coupon Bond, 10/31/07 (step to 9.750% on
10/31/02) #................................................................. USD 1,725,000 $ 1,220,438
Nextel Communications, Inc., Zero Coupon Bond, 2/15/08 (step to 9.950% on
2/15/03) #.................................................................. 1,000,000 697,500
Nextel International, Inc., Zero Coupon Bond, 4/15/08 (step to 12.125% on
4/15/03) #.................................................................. 2,000,000 1,005,000
Nextlink Communications, Inc., Zero Coupon Bond, 4/15/08 (step to 9.450% on
4/15/03) #.................................................................. 1,500,000 877,500
RCN Corp., Zero Coupon Bond, 10/15/07 (step to 11.125% on 10/15/02) #......... 3,250,000 2,096,250
RCN Corp., Zero Coupon Bond, 2/15/08 (step to 9.800% on 2/15/03) #............ 850,000 510,000
RCN Corp., Zero Coupon Bond, 7/01/08 (step to 11.000% on 7/01/03) #........... 2,100,000 1,260,000
Teligent, Inc., Zero Coupon Bond, 3/01/08 (step to 11.500% on 3/01/03) #...... 2,500,000 1,312,500
-----------
9,721,688
-----------
TEXTILE & APPAREL -- 0.7%
Fruit of the Loom, Inc., 7.375%, 11/15/23..................................... 500,000 270,000
Fruit of the Loom, Inc., 8.875%, 4/15/06...................................... 500,000 170,000
Kellwood Co., 7.625%, 10/15/17................................................ 2,000,000 1,754,280
Phillips Van Heusen Corp., 7.750%, 11/15/23................................... 50,000 39,021
-----------
2,233,301
-----------
TOBACCO -- 1.9%
Philip Morris Cos., Inc., 7.750%, 1/15/27..................................... 5,900,000 5,743,827
-----------
TRANSPORTATION -- 0.2%
American President Cos. Ltd., 7.125%, 11/15/03................................ 1,000,000 570,000
American President Cos. Ltd., 8.000%, 1/15/24................................. 150,000 75,000
-----------
645,000
-----------
U.S. GOVERNMENT -- 5.3%
U.S. Treasury Bonds, 5.500%, 8/15/28.......................................... 12,750,000 11,411,250
U.S. Treasury Bonds, 6.000%, 2/15/26.......................................... 550,000 524,133
U.S. Treasury Bonds, 6.250%, 8/15/23.......................................... 3,195,000 3,141,580
U.S. Treasury Bonds, 6.500%, 11/15/26......................................... 700,000 710,829
U.S. Treasury Bonds, 6.750%, 8/15/26.......................................... 105,000 109,921
-----------
15,897,713
-----------
</TABLE>
35
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LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
UTILITIES -- 2.2%
AES Corp., 8.875%, 11/01/27................................................... USD 1,000,000 $ 810,000
Boston Edison Co., 7.800%, 3/15/23............................................ 500,000 480,503
KN Capital Trust, 7.630%, 4/15/28............................................. 1,000,000 894,295
KN Energy, Inc., 7.250%, 3/01/28.............................................. 3,850,000 3,515,050
Texas-New Mexico Power Co., 6.250%, 1/15/09................................... 1,000,000 872,690
-----------
6,572,538
-----------
WASTE MANAGEMENT -- 0.2%
USA Waste Services, Inc., 7.000%, 7/15/28..................................... 750,000 588,240
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $251,257,165).............................................. 234,782,689
-----------
CONVERTIBLE BONDS -- 17.7%
AUTO & RELATED -- 0.3%
Exide Corp., 2.900%, 12/15/05 144A............................................ 1,000,000 582,500
Magna International, Inc., Class A, 4.875%, 2/15/05........................... 500,000 451,250
-----------
1,033,750
-----------
CANADIAN -- 0.1%
Rogers Communications, Inc., 2.000%, 11/26/05................................. 250,000 196,875
-----------
COMPUTERS -- 0.6%
Cray Research, Inc., 6.125%, 2/01/11.......................................... 463,000 307,895
HMT Technology Corp., 5.750%, 1/15/04......................................... 450,000 171,000
Maxtor Corp., 5.750%, 3/01/12................................................. 507,000 354,900
Read Rite Corp., 6.500%, 9/01/04.............................................. 1,150,000 460,000
Silicon Graphics, Inc., 5.250%, 9/01/04....................................... 300,000 249,375
Western Digital, Zero Coupon Bond, 2/18/18 144A............................... 1,250,000 181,250
-----------
1,724,420
-----------
DIVERSIFIED OPERATIONS -- 2.0%
Ogden Corp., 5.750%, 10/20/02................................................. 500,000 400,000
Thermo Electron Corp., 4.250%, 1/01/03 144A................................... 6,700,000 5,720,125
-----------
6,120,125
-----------
ELECTRONICS -- 2.0%
Cirrus Logic, Inc., 6.000%, 12/15/03.......................................... 200,000 146,000
EDO Corp., 7.000%, 12/15/11................................................... 500,000 405,000
Kent Electronics Corp., 4.500%, 9/01/04....................................... 2,900,000 2,363,500
Lam Research Corp., 5.000%, 9/01/02........................................... 2,275,000 2,269,312
National Semiconductor Corp., 6.500%, 10/01/02................................ 350,000 348,250
Richardson Electronics Ltd., 7.250%, 12/15/06................................. 300,000 216,375
</TABLE>
36
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
ELECTRONICS -- CONTINUED
Zenith Electronics Corp., 6.250%, 4/01/11 ^................................... USD 1,121,000 $ 190,570
-----------
5,939,007
-----------
ENVIRONMENTAL SERVICES -- 0.6%
Thermo TerraTech, Inc., 4.625%, 5/01/03....................................... 600,000 528,000
Thermo TerraTech, Inc., 4.625%, 5/01/03 144A.................................. 1,500,000 1,320,000
-----------
1,848,000
-----------
FINANCIAL SERVICES -- 1.7%
Bell Atlantic Financial Services, 4.250%, 9/15/05............................. 4,325,000 4,503,406
Bell Atlantic Financial Services, 5.750%, 4/01/03............................. 450,000 451,823
-----------
4,955,229
-----------
FOREIGN ISSUER -- 2.1%
Advanced Agro Public Co., 3.500%, 6/17/01..................................... 125,000 103,750
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03............................... 875,000 438,594
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04................................. 1,975,000 918,375
Banpu Public Co., 2.750%, 4/10/03............................................. 1,455,000 1,280,400
Burns, Philp, 5.500%, 4/30/04................................................. 1,000,000 510,000
Empresas ICA Sociedad, 5.000%, 3/15/04........................................ 950,000 560,500
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^..................................... 700,000 189,000
Sappi BVI Finance, 7.500%, 8/01/02............................................ 250,000 240,000
Siam Commercial Bank Public Co. Ltd., 3.250%, 1/24/04......................... 375,000 171,094
Ssangyong Oil Refining Co., Inc., 3.000%, 12/31/04............................ 500,000 332,500
Ssangyong Oil Refining Co., Inc., 3.750%, 12/31/08............................ 150,000 168,187
Telekom Malaysia Berhad, 4.000%, 10/03/04..................................... 500,000 410,625
Total Access Communication Public Co. Ltd., 2.000%, 5/31/06................... 900,000 859,500
-----------
6,182,525
-----------
FREIGHT TRANSPORTATION -- 0.1%
Worldway Corp., 6.250%, 4/15/11............................................... 250,000 202,500
-----------
HEALTH CARE -- DRUGS -- 0.7%
Chiron Corp., 1.900%, 11/17/00 144A........................................... 250,000 263,438
Dura Pharmaceuticals, Inc., 3.500%, 7/15/02................................... 1,450,000 1,114,687
Glycomed, Inc., 7.500%, 1/01/03............................................... 300,000 237,000
NABI, Inc., 6.500%, 2/01/03................................................... 525,000 433,125
-----------
2,048,250
-----------
HEALTH CARE -- PRODUCTS -- 0.1%
Centocor, Inc., 4.750%, 2/15/05............................................... 250,000 329,063
-----------
</TABLE>
37
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
HEALTH CARE -- SERVICES -- 0.2%
Healthsouth Corp., 3.250%, 4/01/03............................................ USD 500,000 $ 385,000
Tenet Healthcare Corp., 6.000%, 12/01/05...................................... 250,000 195,625
-----------
580,625
-----------
HOME BUILDERS -- 0.1%
Schuler Homes, Inc., 6.500%, 1/15/03.......................................... 400,000 320,000
-----------
INSURANCE -- 3.6%
Loews Corp., 3.125%, 9/15/07.................................................. 12,525,000 10,708,875
-----------
MACHINERY -- 0.0%
Intevac, Inc., 6.500%, 3/01/04................................................ 150,000 78,000
-----------
MANUFACTURING -- 0.3%
Hexcel Corp., 7.000%, 8/01/03................................................. 500,000 396,250
Hexcel Corp., 7.000%, 8/01/11................................................. 750,000 576,563
-----------
972,813
-----------
OIL & GAS -- 1.5%
Baker Hughes, Inc., Zero Coupon Bond, 5/05/08................................. 5,100,000 3,697,500
Diamond Offshore Drilling, Inc., 3.750%, 2/15/07.............................. 500,000 532,500
Houston Industries, Inc., 6.000%, 3/15/12..................................... 250,000 222,500
Key Energy Group, Inc., 5.000%, 9/15/04....................................... 250,000 174,062
-----------
4,626,562
-----------
PUBLISHING -- 0.2%
Scholastic Corp., 5.000%, 8/15/05 144A........................................ 600,000 574,500
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
Federal Realty Investors Trust, 5.250%, 10/28/03.............................. 1,750,000 1,522,500
Rockefeller Properties, Zero Coupon Bond, 12/31/00............................ 650,000 541,125
Sizeler Property Investors, Inc., 8.000%, 7/15/03............................. 250,000 232,500
-----------
2,296,125
-----------
RESTAURANTS -- 0.4%
Boston Chicken, Inc., Zero Coupon Bond, 6/01/15 ^............................. 500,000 1,875
Boston Chicken, Inc., 4.500%, 2/01/04 ^....................................... 750,000 7,500
Einstein/Noah Bagel Corp., 7.250%, 6/01/04.................................... 750,000 390,000
Shoney's, Inc., Zero Coupon Bond, 4/11/04..................................... 4,089,000 817,800
TPI Enterprises, Inc., 8.250%, 7/15/02........................................ 100,000 50,000
-----------
1,267,175
-----------
TELECOMMUNICATIONS -- 0.2%
Broadband Technologies, Inc., 5.000%, 5/15/01................................. 1,240,000 527,000
-----------
</TABLE>
38
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- --------------------------------------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
TEXTILE & APPAREL -- 0.1%
Dixie Yarns, Inc., 7.000%, 5/15/12............................................ USD 177,000 $ 132,750
Fieldcrest Cannon, Inc., 6.000%, 3/15/12...................................... 295,000 197,650
-----------
330,400
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $58,217,442)............................................... 52,861,819
-----------
TOTAL BONDS AND NOTES
(Identified Cost $309,474,607).............................................. 287,644,508
-----------
<CAPTION>
SHARES
- --------------------------------------------------------------------------------------------------------------
COMMON STOCKS -- 0.1% OF NET ASSETS
<S> <C> <C> <C>
RESTAURANTS -- 0.1%
Advantica Restaurant Group, Inc. *............................................ 67,479 204,546
-----------
TOTAL COMMON STOCKS
(Identified Cost $908,302).................................................. 204,546
-----------
PREFERRED STOCKS -- 1.7% OF NET ASSETS
BUILDING MATERIALS -- 0.1%
Owens Corning, 6.500%......................................................... 10,000 377,500
-----------
CHEMICALS -- MAJOR -- 0.0%
E.I. du Pont DeNemours & Co., $3.50........................................... 300 18,150
-----------
OIL & GAS -- 0.5%
Chesapeake Energy Corp., 7.000%............................................... 5,000 165,000
Hvide Capital Trust, 6.500% ^................................................. 14,000 28,000
Weatherford International, Inc., Conv., 5.000%................................ 33,500 1,239,500
-----------
1,432,500
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Equity Residential Properties Trust, 7.250%................................... 7,800 161,850
-----------
TELECOMMUNICATIONS -- 0.6%
Hyperion Telecommunications, Inc., 12.875% PIK................................ 2,104 1,872,516
-----------
UTILITIES -- 0.4%
Del Marva Power & Light Co., 4.000%........................................... 434 28,861
Entergy Louisiana, Inc., 4.440%............................................... 830 53,535
Entergy New Orleans, Inc., 4.360%............................................. 90 5,242
Entergy New Orleans, Inc., 4.750%............................................. 2,876 184,064
</TABLE>
39
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS -- CONTINUED
UTILITIES -- CONTINUED
Jersey Central Power & Light Co., 4.000%...................................... 850 $ 50,575
MDU Resources Group, Inc., 5.100%............................................. 960 82,200
Niagara Mohawk Power Corp., 3.400%............................................ 5,100 242,250
Niagara Mohawk Power Corp., 3.600%............................................ 200 9,400
Niagara Mohawk Power Corp., 3.900%............................................ 250 13,625
Niagara Mohawk Power Corp., 4.850%............................................ 2,850 213,750
Northern States Power Co., $4.11.............................................. 100 6,369
Public Service Electric & Gas Co., 4.180%..................................... 1,950 135,525
-----------
1,025,396
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $5,389,850)................................................ 4,887,912
-----------
WARRANTS -- 0.0% OF NET ASSETS
COMPUTERS -- 0.0%
Streamlogic Corp., expiring 10/07/01 * -C-.................................... 250 0
-----------
FOREIGN GOVERNMENT/AGENCY -- 0.0%
United Mexican States, expiring 2/17/09 *..................................... 825 62,390
-----------
TOTAL WARRANTS
(Identified Cost $18,565)................................................... 62,390
-----------
<CAPTION>
FACE
AMOUNT
- --------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 0.4% OF NET ASSETS
<S> <C> <C> <C>
Repurchase Agreement with State Street Bank and Trust Co., dated 9/30/99 at
4.250% to be repurchased at $1,205,142 on 10/01/99 collateralized by
$975,000 U.S. Treasury Bond, 8.875% due 2/15/19 with a value of
$1,234,746.................................................................. USD 1,205,000 1,205,000
-----------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,205,000)................................................ 1,205,000
-----------
TOTAL INVESTMENTS -- 98.7%
(IDENTIFIED COST $316,996,324) @.............................................. 294,004,356
CASH AND OTHER ASSETS, LESS LIABILITIES -- 1.3%............................. 4,003,003
-----------
NET ASSETS -- 100%.............................................................. $298,007,359
===========
</TABLE>
40
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
+ 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.
- -C- Security in Chapter 11 bankruptcy.
^ Security in default.
++ Floating Rate Bond: Coupon is six month London Interbank Offered Rate
(LIBOR) plus .8125%.
PIK All or a portion of income may be received as additional securities.
* Non-income producing security.
@ At September 30, 1999, the net unrealized depreciation on investments based
on cost of $317,121,465 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 $8,551,668 and $31,668,777, respectively, resulting in net
unrealized depreciation of $23,117,109.
<TABLE>
<CAPTION>
Key to Abbreviations:
<C> <S>
CAD: Canadian Dollar
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
</TABLE>
See accompanying notes to financial statements.
41
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- 90.0% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 61.6%
BROADCASTING -- 1.7%
Fox Family Worldwide, Inc., Zero Coupon Bond,
11/01/07 (step to 10.250% on 11/01/02) #....... USD 675,000 $ 435,375
-----------
CANADIAN -- 3.6%
Clearnet Communications, Inc., Zero Coupon Bond,
8/13/07 (step to 11.750% on 8/13/02) #......... CAD 815,000 377,212
Clearnet Communications, Inc., Zero Coupon Bond,
2/15/09 (step to 10.750% on 2/15/04) #......... 350,000 134,002
Clearnet Communications, Inc., Zero Coupon Bond,
5/01/09 (step to 10.125% on 5/01/04) #......... USD 250,000 151,250
Microcell Telecommunications, Inc., Zero Coupon
Bond, 10/15/07 (step to 11.125% on 10/15/02)
#.............................................. CAD 535,000 229,410
Semi-Tech Corp., Zero Coupon Bond, 8/15/03 (step
to 11.50% on 8/15/00) # -C-.................... USD 1,400,000 15,750
-----------
907,624
-----------
ENTERTAINMENT -- 0.1%
Boston Celtics Ltd., 6.000%, 6/30/38............. 44,000 26,290
-----------
FOOD & BEVERAGE -- 1.2%
Borden, Inc., 7.875%, 2/15/23.................... 370,000 293,432
-----------
FOREIGN GOVERNMENT/AGENCY -- 11.2%
Republic of Argentina, 8.875%, 3/01/29........... 325,000 221,715
Republic of Brazil, 10.125%, 5/15/27............. 675,000 509,625
Republic of Brazil C Bond, 8.000%, 4/15/14 PIK... 657,403 418,306
Republic of Ecuador, 6.750%, 2/27/15 ++.......... 1,106,133 160,389
Republic of Panama, 4.250%, 7/17/14 (step to
4.500% on 7/17/00) #........................... 300,000 216,750
Republic of Peru, 3.750%, 3/07/17 (step to 4.000%
on 3/07/01) #.................................. 1,200,000 646,560
Republic of Venezuela, 9.250%, 9/15/27........... 1,050,000 693,000
-----------
2,866,345
-----------
FOREIGN ISSUER -- 19.4%
Alestra SA, 12.125%, 5/15/06 144A................ 125,000 120,000
Bangko Sentral Pilipinas, 8.600%, 6/15/27........ 400,000 307,720
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29
144A........................................... 400,000 275,996
Compania de Alimentos Fargo SA, 13.250%,
8/01/08........................................ 375,000 290,625
Dolphin Telecom Plc, Zero Coupon Bond, 6/01/08
(step to 11.625% on 6/01/03) #................. EUR 500,000 226,387
Espirito Santo Centrais Eletricas SA, 10.000%,
7/15/07........................................ USD 375,000 272,812
</TABLE>
42
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FOREIGN ISSUER -- CONTINUED
Korea Electric Power Corp., 7.400%, 4/01/16...... USD 254,559 $ 224,030
Multicanal SA, 13.125%, 4/15/09 144A............. 275,000 250,938
Murrin Murrin Holdings Property Ltd., 9.375%,
8/31/07........................................ 75,000 65,250
Petroleos Mexicanos, 9.250%, 3/30/18............. 200,000 168,000
Petroleos Mexicanos, 9.500%, 9/15/27............. 275,000 232,375
Petroleos Mexicanos, Medium Term, 8.625%,
12/01/23 144A.................................. 275,000 213,125
Philippine Long Distance Telephone Co., 8.350%,
3/06/17........................................ 175,000 135,911
Pindo Deli Finance Mauritius Ltd., 10.750%,
10/01/07....................................... 500,000 270,000
Pindo Deli Finance Mauritius Ltd., 10.875%,
10/01/27....................................... 600,000 273,000
Pycsa Panama SA, 10.280%, 12/15/12 144A.......... 123,688 80,397
Quezon Power Philippines Co., 8.860%, 6/15/17.... 325,000 249,366
Siam Commercial Bank Public Co. Ltd., 7.500%,
3/15/06 144A................................... 275,000 214,500
Tata Electric Co., 8.500%, 8/19/17 144A.......... 200,000 161,916
Tenaga Nasional Berhad, 7.500%, 11/01/25 144A.... 335,000 243,753
TFM SA de CV, Zero Coupon Bond, 6/15/09 (step to
11.750% on 6/15/02) #.......................... 250,000 135,000
Tjiwi Kimia Mauritius Ltd., 10.000%, 8/01/04..... 250,000 137,500
Total Access Communication Public Co. Ltd.,
7.625%, 11/04/01 144A.......................... 200,000 168,000
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A.......................... 300,000 214,888
-----------
4,931,489
-----------
HEALTH CARE -- SERVICES -- 0.2%
Integrated Health Services, Inc., 9.250%,
1/15/08........................................ 250,000 42,500
Integrated Health Services, Inc., 9.500%,
9/15/07........................................ 50,000 8,500
-----------
51,000
-----------
OIL & GAS -- 5.7%
Chesapeake Energy Corp., 7.875%, 3/15/04......... 200,000 176,000
Chesapeake Energy Corp., 9.625%, 5/01/05......... 425,000 400,562
Hvide Marine, Inc., 8.375%, 2/15/08 ^............ 200,000 88,000
Pioneer Natural Resources Co., 7.200%, 1/15/28... 250,000 189,673
R & B Falcon Corp., 6.750%, 4/15/05.............. 250,000 212,500
R & B Falcon Corp., 7.375%, 4/15/18.............. 500,000 382,500
-----------
1,449,235
-----------
RETAIL -- GENERAL -- 2.1%
Dillon Read Structured Finance Corp., 7.430%,
8/15/18........................................ 250,000 223,877
Venator Group, Inc., 7.000%, 10/15/02............ 125,000 112,188
</TABLE>
43
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
RETAIL -- GENERAL -- CONTINUED
Woolworth Corp., 8.500%, 1/15/22................. USD 310,000 $ 207,700
-----------
543,765
-----------
STEEL -- 0.1%
Geneva Steel Co., 9.500%, 1/15/04 ^.............. 101,000 20,958
-----------
TELECOMMUNICATIONS -- 12.3%
Intermedia Communications, Inc., Zero Coupon
Bond, 3/01/09 (step to 12.250% on 3/01/04) #... 750,000 371,250
McCaw International Ltd., Zero Coupon Bond,
4/15/07 (step to 13.000% on 4/15/02) #......... 200,000 120,000
Nextel Communications, Inc., Zero Coupon Bond,
10/31/07 (step to 9.750% on 10/31/02) #........ 400,000 283,000
Nextel Communications, Inc., Zero Coupon Bond,
2/15/08 (step to 9.950% on 2/15/03) #.......... 250,000 174,375
Nextel International, Inc., Zero Coupon Bond,
4/15/08 (step to 12.125% on 4/15/03) #......... 150,000 75,375
Nextlink Communications, Inc., Zero Coupon Bond,
4/15/08 (step to 9.450% on 4/15/03) #.......... 250,000 146,250
RCN Corp., Zero Coupon Bond, 2/15/08 (step to
9.800% on 2/15/03) #........................... 900,000 540,000
RCN Corp., Zero Coupon Bond, 7/01/08 (step to
11.000% on 7/01/03) #.......................... 150,000 90,000
Telecorp PCS, Inc., Zero Coupon Bond, 4/15/09
(step to 11.625% on 4/15/04) 144A #............ 600,000 347,250
Teligent, Inc., Zero Coupon Bond, 3/01/08 (step
to 11.500% on 3/01/03) #....................... 1,175,000 616,875
Tritel PCS, Inc., Zero Coupon Bond, 5/15/09 (step
to 12.750% on 5/15/04) 144A #.................. 500,000 280,000
Triton Communications LLC, Zero Coupon Bond,
5/01/08 (step to 11.000% on 5/01/03) #......... 150,000 100,500
-----------
3,144,875
-----------
TEXTILE & APPAREL -- 0.8%
Phillips Van Heusen Corp., 7.750%, 11/15/23...... 275,000 214,613
-----------
U.S. GOVERNMENT -- 3.2%
U.S. Treasury Bonds, 5.500%, 8/15/28............. 900,000 805,500
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $17,824,048).................. 15,690,501
-----------
</TABLE>
44
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
CONVERTIBLE BONDS -- 28.4%
AUTO & RELATED -- 1.2%
Exide Corp., 2.900%, 12/15/05 144A............... USD 535,000 $ 311,638
-----------
CANADIAN -- 1.5%
Rogers Communications, Inc., 2.000%, 11/26/05.... 485,000 381,938
-----------
COMPUTERS -- 4.1%
Cray Research, Inc., 6.125%, 2/01/11............. 140,000 93,100
Data General Corp., 6.000%, 5/15/04.............. 268,000 277,380
HMT Technology Corp., 5.750%, 1/15/04............ 84,000 31,920
Maxtor Corp., 5.750%, 3/01/12.................... 420,000 294,000
Read Rite Corp., 6.500%, 9/01/04................. 250,000 100,000
S3, Inc., 5.750%, 10/01/03....................... 112,000 100,520
Telxon Corp., 5.750%, 1/01/03.................... 181,000 124,211
Western Digital, Zero Coupon Bond, 2/18/18
144A........................................... 223,000 32,335
-----------
1,053,466
-----------
ELECTRONICS -- 5.3%
Cirrus Logic, Inc., 6.000%, 12/15/03............. 460,000 335,800
EDO Corp., 7.000%, 12/15/11...................... 100,000 81,000
Integrated Device Technology, 5.500%, 6/01/02.... 28,000 28,420
Kent Electronics Corp., 4.500%, 9/01/04.......... 265,000 215,975
Lam Research Corp., 5.000%, 9/01/02.............. 530,000 528,675
LTX Corp., 7.250%, 4/15/11....................... 50,000 37,500
Richardson Electronics Ltd., 7.250%, 12/15/06.... 100,000 72,125
Zenith Electronics Corp., 6.250%, 4/01/11 ^...... 302,000 51,340
-----------
1,350,835
-----------
FOREIGN ISSUER -- 6.3%
Advanced Agro Public Co., 3.500%, 6/17/01........ 320,000 265,600
APP Finance VII Mauritius Ltd., 3.500%,
4/30/03........................................ 125,000 62,656
APP Finance VII Mauritius Ltd., 3.500%, 4/30/03
144A........................................... 140,000 70,175
Bangkok Bank Public Co. Ltd., 4.589%, 3/03/04.... 320,000 148,800
Banpu Public Co., 2.750%, 4/10/03................ 80,000 70,400
Empresas ICA Sociedad, 5.000%, 3/15/04........... 420,000 247,800
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^........ 200,000 54,000
Samsung Electronics Co. Ltd., Zero Coupon Bond,
12/31/07....................................... 140,000 176,050
Sappi BVI Finance, 7.500%, 8/01/02............... 170,000 163,200
Siam Commercial Bank Public Co. Ltd., 3.250%,
1/24/04........................................ 525,000 239,531
Ssangyong Oil Refining Co., Inc., 3.000%,
12/31/04....................................... 110,000 73,150
</TABLE>
45
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FOREIGN ISSUER -- CONTINUED
Total Access Communication Public Co. Ltd.,
2.000%, 5/31/06................................ USD 50,000 $ 47,750
-----------
1,619,112
-----------
FREIGHT TRANSPORTATION -- 0.1%
Worldway Corp., 6.250%, 4/15/11.................. 28,000 22,680
-----------
HEALTH CARE -- DRUGS -- 2.3%
Dura Pharmaceuticals, Inc., 3.500%, 7/15/02...... 346,000 265,987
Glycomed, Inc., 7.500%, 1/01/03.................. 84,000 66,360
NABI, Inc., 6.500%, 2/01/03...................... 320,000 264,000
-----------
596,347
-----------
HEALTH CARE -- PRODUCTS -- 0.5%
Centocor, Inc., 4.750%, 2/15/05.................. 100,000 131,625
-----------
HEALTH CARE -- SERVICES -- 0.8%
Medical Care International, Inc., 6.750%,
10/01/06....................................... 84,000 70,245
PhyCor, Inc., 4.500%, 2/15/03.................... 56,000 39,620
Tenet Healthcare Corp., 6.000%, 12/01/05......... 112,000 87,640
-----------
197,505
-----------
HOME BUILDERS -- 0.6%
Schuler Homes, Inc., 6.500%, 1/15/03............. 182,000 145,600
-----------
INDUSTRIAL EQUIPMENT -- 0.8%
MascoTech, Inc., 4.500%, 12/15/03................ 250,000 200,313
-----------
INSURANCE -- 1.8%
Loews Corp., 3.125%, 9/15/07..................... 525,000 448,875
-----------
MACHINERY -- 0.1%
Intevac, Inc., 6.500%, 3/01/04................... 56,000 29,120
-----------
MANUFACTURING -- 0.5%
Hexcel Corp., 7.000%, 8/01/03.................... 56,000 44,380
Hexcel Corp., 7.000%, 8/01/11.................... 98,000 75,338
-----------
119,718
-----------
RESTAURANTS -- 1.4%
Boston Chicken, Inc., Zero Coupon Bond, 6/01/15
^.............................................. 559,000 2,096
Boston Chicken, Inc., 4.500%, 2/01/04 ^.......... 615,000 6,150
Einstein/Noah Bagel Corp., 7.250%, 6/01/04....... 70,000 36,400
Shoney's, Inc., Zero Coupon Bond, 4/11/04........ 1,200,000 240,000
</TABLE>
46
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
RESTAURANTS -- CONTINUED
TPI Enterprises, Inc., 8.250%, 7/15/02........... USD 150,000 $ 75,000
-----------
359,646
-----------
RETAIL -- SPECIALTY -- 0.3%
Bell Sports Corp., 4.250%, 11/15/00.............. 53,000 42,930
CML Group, Inc., 5.500%, 1/15/03 ^............... 81,000 101
Jacobson Stores, Inc., 6.750%, 12/15/11.......... 56,000 38,710
-----------
81,741
-----------
TELECOMMUNICATIONS -- 0.7%
Broadband Technologies, Inc., 5.000%, 5/15/01.... 415,000 176,375
-----------
TEXTILE & APPAREL -- 0.1%
Dixie Yarns, Inc., 7.000%, 5/15/12............... 32,000 24,000
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $9,006,424)................... 7,250,534
-----------
TOTAL BONDS AND NOTES
(Identified Cost $26,830,472).................. 22,941,035
-----------
<CAPTION>
SHARES
- ----------------------------------------------------------------------------------
COMMON STOCKS -- 5.1% OF NET ASSETS
<S> <C> <C> <C>
FOREIGN ISSUER -- 1.3%
Sappi Ltd. ADR................................... 3,450 320,850
-----------
OIL & GAS -- 0.4%
Chesapeake Energy Corp........................... 25,025 96,972
-----------
REAL ESTATE INVESTMENT TRUSTS -- 3.3%
Associated Estates Realty Corp................... 12,600 115,763
Berkshire Realty Co., Inc........................ 5,500 66,000
Developers Diversified Realty Corp............... 14,550 203,700
Meditrust Corp................................... 54,300 461,550
-----------
847,013
-----------
RESTAURANTS -- 0.1%
Advantica Restaurant Group, Inc. *............... 8,745 26,508
-----------
TOTAL COMMON STOCKS
(Identified Cost $1,524,795)................... 1,291,343
-----------
</TABLE>
47
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------
PREFERRED STOCKS -- 3.0% OF NET ASSETS
<S> <C> <C> <C>
FOREIGN ISSUER -- 0.7%
Philippine Long Distance Telephone Co., $3.50,
GDS............................................ 3,450 $ 143,175
Siam Commercial Bank Public Co. Ltd., 5.25%...... 30,000 26,946
-----------
170,121
-----------
OIL & GAS -- 0.0%
Hvide Capital Trust, 6.500% ^.................... 3,000 6,000
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Meditrust Corp., Series A, 9.00%................. 3,500 53,156
-----------
TELECOMMUNICATIONS -- 0.9%
Hyperion Telecommunications, Inc., 12.875% PIK... 267 237,657
-----------
UTILITIES -- 1.2%
Central Maine Power Co., 3.500%.................. 1,320 62,700
Niagara Mohawk Power Corp., 3.400%............... 1,560 74,100
Niagara Mohawk Power Corp., 3.600%............... 960 45,120
Niagara Mohawk Power Corp., 4.100%............... 1,890 118,125
-----------
300,045
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $933,748)..................... 766,979
-----------
WARRANTS -- 0.0% OF NET ASSETS
FINANCIAL SERVICES -- 0.0%
Siam Commercial Bank Public Co. Ltd., expiring
5/10/02 *...................................... 30,000 8,615
-----------
TOTAL WARRANTS
(Identified Cost $0)........................... 8,615
-----------
TOTAL INVESTMENTS -- 98.1%
(IDENTIFIED COST $29,289,015) @.................. 25,007,972
Cash and Other Assets, Less Liabilities --
1.9%......................................... 476,125
-----------
NET ASSETS -- 100%................................. $25,484,097
===========
</TABLE>
48
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES HIGH YIELD FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<C> <S>
+ 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.
^ Security in default.
-C- Security in Chapter 11 bankruptcy.
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%.
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.
* Non-income producing security.
@ At September 30, 1999, the net unrealized depreciation on
investments based on cost of $29,473,992 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 $926,092 and $5,394,698,
respectively, resulting in net unrealized depreciation of
$4,468,606.
</TABLE>
<TABLE>
<CAPTION>
Key to Abbreviations:
<C> <S>
ADR: American Depositary Receipts
CAD: Canadian Dollar
EUR: Euro
GDS: Global Depositary Shares
USD: United States Dollar
</TABLE>
See accompanying notes to financial statements.
49
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- 98.4% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 98.4%
AUTO & RELATED -- 3.4%
Dana Corp., 6.250%, 3/01/04.................... $ 200,000 $ 192,430
Delphi Automotive Systems Corp., 6.125%,
5/01/04...................................... 150,000 144,262
TRW, Inc., 6.625%, 6/01/04 144A................ 150,000 147,081
------------
483,773
------------
BANKS/SAVINGS & LOANS -- 4.3%
Bank of America Corp., 7.200%, 4/15/06......... 50,000 50,241
Capital One Bank, 6.375%, 2/15/03.............. 590,000 573,037
------------
623,278
------------
CHEMICALS - MAJOR -- 1.4%
Rohm & Haas Co., 6.950%, 7/15/04 144A.......... 205,000 205,398
------------
COMPUTERS -- 0.8%
Sun Microsystems, Inc., 7.350%, 8/15/04........ 110,000 111,344
------------
DATA PROCESSING SERVICES -- 2.1%
Ceridian Corp., 7.250%, 6/01/04 144A........... 300,000 297,759
------------
FINANCIAL SERVICES -- 20.6%
Asset Securitization Corp., 7.010%, 10/13/26... 329,386 332,947
Bear Stearns Cos., Inc., 6.150%, 3/02/04....... 350,000 337,355
Commercial Credit Co., 6.500%, 6/01/05......... 50,000 49,039
Duke Capital Corp., 7.250%, 10/01/04........... 150,000 150,074
EQCC Home Equity Loan Trust, 5.150%, 9/15/08... 87,051 84,244
First USA Credit Card Master Trust, 5.550%,
9/18/06...................................... 225,000 213,959
Ford Motor Credit Co., 7.500%, 1/15/03......... 50,000 51,004
Green Tree Financial Corp., 6.080%, 3/01/30.... 350,000 336,437
Green Tree Financial Corp., 6.160%, 2/01/31.... 300,000 287,811
Household Finance Corp., 5.875%, 9/25/04....... 450,000 428,557
Navistar Financial Corp., 6.220%, 10/17/05..... 250,000 247,765
Prudential Home Mortgage Securities Co.,
6.000%, 1/25/09.............................. 200,000 194,124
Vanderbilt Mortgage & Finance, Inc., 6.545%,
4/07/18...................................... 250,000 241,278
------------
2,954,594
------------
FOREIGN GOVERNMENT/AGENCY -- 6.6%
Government of Poland, 5.000%, 10/27/14 (step to
6.000% on 10/27/02) #........................ 475,000 418,000
Republic of South Africa, 8.375%, 10/17/06..... 550,000 537,625
------------
955,625
------------
</TABLE>
50
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FOREIGN ISSUER -- 10.7%
Enersis SA, 6.900%, 12/01/06................... $ 50,000 $ 45,589
Industrial Finance Corp. of Thailand, 7.375%,
1/14/07 144A................................. 250,000 229,957
Korea Electric Power Corp., 7.750%, 4/01/13.... 150,000 135,267
Pemex Finance Ltd., 9.140%, 8/15/04 144A....... 150,000 149,696
Perez Companc SA, 8.125%, 7/15/07 144A......... 525,000 451,500
Pohang Iron & Steel Co. Ltd., 7.125%,
11/01/06..................................... 250,000 232,822
Tenaga Nasional Berhad, 7.625%, 4/29/07 144A... 325,000 292,851
------------
1,537,682
------------
FOREST & PAPER PRODUCTS -- 1.0%
Temple-Inland, Inc., 6.750%, 3/01/09........... 150,000 141,601
------------
GOVERNMENT AGENCIES -- 7.7%
Federal Home Loan Mortgage Corp., 5.500%,
3/01/13...................................... 481,102 453,284
Federal Home Loan Mortgage Corp., 6.000%,
11/01/12..................................... 459,629 442,535
Federal National Mortgage Association, 5.500%,
4/25/06...................................... 150,000 148,734
Federal National Mortgage Association, 6.500%,
2/01/11...................................... 57,799 56,920
------------
1,101,473
------------
HEALTH CARE - PRODUCTS -- 1.6%
Bausch & Lomb, Inc., 6.500%, 8/01/05........... 250,000 236,033
------------
OIL & GAS -- 6.1%
El Paso Energy Corp., 6.750%, 5/15/09.......... 150,000 141,715
Pioneer Natural Resources Co., 6.500%,
1/15/08...................................... 400,000 329,372
R & B Falcon Corp., 6.500%, 4/15/03............ 450,000 400,500
------------
871,587
------------
REAL ESTATE INVESTMENT TRUSTS -- 13.8%
American Health Properties, Inc., 7.050%,
1/15/02...................................... 525,000 512,400
Highwoods Realty LP, 6.750%, 12/01/03.......... 500,000 475,930
Oasis Residential, Inc., 6.750%, 11/15/01...... 500,000 482,645
Trinet Corporate Realty Trust, Inc., 6.750%,
3/01/13...................................... 550,000 517,016
------------
1,987,991
------------
SECURITIES -- 8.5%
Lehman Brothers Holdings, Inc., 7.125%,
9/15/03...................................... 540,000 538,807
Morgan Stanley Dean Witter & Co., 5.625%,
1/20/04...................................... 250,000 238,865
</TABLE>
51
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
SECURITIES -- CONTINUED
Nomura Asset Securities Corp., 6.280%,
3/17/28...................................... $ 446,952 $ 438,348
------------
1,216,020
------------
TELECOMMUNICATIONS -- 3.6%
TCI Communications, Inc., 6.875%, 2/15/06...... 525,000 521,955
------------
TEXTILE & APPAREL -- 1.3%
Tommy Hilfiger Corp., 6.500%, 6/01/03.......... 200,000 192,282
------------
TRUCKING & LEASING -- 2.5%
Amerco, 7.490%, 9/18/01........................ 350,000 356,353
------------
UTILITIES -- 2.4%
Pennsylvania Electric Co., 5.750%, 4/01/04..... 200,000 192,570
Texas Utilities Co., 5.940%, 10/15/01.......... 150,000 147,896
------------
340,466
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $14,671,962)................ 14,135,214
------------
TOTAL BONDS AND NOTES
(Identified Cost $14,671,962)................ 14,135,214
------------
TOTAL INVESTMENTS -- 98.4%
(IDENTIFIED COST $14,671,962) @................ 14,135,214
Cash and Other Assets, Less Liabilities --
1.6%....................................... 235,864
------------
NET ASSETS -- 100%............................... $ 14,371,078
============
</TABLE>
<TABLE>
<C> <S>
+ 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.
@ At September 30, 1999, the net unrealized depreciation on
investments based on cost of $14,671,962 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 $11,974 and $548,722,
respectively, resulting in net unrealized depreciation of
$536,748.
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- 96.8% OF NET ASSETS
NON-CONVERTIBLE BONDS -- 79.9%
AIR TRANSPORT -- 2.5%
Atlas Air, Inc., 7.680%, 1/02/14............... USD 3,953,659 $ 3,719,602
------------
ASSET-BACKED SECURITIES -- 0.0%
Money Store Home Equity Trust, 6.890%,
3/15/16...................................... 9,392 9,375
------------
AUTO & RELATED -- 2.2%
Delphi Automotive Systems Corp., 7.125%,
5/01/29...................................... 1,125,000 1,013,276
Ford Motor Co., 6.375%, 2/01/29................ 2,000,000 1,711,060
TRW, Inc., 7.750%, 6/01/29 144A................ 500,000 483,679
------------
3,208,015
------------
BANKS/SAVINGS & LOANS -- 0.8%
Bank of America Corp., 5.750%, 3/01/04......... 120,000 115,187
Bank of America Corp., 5.875%, 2/15/09......... 50,000 45,567
Bank of America Corp., 7.200%, 4/15/06......... 75,000 75,361
First Union Institutional Trust, 7.850%,
1/01/27...................................... 500,000 476,415
Key Bank NA, 6.950%, 2/01/28................... 500,000 448,450
------------
1,160,980
------------
BUILDING & CONSTRUCTION -- 0.3%
Lennar Corp., 7.625%, 3/01/09.................. 500,000 454,240
------------
CANADIAN -- 16.2%
Canadian Government, Zero Coupon Bond,
6/01/25...................................... CAD 31,550,000 4,803,150
Hydro Quebec, Zero Coupon Bond, 8/15/20........ 7,500,000 1,258,899
MacMillan Bloedel Ltd., 7.700%, 2/15/26........ USD 305,000 300,492
Milit-Air, Inc., 5.750%, 6/30/19 144A.......... CAD 1,800,000 1,166,508
New Brunswick FM Project, Zero Coupon Bond,
11/30/27 (step to 6.470% on 5/30/03) 144A
#............................................ 500,000 261,751
Ontario Hydro, Zero Coupon Bond, 10/15/21...... 850,000 139,169
Ontario Hydro, 8.900%, 8/18/22................. 1,175,000 1,040,162
Province of Alberta, 5.930%, 9/16/16........... 693,750 468,626
Province of British Columbia, Zero Coupon Bond,
8/23/13...................................... 5,000,000 1,404,710
Province of British Columbia, Zero Coupon Bond,
6/09/14...................................... 1,000,000 267,064
Province of British Columbia, Zero Coupon Bond,
9/05/20...................................... 3,300,000 585,227
Province of British Columbia, Zero Coupon Bond,
6/09/22...................................... 4,000,000 633,542
Province of British Columbia, Zero Coupon Bond,
8/19/22...................................... 4,195,000 656,432
</TABLE>
53
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
CANADIAN -- CONTINUED
Province of British Columbia, Zero Coupon Bond,
8/23/24...................................... CAD 10,000,000 $ 1,377,825
Province of British Columbia, Zero Coupon Bond,
11/19/27..................................... 6,500,000 727,511
Province of British Columbia, 5.700%,
6/18/29...................................... 325,000 199,561
Province of Manitoba, 6.500%, 9/22/17.......... 1,825,000 1,261,563
Province of Manitoba, 7.750%, 12/22/25......... 3,100,000 2,482,300
Province of Newfoundland, 6.150%, 4/17/28...... 500,000 320,219
Province of Ontario, Zero Coupon Bond,
6/02/27...................................... 10,000,000 1,165,532
Province of Saskatchewan, Zero Coupon Bond,
4/10/14...................................... 2,500,000 682,344
Province of Saskatchewan, 5.750%, 3/05/29...... 3,550,000 2,223,293
Province of Saskatchewan (Certificate of
Deposit), Zero Coupon Bond, 2/04/22.......... 1,281,000 210,138
Province of Saskatchewan (Certificate of
Deposit), Zero Coupon Bond, 5/30/25.......... 1,250,000 165,983
------------
23,802,001
------------
COMPUTERS -- 3.6%
Dell Computer Corp., 7.100%, 4/15/28........... USD 350,000 317,124
Seagate Technology, Inc., 7.370%, 3/01/07...... 2,000,000 1,812,120
Seagate Technology, Inc., 7.450%, 3/01/37...... 3,250,000 2,955,225
Seagate Technology, Inc., 7.875%, 3/01/17...... 200,000 157,464
------------
5,241,933
------------
ELECTRONICS -- 0.2%
Pioneer Standard Electronics, Inc., 8.500%,
8/01/06...................................... 250,000 228,958
------------
ENTERTAINMENT -- 4.4%
Time Warner Entertainment Co., 6.875%,
6/15/18...................................... 410,000 377,438
Time Warner Entertainment Co., 6.950%,
1/15/28...................................... 2,250,000 2,056,185
Time Warner Entertainment Co., 7.570%,
2/01/24...................................... 2,300,000 2,251,976
Time Warner Entertainment Co., 8.875%,
10/01/12..................................... 145,000 160,890
Time Warner, Inc., 6.625%, 5/15/29............. 1,850,000 1,613,200
------------
6,459,689
------------
FINANCIAL SERVICES -- 3.5%
American General Finance Corp., 5.875%,
12/15/05..................................... 115,000 107,911
Capital One Bank, 7.160%, 4/10/06.............. 105,000 102,222
Commercial Credit Co., 6.500%, 6/01/05......... 50,000 49,039
Donaldson, Lufkin & Jenrett, Inc., 6.500%,
4/01/08...................................... 30,000 28,164
Fleet Financial Group, 6.700%, 7/15/28......... 786,000 683,113
Ford Motor Credit Co., 6.250%, 12/08/05........ 50,000 48,174
General Motors Acceptance Corp., 6.625%,
10/15/05..................................... 50,000 49,106
</TABLE>
54
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FINANCIAL SERVICES -- CONTINUED
Household Finance Corp., 5.875%, 2/01/09....... USD 2,000,000 $ 1,799,280
Household Finance Corp., 7.200%, 7/15/06....... 120,000 119,805
Merey Sweeny LP, 8.850%, 12/18/19 144A......... 500,000 495,710
Sears Roebuck Acceptance Corp., 6.875%,
10/15/17..................................... 100,000 90,047
Security Capital Group, Inc., 7.700%,
6/15/28...................................... 1,000,000 841,860
US West Capital Funding, Inc., 6.500%,
11/15/18..................................... 500,000 439,005
US West Capital Funding, Inc., 6.875%,
7/15/28...................................... 250,000 221,635
------------
5,075,071
------------
FOOD & BEVERAGE -- 0.6%
ConAgra, Inc., 7.000%, 10/01/28................ 1,000,000 891,880
------------
FOREIGN GOVERNMENT/AGENCY -- 4.1%
New South Wales Treasury, Zero Coupon Bond,
11/23/20..................................... AUD 6,000,000 981,067
Republic of Brazil C Bond, 8.000%, 4/15/14
PIK.......................................... USD 2,988,205 1,901,394
Republic of South Africa, 8.500%, 6/23/17...... 1,125,000 975,937
Republic of South Africa, 12.000%, 2/28/05..... ZAR 4,250,000 647,173
Republic of South Africa, 12.500%, 12/21/06.... 8,600,000 1,287,133
Republic of South Africa, 13.000%, 8/31/10..... 1,500,000 223,358
------------
6,016,062
------------
FOREIGN ISSUER -- 11.8%
Bangkok Bank Public Co. Ltd., 9.025%, 3/15/29
144A......................................... USD 2,250,000 1,552,477
Cerro Negro Finance Ltd., 7.900%, 12/01/20
144A......................................... 500,000 340,150
Embotelladora Andina SA, 7.625%, 10/01/27...... 1,000,000 739,080
Enersis SA, 7.400%, 12/01/16................... 3,550,000 3,045,829
Industrial Finance Corp. of Thailand, 6.875%,
4/01/03 144A................................. 575,000 543,858
Korea Electric Power Corp., 7.400%, 4/01/16.... 462,835 407,327
PDVSA Finance Ltd., 7.500%, 11/15/28........... 2,000,000 1,404,198
Perez Companc SA, 8.125%, 7/15/07 144A......... 350,000 301,000
Petrozuata Finance, Inc., 8.220%, 4/01/17
144A......................................... 700,000 518,000
Pindo Deli Finance Mauritius Ltd., 10.875%,
10/01/27..................................... 100,000 45,500
Samsung Electronics Co. Ltd., 7.700%, 10/01/27
144A......................................... 1,250,000 942,187
Tata Electric Co., 8.500%, 8/19/17 144A........ 1,000,000 809,580
Telekom Malaysia Berhad, 7.875%, 8/01/25
144A......................................... 2,750,000 2,272,325
Tenaga Nasional Berhad, 7.500%, 11/01/25
144A......................................... 5,390,000 3,921,872
Total Access Communication Public Co. Ltd.,
8.375%, 11/04/06 144A........................ 150,000 107,444
Transgas De Occidente SA, 9.790%, 11/01/10
144A......................................... 488,867 403,914
------------
17,354,741
------------
</TABLE>
55
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
FOREST & PAPER PRODUCTS -- 0.3%
Westvaco Corp., 7.000%, 8/15/23................ USD 500,000 $ 438,415
------------
GOVERNMENT AGENCIES -- 1.9%
Federal Farm Credit Bank, 8.650%, 10/01/99..... 100,000 100,000
Federal Home Loan Mortgage Corp., 6.000%,
4/15/28...................................... 1,000,000 881,870
Federal National Mortgage Association, Zero
Coupon Bond, 10/29/07........................ NZD 6,850,000 1,848,913
------------
2,830,783
------------
HEALTH CARE -- PRODUCTS -- 0.7%
Bausch & Lomb, Inc., 7.125%, 8/01/28........... USD 1,250,000 1,080,375
------------
HOME BUILDERS -- 1.8%
Pulte Corp., 7.000%, 12/15/03.................. 188,000 179,311
Pulte Corp., 7.300%, 10/24/05.................. 200,000 186,138
Pulte Corp., 7.625%, 10/15/17.................. 2,500,000 2,203,450
------------
2,568,899
------------
INSURANCE -- 0.0%
Progressive Corp., 6.625%, 3/01/29............. 35,000 30,162
------------
OIL & GAS -- 5.2%
Coastal Corporation, 6.500%, 5/15/06........... 130,000 123,214
Global Marine, Inc., 7.000%, 6/01/28........... 250,000 219,950
Global Marine, Inc., 7.125%, 9/01/07........... 50,000 48,640
Mitchell Energy & Development Corp., 6.750%,
2/15/04...................................... 300,000 282,990
Pennzoil-Quaker State Co., 7.375%, 4/01/29..... 500,000 463,100
Phillips Petroleum Co., 6.375%, 3/30/09........ 100,000 94,324
Pioneer Natural Resources Co., 7.200%,
1/15/28...................................... 1,000,000 758,690
R & B Falcon Corp., 7.375%, 4/15/18............ 2,750,000 2,103,750
Seagull Energy Corp., 7.500%, 9/15/27.......... 1,600,000 1,328,000
Tennessee Gas Pipeline Co., 7.000%, 10/15/28... 750,000 674,805
Union Oil Co., 7.500%, 2/15/29................. 45,000 43,001
Union Pacific Resources Group, Inc., 7.150%,
5/15/28...................................... 350,000 311,812
Union Pacific Resources Group, Inc., 7.500%,
10/15/26..................................... 250,000 232,910
Union Pacific Resources Group, Inc., 7.950%,
4/15/29...................................... 1,000,000 979,980
------------
7,665,166
------------
RAIL -- TRANSPORT -- 0.1%
Missouri Pacific Railroad Co., 5.000%,
1/01/45...................................... 275,000 148,500
------------
REAL ESTATE INVESTMENT TRUSTS -- 6.1%
AMB Property Corp., 7.500%, 6/30/18............ 1,000,000 891,030
American Health Properties, Inc., 7.500%,
1/15/07...................................... 110,000 97,277
</TABLE>
56
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
REAL ESTATE INVESTMENT TRUSTS -- CONTINUED
Camden Property Trust, 7.000%, 11/15/06........ USD 500,000 $ 469,215
Colonial Realty LP, 8.050%, 7/15/06............ 165,000 160,740
Evans Withycombe Residential, Inc., 7.625%,
4/15/07...................................... 45,000 44,338
First Industrial, 7.500%, 12/01/17............. 2,500,000 2,142,950
First Industrial, 7.600%, 7/15/28.............. 1,250,000 1,044,662
Highwoods Realty LP, 7.500%, 4/15/18........... 1,000,000 892,220
Susa Partnership LP, 7.450%, 7/01/18........... 80,000 68,977
Susa Partnership LP, 7.500%, 12/01/27.......... 1,750,000 1,466,990
Trinet Corporate Realty Trust, Inc., 7.700%,
7/15/17...................................... 2,425,000 1,707,758
------------
8,986,157
------------
RETAIL -- GENERAL -- 0.2%
Woolworth Corp., 8.500%, 1/15/22............... 500,000 335,000
------------
SECURITIES -- 1.1%
Lehman Brothers Holdings, Inc., 6.250%,
4/01/03...................................... 65,000 63,211
Lehman Brothers Holdings, Inc., 6.625%,
2/15/08...................................... 1,500,000 1,407,930
Lehman Brothers Holdings, Inc., 7.375%,
1/15/07...................................... 60,000 59,392
Salomon Smith Barney Holdings, Inc., 7.375%,
5/15/07...................................... 85,000 85,893
------------
1,616,426
------------
SUPRANATIONAL -- 2.4%
International Bank for Reconstruction &
Development, Zero Coupon Bond, 8/20/07....... NZD 9,650,000 2,742,915
International Bank for Reconstruction &
Development, 8.000%, 5/23/07................. 1,505,000 781,673
------------
3,524,588
------------
TAXABLE MUNICIPAL -- 0.5%
Orange County, California Pension Obligation,
Zero Coupon Bond, 9/01/16.................... USD 2,500,000 725,200
------------
TELECOMMUNICATIONS -- 0.8%
AT&T Corp., 6.000%, 3/15/09.................... 100,000 92,872
Lucent Technologies, Inc., 6.450%, 3/15/29..... 65,000 58,464
TCI Communications, Inc., 7.875%, 2/15/26...... 970,000 1,003,349
------------
1,154,685
------------
TEXTILE & APPAREL -- 1.0%
Burlington Industries, Inc., 7.250%, 8/01/27... 285,000 238,462
Fruit of the Loom, Inc., 7.375%, 11/15/23...... 550,000 297,000
</TABLE>
57
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
TEXTILE & APPAREL -- CONTINUED
Kellwood Co., 7.625%, 10/15/17................. USD 1,000,000 $ 877,140
------------
1,412,602
------------
TOBACCO -- 1.6%
Philip Morris Cos., Inc., 7.750%, 1/15/27...... 2,350,000 2,287,796
------------
TRANSPORTATION -- 0.2%
American President Cos. Ltd., 7.125%,
11/15/03..................................... 500,000 285,000
American President Cos. Ltd., 8.000%,
1/15/24...................................... 100,000 50,000
------------
335,000
------------
U.S. GOVERNMENT -- 3.7%
U.S. Treasury Bonds, 5.500%, 8/15/28........... 1,850,000 1,655,750
U.S. Treasury Bonds, 6.625%, 2/15/27........... 880,000 908,873
U.S. Treasury Notes, 3.375%, 1/15/07........... 105,174 100,441
U.S. Treasury Notes, 5.250%, 5/15/04........... 30,000 29,320
U.S. Treasury Notes, 5.625%, 2/15/06........... 250,000 245,040
U.S. Treasury Notes, 5.750%, 11/30/02.......... 200,000 199,874
U.S. Treasury Notes, 6.250%, 2/15/07........... 200,000 201,750
U.S. Treasury Notes, 6.375%, 8/15/02........... 150,000 152,508
U.S. Treasury Notes, 6.500%, 5/15/05........... 1,000,000 1,023,750
U.S. Treasury Notes, 6.500%, 10/15/06.......... 50,000 51,125
U.S. Treasury Notes, 7.250%, 5/15/04........... 150,000 158,156
U.S. Treasury Strips, Zero Coupon Bond,
8/15/20...................................... 2,500,000 650,550
------------
5,377,137
------------
UTILITIES -- 2.1%
Boston Edison Co., 7.800%, 3/15/23............. 250,000 240,252
Commonwealth Edison Co., 4.750%, 12/01/11...... 126,000 99,167
KN Capital Trust, 7.630%, 4/15/28.............. 2,000,000 1,788,590
KN Energy, Inc., 7.250%, 3/01/28............... 1,000,000 913,000
------------
3,041,009
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $124,604,067)............... 117,180,447
------------
CONVERTIBLE BONDS -- 16.9%
AUTO & RELATED -- 0.3%
Magna International Inc., Class A, 4.875%,
2/15/05...................................... 500,000 451,250
------------
COMPUTERS -- 0.1%
Maxtor Corp., 5.750%, 3/01/12.................. 150,000 105,000
------------
DIVERSIFIED OPERATIONS -- 2.1%
Ogden Corp., 5.750%, 10/20/02.................. 600,000 480,000
</TABLE>
58
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
DIVERSIFIED OPERATIONS -- CONTINUED
Thermo Electron Corp., 4.250%, 1/01/03 144A.... USD 3,000,000 $ 2,561,250
------------
3,041,250
------------
ELECTRONICS -- 0.1%
Lam Research Corp., 5.000%, 9/01/02............ 100,000 99,750
Richardson Electronics Ltd., 7.250%,
12/15/06..................................... 50,000 36,062
Zenith Electronics Corp., 6.250%, 4/01/11 ^.... 71,000 12,070
------------
147,882
------------
ENVIRONMENTAL SERVICES -- 1.1%
Thermo TerraTech, Inc., 4.625%, 5/01/03........ 250,000 220,000
Thermo TerraTech, Inc., 4.625%, 5/01/03 144A... 1,650,000 1,452,000
------------
1,672,000
------------
FINANCIAL SERVICES -- 3.7%
Bell Atlantic Financial Services, 4.250%,
9/15/05...................................... 3,925,000 4,086,906
Bell Atlantic Financial Services, 5.750%,
4/01/03...................................... 1,390,000 1,395,630
------------
5,482,536
------------
FOREIGN ISSUER -- 1.8%
Bangkok Bank Public Co. Ltd., 4.589%,
3/03/04...................................... 500,000 232,500
Banpu Public Co., 2.750%, 4/10/03.............. 500,000 440,000
Burns, Philp, 5.500%, 4/30/04.................. 590,000 300,900
Empresas ICA Sociedad, 5.000%, 3/15/04......... 100,000 59,000
Loxley Public Co. Ltd., 2.500%, 4/04/01 ^...... 1,150,000 310,500
Samsung Display Devices, 0.250%, 3/12/06....... 260,000 287,300
Siam Commercial Bank Public Co. Ltd., 3.250%,
1/24/04...................................... 100,000 45,625
Ssangyong Oil Refining Co., Inc., 3.000%,
12/31/04..................................... 100,000 66,500
Telekom Malaysia Berhad, 4.000%, 10/03/04...... 1,075,000 882,844
------------
2,625,169
------------
FREIGHT TRANSPORTATION -- 0.1%
Builders Transportation, Inc., 6.500%, 5/01/11
^............................................ 129,000 161
Worldway Corp., 6.250%, 4/15/11................ 250,000 202,500
------------
202,661
------------
HEALTH CARE -- DRUGS -- 0.3%
Chiron Corp., 1.900%, 11/17/00 144A............ 300,000 316,125
NABI, Inc., 6.500%, 2/01/03.................... 100,000 82,500
------------
398,625
------------
HEALTH CARE -- SERVICES -- 0.4%
Healthsouth Corp., 3.250%, 4/01/03............. 750,000 577,500
------------
</TABLE>
59
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------
BONDS AND NOTES -- CONTINUED
<S> <C> <C> <C>
INSURANCE -- 3.3%
Loews Corp., 3.125%, 9/15/07................... USD 5,725,000 $ 4,894,875
------------
MACHINERY -- 0.0%
Intevac, Inc., 6.500%, 3/01/04................. 100,000 52,000
------------
MANUFACTURING -- 0.1%
FMC Corp., 6.750%, 1/16/05..................... 170,000 146,200
------------
MULTI-INDUSTRY -- 0.9%
Thermo Instrument Systems, Inc., 4.500%,
10/15/03 144A................................ 1,450,000 1,254,250
------------
OIL & GAS -- 1.7%
Baker Hughes, Inc., Zero Coupon Bond,
5/05/08...................................... 2,424,000 1,757,400
Diamond Offshore Drilling, Inc., 3.750%,
2/15/07...................................... 350,000 372,750
Noram Energy Corp., Inc., 6.000%, 3/15/12...... 335,000 298,150
------------
2,428,300
------------
PUBLISHING -- 0.3%
Scholastic Corp., 5.000%, 8/15/05 144A......... 540,000 517,050
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.5%
Federal Realty Investors Trust, 5.250%,
10/28/03..................................... 835,000 726,450
------------
RESTAURANTS -- 0.1%
Shoney's, Inc., Zero Coupon Bond, 4/11/04...... 525,000 105,000
------------
RETAIL -- SPECIALTY -- 0.0%
CML Group, Inc., 5.500%, 1/15/03 ^............. 50,000 63
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $26,260,339)................ 24,828,061
------------
TOTAL BONDS AND NOTES
(Identified Cost $150,864,406)............... 142,008,508
------------
<CAPTION>
SHARES
- ----------------------------------------------------------------------------------
PREFERRED STOCKS -- 1.4% OF NET ASSETS
<S> <C> <C> <C>
CHEMICALS -- MAJOR -- 0.1%
E.I. du Pont DeNemours & Co., $3.50............ 2,200 133,100
------------
OIL & GAS -- 0.7%
Weatherford International, Inc., 5.000%........ 25,250 934,250
------------
</TABLE>
60
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------
PREFERRED STOCKS -- CONTINUED
<S> <C> <C> <C>
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Camden Property Trust, $2.25................... 3,000 $ 72,375
Equity Residential Properties Trust, 7.250%.... 5,350 111,012
First Industrial Realty Trust, Inc., Series E,
7.900%....................................... 500 10,688
------------
194,075
------------
UTILITIES -- 0.5%
Central Illinois Light Co., 4.500%............. 100 6,725
Connecticut Light & Power Co., $2.20........... 263 8,153
Dayton Power & Light Co., 3.750%............... 701 45,915
Del Marva Power & Light Co., 4.000%............ 350 23,275
Duquesne Light Co., 4.000%..................... 200 6,100
Illinois Power Co., 4.080%..................... 400 13,400
Illinois Power Co., 4.200%..................... 300 10,200
Jersey Central Power & Light Co., 4.000%....... 3,510 208,845
MDU Resources Group, Inc., 5.100%.............. 960 82,200
Northern Indiana Public Service Co., 4.250%.... 2,210 125,970
Northern States Power Co., $4.08............... 50 3,450
Northern States Power Co., $4.10............... 100 6,900
Public Service Electric & Gas Co., 4.080%...... 300 20,587
San Diego Gas & Electric Co., 4.500%........... 100 1,413
Southern California Edison Co., 4.240%......... 5,700 95,119
Southern California Edison Co., 4.320%......... 8,180 126,279
------------
784,531
------------
TOTAL PREFERRED STOCKS
(Identified Cost $1,925,104)................. 2,045,956
------------
WARRANTS -- 0.0% OF NET ASSETS
COMPUTERS -- 0.0%
Streamlogic Corp., expiring 10/07/01 * -C-..... 48 0
------------
TOTAL WARRANTS
(Identified Cost $0)......................... 0
------------
TOTAL INVESTMENTS -- 98.2%
(IDENTIFIED COST $152,789,510) @............... 144,054,464
Cash and Other Assets, Less Liabilities --
1.8%....................................... 2,703,010
------------
NET ASSETS -- 100%............................... $146,757,474
============
</TABLE>
61
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<C> <S>
+ 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.
^ Security in default.
* Non-income producing security.
-C- Security in Chapter 11 bankruptcy.
@ At September 30, 1999, the net unrealized depreciation on
investments based on cost of $152,855,973 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 $3,306,486 and $12,107,995,
respectively, resulting in net unrealized depreciation of
$8,801,509.
</TABLE>
<TABLE>
<CAPTION>
Key to Abbreviations:
<C> <S>
AUD: Australian Dollar
CAD: Canadian Dollar
NZD: New Zealand Dollar
USD: United States Dollar
ZAR: South African Rand
</TABLE>
See accompanying notes to financial statements.
62
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES PROVIDENT FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE +
<S> <C> <C>
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- 81.2% OF NET ASSETS
BUILDING & CONSTRUCTION -- 2.2%
Koninklijke (Royal) Philips Electronics NV ADR......... 4,700 $ 474,700
----------------
CHEMICALS -- SPECIALTY -- 4.6%
Monsanto Co............................................ 15,000 535,312
W.R. Grace & Co. *..................................... 29,000 465,813
----------------
1,001,125
----------------
COMMUNICATIONS EQUIPMENT -- 2.7%
Nortel Networks Corp................................... 11,700 596,700
----------------
COMPUTER HARDWARE -- 7.1%
Cisco Systems, Inc. *.................................. 7,600 521,075
Compaq Computer Corp................................... 18,800 431,225
International Business Machines Corp................... 4,900 594,737
----------------
1,547,037
----------------
COMPUTER SOFTWARE & SERVICES -- 2.2%
Oracle Corp. *......................................... 10,700 486,850
----------------
ELECTRONICS -- 4.2%
Analog Devices, Inc. *................................. 9,400 481,750
Teradyne, Inc. *....................................... 12,200 430,050
----------------
911,800
----------------
FINANCIAL SERVICES -- 2.3%
Wells Fargo & Co....................................... 12,600 499,275
----------------
FOOD -- PACKAGED & MISCELLANEOUS -- 2.4%
Unilever NV............................................ 7,700 524,563
----------------
FOREST & PAPER PRODUCTS -- 3.1%
Asia Pulp & Paper Co. Ltd. ADR *....................... 29,900 175,662
Smurfit-Stone Container Corp. *........................ 23,600 510,350
----------------
686,012
----------------
FREIGHT TRANSPORTATION -- 2.1%
Canadian National Railway Co........................... 15,400 466,813
----------------
HEALTH CARE -- DRUGS -- 7.3%
Abbott Laboratories.................................... 12,900 474,075
Bristol Myers Squibb Co................................ 8,000 540,000
Schering-Plough Corp................................... 13,100 571,487
----------------
1,585,562
----------------
HEALTH CARE -- MEDICAL TECHNOLOGY -- 2.7%
Guidant Corp........................................... 10,900 584,513
----------------
</TABLE>
63
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES PROVIDENT FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
INSURANCE -- 2.3%
American International Group, Inc...................... 5,750 $ 499,891
----------------
MACHINERY -- 4.5%
Caterpillar, Inc....................................... 9,600 526,200
Ingersoll-Rand Co...................................... 8,300 455,981
----------------
982,181
----------------
MANUFACTURING -- 2.7%
Minnesota Mining & Manufacturing Co.................... 6,100 585,981
----------------
METALS & MINING -- 5.6%
Alcan Aluminum Ltd..................................... 16,200 506,250
Newmont Mining Corp.................................... 27,900 721,912
----------------
1,228,162
----------------
OIL & GAS DRILLING EQUIPMENT -- 4.6%
Baker Hughes, Inc...................................... 18,300 530,700
Nabors Industries, Inc. *.............................. 19,100 477,500
----------------
1,008,200
----------------
OIL & GAS -- MAJOR INTEGRATED -- 4.0%
Imperial Oil Ltd....................................... 21,200 441,225
Unocal Corp............................................ 11,900 441,044
----------------
882,269
----------------
RESTAURANTS -- 2.6%
McDonald's Corp........................................ 13,200 567,600
----------------
RETAIL -- SPECIALTY -- 4.7%
Circuit City Stores-Circuit City Group................. 12,800 540,000
Staples, Inc. *........................................ 22,850 498,416
----------------
1,038,416
----------------
TELECOMMUNICATIONS -- 7.3%
Bell Atlantic Corp..................................... 8,300 558,694
BellSouth Corp......................................... 11,200 504,000
Sprint Corp............................................ 10,000 542,500
----------------
1,605,194
----------------
TOTAL COMMON STOCKS
(Identified Cost $17,112,140)........................ 17,762,844
----------------
</TABLE>
64
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES PROVIDENT FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 19.5% OF NET ASSETS
<S> <C> <C>
Repurchase Agreement with State Street Bank and Trust
Co., dated 9/30/99 at 4.250% to be repurchased at
$4,266,504 on 10/01/99 collateralized by $3,440,000
U.S. Treasury Bond, 8.875% due 2/15/19 with a value
of $4,356,437........................................ $4,266,000 $ 4,266,000
----------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $4,266,000)......................... 4,266,000
----------------
TOTAL INVESTMENTS -- 100.7%
(IDENTIFIED COST $21,378,140) @........................ 22,028,844
Liabilities, Less Cash and Other Assets -- (0.7%).... (143,256)
----------------
NET ASSETS -- 100%....................................... $ 21,885,588
================
</TABLE>
<TABLE>
<C> <S>
+ See Note 1.
* Non-income producing security.
@ At September 30, 1999, the net unrealized depreciation on
investments based on cost of $21,386,479 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 $1,312,022 and $669,657,
respectively, resulting in net unrealized appreciation of
$642,365.
</TABLE>
<TABLE>
<CAPTION>
Key to Abbreviations:
<C> <S>
ADR: American Depositary Receipt
</TABLE>
See accompanying notes to financial statements.
65
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE +
<S> <C> <C>
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- 96.3% OF NET ASSETS
BANKS/SAVINGS & LOANS -- 0.8%
Staten Island Bancorp, Inc............................. 7,700 $ 144,856
----------------
BROADCASTING -- 7.2%
Acme Communications, Inc. *............................ 5,700 176,700
Citadel Communications Corp. *......................... 6,800 232,050
Cumulus Media, Inc. Class A *.......................... 9,250 302,359
Emmis Communications Corp. Class A *................... 3,800 251,038
Entercom Communications Corp. *........................ 5,100 183,600
Young Broadcasting, Inc. Class A *..................... 2,550 133,556
----------------
1,279,303
----------------
BUSINESS SERVICES -- 13.7%
Abacus Direct Corp. *.................................. 2,100 255,938
Commerce One, Inc. *................................... 2,050 200,323
Concentric Network Corp. *............................. 3,900 79,219
CyberSource Corp. *.................................... 2,350 130,131
Diamond Technology Partners, Inc. *.................... 4,800 215,400
Luminant Worldwide Corp. *............................. 6,000 184,500
NCO Group, Inc. *...................................... 7,100 333,700
Profit Recovery Group International, Inc. *............ 12,325 550,003
QRS Corp. *............................................ 4,500 288,562
Security First Technologies Corp. *.................... 4,500 174,938
----------------
2,412,714
----------------
COMMUNICATIONS EQUIPMENT -- 9.2%
Ditech Communications Corp. *.......................... 2,200 115,500
Foundry Networks, Inc. *............................... 1,400 176,400
Gadzoox Networks, Inc. *............................... 2,200 118,525
Harmonic, Inc. *....................................... 1,400 183,138
Optical Coating Laboratory, Inc........................ 4,500 414,281
Powerwave Technologies, Inc. *......................... 6,400 308,600
SDL, Inc. *............................................ 4,000 305,250
----------------
1,621,694
----------------
COMPUTER SOFTWARE & SERVICES -- 14.5%
Advent Software, Inc. *................................ 5,175 322,144
Clarify, Inc. *........................................ 6,950 349,672
Dendrite International, Inc. *......................... 7,550 356,737
E.piphany, Inc. *...................................... 2,700 131,625
Genesys Telecommunications Laboratory, Inc. *.......... 12,500 571,093
Macromedia, Inc. *..................................... 6,600 269,775
Mercury Interactive Corp. *............................ 5,900 380,919
Packeteer, Inc. *...................................... 5,500 187,344
----------------
2,569,309
----------------
</TABLE>
66
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
ELECTRONICS -- 17.2%
Advanced Energy Industries, Inc. *..................... 8,800 $ 271,700
Cree Research, Inc. *.................................. 9,400 319,012
Emulex Corp. *......................................... 5,000 429,375
HI/FN Inc. *........................................... 2,900 319,725
Kopin Corp. *.......................................... 6,400 177,600
Maker Communications, Inc. *........................... 1,800 42,300
Power Integrations, Inc. *............................. 4,900 339,325
PRI Automation, Inc. *................................. 8,300 299,838
Sawtek, Inc. *......................................... 11,700 409,500
TranSwitch Corp. *..................................... 7,650 436,050
----------------
3,044,425
----------------
ENTERTAINMENT -- 1.0%
Sportsline USA, Inc. *................................. 5,650 167,028
----------------
FINANCIAL SERVICES -- 1.2%
Metris Companies, Inc.................................. 7,000 206,063
----------------
HEALTH CARE -- BIOTECHNOLOGY -- 6.0%
Abgenix, Inc. *........................................ 5,650 221,409
Alkermes, Inc. *....................................... 6,400 184,400
BioMarin Pharmaceutical, Inc. *........................ 4,900 85,138
COR Therapeutics, Inc. *............................... 7,200 136,800
Enzon, Inc. *.......................................... 3,400 103,700
ICOS Corp. *........................................... 3,400 100,300
Pharmacyclics, Inc. *.................................. 5,500 224,812
----------------
1,056,559
----------------
HEALTH CARE -- PRODUCTS -- 3.8%
Cyberonics, Inc. *..................................... 9,000 160,875
Cytyc Corp. *.......................................... 6,700 259,206
Xomed Surgical Products, Inc. *........................ 4,400 250,800
----------------
670,881
----------------
HEALTH CARE -- SERVICES -- 2.7%
MedQuist, Inc. *....................................... 10,100 337,719
TLC The Laser Center, Inc. *........................... 5,700 140,362
----------------
478,081
----------------
INSURANCE -- 0.9%
Annuity and Life Re (Holdings) Ltd..................... 6,300 156,713
----------------
OIL & GAS DRILLING EQUIPMENT -- 4.7%
Atwood Oceanics, Inc. *................................ 8,500 259,781
Marine Drilling Cos., Inc. *........................... 20,300 320,994
</TABLE>
67
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
OIL & GAS DRILLING EQUIPMENT -- CONTINUED
Patterson Energy, Inc. *............................... 16,100 $ 244,519
----------------
825,294
----------------
OIL & GAS EXPLORATION -- 1.7%
Stone Energy Corp. *................................... 6,000 305,250
----------------
RETAIL -- FOOD & DRUG -- 1.7%
Drugstore.com, Inc. *.................................. 1,450 52,563
Wild Oats Markets, Inc. *.............................. 6,300 248,850
----------------
301,413
----------------
RETAIL -- GENERAL -- 0.9%
99 Cents Only Stores *................................. 4,600 166,175
----------------
RETAIL -- SPECIALTY -- 6.6%
Ann Taylor Stores Corp. *.............................. 4,600 188,025
Cost Plus, Inc. *...................................... 8,550 414,675
Linens 'n Things, Inc. *............................... 4,450 150,187
Pacific Sunwear of California *........................ 14,650 410,658
----------------
1,163,545
----------------
TELECOMMUNICATIONS -- 2.5%
CapRock Communications Corp. *......................... 7,300 169,725
ITC DeltaCom, Inc. *................................... 9,900 272,250
----------------
441,975
----------------
TOTAL COMMON STOCKS
(Identified Cost $15,022,722)........................ 17,011,278
----------------
<CAPTION>
FACE
AMOUNT
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT -- 6.9% OF NET ASSETS
<S> <C> <C>
Repurchase Agreement with State Street Bank and Trust
Co., dated 9/30/99 at 4.250% to be repurchased at
$1,220,144 on 10/01/99 collateralized by $1,035,000
U.S. Treasury Bond, 8.000% due 11/15/21 with a value
of $1,245,234........................................ $1,220,000 1,220,000
----------------
TOTAL SHORT-TERM INVESTMENT
(Identified Cost $1,220,000)......................... 1,220,000
----------------
TOTAL INVESTMENTS -- 103.2%
(IDENTIFIED COST $16,242,722) @........................ 18,231,278
Liabilities, Less Cash and Other Assets -- (3.2%).... (557,388)
----------------
NET ASSETS -- 100%....................................... $ 17,673,890
================
</TABLE>
68
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY GROWTH FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<C> <S>
+ See Note 1.
* Non-income producing security.
@ At September 30, 1999, the net unrealized appreciation on
investments based on cost of $16,398,122 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 $2,342,280 and $509,124,
respectively, resulting in net unrealized appreciation of
$1,833,156.
</TABLE>
See accompanying notes to financial statements.
69
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
SHARES VALUE +
<S> <C> <C>
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- 90.9% OF NET ASSETS
ADVERTISING -- 1.3%
ADVO, Inc. *........................................... 8,100 $ 161,494
R.H. Donnelley Corp.................................... 17,600 327,800
----------------
489,294
----------------
AEROSPACE/DEFENSE -- 3.3%
AAR Corp............................................... 6,400 115,200
Alliant Techsystems, Inc. *............................ 3,100 214,869
Gencorp, Inc........................................... 6,500 119,031
Newport News Shipbuilding, Inc......................... 8,200 264,962
Nichols Research Corp. *............................... 3,100 82,538
Orbital Sciences Corp. *............................... 8,000 140,000
Primex Technologies, Inc............................... 9,100 179,725
REMEC, Inc. *.......................................... 9,000 123,750
----------------
1,240,075
----------------
AGRICULTURAL OPERATIONS -- 0.2%
Andersons, Inc......................................... 10,100 88,375
----------------
AIRLINES -- 0.8%
COMAIR Holdings, Inc................................... 11,200 186,900
Mesa Air Group, Inc. *................................. 21,500 131,688
----------------
318,588
----------------
AUTO & RELATED -- 1.1%
SPX Corp. *............................................ 1,700 154,275
Tower Automotive, Inc. *............................... 4,700 93,119
Wabash National Corp................................... 8,500 172,656
----------------
420,050
----------------
BANKS/SAVINGS & LOANS -- 4.6%
Chittenden Corp........................................ 4,300 122,550
City National Corp..................................... 5,300 177,881
Colonial BancGroup, Inc................................ 9,800 109,638
Commerce Bancorp, Inc.................................. 3,100 128,650
Commercial Federal Corp................................ 11,700 229,612
Hamilton Bancorp, Inc. *............................... 7,700 163,625
Hudson United Bancorp.................................. 10,600 326,612
Local Financial Corp. *................................ 20,600 190,550
Staten Island Bancorp, Inc............................. 7,800 146,738
Sterling Bancshares, Inc............................... 12,800 146,400
----------------
1,742,256
----------------
BEVERAGES -- 0.4%
Whitman Corp........................................... 11,300 161,025
----------------
</TABLE>
70
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
BUSINESS SERVICES -- 2.9%
ACNielson Corp. *...................................... 11,100 $ 251,831
Burns International Services Corp. *................... 9,500 153,187
Harte-Hanks, Inc....................................... 8,500 214,094
Manpower, Inc.......................................... 7,000 203,875
National Data Corp..................................... 5,000 130,000
USWeb Corp. *.......................................... 4,400 150,975
----------------
1,103,962
----------------
CHEMICALS -- SPECIALTY -- 5.4%
Cambrex Corp........................................... 9,500 251,156
Cuno, Inc. *........................................... 10,700 212,662
Cytec Industries, Inc. *............................... 9,100 218,400
Dexter Corp............................................ 8,600 320,887
Ferro Corp............................................. 8,300 176,894
Lilly Industries, Inc. Class A......................... 4,000 54,500
Minerals Technologies, Inc............................. 1,500 72,844
Olin Corp.............................................. 13,900 189,388
OM Group, Inc.......................................... 7,100 272,462
Scotts Co. *........................................... 3,600 124,650
Spartech Corp.......................................... 5,800 170,013
----------------
2,063,856
----------------
COMMERCIAL SERVICES -- 0.3%
Nielsen Media Research, Inc. *......................... 3,100 115,281
----------------
COMMUNICATIONS EQUIPMENT -- 3.4%
Aironet Wireless Communications, Inc. *................ 7,900 165,900
Inter-Tel, Inc......................................... 9,500 168,625
ITI Technologies, Inc. *............................... 5,800 174,362
P-Com, Inc. *.......................................... 33,000 231,000
PairGain Technologies, Inc. *.......................... 29,000 369,750
Tekelec *.............................................. 12,400 171,275
----------------
1,280,912
----------------
COMPUTER HARDWARE -- 0.6%
Hutchinson Technology, Inc. *.......................... 6,500 175,500
Telxon Corp............................................ 4,800 40,200
----------------
215,700
----------------
COMPUTER SOFTWARE & SERVICES -- 3.4%
3DO Co. *.............................................. 21,200 213,325
Acclaim Entertainment, Inc. *.......................... 23,200 176,175
Aspen Technology, Inc. *............................... 8,300 80,925
Complete Business Solutions, Inc. *.................... 5,000 68,438
</TABLE>
71
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
COMPUTER SOFTWARE & SERVICES -- CONTINUED
Filenet Corp. *........................................ 6,600 $ 70,538
Informix Corp. *....................................... 22,400 177,800
Integrated Systems, Inc. Class A *..................... 10,200 103,912
J.D. Edwards & Co. *................................... 3,800 78,731
NOVA Corp. *........................................... 12,400 310,000
Visio Corp. *.......................................... 400 15,700
----------------
1,295,544
----------------
COMPUTERS -- 0.1%
Integral Systems, Inc. *............................... 1,400 40,250
----------------
DATA PROCESSING SERVICES -- 0.5%
Information Resources, Inc. *.......................... 16,100 178,106
----------------
EDUCATION -- 0.4%
ITT Educational Services, Inc. *....................... 8,800 171,600
----------------
ELECTRICAL EQUIPMENT -- 1.2%
Hadco Corp. *.......................................... 5,800 250,850
Maxwell Technologies, Inc. *........................... 10,600 139,125
Woodhead Industries, Inc............................... 6,300 63,787
----------------
453,762
----------------
ELECTRONICS -- 4.3%
Actel Corp. *.......................................... 12,000 228,000
Aeroflex, Inc. *....................................... 7,700 93,844
American Xtal Technology, Inc. *....................... 4,800 102,600
Atmel Corp. *.......................................... 1,000 33,812
C-Cube Microsystems, Inc. *............................ 3,700 160,950
International Rectifier Corp. *........................ 13,500 205,875
Photronics, Inc. *..................................... 3,900 87,506
SCI Systems, Inc. *.................................... 5,600 248,850
Tektronix, Inc......................................... 5,800 194,300
Veeco Instruments, Inc. *.............................. 3,500 98,000
Vishay Intertechnology, Inc. *......................... 6,900 163,875
----------------
1,617,612
----------------
ENVIRONMENTAL SERVICES -- 1.9%
American States Water Co............................... 6,100 202,062
IMCO Recycling, Inc.................................... 11,300 169,500
Navigant Consulting Co. *.............................. 3,900 180,863
Tetra Tech, Inc. *..................................... 9,875 164,789
----------------
717,214
----------------
</TABLE>
72
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
FINANCIAL SERVICES -- 2.6%
Anthracite Mortgage Capital, Inc....................... 19,300 $ 132,688
Community First Bankshares, Inc........................ 8,200 138,375
DVI, Inc. *............................................ 7,000 114,625
Federated Investors, Inc. Class B...................... 18,400 317,400
Imperial Credit Industries, Inc. *..................... 38,700 169,312
UniCapital Corp. *..................................... 33,900 108,056
----------------
980,456
----------------
FOOD -- 1.0%
Earthgrains Co......................................... 6,300 139,388
U.S. Foodservice *..................................... 12,500 225,000
----------------
364,388
----------------
FOOD -- PACKAGED & MISCELLANEOUS -- 2.4%
Corn Products International, Inc....................... 5,300 161,319
International Multifoods Corp.......................... 15,200 349,600
Michael Foods, Inc..................................... 15,900 417,872
----------------
928,791
----------------
FOOD -- SERVICES -- 1.1%
Morrison Management Specialists, Inc................... 17,800 400,500
----------------
FOREST & PAPER PRODUCTS -- 1.9%
Chesapeake Corp........................................ 5,000 151,250
Ennis Business Forms, Inc.............................. 11,100 98,513
Gaylord Container Corp. Class A *...................... 14,300 101,887
Ivex Packaging Corp. *................................. 10,800 108,000
John H. Harland Co..................................... 13,400 260,462
----------------
720,112
----------------
FREIGHT TRANSPORTATION -- 0.9%
CNF Transportation, Inc................................ 6,000 223,500
Wisconsin Central Transportation Corp. *............... 7,700 105,394
----------------
328,894
----------------
HEALTH CARE -- BIOTECHNOLOGY -- 1.0%
Medicis Pharmaceutical Corp. Class A *................. 10,100 287,850
Techne Corp. *......................................... 3,100 97,263
----------------
385,113
----------------
HEALTH CARE -- DRUGS -- 0.5%
Biovail Corp. International *.......................... 2,100 106,575
Dura Pharmaceuticals, Inc. *........................... 5,800 80,838
</TABLE>
73
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
HEALTH CARE -- DRUGS -- CONTINUED
Meridian Diognostic, Inc............................... 200 $ 1,600
----------------
189,013
----------------
HEALTH CARE -- MEDICAL TECHNOLOGY -- 3.3%
Beckman Coulter, Inc................................... 3,600 162,450
Conmed Corp. *......................................... 12,800 313,600
Dentsply International, Inc............................ 4,700 106,925
EndoSonics Corp. *..................................... 20,800 176,800
Respironics, Inc. *.................................... 18,000 148,500
Theragenics Corp. *.................................... 8,600 109,650
Varian Medical Systems, Inc............................ 10,600 231,875
----------------
1,249,800
----------------
HEALTH CARE -- SERVICES -- 3.2%
Alterra Healthcare Corp. *............................. 12,700 112,713
Beverly Enterprises, Inc. *............................ 15,500 65,875
Capital Senior Living Communities LP *................. 13,300 100,581
First Health Group Corp. *............................. 6,000 134,625
Foundation Health Systems, Inc. *...................... 7,900 74,556
Lincare Holdings, Inc. *............................... 7,300 194,591
Magellan Health Services, Inc. *....................... 14,900 108,956
Pentegra Dental Group, Inc. *.......................... 17,500 31,719
Per-Se Technologies, Inc. *............................ 36,200 124,437
Trigon Healthcare, Inc. *.............................. 9,400 271,425
----------------
1,219,478
----------------
HOME PRODUCTS -- 0.4%
Furniture Brands International, Inc. *................. 4,600 90,562
LADD Furniture, Inc. *................................. 3,400 72,038
----------------
162,600
----------------
HOUSING & BUILDING MATERIALS -- 0.6%
Giant Cement Holding, Inc. *........................... 9,900 227,081
----------------
INSURANCE -- 5.1%
AmerUs Life Holdings, Inc.............................. 6,700 141,956
Annuity and Life Re (Holdings) Ltd..................... 12,700 315,912
Arthur J. Gallagher & Co............................... 4,200 223,650
CNA Surety Corp........................................ 15,200 199,500
HCC Insurance Holdings, Inc............................ 12,400 208,475
Liberty Financial Companies, Inc....................... 5,700 125,044
Protective Life Corp................................... 6,200 179,800
Radian Group, Inc...................................... 4,000 171,750
Reinsurance Group of America, Inc...................... 4,400 113,025
</TABLE>
74
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
INSURANCE -- CONTINUED
StanCorp Financial Group, Inc.......................... 11,700 $ 261,788
----------------
1,940,900
----------------
LODGING & HOTEL -- 0.4%
MeriStar Hospitality Corp.............................. 10,253 156,358
----------------
MACHINERY -- 1.0%
Gardner Denver, Inc. *................................. 10,900 164,863
Milacron Inc........................................... 11,300 200,575
----------------
365,438
----------------
MANUFACTURING -- 4.6%
A.O. Smith Corp........................................ 6,950 210,237
Carlisle Cos., Inc..................................... 4,400 173,800
Cordant Technologies, Inc.............................. 5,300 161,319
Diebold, Inc........................................... 4,200 97,125
Federal Signal Corp.................................... 10,900 216,637
Harman International Industries, Inc................... 7,100 298,644
Pentair, Inc........................................... 6,700 268,837
Regal-Beloit Corp...................................... 6,400 132,800
UNOVA, Inc. *.......................................... 13,500 180,563
----------------
1,739,962
----------------
METALS -- 0.9%
Bethlehem Steel Corp. *................................ 11,700 86,288
Worthington Industries, Inc............................ 14,600 248,200
----------------
334,488
----------------
METALS & MINING -- 0.2%
Harsco Corp............................................ 3,200 88,400
----------------
NATURAL GAS -- 1.2%
MCN Energy Group, Inc.................................. 17,400 299,062
Public Service Company of North Carolina, Inc.......... 5,300 164,300
----------------
463,362
----------------
OFFICE EQUIPMENT -- 1.4%
Daisytek International Corp. *......................... 16,000 225,000
National Computer Systems, Inc......................... 4,200 161,043
United Stationers, Inc. *.............................. 7,100 151,319
----------------
537,362
----------------
OIL & GAS DRILLING EQUIPMENT -- 2.6%
Global Industries Ltd. *............................... 22,200 180,375
Maverick Tube Corp. *.................................. 9,500 157,938
</TABLE>
75
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
OIL & GAS DRILLING EQUIPMENT -- CONTINUED
Patterson Energy, Inc. *............................... 17,200 $ 261,225
Santa Fe International Corp............................ 9,300 200,531
Tidewater, Inc......................................... 7,000 178,500
----------------
978,569
----------------
OIL & GAS EXPLORATION -- 1.4%
Newfield Exploration Co. *............................. 8,700 286,556
Plains Resources, Inc. *............................... 13,100 234,163
----------------
520,719
----------------
OIL & GAS REFINING -- 0.5%
Valero Energy Corp..................................... 9,000 173,250
----------------
PHOTOGRAPHY -- 0.3%
Polaroid Corp.......................................... 3,900 101,400
----------------
REAL ESTATE INVESTMENT TRUSTS -- 5.0%
Avalonbay Communities, Inc............................. 5,500 186,313
Brandywine Realty Corp................................. 16,700 271,375
Capital Automotive..................................... 21,000 259,875
Healthcare Realty Trust, Inc........................... 15,577 291,095
Liberty Property Trust................................. 15,800 358,462
Pacific Gulf Properties, Inc........................... 9,300 185,419
Sun Communities, Inc................................... 9,900 327,319
----------------
1,879,858
----------------
REFRIGERATION SYSTEMS -- 0.6%
Hussmann International, Inc............................ 14,000 238,000
----------------
RESTAURANTS -- 2.1%
CEC Entertainment, Inc. *.............................. 10,050 360,544
NPC International, Inc. *.............................. 12,500 140,625
Ruby Tuesday, Inc...................................... 14,200 276,900
----------------
778,069
----------------
RETAIL -- FOOD & DRUG -- 0.6%
Great Atlantic & Pacific Tea Company, Inc.............. 1,400 42,437
Hannaford Brothers Co.................................. 2,900 204,269
----------------
246,706
----------------
RETAIL -- GENERAL -- 0.9%
Fred's, Inc. Class A................................... 5,000 61,563
Michaels Stores, Inc. *................................ 4,300 126,850
</TABLE>
76
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE +
- ----------------------------------------------------------------------------------------
COMMON STOCKS -- CONTINUED
<S> <C> <C>
RETAIL -- GENERAL -- CONTINUED
ShopNow.com, Inc. *.................................... 11,600 $ 134,850
----------------
323,263
----------------
RETAIL -- SPECIALTY -- 3.1%
Burlington Coat Factory Warehouse Corp. *.............. 15,900 314,025
Casey's General Stores, Inc............................ 10,100 135,403
Charming Shoppes, Inc. *............................... 12,100 62,013
CompUSA, Inc. *........................................ 12,800 78,400
Genesco, Inc. *........................................ 7,200 90,000
J. Baker, Inc.......................................... 11,400 89,775
Jostens, Inc........................................... 10,100 193,162
School Specialty, Inc. *............................... 9,600 162,000
The Wet Seal, Inc. Class A *........................... 3,800 62,938
----------------
1,187,716
----------------
TELECOMMUNICATIONS -- 0.2%
Transaction Network Services, Inc. *................... 2,400 94,200
----------------
TEXTILE & APPAREL -- 1.2%
Burlington Industries, Inc. *.......................... 22,500 99,844
Liz Claiborne, Inc..................................... 7,100 220,100
Springs Industries, Inc................................ 3,600 122,175
----------------
442,119
----------------
UTILITIES -- 2.3%
New Jersey Resources Corp.............................. 5,100 204,000
NSTAR *................................................ 5,900 228,625
RGS Energy Group, Inc.................................. 6,700 164,150
Trigen Energy Corp..................................... 6,100 139,919
Washington Gas Light Co................................ 5,500 149,187
----------------
885,881
----------------
WASTE MANAGEMENT -- 0.3%
Safety-Kleen Corp. *................................... 8,800 106,150
----------------
TOTAL COMMON STOCKS
(Identified Cost $36,660,534)........................ 34,451,858
----------------
</TABLE>
77
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
LOOMIS SAYLES SMALL COMPANY VALUE FUND
PORTFOLIO OF INVESTMENTS -- AS OF SEPTEMBER 30, 1999 -- CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE +
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 9.6% OF NET ASSETS
<S> <C> <C>
Associates Corp. of North America, 5.480%, 10/01/99.... $1,638,443 $ 1,638,443
Chevron USA Inc., 5.300%, 10/01/99..................... 1,600,000 1,600,000
----------------
3,238,443
Repurchase Agreement with State Street Bank and Trust
Co., dated 9/30/99 at 4.250% to be repurchased at
$400,047 on 10/01/99 collateralized by $390,000 U.S.
Treasury Note, 7.875% due 8/15/01 with a value of
$408,525............................................. 400,000 400,000
----------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $3,638,443)......................... 3,638,443
----------------
TOTAL INVESTMENTS -- 100.5%
(IDENTIFIED COST $40,298,977) @........................ 38,090,301
LIABILITIES, LESS CASH AND OTHER ASSETS -- (0.5%).... (198,846)
----------------
NET ASSETS -- 100%....................................... $ 37,891,455
================
</TABLE>
<TABLE>
<C> <S>
+ See Note 1.
* Non-income producing security.
@ At September 30, 1999, the net unrealized depreciation on
investments based on cost of $38,875,708 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 $1,130,287 and $1,915,694,
respectively, resulting in net unrealized depreciation of
$785,407.
</TABLE>
See accompanying notes to financial statements.
78
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
California Tax- Core Fixed
Free Income Fixed Income Income
Fund Fund Fund
--------------- ------------ ------------
<S> <C> <C> <C>
ASSETS
Investments at value........ $18,386,003 $22,131,689 $292,799,356
Repurchase agreement at
value..................... 0 190,000 1,205,000
Cash........................ 34,939 481 939
Receivable for:
Fund shares sold.......... 0 0 0
Securities sold........... 0 0 0
Dividend and interest..... 287,235 304,771 4,745,990
Due from the adviser
(Note 3).................. 8,875 8,072 0
Other assets (Note 1H)...... 0 3,769 0
----------- ----------- ------------
18,717,052 22,638,782 298,751,285
----------- ----------- ------------
LIABILITIES
Payable for:
Securities purchased...... 0 0 460,743
Fund shares redeemed...... 0 0 81,000
Foreign taxes............. 0 0 0
Accrued expenses:
Management fees
(Note 3)................ 8,010 9,225 122,425
Trustee's fees
(Note 3A)............... 68 68 68
Administrative fees....... 1,207 989 8,768
Other....................... 36,103 44,439 70,922
----------- ----------- ------------
45,388 54,721 743,926
----------- ----------- ------------
NET ASSETS.................... $18,671,664 $22,584,061 $298,007,359
=========== =========== ============
Net Assets consist of:
Capital paid in........... 18,600,467 22,513,639 304,607,732
Undistributed (or
Distributions in excess
of) net investment
income.................. 0 993,531 17,609,095
Accumulated net realized
gain (loss)............. 38,618 (64,010) (1,219,556)
Unrealized appreciation
(depreciation) on
investments and foreign
currency -- net*........ 32,579 (859,099) (22,989,912)
----------- ----------- ------------
NET ASSETS.................... $18,671,664 $22,584,061 $298,007,359
=========== =========== ============
Shares of beneficial interest
outstanding, no par value... 1,834,225 2,140,260 24,638,993
=========== =========== ============
Net asset value and redemption
price per share (Net
assets/shares of beneficial
interest outstanding)....... $ 10.18 $ 10.55 $ 12.09
Identified cost of
investments................. $18,353,424 $23,180,788 $316,996,324
=========== =========== ============
</TABLE>
* Net of capital gain withholding taxes of $2,586 for the High Yield Fixed
Income Fund.
See accompanying notes to financial statements.
79
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
<TABLE>
<CAPTION>
Intermediate
High Yield Duration Investment Grade Small Company Small Company
Fixed Income Fixed Income Fixed Income Provident Growth Value
Fund Fund Fund Fund Fund Fund
------------ ------------ ---------------- ----------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value........ $25,007,972 $14,135,214 $144,054,464 $17,762,844 $17,011,278 $37,690,301
Repurchase agreement at
value..................... 0 0 0 4,266,000 1,220,000 400,000
Cash........................ 39,998 61,474 88,538 221 654 0
Receivable for:
Fund shares sold.......... 0 0 24,872 0 0 10
Securities sold........... 0 0 1,333,534 1,358,383 113,062 566,912
Dividend and interest..... 484,376 205,483 2,457,534 4,084 144 47,250
Due from the adviser
(Note 3).................. 6,541 8,337 6,274 7,108 4,023 4,783
Other assets (Note 1H)...... 0 0 0 0 0 0
----------- ----------- ------------ ----------- ----------- -----------
25,538,887 14,410,508 147,965,216 23,398,640 18,349,161 38,709,256
----------- ----------- ------------ ----------- ----------- -----------
LIABILITIES
Payable for:
Securities purchased...... 4,158 0 1,106,404 1,470,799 633,738 770,633
Fund shares redeemed...... 0 0 0 0 0 0
Foreign taxes............. 3,119 0 0 0 0 0
Accrued expenses:
Management fees
(Note 3)................ 12,649 4,697 47,808 9,287 10,522 23,692
Trustee's fees
(Note 3A)............... 68 42 68 74 236 588
Administrative fees....... 1,030 432 4,824 796 163 296
Other....................... 33,766 34,259 48,638 32,096 30,612 22,592
----------- ----------- ------------ ----------- ----------- -----------
54,790 39,430 1,207,742 1,513,052 675,271 817,801
----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS.................... $25,484,097 $14,371,078 $146,757,474 $21,885,588 $17,673,890 $37,891,455
=========== =========== ============ =========== =========== ===========
Net Assets consist of:
Capital paid in........... 31,697,467 14,983,803 154,910,936 13,612,702 16,086,585 38,918,515
Undistributed (or
Distributions in excess
of) net investment
income.................. 1,935,682 8,348 39,773 67,735 0 63,093
Accumulated net realized
gain (loss)............. (3,865,423) (84,325) 540,634 7,554,447 (401,251) 1,118,523
Unrealized appreciation
(depreciation) on
investments and foreign
currency -- net*........ (4,283,629) (536,748) (8,733,869) 650,704 1,988,556 (2,208,676)
----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS.................... $25,484,097 $14,371,078 $146,757,474 $21,885,588 $17,673,890 $37,891,455
=========== =========== ============ =========== =========== ===========
Shares of beneficial interest
outstanding, no par value... 3,034,868 1,507,340 13,313,133 1,625,996 1,514,677 4,031,719
=========== =========== ============ =========== =========== ===========
Net asset value and redemption
price per share (Net
assets/shares of beneficial
interest outstanding)....... $ 8.40 $ 9.53 $ 11.02 $ 13.46 $ 11.67 $ 9.40
Identified cost of
investments................. $29,289,015 $14,671,962 $152,789,510 $21,378,140 $16,242,722 $40,298,977
=========== =========== ============ =========== =========== ===========
</TABLE>
* Net of capital gain withholding taxes of $2,586 for the High Yield Fixed
Income Fund.
See accompanying notes to financial statements.
80
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
California Tax- Core Fixed
Free Income Fixed Income Income
Fund Fund Fund
--------------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends*.................................... $ 0 $ 0 $ 442,804
Interest...................................... 1,033,211 1,428,877 24,411,084
--------- ----------- -----------
1,033,211 1,428,877 24,853,888
--------- ----------- -----------
Expenses
Management fees (Note 3).................... 100,301 105,164 1,389,093
Trustee's fees and expenses (Note 3A)....... 2,612 2,612 2,612
Administrative fees......................... 9,283 9,318 120,032
Custodian and accounting fees............... 52,475 49,843 133,343
Transfer agent fees......................... 21,590 11,644 21,853
Audit and tax services fees................. 26,828 26,713 32,869
Registration fees........................... 16,210 24,265 44,492
Amortization of organization expenses
(Note 1H)................................. 0 2,394 0
Other expenses.............................. 10,176 9,773 38,186
--------- ----------- -----------
Total expenses.............................. 239,475 241,726 1,782,480
Less expenses waived and reimbursed by the
investment adviser (Note 3)............... (109,084) (105,013) 0
--------- ----------- -----------
Net expenses................................ 130,391 136,713 1,782,480
--------- ----------- -----------
Net investment income (loss).................. 902,820 1,292,164 23,071,408
--------- ----------- -----------
Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency Transactions
Net realized gain (loss) on
investments and foreign currency.......... 43,213 16,357 (919,226)
Change in unrealized appreciation
(depreciation) on investments and foreign
currency **............................ (828,427) (1,581,472) (7,370,250)
--------- ----------- -----------
Net realized gain (loss) and change in
unrealized appreciation (depreciation).... (785,214) (1,565,115) (8,289,476)
--------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS.................................... $ 117,606 $ (272,951) $14,781,932
========= =========== ===========
</TABLE>
* Net of foreign withholding taxes of $2,654 and $1,510 for the High Yield
Fixed Income and Provident Funds, respectively.
** Net of capital gain withholding taxes of $2,586 for the High Yield Fixed
Income Fund.
*** Commencement of operations on May 7, 1999.
# Commencement of operations on June 30, 1999.
See accompanying notes to financial statements.
81
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
<TABLE>
<CAPTION>
Intermediate
High Yield Duration Investment Grade Small Company Small Company
Fixed Income Fixed Income Fixed Income Provident Growth Value
Fund Fund Fund Fund Fund*** Fund(#)
------------ ------------ ---------------- ----------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends*.................................... $ 145,708 $ 0 $ 135,281 $ 164,265 $ 746 $ 104,514
Interest...................................... 3,050,066 915,969 10,171,059 55,439 13,495 27,436
----------- --------- ----------- ----------- ---------- -----------
3,195,774 915,969 10,306,340 219,704 14,241 131,950
----------- --------- ----------- ----------- ---------- -----------
Expenses
Management fees (Note 3).................... 147,861 53,685 535,492 115,794 27,118 57,381
Trustee's fees and expenses (Note 3A)....... 2,612 2,612 2,612 2,612 1,173 588
Administrative fees......................... 10,884 5,717 58,394 10,155 1,112 2,219
Custodian and accounting fees............... 57,385 38,775 97,078 42,338 20,824 13,122
Transfer agent fees......................... 7,643 6,236 13,754 6,821 3,055 2,366
Audit and tax services fees................. 30,090 22,778 31,566 26,275 14,066 14,145
Registration fees........................... 16,401 19,002 28,273 16,824 7,512 6,726
Amortization of organization expenses
(Note 1H)................................. 0 0 0 0 0 0
Other expenses.............................. 10,691 9,989 24,690 10,726 3,459 3,539
----------- --------- ----------- ----------- ---------- -----------
Total expenses.............................. 283,567 158,794 791,859 231,545 78,319 100,086
Less expenses waived and reimbursed by the
investment adviser (Note 3)............... (98,741) (84,976) (55,557) (81,013) (45,778) (31,229)
----------- --------- ----------- ----------- ---------- -----------
Net expenses................................ 184,826 73,818 736,302 150,532 32,541 68,857
----------- --------- ----------- ----------- ---------- -----------
Net investment income (loss).................. 3,010,948 842,151 9,570,038 69,172 (18,300) 63,093
----------- --------- ----------- ----------- ---------- -----------
Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency Transactions
Net realized gain (loss) on
investments and foreign currency.......... (4,779,121) (44,334) 594,799 7,610,544 (401,251) 132,497
Change in unrealized appreciation
(depreciation) on investments and foreign
currency **............................ 5,374,813 (332,285) (4,148,573) (1,265,437) 1,988,556 (2,208,676)
----------- --------- ----------- ----------- ---------- -----------
Net realized gain (loss) and change in
unrealized appreciation (depreciation).... 595,692 (376,619) (3,553,774) 6,345,107 1,587,305 (2,076,179)
----------- --------- ----------- ----------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS.................................... $ 3,606,640 $ 465,532 $ 6,016,264 $ 6,414,279 $1,569,005 $(2,013,086)
=========== ========= =========== =========== ========== ===========
</TABLE>
* Net of foreign withholding taxes of $2,654 and $1,510 for the High Yield
Fixed Income and Provident Funds, respectively.
** Net of capital gain withholding taxes of $2,586 for the High Yield Fixed
Income Fund.
*** Commencement of operations on May 7, 1999.
# Commencement of operations on June 30, 1999.
See accompanying notes to financial statements.
82
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
California Tax-Free Fixed Income Fund
-------------------------------------------------
Nine Months
Year Ended Ended Year Ended
September 30, September 30, December 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income............. $ 902,820 $ 600,781 $ 716,797
Net realized gain (loss) on
investments and foreign
currency........................ 43,213 10,232 20,418
Change in unrealized appreciation
(depreciation) on investments
and foreign currency............ (828,427) 320,052 367,627
------------ ------------ ------------
Increase (decrease) in net assets
from operations................. 117,606 931,065 1,104,842
------------ ------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............. (904,671) (610,963) (719,537)
Net realized gain on
investments..................... 0 0 (41,370)
------------ ------------ ------------
Total distributions............... (904,671) (610,963) (760,907)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of
shares.......................... 3,611,000 2,777,897 3,727,583
Net asset value of shares issued
in connection with the
reinvestment of distributions... 138,121 105,335 127,165
Cost of shares redeemed........... (3,908,509) (407,000) (836,438)
------------ ------------ ------------
Increase (decrease) in net assets
derived from capital share
transactions.................... (159,388) 2,476,232 3,018,310
------------ ------------ ------------
Total increase (decrease) in net
assets........................ (946,453) 2,796,334 3,362,245
NET ASSETS
Beginning of period............... 19,618,117 16,821,783 13,459,538
------------ ------------ ------------
End of period..................... $ 18,671,664 $ 19,618,117 $ 16,821,783
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
End of period..................... $ 0 $ 0 $ 6,408
============ ============ ============
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares.... 345,658 266,053 364,171
Issued in connection with the
reinvestment of distributions... 13,260 10,101 12,386
Redeemed.......................... (377,055) (39,014) (82,667)
------------ ------------ ------------
Net change........................ (18,137) 237,140 293,890
============ ============ ============
</TABLE>
See accompanying notes to financial statements.
83
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Core Fixed Income Fund
-------------------------------------------------
Nine Months
Year Ended Ended Year Ended
September 30, September 30, December 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income............. $ 1,292,164 $ 842,404 $ 561,849
Net realized gain (loss) on
investments and foreign
currency........................ 16,357 180,769 38,487
Change in unrealized appreciation
(depreciation) on investments
and foreign currency............ (1,581,472) 376,200 257,800
------------ ------------ ------------
Increase (decrease) in net assets
from operations................. (272,951) 1,399,373 858,136
------------ ------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............. (1,133,613) 0 (560,414)
Net realized gain on
investments..................... (267,462) (811) (38,618)
------------ ------------ ------------
Total distributions............... (1,401,075) (811) (599,032)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of
shares.......................... 5,175,627 4,752,797 9,230,953
Net asset value of shares issued
in connection with the
reinvestment of distributions... 1,401,075 811 599,032
Cost of shares redeemed........... (1,659,371) (2,921,313) (250,000)
------------ ------------ ------------
Increase (decrease) in net assets
derived from capital share
transactions.................... 4,917,331 1,832,295 9,579,985
------------ ------------ ------------
Total increase (decrease) in net
assets........................ 3,243,305 3,230,857 9,839,089
NET ASSETS
Beginning of period............... 19,340,756 16,109,899 6,270,810
------------ ------------ ------------
End of period..................... $ 22,584,061 $ 19,340,756 $ 16,109,899
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
End of period..................... $ 993,531 $ 838,191 $ 0
============ ============ ============
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares.... 477,171 437,458 860,234
Issued in connection with the
reinvestment of distributions... 131,433 73 56,248
Redeemed.......................... (151,500) (265,932) (23,346)
------------ ------------ ------------
Net change........................ 457,104 171,599 893,136
============ ============ ============
</TABLE>
See accompanying notes to financial statements.
84
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Fixed Income Fund
-----------------------------------------------
Nine Months
Year Ended Ended Year Ended
September 30, September 30, December 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income.............. $ 23,071,408 $ 11,410,938 $ 8,695,684
Net realized gain (loss) on
investments and foreign
currency......................... (919,226) 4,856,929 2,909,561
Change in unrealized appreciation
(depreciation) on investments and
foreign currency................. (7,370,250) (20,391,296) 1,883,711
------------ ------------ ------------
Increase (decrease) in net assets
from operations.................. 14,781,932 (4,123,429) 13,488,956
------------ ------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.............. (16,709,531) 0 (8,861,805)
Net realized gain on investments... (5,298,144) (1,288,514) (3,350,264)
------------ ------------ ------------
Total distributions................ (22,007,675) (1,288,514) (12,212,069)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of shares... 48,387,100 89,088,980 86,055,071
Net asset value of shares issued in
connection with the reinvestment
of distributions................. 22,007,676 1,273,620 11,967,763
Cost of shares redeemed............ (13,490,272) (9,670,135) (17,997,654)
------------ ------------ ------------
Increase (decrease) in net assets
derived from capital share
transactions..................... 56,904,504 80,692,465 80,025,180
------------ ------------ ------------
Total increase (decrease) in net
assets......................... 49,678,761 75,280,522 81,302,067
NET ASSETS
Beginning of period................ 248,328,598 173,048,076 91,746,009
------------ ------------ ------------
End of period...................... $298,007,359 $248,328,598 $173,048,076
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
(LOSS)
End of period...................... $ 17,609,095 $ 11,377,041 $ (8,315)
============ ============ ============
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares..... 3,955,911 6,829,377 6,599,478
Issued in connection with the
reinvestment of distributions.... 1,865,057 97,745 947,050
Redeemed........................... (1,094,141) (755,557) (1,401,398)
------------ ------------ ------------
Net change......................... 4,726,827 6,171,565 6,145,130
============ ============ ============
</TABLE>
See accompanying notes to financial statements.
85
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
High Yield Fixed Income Fund
-------------------------------------------------
Nine Months
Year Ended Ended Year Ended
September 30, September 30, December 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income............. $ 3,010,948 $ 2,619,892 $ 1,835,703
Net realized gain (loss) on
investments and foreign
currency........................ (4,779,121) 813,298 1,091,157
Change in unrealized appreciation
(depreciation) on investments
and foreign currency............ 5,374,813 (8,655,085) (1,050,300)
------------ ------------ ------------
Increase (decrease) in net assets
from operations................. 3,606,640 (5,221,895) 1,876,560
------------ ------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............. (3,648,962) 0 (1,834,725)
Net realized gain on
investments..................... (816,575) (281,055) (811,668)
------------ ------------ ------------
Total distributions............... (4,465,537) (281,055) (2,646,393)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of
shares.......................... 7,037,798 8,622,000 23,895,000
Net asset value of shares issued
in connection with the
reinvestment of distributions... 4,155,972 255,838 2,646,426
Cost of shares redeemed........... (13,592,930) (3,504,738) 0
------------ ------------ ------------
Increase (decrease) in net assets
derived from capital share
transactions.................... (2,399,160) 5,373,100 26,541,426
------------ ------------ ------------
Total increase (decrease) in net
assets........................ (3,258,057) (129,850) 25,771,593
NET ASSETS
Beginning of period............... 28,742,154 28,872,004 3,100,411
------------ ------------ ------------
End of period..................... $ 25,484,097 $ 28,742,154 $ 28,872,004
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
End of period..................... $ 1,935,682 $ 2,622,455 $ 704
============ ============ ============
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares.... 827,073 853,119 2,304,814
Issued in connection with the
reinvestment of distributions... 536,948 25,558 264,639
Redeemed.......................... (1,744,921) (337,403) 0
------------ ------------ ------------
Net change........................ (380,900) 541,274 2,569,453
============ ============ ============
</TABLE>
See accompanying notes to financial statements.
86
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Intermediate Duration Fixed Income Fund
-------------------------------------------
Year Ended Nine Months Ended
September 30, 1999 September 30, 1998*
------------------- --------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income................. $ 842,151 $ 455,090
Net realized gain (loss) on
investments and foreign currency.... (44,334) (44,716)
Change in unrealized appreciation
(depreciation) on investments and
foreign currency.................... (332,285) (204,463)
----------------- ------------------
Increase (decrease) in net assets from
operations.......................... 465,532 205,911
----------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income................. (926,674) (357,494)
Net realized gain on investments...... 0 0
----------------- ------------------
Total distributions................... (926,674) (357,494)
----------------- ------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of shares...... 3,601,888 11,888,529
Net asset value of shares issued in
connection with the reinvestment of
distributions....................... 926,675 357,494
Cost of shares redeemed............... (750,000) (1,040,783)
----------------- ------------------
Increase (decrease) in net assets
derived from capital share
transactions........................ 3,778,563 11,205,240
----------------- ------------------
Total increase (decrease) in net
assets............................ 3,317,421 11,053,657
NET ASSETS
Beginning of period................... 11,053,657 0
----------------- ------------------
End of period......................... $ 14,371,078 $ 11,053,657
================= ==================
UNDISTRIBUTED NET INVESTMENT INCOME
End of period......................... $ 8,348 $ 97,596
================= ==================
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares........ 368,852 1,188,441
Issued in connection with the
reinvestment of distributions....... 95,915 35,799
Redeemed.............................. (77,882) (103,785)
----------------- ------------------
Net change............................ 386,885 1,120,455
================= ==================
</TABLE>
<TABLE>
<C> <S>
* Commencement of operations on January 28, 1998.
</TABLE>
See accompanying notes to financial statements.
87
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Investment Grade Fixed Income Fund
-------------------------------------------------
Nine Months
Year Ended Ended Year Ended
September 30, September 30, December 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income............. $ 9,570,038 $ 5,159,444 $ 4,262,268
Net realized gain (loss) on
investments and foreign
currency........................ 594,799 1,166,768 1,023,968
Change in unrealized appreciation
(depreciation) on investments
and foreign currency............ (4,148,573) (6,968,292) 704,886
------------ ------------ ------------
Increase (decrease) in net assets
from operations................. 6,016,264 (642,080) 5,991,122
------------ ------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............. (9,637,617) (5,325,638) (4,113,289)
Net realized gain on
investments..................... (1,310,699) (164,584) (884,327)
------------ ------------ ------------
Total distributions............... (10,948,316) (5,490,222) (4,997,616)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of
shares.......................... 27,961,468 38,267,503 28,180,818
Net asset value of shares issued
in connection with the
reinvestment of distributions... 8,537,952 4,469,734 3,906,983
Cost of shares redeemed........... (3,893,882) (484,895) (1,869,109)
------------ ------------ ------------
Increase (decrease) in net assets
derived from capital share
transactions.................... 32,605,538 42,252,342 30,218,692
------------ ------------ ------------
Total increase (decrease) in net
assets........................ 27,673,486 36,120,040 31,212,198
NET ASSETS
Beginning of period............... 119,083,988 82,963,948 51,751,750
------------ ------------ ------------
End of period..................... $146,757,474 $119,083,988 $ 82,963,948
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
End of period..................... $ 39,773 $ 158,069 $ 166,580
============ ============ ============
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares.... 2,475,635 3,216,464 2,322,895
Issued in connection with the
reinvestment of distributions... 751,273 375,920 327,954
Redeemed.......................... (344,017) (41,234) (154,352)
------------ ------------ ------------
Net change........................ 2,882,891 3,551,150 2,496,497
============ ============ ============
</TABLE>
See accompanying notes to financial statements.
88
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Provident Fund
-------------------------------------------------
Nine Months
Year Ended Ended Year Ended
September 30, September 30, December 31,
1999 1998 1997
-------------- -------------- -------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income............. $ 69,172 $ 152,319 $ 281,724
Net realized gain (loss) on
investments and foreign
currency........................ 7,610,544 6,023,380 3,075,110
Change in unrealized appreciation
(depreciation) on investments
and foreign currency............ (1,265,437) (1,620,971) 601,974
------------ ------------ ------------
Increase (decrease) in net assets
from operations................. 6,414,279 4,554,728 3,958,808
------------ ------------ ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............. (153,835) 0 (284,442)
Net realized gain on
investments..................... (6,056,473) 0 (2,620,841)
------------ ------------ ------------
Total distributions............... (6,210,308) 0 (2,905,283)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of
shares.......................... 0 1,842,263 12,883,954
Net asset value of shares issued
in connection with the
reinvestment of distributions... 6,210,308 0 2,905,283
Cost of shares redeemed........... (5,438,463) (24,030,786) (205,235)
------------ ------------ ------------
Increase (decrease) in net assets
derived from capital share
transactions.................... 771,845 (22,188,523) 15,584,002
------------ ------------ ------------
Total increase (decrease) in net
assets........................ 975,816 (17,633,795) 16,637,527
NET ASSETS
Beginning of period............... 20,909,772 38,543,567 21,906,040
------------ ------------ ------------
End of period..................... $ 21,885,588 $ 20,909,772 $ 38,543,567
============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME
End of period..................... $ 67,735 $ 152,304 $ 0
============ ============ ============
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares.... 0 146,126 1,009,708
Issued in connection with the
reinvestment of distributions... 506,550 0 241,472
Redeemed.......................... (418,901) (1,751,368) (15,943)
------------ ------------ ------------
Net change........................ 87,649 (1,605,242) 1,235,237
============ ============ ============
</TABLE>
See accompanying notes to financial statements.
89
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Company Growth Fund
-------------------------
Period Ended
September 30, 1999*
-------------------------
<S> <C>
FROM OPERATIONS
Net investment income (loss)....................... $ (18,300)
Net realized gain (loss) on investments and foreign
currency......................................... (401,251)
Change in unrealized appreciation (depreciation) on
investments and foreign currency................. 1,988,556
-------------------------
Increase (decrease) in net assets from
operations....................................... 1,569,005
-------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.............................. 0
Net realized gain on investments................... 0
-------------------------
Total distributions................................ 0
-------------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of shares................... 16,104,885
Net asset value of shares issued in connection with
the reinvestment of distributions................ 0
Cost of shares redeemed............................ 0
-------------------------
Increase (decrease) in net assets derived from
capital share transactions....................... 16,104,885
-------------------------
Total increase (decrease) in net assets.......... 17,673,890
NET ASSETS
Beginning of period................................ 0
-------------------------
End of period...................................... $ 17,673,890
=========================
UNDISTRIBUTED NET INVESTMENT INCOME
End of period...................................... $ 0
=========================
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares..................... 1,514,677
Issued in connection with the reinvestment of
distributions.................................... 0
Redeemed........................................... 0
-------------------------
Net change......................................... 1,514,677
=========================
</TABLE>
<TABLE>
<C> <S>
* Commencement of operations on May 7, 1999.
</TABLE>
See accompanying notes to financial statements.
90
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Small Company Value Fund
------------------------
Period Ended
September 30, 1999*
------------------------
<S> <C>
FROM OPERATIONS
Net investment income................................ $ 63,093
Net realized gain (loss) on investments and foreign
currency........................................... 132,497
Change in unrealized appreciation (depreciation) on
investments and foreign currency................... (2,208,676)
------------------------
Increase (decrease) in net assets from operations.... (2,013,086)
------------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
Net investment income................................ 0
Net realized gain on investments..................... 0
------------------------
Total distributions.................................. 0
------------------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from the sale of shares..................... 39,904,541
Net asset value of shares issued in connection with
the reinvestment of distributions.................. 0
Cost of shares redeemed.............................. 0
------------------------
Increase (decrease) in net assets derived from
capital share transactions......................... 39,904,541
------------------------
Total increase (decrease) in net assets............ 37,891,455
NET ASSETS
Beginning of period.................................. 0
------------------------
End of period........................................ $ 37,891,455
========================
UNDISTRIBUTED NET INVESTMENT INCOME
End of period........................................ $ 63,093
========================
NUMBER OF SHARES OF THE FUND:
Issued from the sale of shares....................... 4,031,719
Issued in connection with the reinvestment of
distributions...................................... 0
Redeemed............................................. 0
------------------------
Net change........................................... 4,031,719
========================
</TABLE>
<TABLE>
<C> <S>
* Commencement of operations on June 30, 1999.
</TABLE>
See accompanying notes to financial statements.
91
<PAGE>
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92
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
California Tax-Free
Income Fund
-------------------
1999* 1998**
--------- ---------
<S> <C> <C>
Net asset value, beginning of period............ $ 10.59 $ 10.41
------- -------
Income from investment operations --
Net investment income (loss).................. 0.47 0.35
Net realized and unrealized gain (loss) on
investments................................. (0.41) 0.19
------- -------
Total from investment operations............ 0.06 0.54
------- -------
Less distributions --
Dividends from net investment income.......... (0.47) (0.36)
Distributions from net realized capital
gains....................................... 0.00 0.00
------- -------
Total distributions......................... (0.47) (0.36)
------- -------
Net asset value, end of period.................. $ 10.18 $ 10.59
======= =======
Total return (%)(a)(b).......................... 0.6 5.3
Net assets, end of period (000)................. $18,672 $19,618
Ratio of operating expenses to average net
assets (%)(c)(d).............................. 0.65 0.65
Ratio of net investment income to average net
assets (%)(c)................................. 4.50 4.55
Portfolio turnover (%)(a)....................... 14 12
Without giving effect to the voluntary expense
limitations described in Note 3 to the
Financial Statements:
Ratio of expenses to average net assets would
have been (%)(c)............................ 1.19 1.33
Net investment income per share would have
been........................................ $ 0.41 $ 0.30
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on June 1, 1995.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
93
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
<TABLE>
<CAPTION>
California Tax-Free Income Fund
-------------------------------
For the Year Ended December 31,
-------------------------------
1997 1996 1995***
---------- ---------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period............ $ 10.19 $ 10.23 $10.00
------- ------- ------
Income from investment operations --
Net investment income (loss).................. 0.47 0.46 0.26
Net realized and unrealized gain (loss) on
investments................................. 0.25 (0.04) 0.23
------- ------- ------
Total from investment operations............ 0.72 0.42 0.49
------- ------- ------
Less distributions --
Dividends from net investment income.......... (0.47) (0.45) (0.26)
Distributions from net realized capital
gains....................................... (0.03) (0.01) 0.00
------- ------- ------
Total distributions......................... (0.50) (0.46) (0.26)
------- ------- ------
Net asset value, end of period.................. $ 10.41 $ 10.19 $10.23
======= ======= ======
Total return (%)(a)(b).......................... 7.3 4.1 4.9
Net assets, end of period (000)................. $16,822 $13,460 $7,880
Ratio of operating expenses to average net
assets (%)(c)(d).............................. 0.65 0.65 0.65
Ratio of net investment income to average net
assets (%)(c)................................. 4.62 4.58 5.30
Portfolio turnover (%)(a)....................... 24 18 18
Without giving effect to the voluntary expense
limitations described in Note 3 to the
Financial Statements:
Ratio of expenses to average net assets would
have been (%)(c)............................ 1.41 1.26 1.62
Net investment income per share would have
been........................................ $ 0.39 $ 0.40 $ 0.22
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on June 1, 1995.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
94
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Core Fixed Income Fund
-----------------------------------------
For the Year Ended
December 31,
-------------------
1999* 1998** 1997 1996***
------- ------- ------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period...... $ 11.49 $ 10.66 $ 10.14 $ 10.00
------- ------- ------- --------
Income from investment operations --
Net investment income (loss)............ 0.61 0.50 0.39 0.40
Net realized and unrealized gain (loss)
on investments........................ (0.76) 0.33 0.55 0.13
------- ------- ------- --------
Total from investment operations...... (0.15) 0.83 0.94 0.53
------- ------- ------- --------
Less distributions --
Dividends from net investment income.... (0.64) 0.00 (0.39) (0.39)
Distributions from net realized capital
gains................................. (0.15) (0.00)(e) (0.03) 0.00
------- ------- ------- --------
Total distributions................... (0.79) (0.00) (0.42) (0.39)
------- ------- ------- --------
Net asset value, end of period............ $ 10.55 $ 11.49 $ 10.66 $ 10.14
======= ======= ======= ========
Total return (%)(a)(b).................... (1.4) 7.8 9.2 5.3
Net assets, end of period (000)........... $22,584 $19,341 $16,110 $ 6,271
Ratio of operating expenses to average net
assets (%)(c)(d)........................ 0.65 0.65 0.65 0.65
Ratio of net investment income to average
net assets (%)(c)....................... 6.14 6.08 6.34 6.21
Portfolio turnover (%)(a)................. 29 45 59 34
Without giving effect to the voluntary
expense limitations described in Note 3
to the Financial Statements:
Ratio of expenses to average net assets
would have been (%)(c)................ 1.15 1.27 1.80 1.46
Net investment income per share would
have been............................. $ 0.56 $ 0.45 $ 0.32 $ 0.35
</TABLE>
- ---------------
<TABLE>
<C> <S>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on April 24, 1996.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not
reduced its advisory fees and/or borne other operating
expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's
expenses during the period. Without this reimbursement the
Fund's ratio of operating expenses would have been higher.
(e) Amount is less than $0.01 per share.
</TABLE>
95
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
96
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Fixed Income Fund
-----------------
1999* 1998**
-------- --------
<S> <C> <C>
Net asset value, beginning of period........................ $ 12.47 $ 12.59
-------- --------
Income from investment operations --
Net investment income (loss).............................. 0.97 0.57
Net realized and unrealized gain (loss) on investments.... (0.27) (0.62)
-------- --------
Total from investment operations........................ 0.70 (0.05)
-------- --------
Less distributions --
Dividends from net investment income...................... (0.82) 0.00
Distributions from net realized capital gains............. (0.26) (0.07)
-------- --------
Total distributions..................................... (1.08) (0.07)
-------- --------
Net asset value, end of period.............................. $ 12.09 $ 12.47
======== ========
Total return (%)(a)(b)...................................... 5.8 (0.4)
Net assets, end of period (000)............................. $298,007 $248,329
Ratio of operating expenses to average net assets
(%)(c)(d)................................................. 0.64 0.65
Ratio of net investment income to average net assets
(%)(c).................................................... 8.30 7.37
Portfolio turnover (%)(a)................................... 22 31
Without giving effect to the voluntary expense limitations
described in Note 3 to the Financial Statements:
Ratio of expenses to average net assets would have been
(%)(c).................................................. 0.64 0.68
Net investment income per share would have been........... $ 0.97 $ 0.57
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on January 17, 1995.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
97
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
<TABLE>
<CAPTION>
Fixed Income Fund
---------------------------------
For the Year Ended December 31,
---------------------------------
1997 1996 1995***
----------- ---------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period........................ $ 12.08 $ 12.08 $ 10.00
-------- ------- -------
Income from investment operations --
Net investment income (loss).............................. 0.72 0.91 0.53
Net realized and unrealized gain (loss) on investments.... 0.89 0.27 2.21
-------- ------- -------
Total from investment operations........................ 1.61 1.18 2.74
-------- ------- -------
Less distributions --
Dividends from net investment income...................... (0.75) (0.90) (0.52)
Distributions from net realized capital gains............. (0.35) (0.28) (0.14)
-------- ------- -------
Total distributions..................................... (1.10) (1.18) (0.66)
-------- ------- -------
Net asset value, end of period.............................. $ 12.59 $ 12.08 $ 12.08
======== ======= =======
Total return (%)(a)(b)...................................... 13.4 9.8 27.4
Net assets, end of period (000)............................. $173,048 $91,746 $58,332
Ratio of operating expenses to average net assets
(%)(c)(d)................................................. 0.65 0.62 0.75
Ratio of net investment income to average net assets
(%)(c).................................................... 7.56 7.97 8.15
Portfolio turnover (%)(a)................................... 41 90 76
Without giving effect to the voluntary expense limitations
described in Note 3 to the Financial Statements:
Ratio of expenses to average net assets would have been
(%)(c).................................................. 0.70 0.62 0.83
Net investment income per share would have been........... $ 0.72 $ 0.91 $ 0.52
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on January 17, 1995.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
98
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
High Yield Fixed Income Fund
-----------------------------------------
1999* 1998** 1997 1996***
------- ------- ------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period...... $ 8.41 $ 10.04 $ 10.16 $ 10.00
------- ------- ------- --------
Income from investment operations --
Net investment income (loss)............ 0.95 0.77 0.70 0.56
Net realized and unrealized gain (loss)
on investments........................ 0.35 (2.31) 0.20 0.21
------- ------- ------- --------
Total from investment operations...... 1.30 (1.54) 0.90 0.77
------- ------- ------- --------
Less distributions --
Dividends from net investment income.... (1.07) 0.00 (0.71) (0.56)
Distributions from net realized capital
gains................................. (0.24) (0.09) (0.31) (0.05)
------- ------- ------- --------
Total distributions................... (1.31) (0.09) (1.02) (0.61)
------- ------- ------- --------
Net asset value, end of period............ $ 8.40 $ 8.41 $ 10.04 $ 10.16
======= ======= ======= ========
Total return (%)(a)(b) 16.8 (15.5) 8.8 7.7
Net assets, end of period (000)........... $25,484 $28,742 $28,872 $ 3,100
Ratio of operating expenses to average net
assets (%)(c)(d)........................ 0.75 0.75 0.75 0.75
Ratio of net investment income to average
net assets (%)(c)....................... 12.22 10.69 8.82 9.42
Portfolio turnover (%)(a)................. 57 39 94 9
Without giving effect to the voluntary
expense limitations described in Note 3
to theFinancial Statements:
Ratio of expenses to average net assets
would have been (%)(c)................ 1.15 1.12 1.17 2.73
Net investment income per share would
have been............................. $ 0.92 $ 0.74 $ 0.67 $ 0.44
</TABLE>
- ---------------
<TABLE>
<C> <S>
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on June 5, 1996.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not
reduced its advisory fees and/or borne other operating
expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's
expenses during the period. Without this reimbursement the
Fund's ratio of operating expenses would have been higher.
</TABLE>
99
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Intermediate
Duration
Fixed Income Fund
------------------
1999* 1998**
------- -------
<S> <C> <C>
Net asset value, beginning of period........................ $ 9.87 $ 10.00
------- -------
Income from investment operations --
Net investment income (loss).............................. 0.61 0.41
Net realized and unrealized gain (loss) on investments.... (0.26) (0.22)
------- -------
Total from investment operations........................ 0.35 0.19
------- -------
Less distributions --
Dividends from net investment income...................... (0.69) (0.32)
Distributions from net realized capital gains............. 0.00 0.00
------- -------
Total distributions..................................... (0.69) (0.32)
------- -------
Net asset value, end of period.............................. $ 9.53 $ 9.87
======= =======
Total return (%)(a)(b)...................................... 3.6 1.9
Net assets, end of period (000)............................. $14,371 $11,054
Ratio of operating expenses to average net assets
(%)(c)(d)................................................. 0.55 0.55
Ratio of net investment income to average net assets
(%)(c).................................................... 6.27 6.05
Portfolio turnover (%)(a)................................... 35 74
Without giving effect to the voluntary expense limitations
described in Note 3 to the Financial Statements:
Ratio of expenses to average net assets would have
been (%)(c)............................................. 1.18 1.33
Net investment income per share would have been........... $ 0.55 $ 0.35
</TABLE>
- ---------------
<TABLE>
<C> <S>
* For the year ended September 30, 1999.
** From commencement of operations on January 28, 1998 through
September 30, 1998.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not
reduced its advisory fees and/or borne other operating
expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's
expenses during the period. Without this reimbursement the
Fund's ratio of operating expenses would have been higher.
</TABLE>
100
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Investment Grade
Fixed Income Fund
--------------------
1999* 1998**
-------- --------
<S> <C> <C>
Net asset value, beginning of period.... $ 11.42 $ 12.06
-------- --------
Income from investment operations --
Net investment income (loss).......... 0.81 0.61
Net realized and unrealized gain
(loss) on investments............... (0.27) (0.60)
-------- --------
Total from investment operations.... 0.54 0.01
-------- --------
Less distributions --
Dividends from net investment
income.............................. (0.82) (0.63)
Distributions from net realized
capital gains....................... (0.12) (0.02)
-------- --------
Total distributions................. (0.94) (0.65)
-------- --------
Net asset value, end of period.......... $ 11.02 $ 11.42
======== ========
Total return (%)(a)(b).................. 4.8 (0.0)
Net assets, end of period (000)......... $146,757 $119,084
Ratio of operating expenses to average
net assets (%)(c)(d).................. 0.55 0.55
Ratio of net investment income to
average net assets (%)(c)............. 7.15 6.85
Portfolio turnover (%)(a)............... 18 31
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements:
Ratio of expenses to average net
assets would have been (%)(c)....... 0.59 0.65
Net investment income per share would
have been........................... $ 0.81 $ 0.60
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on July 1, 1994.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
101
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
<TABLE>
<CAPTION>
Investment Grade Fixed Income Fund
-------------------------------------
For the Year Ended December 31,
-------------------------------------
1997 1996 1995 1994***
------- ------- ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period.... $ 11.81 $ 11.56 $ 9.57 $10.00
------- ------- ------- ------
Income from investment operations --
Net investment income (loss).......... 0.83 0.80 0.75 0.41
Net realized and unrealized gain
(loss) on investments............... 0.37 0.40 2.05 (0.43)
------- ------- ------- ------
Total from investment operations.... 1.20 1.20 2.80 (0.02)
------- ------- ------- ------
Less distributions --
Dividends from net investment
income.............................. (0.81) (0.79) (0.76) (0.41)
Distributions from net realized
capital gains....................... (0.14) (0.16) (0.05) 0.00
------- ------- ------- ------
Total distributions................. (0.95) (0.95) (0.81) (0.41)
------- ------- ------- ------
Net asset value, end of period.......... $ 12.06 $ 11.81 $ 11.56 $ 9.57
======= ======= ======= ======
Total return (%)(a)(b).................. 10.6 10.9 30.3 (0.3)
Net assets, end of period (000)......... $82,964 $51,752 $21,816 $4,649
Ratio of operating expenses to average
net assets (%)(c)(d).................. 0.55 0.55 0.55 0.55
Ratio of net investment income to
average net assets (%)(c)............. 6.97 7.27 7.61 8.18
Portfolio turnover (%)(a)............... 58 74 22 112
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements:
Ratio of expenses to average net
assets would have been (%)(c)....... 0.69 0.70 0.94 1.55
Net investment income per share would
have been........................... $ 0.81 $ 0.78 $ 0.71 $ 0.36
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on July 1, 1994.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
102
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Provident Fund
------------------
1999* 1998**
------- -------
<S> <C> <C>
Net asset value, beginning of period.... $ 13.59 $ 12.26
------- -------
Income from investment operations --
Net investment income (loss).......... 0.04 0.10
Net realized and unrealized gain
(loss) on investments............... 3.87 1.23
------- -------
Total from investment operations.... 3.91 1.33
------- -------
Less distributions --
Dividends from net investment
income.............................. (0.10) 0.00
Distributions from net realized
capital gains....................... (3.94) 0.00
------- -------
Total distributions................. (4.04) 0.00
------- -------
Net asset value, end of period.......... $ 13.46 $ 13.59
======= =======
Total return (%)(a)(b).................. 31.7 10.9
Net assets, end of period (000)......... $21,886 $20,910
Ratio of operating expenses to average
net assets (%)(c)(d).................. 0.65 0.65
Ratio of net investment income to
average net assets (%)(c)............. 0.30 0.74
Portfolio turnover (%)(a)............... 250 96
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements:
Ratio of expenses to average net
assets would have been (%)(c)....... 1.00 1.03
Net investment income (loss) per share
would have been..................... $ (0.01) $ 0.05
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on October 1, 1995.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
103
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
<TABLE>
<CAPTION>
Provident Fund
---------------------------------
For the Year Ended December 31,
---------------------------------
1997 1996 1995***
--------- --------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period.... $ 11.48 $ 10.02 $ 10.00
------- ------- -------
Income from investment operations --
Net investment income (loss).......... 0.10 0.10 0.02
Net realized and unrealized gain
(loss) on investments............... 1.68 1.47 0.02
------- ------- -------
Total from investment operations.... 1.78 1.57 0.04
------- ------- -------
Less distributions --
Dividends from net investment
income.............................. (0.10) (0.11) (0.02)
Distributions from net realized
capital gains....................... (0.90) 0.00 0.00
------- ------- -------
Total distributions................. (1.00) (0.11) (0.02)
------- ------- -------
Net asset value, end of period.......... $ 12.26 $ 11.48 $ 10.02
======= ======= =======
Total return (%)(a)(b).................. 15.7 15.6 0.4
Net assets, end of period (000)......... $38,544 $21,906 $ 7,609
Ratio of operating expenses to average
net assets (%)(c)(d).................. 0.65 0.65 0.65
Ratio of net investment income to
average net assets (%)(c)............. 0.87 1.10 1.36
Portfolio turnover (%)(a)............... 109 97 22
Without giving effect to the voluntary
expense limitations described in
Note 3 to the Financial Statements:
Ratio of expenses to average net
assets would have been (%)(c)....... 0.89 0.89 1.43
Net investment per share would have
been................................ $ 0.07 $ 0.08 $ 0.01
</TABLE>
- ---------------
* For the year ended September 30, 1999.
** For the nine months ended September 30, 1998.
*** Commencement of operations on October 1, 1995.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's expenses during
the period. Without this reimbursement the Fund's ratio of operating
expenses would have been higher.
104
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Small Company
Growth Fund
-------------
1999*
-------------
<S> <C>
Net asset value, beginning of period........................ $ 10.00
-------------
Income from investment operations --
Net investment income (loss).............................. (0.01)
Net realized and unrealized gain (loss) on investments.... 1.68
-------------
Total from investment operations........................ 1.67
-------------
Less distributions --
Dividends from net investment income...................... 0.00
Distributions from net realized capital gains............. 0.00
-------------
Total distributions..................................... 0.00
-------------
Net asset value, end of period.............................. $ 11.67
=============
Total return (%)(a)(b)...................................... 16.7
Net assets, end of period (000)............................. $ 17,674
Ratio of operating expenses to average net assets
(%)(c)(d)................................................. 0.90
Ratio of net investment income to average net assets
(%)(c).................................................... (0.51)
Portfolio turnover (%)(a)................................... 56
Without giving effect to the voluntary expense limitations
described in Note 3 to the Financial Statements:
Ratio of expenses to average net assets would have been
(%)(c).................................................. 2.17
Net investment income (loss) per share would have been.... $ (0.04)
</TABLE>
- ---------------
<TABLE>
<C> <S>
* From commencement of operations on May 7, 1999 through
September 30, 1999.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not
reduced its advisory fees and/or borne other operating
expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's
expenses during the period. Without this reimbursement the
Fund's ratio of operating expenses would have been higher.
</TABLE>
105
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Small Company
Value Fund
-------------
1999*
-------------
<S> <C>
Net asset value, beginning of period........................ $ 10.00
-------------
Income from investment operations --
Net investment income (loss).............................. 0.02
Net realized and unrealized gain (loss) on investments.... (0.62)
-------------
Total from investment operations........................ (0.60)
-------------
Less distributions --
Dividends from net investment income...................... 0.00
Distributions from net realized capital gains............. 0.00
-------------
Total distributions..................................... 0.00
-------------
Net asset value, end of period.............................. $ 9.40
=============
Total return (%)(a)(b)...................................... (6.0)
Net assets, end of period (000)............................. $ 37,891
Ratio of operating expenses to average net assets
(%)(c)(d)................................................. 0.90
Ratio of net investment income to average net assets
(%)(c).................................................... 0.82
Portfolio turnover (%)(a)................................... 36
Without giving effect to the voluntary expense limitations
described in Note 3 to the Financial Statements:
Ratio of expenses to average net assets would have been
(%)(c).................................................. 1.31
Net investment income per share would have been........... $ 0.01
</TABLE>
- ---------------
<TABLE>
<C> <S>
* From commencement of operations on June 30, 1999 through
September 30, 1999.
(a) Periods less than one year are not annualized.
(b) Total returns would have been lower had the adviser not
reduced its advisory fees and/or borne other operating
expenses.
(c) Annualized for periods less than one year.
(d) The adviser has agreed to reimburse a portion of the Fund's
expenses during the period. Without this reimbursement the
Fund's ratio of operating expenses would have been higher.
</TABLE>
106
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999
1. Loomis Sayles Investment Trust (the "Trust") consists of nine no-load mutual
funds (the "Funds").
The Trust was organized as a Massachusetts business trust under the laws of the
Commonwealth of Massachusetts on December 23, 1993. 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 the interests in which were registered for offer and sale,
effective March 7, 1997, under the Securities Act of 1933, as amended (the "1933
Act"). 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:
Loomis Sayles California Tax-Free Income Fund
Loomis Sayles Core Fixed Income Fund
Loomis Sayles Fixed Income Fund
Loomis Sayles High Yield Fixed Income Fund
Loomis Sayles Intermediate Duration Fixed Income Fund
Loomis Sayles Investment Grade Fixed Income Fund
Loomis Sayles Provident Fund
Loomis Sayles Small Company Growth Fund
Loomis Sayles Small Company Value Fund
Effective June 1, 1999, the name of the Loomis Sayles Core Growth Fund changed
to the Loomis Sayles Provident Fund.
Loomis Sayles Small Company Growth Fund and Loomis Sayles Small Company Value
Fund commenced operations May 7, 1999 and June 30, 1999, respectively.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. Effective September 30, 1998, the
Board of Trustees approved a change in the fiscal year end of the Funds to
September 30. The following summarizes the significant accounting policies of
the Loomis Sayles Investment Trust Funds:
107
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS continued
SEPTEMBER 30, 1999
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.
108
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS continued
SEPTEMBER 30, 1999
The results of operations resulting from changes in foreign exchange rates on
investments are not isolated from fluctuations arising from changes in market
prices of securities held. All such fluctuations are included with net realized
and unrealized gain or loss from investments.
Net realized and unrealized gains and losses on foreign currency transactions
represent foreign exchange gains and losses from the sale of the 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 is determined using
contractual currency exchange rates established at the time of each trade.
Each Fund (except the California Tax-Free Income Fund) 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 may
be less liquid, and the prices of such securities may be more volatile than
those 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 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.
109
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS continued
SEPTEMBER 30, 1999
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 September 30, 1999, there were no open forward
foreign currency exchange contracts.
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 California Tax-Free Income
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 upon relative net assets.
F. FEDERAL INCOME TAXES -- Each Fund is a separate entity for federal income
tax purposes. Each Fund intends to meet the requirements of the Internal Revenue
Code applicable to regulated investment companies, and to distribute to its
shareholders all of its net investment income and any net realized capital
gains. Accordingly, no provision for federal income tax or excise tax has been
made.
At September 30, 1999, the Intermediate Duration Fixed Income Fund had an
available capital loss carryforward of $37,812, which will expire on
September 30, 2006. These realized losses are intended to be used to offset
future capital gains.
G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The California Tax-Free
Income, the Intermediate Duration Fixed Income and the Investment Grade Fixed
Income Funds pay their net investment income monthly. The Core Fixed Income,
Fixed Income, High Yield Fixed Income, Provident, Small Company Growth and Small
Company Value Funds pay their net investment income to shareholders annually.
Distributions from net realized capital gains, if any, 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
110
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS continued
SEPTEMBER 30, 1999
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 securities contributed or
redeemed-in-kind, foreign currency transactions, deferred losses due to wash
sales and excise tax regulations. Some of these classifications may include
temporary book and tax basis differences that will reverse in subsequent
periods.
H. ORGANIZATION EXPENSE -- In 1996, costs approximating $11,970 were incurred
in connection with the initial registration and organization of the Core Fixed
Income Fund. These costs were paid by the Fund and are being amortized over 60
months.
2. PURCHASES AND SALES OF SECURITIES -- (excluding short-term investments) for
each Fund for the twelve months ended September 30, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES
------------------------------
U.S. GOVERNMENT OTHER
--------------- -----------
<S> <C> <C>
California Tax-Free Income Fund........... $ 0 $ 2,681,443
Core Fixed Income Fund.................... 7,976,711 2,878,423
Fixed Income Fund......................... 14,260,050 91,330,875
High Yield Fixed Income Fund.............. 1,386,328 11,977,133
Intermediate Duration Fixed Income Fund... 3,232,389 4,981,376
Investment Grade Fixed Income Fund........ 4,175,985 43,298,161
Provident Fund............................ 0 53,877,549
Small Company Growth Fund................. 0 16,310,597
Small Company Value Fund.................. 0 7,516,625
</TABLE>
<TABLE>
<CAPTION>
SALES
------------------------------
U.S. GOVERNMENT OTHER
--------------- -----------
<S> <C> <C>
California Tax-Free Income Fund........... $ 0 $ 2,779,778
Core Fixed Income Fund.................... 3,358,291 2,511,091
Fixed Income Fund......................... 17,613,820 40,583,731
High Yield Fixed Income Fund.............. 548,305 17,458,223
Intermediate Duration Fixed Income Fund... 2,581,504 1,949,913
Investment Grade Fixed Income Fund........ 4,535,740 18,829,491
Provident Fund............................ 0 61,635,221
Small Company Growth Fund................. 0 4,694,765
Small Company Value Fund.................. 0 8,558,129
</TABLE>
111
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS continued
SEPTEMBER 30, 1999
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES -- During the period
ended September 30, 1999, the Funds incurred management fees payable to Loomis
Sayles. Certain officers and directors of Loomis Sayles are also officers or
Trustees of the Trust. Loomis Sayles' general partner is indirectly owned by
NVEST, L.P., a publicly-traded limited partnership whose general partner is
indirectly owned by Metropolitan Life Insurance Company. Separate management
agreements for each Fund in effect during the period ended September 30, 1999
provided for fees at the following annual percentage rate of each Fund's average
daily net assets indicated below. Loomis Sayles voluntarily agreed, for an
indefinite period, to reduce its advisory fees and/or bear other expenses, to
the extent necessary to limit the total operating expenses of the Funds to the
following percentage rate of the Fund's average annual net assets:
<TABLE>
<CAPTION>
MANAGEMENT MAXIMUM OPERATING
FUND FEES EXPENSE RATIO
- ---- ---------- -----------------
<S> <C> <C>
California Tax-Free Income Fund........... 0.50% 0.65%
Core Fixed Income Fund.................... 0.50% 0.65%
Fixed Income Fund......................... 0.50% 0.65%
High Yield Fixed Income Fund.............. 0.60% 0.75%
Intermediate Duration Fixed Income Fund... 0.40% 0.55%
Investment Grade Fixed Income Fund........ 0.40% 0.55%
Provident Fund............................ 0.50% 0.65%
Small Company Growth Fund................. 0.75% 0.90%
Small Company Value Fund.................. 0.75% 0.90%
</TABLE>
Loomis Sayles may change or terminate these voluntary agreements at any time,
but the relevant prospectus would be supplemented at the time to describe the
change.
On November 9, 1999, the Board of Trustees of the Trust voted effective
December 1, 1999 to lower the Core Fixed Income Fund's management fee to 0.35%
thereby decreasing the maximum operating expense ratio to 0.50%.
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, Metropolitan Life Insurance Company or their affiliates. Each
independent Trustee is compensated by the Trust at the rate of $10,000 per
annum, plus travel expenses for each meeting attended. These expenses are
allocated evenly among the Funds in the Trust.
4. CREDIT RISK -- The Fixed Income Fund may invest up to 35%, the High Yield
Fixed Income Fund will invest at least 65%, and the Investment Grade
112
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
NOTES TO FINANCIAL STATEMENTS continued
SEPTEMBER 30, 1999
Fixed Income Fund may invest up to 10% of its total 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 the 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-rated categories. In
addition, the trading market for high yield securities may be relatively less
liquid than the market for higher-rated securities.
On November 1, 1999, the Board of Trustees approved the Core Fixed Income Fund
to invest up to 10% of its total assets in high yield securities.
5. CONCENTRATION -- The California Tax-Free Income Fund primarily invests in
debt obligations issued by the State of California, its political subdivisions,
agencies and public authorities to obtain funds for various public purposes. The
Fund is more susceptible to factors adversely affecting issuers of California
municipal securities than is a municipal bond fund that does not concentrate its
investments in the securities of issuers of a single state.
6. IN-KIND TRANSACTIONS -- During the period ended September 30, 1999, the High
Yield Fixed Income Fund had realized losses of $871,366 on securities associated
with an in-kind redemption on January 26, 1999.
113
<PAGE>
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
SUPPLEMENTAL INFORMATION (UNAUDITED)
The Loomis Sayles Investment Trust shareholders voted on the following proposal
at a special meeting held on April 6, 1999.
<TABLE>
<CAPTION>
TO ELECT THE FOLLOWING TRUSTEES: VOTED FOR WITHHELD
- -------------------------------- -------------- -----------
<S> <C> <C>
Charles J. Finlayson................. 23,053,640.741 0.000
Earl W. Foell *...................... 22,204,030.351 849,610.390
Mark W. Holland *.................... 23,053,640.741 0.000
Timothy J. Hunt...................... 22,317,464.151 736,176.590
</TABLE>
* Mr. Foell passed away on July 10, 1999, and Mr. Holland resigned effective at
the time of Mr. Foell's death to preserve the Trust's compliance with
Section 15(f) of the 1940 Act.
114
<PAGE>
\
LOOMIS SAYLES INVESTMENT TRUST
- ------------------------------------------------
1999 U.S. TAX AND DISTRIBUTION INFORMATION TO SHAREHOLDERS (UNAUDITED)
EXEMPT INTEREST DIVIDENDS -- 91.40% of the dividends paid by the California
Tax-Free Income Fund from net investment income for the year ended
September 30, 1999, constituted exempt interest dividends for Federal income tax
purposes.
CAPITAL GAINS DISTRIBUTIONS -- Pursuant to Internal Revenue Section 852(b), the
following Funds paid distributions, which have been designated as capital gains
distributions for the fiscal year ended September 30, 1999:
<TABLE>
<CAPTION>
DOLLAR
AMOUNT
----------
<S> <C>
California Tax-Free Income Fund........................... $ 1,851
Core Fixed Income Fund.................................... 10,628
Fixed Income Fund......................................... 2,305,066
High Yield Fixed Income Fund.............................. 168,335
Investment Grade Fixed Income Fund........................ 806,584
Provident Fund............................................ 4,305,895
</TABLE>
Corporate Dividends Received Deduction -- For the fiscal year ended September
30, 1999, a percentage of dividends distributed by the Funds listed below
qualify for the dividends received deduction for corporate shareholders. These
percentages are as follows:
<TABLE>
<CAPTION>
QUALIFYING
PERCENTAGE
----------
<S> <C>
Fixed Income Fund........................................... 1.89%
High Yield Fixed Income Fund................................ 1.31%
Investment Grade Fixed Income Fund.......................... 1.40%
Provident Fund.............................................. 4.54%
Small Company Value Fund.................................... 4.41%
</TABLE>
115
<PAGE>
- ---------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF THE LOOMIS SAYLES INVESTMENT TRUST
FUNDS:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Loomis Sayles Investment Trust
Funds (consisting of the Loomis Sayles California Tax-Free Income Fund, Core
Fixed Income Fund, Fixed Income Fund, High Yield Fixed Income Fund, Intermediate
Duration Fixed Income Fund, Investment Grade Fixed Income Fund, Provident Fund
(formerly the Core Growth Fund), Small Company Growth Fund, and Small Company
Value Fund) (collectively, the "Funds") at September 30, 1999, and the results
of each of their operations, the changes in each of their net assets and the
financial highlights for the periods indicated herein, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in acccordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments at September 30, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 18, 1999
116
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
117
<PAGE>
--------------------------------------------------------------
LOOMIS SAYLES INVESTMENT TRUST
-----------------------------------
BOARD OF TRUSTEES
Charles J. Finlayson
Timothy J. Hunt
OFFICERS
PRESIDENT
Daniel J. Fuss
EXECUTIVE VICE PRESIDENT
Robert J. Blanding
VICE PRESIDENTS
William F. Camp
Mary C. Champagne
Christopher R. Ely
Quentin P. Faulkner
Philip C. Fine
Kathleen C. Gaffney
Jeffrey L. Meade
Michael J. Millhouse
Philip R. Murray
Kent P. Newmark
Robert K. Payne
Jeffrey C. Petherick
David L. Smith
Frederick E. Sweeney, Jr.
Anthony J. Wilkins
TREASURER
Mark W. Holland
ASSISTANT TREASURERS
Philip R. Murray
Nicholas H. Palmerino
SECRETARY
Sheila M. Barry
ASSISTANT SECRETARY
Bonnie S. Thompson
<PAGE>
For Information about:
- - Establishing an account
- - Account procedures and status
- - Exchanges
- - Shareholder services
Phone 888-226-9699 (Toll Free)
INVESTMENT ADVISER
Loomis, Sayles & Company, L.P. - One Financial Center - Boston, MA 02111
TRANSFER AND DIVIDEND PAYING AGENT AND CUSTODIAN OF ASSETS
State Street Bank and Trust Company - Boston, MA 02102
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP - 160 Federal Street - Boston, MA 02110
This report has been prepared for the shareholders of the Funds and is not
authorized for distribution to prospective investors in the Funds unless it is
accompanied or preceded by an effective prospectus.
