Natixis Investment Solutions (Lux) I
Fonds Commun de Placement – Undertakings for Collective Investment in Transferable Securities
Audited Annual Report As at December 31, 2020
No subscriptions should be made on the basis of the financial report alone. Subscriptions should only be made on the basis of the current Prospectus supplemented by the application form, the Key Investor Information Documents ("KIID"), the latest Annual Report and the latest Semi-Annual Report, if published thereafter. Performance data shown represents past performance and is not a guarantee of future results. More recent performance may be lower or higher. Principal value and returns fluctuate over time (including as a result of currency fluctuations) so that Units, when redeemed, will be worth more or less than their original cost. Performance shown is net of all Fund expenses, but does not include the effect of sales charges or correspondent bank charges, and assumes reinvestment of distributions. If such charges were included, returns would have been lower. Performance for other unit classes will be more or less depending on differences in fees and sales charges. For periods when certain Unit classes were unsubscribed or not yet created (the "inactive Unit classes"), performance is imputed using the actual performance of the Fund's active Unit class which has been determined by the management company as having the closest characteristics to such inactive Unit class and adjusting it based on the difference in TERs and, where applicable, converting the net asset value of the active Unit class into the currency of quotation of the inactive Unit class. The quoted performance for such inactive Unit class is the result of an indicative calculation. Unless otherwise indicated, all defined terms used herein shall have the same meaning as set out in the Prospectus of the Fund.
Natixis Investment Managers S.A. R.C.S. Luxembourg B115843 R.C.S. K1115
Natixis Investment Solutions (Lux) I
Table of contents
Management and Administration 4 Report to the Unitholders 6 Audit report 9 Statement of Net Assets 14 Statement of Changes in Net Assets 15
Harris Associates Kokusai Fund Change in the Number of Units 16 Statistics 17 Statement of Investments 18
Loomis Sayles World Credit Asset Fund Change in the Number of Units 20 Statistics 21 Statement of Investments 22
Natixis Thematic Flexible Allocation 2027 Fund (launched on November 30, 2020) Change in the Number of Units 42 Statistics 43 Statement of Investments 44
Notes to the Financial Statements 52
Additional Information (Unaudited) 60
3 Natixis Investment Solutions (Lux) I
Management and Administration
Board of Directors of the Management Company
Chairman of the Board of Directors of the Management Company
Christopher Ian JACKSON Chief International Operations Officer Natixis Investment Managers UK Limited London (United Kingdom)
Directors of the Management Company
Jason TRÉPANIER Executive Vice President and Chief Operating Officer Natixis Investment Managers International Paris (France)
Jérôme URVOY Executive Vice President, Chief Financial Officer Natixis Investment Managers International, L.L.C. Boston (USA)
Registered Office
80, route d’Esch L-1470 Luxembourg (Grand Duchy of Luxembourg)
Management Company
Natixis Investment Managers S.A. 2, rue Jean Monnet L-2180 Luxembourg (Grand Duchy of Luxembourg)
Depositary, Domiciliary and Corporate Agent, Administrative Agent, Listing Agent, Paying Agent and Registrar and Transfer Agent
Brown Brothers Harriman (Luxembourg) S.C.A. 80, route d’Esch L-1470 Luxembourg (Grand Duchy of Luxembourg)
4 Natixis Investment Solutions (Lux) I
Management and Administration (continued)
(Sub-)Investment Managers and Advisors
Harris Associates L.P. 111 S. Wacker Drive, Suite 4600 Chicago, Illinois 60606 (USA)
Loomis, Sayles & Company, L.P. One Financial Center Boston, Massachussetts 02111 (USA)
Natixis Investment Managers International 43 Avenue Pierre Mendès-France 75013 Paris (France)
Ossiam 80 Avenue de la Grande-Armée 75017 Paris (France)
Thematics Asset Management 43 avenue Pierre Mendès France 75013 Paris (France)
Auditor
PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator, B.P. 1443 L-1014 Luxembourg (Grand Duchy of Luxembourg)
Legal Advisor
Arendt & Medernach 41A, avenue John F. Kennedy L-1855 Luxembourg (Grand Duchy of Luxembourg)
5 Natixis Investment Solutions (Lux) I
Report to the Unitholders
Harris Associates Kokusai Fund
Activities Report for the year ended December 31, 2020
1 Year Performance S/A (USD) 7.22% MSCI Kokusai Index NR 16.02%
The portfolio underperformed its benchmark for the year, returning 7.22% compared to the MSCI Kokusai Index that returned 16.02%.
The portfolio’s underperformance was due to both stock selection and country weightings. A lack of exposure to France and holdings in South Africa generated the strongest relative performance. A greater-than-benchmark weighting in the U.K. and holdings in the U.S. made these countries the largest relative detractors for the period.
Absolute collective performance was positive in 10 of 13 invested countries for the period, led by South Korea (+57.5%), Ireland (+25.9%) and South Africa (+25.7%). Mexico (-29.8%), Australia (-21.3%) and the U.K. (-10.7%) supplied the lone negative absolute collective returns for the year.
The top five stocks that helped performance for the year were Pinterest (U.S.), Alphabet (U.S.), Daimler (Germany), TE Connectivity (U.S.) and Charter Communications (U.S.).
The five stocks that hindered performance most for the year were Lloyds Banking Group (U.K.), Rolls- Royce Holdings (U.K.), Citigroup (U.S.), Howmet Aerospace (U.S.) and Grupo Televisa (Mexico).
The portfolio finished the year holding 42 securities throughout a variety of countries. Over the past 12 months, we initiated positions in Alibaba Group (local and ADR shares) (China), Anheuser-Busch InBev (Belgium), Compass Group (U.K.), Envista Holdings (U.S.), Flowserve (U.S.), Howmet Aerospace (U.S.), Keurig Dr Pepper (U.S.), Novartis (Switzerland) and Prudential (U.K.). We also now hold both local and ADR shares of Ryanair Holdings. In addition, we eliminated our positions in CoreLogic (U.S.), LafargeHolcim (Switzerland), Liberty Global (Class C shares), Live Nation Entertainment (U.S.), Prosus (Netherlands), Reckitt Benckiser Group (U.K.), Southwest Airlines (U.S.), Taiwan Semiconductor (Taiwan) and Under Armour (U.S.).
The Board of Directors of the Management Company Luxembourg, April 14, 2021
Please see past performance disclosure on cover page.
6 Natixis Investment Solutions (Lux) I
Report to the Unitholders (continued)
Loomis Sayles World Credit Asset Fund
Activities Report for the year ended December 31, 2020
1 Year Performance S/A (USD) 8.85% 50% Bloomberg Barclays Global Aggregate Corporate Index USD-hedged, 25% Bloomberg Barclays Global High Yield Index USD-hedged, 7.03% 15% JPMorgan Corporate Emerging Markets Bond Index Broad Diversified and 10% S&P/LSTA U.S. Leveraged Loan Index
The Fund posted a positive return during the 12-month period ended December 31, 2020.
Global investment grade corporate bonds performed well over the course of the year. Despite being negatively impacted by the sharp downturn in first quarter, the sector benefitted from a steadily improved credit outlook, a higher quality yield advantage to government debt, and generally supportive monetary and fiscal policy. For the portfolio, investment grade corporates contributed to performance, with financial, consumer cyclical, and technology names aiding in particular. We expect spreads to be dominated by central bank actions and remain focused on idiosyncratic stories within the asset class.
Emerging market assets also showed strong performance during the year, buoyed by persistent US dollar weakness, gradually improving commodity prices, and increased investor optimism. Chinese trade policy and growth potential concerns persisted for emerging market assets, while Brazilian fiscal overhang and fallen angel risk in Colombia and India have moved into focus also. Within the portfolio, emerging markets assets added to performance, with Egyptian, South African, and Chinese exposures being most responsible.
Global high yield corporate bonds buoyed performance during the year as spreads tightened. The search for yield, reduced investor risk aversion, and hopes for the successful development and distribution of a COVID-19 vaccine provided tailwinds during the period. Within the portfolio, consumer cyclical, communications, and financial issues buoyed performance. We continue to operate in a higher volatility regime given questions related to the scale and fallout of COVID-19, trade policy uncertainty, election outcomes, and rate volatility.
Our allocation to securitized assets peripherally detracted over the year. Within the sector much of the negative effect on performance could be CMBS issues, which has faced concerns over the outlook for commercial real estate due to the pandemic.
The Board of Directors of the Management Company Luxembourg, April 14, 2021
Please see past performance disclosure on cover page.
7 Natixis Investment Solutions (Lux) I
Report to the Unitholders (continued)
Natixis Thematic Flexible Allocation 2027 Fund(1)
Activities Report for the period from November 30, 2020 to December 31, 2020
Period Performance 65% Bloomberg Barclays Euro Aggregate Corporate and 0.92% 35% Morgan Stanley Capital International All Country World ("MSCI ACWI") Index
Natixis Thematic Flexible Allocation 2027 Fund went live in November 2020. It consists in offering a thematic- focused equity exposure using the Thematics Meta Fund as a model. As a result, its performance is close to that of the latter. Over the two months of 2020, it slightly outperformed global equities, using the MSCI AC World, its reference index. This is noticeable in a context of a significant rotation towards Value style factor in the market during this time frame, style to which the underlying thematic strategies have limited exposure. Main contributing strategies were Subscription Economy, Safety and AI & Robotics, and to a lesser extent Water.
The Board of Directors of the Management Company Luxembourg, April 14, 2021
(1) See Note 1.
Please see past performance disclosure on cover page.
8 Audit report
To the Unitholders of Natixis Investment Solutions (Lux) I
Our opinion
In our opinion, the accompanying financial statements give a true and fair view of the financial position of Natixis Investment Solutions (Lux) I (the “Fund”) and of each of its sub-funds as at 31 December 2020, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.
What we have audited
The Fund’s financial statements comprise:
the statement of net assets as at 31 December 2020; the statement of investments as at 31 December 2020; the statement of changes in net assets for the year then ended; and the notes to the financial statements, which include a summary of significant accounting policies.
Basis for opinion
We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier” (CSSF). Our responsibilities under the Law of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
We are independent of the Fund in accordance with the International Code of Ethics for Professional Accountants, including International Independence Standards, issued by the International Ethics Standards Board for Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements.
Other information
The Board of Directors of the Management Company is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon.
Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.
PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : +352 494848 1, F : +352 494848 2900, www.pwc.lu
Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518 In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.
Responsibilities of the Board of Directors of the Management Company for the financial statements
The Board of Directors of the Management Company is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Management Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, the Board of Directors of the Management Company is responsible for assessing the Fund’s and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Management Company either intends to liquidate the Fund or close any of its sub-funds or to cease operations, or has no realistic alternative but to do so.
Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements
The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.
As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:
identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;
obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control;
evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Management Company;
10 conclude on the appropriateness of the Board of Directors of the Management Company’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s or any of its sub-funds' ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund or any of its sub-funds to cease to continue as a going concern;
evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.
We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.
Other Matter
In addition to our responsibility to audit and express an opinion on the financial statements in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we have been requested by the Board of Directors of the Management Company to express an opinion on the financial statements in accordance with generally accepted auditing standards in the United States of America as issued by the AICPA, in order to meet the requirements of Rule 206(4)-2 of the US Investment Advisors Act of 1940. We have reported separately in this respect on Page 12.
PricewaterhouseCoopers, Société coopérative Luxembourg, 14 April 2021 Represented by @esig
@esig Fanny Sergent
11 Report of Independent Auditors
To the Board of Directors of the Management Company of Natixis Investment Solutions (Lux) I
We have audited the accompanying financial statements of Natixis Investment Solutions (Lux) I and each of its sub-funds (the “Fund”), which comprise the statement of net assets, the statement of investments, as of December 31, 2020 and the related statements of changes in nets assets for the year then ended.
Responsibility of the Board of Directors of the Management Company of the Fund for the financial statements
The Board of Directors of the Management Company of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements; this includes the design, implementation, and maintenance of internal controls relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.
Auditors’ Responsibility
Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Management Company of the Fund, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : +352 494848 1, F : +352 494848 2900, www.pwc.lu
Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518 Opinion
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Natixis Investment Solutions (Lux) I and each of its sub-funds as of December 31, 2020, and the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.
PricewaterhouseCoopers, Société coopérative Luxembourg, April 14, 2021 Represented by
Fanny Sergent
13 Natixis Investment Solutions (Lux) I
Statement of Net Assets
As at December 31, 2020
Loomis Sayles Natixis Thematic Harris Associates World Credit Asset Flexible Allocation Kokusai Fund Fund 2027 Fund(1) Combined
Notes USD USD EUR USD
ASSETS
Portfolio at cost (11) 21,617,486 654,421,026 81,221,897 775,416,827 Investments portfolio at market value (2) 26,830,934 696,309,017 82,282,598 823,816,077 Cash at bank 1,168,956 83,388,951 4,654,001 90,252,268 Amounts receivable on sale of investments 20,937 1,164,743 37,880 1,232,028 Receivable due from the swaptions counterparty (2,8) 0 1,335,180 0 1,335,180 Interest and dividends receivable, net 9,496 8,626,605 537,677 9,293,971 Net unrealised appreciation on financial futures contracts (2,7) 0 0 11,033 13,499 Net unrealised appreciation on swaptions (2,8) 0 559,450 0 559,450 Net unrealised appreciation on forward foreign exchange contracts (2,6) 0 7,471,750 0 7,471,750
TOTAL ASSETS 28,030,323 798,855,696 87,523,189 933,974,223
LIABILITIES
Amounts payable on purchase of investments 10,190 45,653,945 73,325 45,753,851 Net unrealised depreciation on financial futures contracts (2,7) 0 73,256 0 73,256 Management commission payable (3) 12,973 216,324 92,157 342,055 Taxes and expenses payable (5,11) 21,230 99,499 32,800 160,861
TOTAL LIABILITIES 44,393 46,043,024 198,282 46,330,023
TOTAL NET ASSETS 27,985,930 752,812,672 87,324,907 887,644,200
(1) See Note 1.
The accompanying notes form an integral part of these financial statements. 14 Natixis Investment Solutions (Lux) I
Statement of Changes in Net Assets
For the year ended December 31, 2020
Loomis Sayles Natixis Thematic Harris Associates World Credit Asset Flexible Allocation Kokusai Fund Fund 2027 Fund(1) Combined Notes USD USD EUR USD
NET ASSETS AT THE BEGINNING OF THE YEAR / PERIOD 25,155,053 851,002,070 0 876,157,123
INCOME Dividends, net (2) 288,868 96,181 23,619 413,948 Interest on bonds, net (2) 0 37,930,457 11,983 37,945,119 Interest on Swaptions 0 59,342 0 59,342 Bank interest 1,798 69,859 0 71,657 TOTAL INCOME 290,666 38,155,839 35,602 38,490,066 EXPENSES Management fees (3) 157,090 2,578,302 92,157 2,848,150 Depositary fees (3,11) 18,329 221,387 5,031 245,872 Audit fees 7,389 37,763 7,750 54,634 Subscription tax (5) 2,414 70,411 10,889 86,148 Interest paid 274 2,557 0 2,831 Interest paid on Swaptions 0 2,017,945 0 2,017,945 Distribution fees (4) 1,214 3,860 4,635 10,745 Other charges (3) 8,187 92,983 20,225 125,917 TOTAL EXPENSES 194,897 5,025,208 140,687 5,392,242 NET INCOME / (LOSS) FROM INVESTMENTS 95,769 33,130,631 (105,085) 33,097,824
Net realised appreciation / (depreciation) on sales of investments (2) 1,192,868 (422,742) 16,296 790,065 Net realised appreciation / (depreciation) on forward foreign exchange contracts (2,6) 0 5,636,375 0 5,636,375 Net realised appreciation / (depreciation) on financial futures contracts (2,7) 0 472,909 0 472,909 Net realised appreciation / (depreciation) on foreign exchange contracts (2) 51,377 (775,868) 141 (724,318) Net realised appreciation / (depreciation) on swaptions (2,8) 0 (446,666) 0 (446,666) NET REALISED PROFIT / (LOSS) 1,340,014 37,594,639 (88,648) 38,826,189
Change in net unrealised appreciation / (depreciation) on investments (2,11) 2,429,447 26,418,275 1,060,701 30,145,533 Change in net unrealised appreciation / (depreciation) on forward foreign exchange contracts (2,6) 0 (1,374,385) 0 (1,374,385) Change in net unrealised appreciation / (depreciation) on financial future contracts (2,7) 0 (104,954) 11,033 (91,455) Change in net unrealised appreciation / (depreciation) on foreign exchange contracts (2) 376 127,494 (5,337) 121,340 Change in net unrealised appreciation / (depreciation) on swaptions (2,8) 0 (15,613) 0 (15,613) NET INCREASE / (DECREASE) IN NET ASSETS AS A RESULT OF OPERATIONS 3,769,837 62,645,456 977,749 67,611,609
EVOLUTION OF THE CAPITAL Subscriptions of units 4,533,893 36,900,000 86,397,582 147,144,871 Redemption of units (5,472,853) (197,734,854) (50,424) (203,269,403)
NET ASSETS AT THE END OF THE YEAR / PERIOD 27,985,930 752,812,672 87,324,907 887,644,200
(1) See Note 1.
The accompanying notes form an integral part of these financial statements. 15 Natixis Investment Solutions (Lux) I
Harris Associates Kokusai Fund
Changes in the number of Units for the year ended December 31, 2020
S/A (USD) Number of units outstanding at the beginning 137,216.384 Number of units issued 38,890.831 Number of units redeemed (33,723.028) Number of units at the end 142,384.187 S/A (JPY) Number of units outstanding at the beginning 50.000 Number of units issued - Number of units redeemed - Number of units at the end 50.000
16 Natixis Investment Solutions (Lux) I
Harris Associates Kokusai Fund
Statistics December 31, 2020 December 31, 2019 December 31, 2018
USD USD USD
Total Net Asset Value 27,985,930 25,155,053 25,235,178
Net Asset Value per Unit S/A (USD) 196.47 183.24 141.16 S/A (JPY) 24,492.00 24,047.00 18,700.00
17 Natixis Investment Solutions (Lux) I
Harris Associates Kokusai Fund
Statement of Investments As at December 31, 2020 (expressed in USD)
Quantity Currency Cost Evaluation % of Net Description Assets
Transferable securities admitted to an official stock exchange listing
Shares
Australia Incitec Pivot Ltd 398,052 AUD 846,264 700,317 2.50 846,264 700,317 2.50 Belgium Anheuser-Busch InBev SA/NV 1,955 EUR 112,598 136,370 0.49 112,598 136,370 0.49 China Alibaba Group Holding Ltd 4,640 HKD 119,938 139,191 0.49 Alibaba Group Holding Ltd ADR 490 USD 125,099 114,037 0.41 245,037 253,228 0.90 Germany Allianz SE 3,435 EUR 681,750 843,521 3.01 Bayer AG 20,622 EUR 1,339,907 1,215,049 4.34 Continental AG 5,925 EUR 825,950 879,006 3.14 Daimler AG 15,700 EUR 912,330 1,110,131 3.97 3,759,937 4,047,707 14.46 Great Britain CNH Industrial NV 95,357 EUR 900,978 1,204,660 4.30 Compass Group PLC 16,300 GBP 242,195 303,694 1.09 Liberty Global PLC 27,220 USD 671,811 659,268 2.36 Lloyds Banking Group PLC 2,749,800 GBP 1,462,795 1,369,721 4.89 Prudential PLC 32,710 GBP 432,962 602,283 2.15 Rolls-Royce Holdings PLC 14,833 GBP 31,481 22,557 0.08 Travis Perkins PLC 29,725 GBP 461,483 547,321 1.96 4,203,705 4,709,504 16.83 Ireland Ryanair Holdings PLC 1,200 EUR 16,070 23,866 0.09 Ryanair Holdings PLC ADR 3,160 USD 255,452 347,537 1.24 271,522 371,403 1.33 Mexico Grupo Televisa SAB ADR 36,640 USD 875,227 301,914 1.08 875,227 301,914 1.08 South Africa Naspers Ltd 4,145 ZAR 686,877 852,027 3.04 686,877 852,027 3.04 South Korea Samsung Electronics Co Ltd 1,870 KRW 68,365 139,437 0.50 68,365 139,437 0.50 Switzerland Cie Financiere Richemont SA 3,485 CHF 252,218 315,718 1.13 Credit Suisse Group AG 100,975 CHF 1,322,054 1,302,240 4.65 Julius Baer Group Ltd 12,255 CHF 539,773 707,059 2.53 Novartis AG 2,565 CHF 229,686 242,731 0.87 TE Connectivity Ltd 11,585 USD 747,891 1,402,596 5.01 3,091,622 3,970,344 14.19 United States Alphabet Inc 878 USD 740,395 1,538,151 5.50 Arconic Corp 6,613 USD 99,741 197,067 0.70 Bank of America Corp 33,105 USD 658,179 1,003,413 3.58 Booking Holdings Inc 157 USD 262,901 349,681 1.25 Charter Communications Inc 1,405 USD 500,761 929,478 3.32 The accompanying notes form an integral part of these financial statements. 18 Natixis Investment Solutions (Lux) I
Harris Associates Kokusai Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity Currency Cost Evaluation % of Net Description Assets
Citigroup Inc 4,880 USD 271,917 300,901 1.07 Envista Holdings Corp 12,810 USD 267,783 432,081 1.54 Flowserve Corp 12,090 USD 345,422 445,517 1.59 General Motors Co 30,400 USD 898,417 1,265,856 4.52 Howmet Aerospace Inc 22,315 USD 385,012 636,870 2.28 Interpublic Group of Cos Inc/The 22,245 USD 438,259 523,202 1.87 Johnson Controls International PLC 6,920 USD 246,139 322,403 1.15 Keurig Dr Pepper Inc 8,795 USD 252,130 281,440 1.01 Mastercard Inc 3,980 USD 510,344 1,420,621 5.08 National Oilwell Varco Inc 23,755 USD 642,493 326,156 1.17 Oracle Corp 9,560 USD 413,463 618,436 2.21 Tenet Healthcare Corp 18,921 USD 522,976 755,516 2.70 7,456,332 11,346,789 40.54 Total - Shares 21,617,486 26,829,040 95.86
Warrants
Switzerland Cie Financiere Richemont SA 7,280 CHF 0 1,894 0.01 0 1,894 0.01 Total - Warrants 0 1,894 0.01 Total - Transferable securities admitted to an official stock exchange listing 21,617,486 26,830,934 95.87 TOTAL INVESTMENT PORTFOLIO 21,617,486 26,830,934 95.87
A detailed schedule of portfolio movements for the year from January 1, 2020 to December 31, 2020 is available free of charge upon request at the registered office of the Administrative Agent of the Fund.
The accompanying notes form an integral part of these financial statements. 19 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Changes in the number of Units for the year ended December 31, 2020
H-I/A (GBP) Number of units outstanding at the beginning 57,680.518 Number of units issued - Number of units redeemed - Number of units at the end 57,680.518 H-X1/A (GBP) Number of units outstanding at the beginning 5,424,087.014 Number of units issued - Number of units redeemed (1,209,331.882) Number of units at the end 4,214,755.132 I/A (USD) Number of units outstanding at the beginning 190,385.531 Number of units issued 291,313.559 Number of units redeemed (190,385.531) Number of units at the end 291,313.559 S/A (USD) Number of units outstanding at the beginning 503,579.161 Number of units issued 77,801.688 Number of units redeemed (169,036.759) Number of units at the end 412,344.090
20 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statistics December 31, 2020 December 31, 2019 December 31, 2018
USD USD USD
Total Net Asset Value 752,812,672 851,002,070 795,086,590
Net Asset Value per Unit H-I/A (GBP) 115.29 107.97 97.73
H-X1/A (GBP) 113.51 105.83 95.54
I/A (USD) 121.28 111.54 99.16
S/A (USD) 131.97 121.24 107.67
21 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Transferable securities admitted to an official stock exchange listing
Shares
United States Boston Scientific Corp 5.500% 01/06/2023 Preferred Convertible 41,924 USD 4,513,037 4,593,613 0.61 Goldman Sachs Group Inc/The 6.300% 31/12/2049 Preferred 18,000 USD 450,000 477,360 0.06 4,963,037 5,070,973 0.67 Total - Shares 4,963,037 5,070,973 0.67
Fixed rate bonds
Angola Angolan Government International Bond 8.250% 09/05/2028 4,245,000 USD 3,556,419 4,063,526 0.54 Angolan Government International Bond 9.500% 12/11/2025 480,000 USD 445,955 496,974 0.07 4,002,374 4,560,500 0.61 Argentina Arcor SAIC 6.000% 06/07/2023 150,000 USD 135,153 147,564 0.02 Pampa Energia SA 7.500% 24/01/2027 595,000 USD 430,103 521,517 0.07 565,256 669,081 0.09 Austria Suzano Austria GmbH 3.750% 15/01/2031 645,000 USD 634,477 684,345 0.09 634,477 684,345 0.09 Azerbaijan State Oil Co of the Azerbaijan Republic 6.950% 18/03/2030 410,000 USD 509,483 526,174 0.07 509,483 526,174 0.07 Bahrain Bahrain Government International Bond 5.450% 16/09/2032 144A(2) 3,390,000 USD 3,390,000 3,568,095 0.47 Bahrain Government International Bond 6.125% 01/08/2023 200,000 USD 214,552 214,963 0.03 3,604,552 3,783,058 0.50 Brazil Banco Nacional de Desenvolvimento Economico e Social 5.750% 26/09/2023 200,000 USD 220,677 223,500 0.03 Brazil Notas do Tesouro Nacional Serie F 10.000% 01/01/2031 32,441,000 BRL 6,584,318 7,580,232 1.00 Brazilian Government International Bond 5.000% 27/01/2045 2,425,000 USD 2,578,420 2,691,750 0.36 9,383,415 10,495,482 1.39 British Virgin Islands Gold Fields Orogen Holdings BVI Ltd 6.125% 15/05/2029 144A(2) 6,825,000 USD 6,959,241 8,275,312 1.10 6,959,241 8,275,312 1.10 Bulgaria Bulgarian Energy Holding EAD 3.500% 28/06/2025 235,000 EUR 288,037 300,473 0.04 288,037 300,473 0.04
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 22 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Canada Canadian Natural Resources Ltd 6.250% 15/03/2038 375,000 USD 430,062 503,567 0.07 430,062 503,567 0.07 Cayman Islands Baidu Inc 3.425% 07/04/2030 230,000 USD 229,018 254,359 0.03 China Evergrande Group 8.750% 28/06/2025 2,600,000 USD 2,028,350 2,152,889 0.29 Dar Al-Arkan Sukuk Co Ltd 6.875% 21/03/2023 410,000 USD 417,820 418,200 0.05 Grupo Aval Ltd 4.375% 04/02/2030 305,000 USD 299,853 324,825 0.04 Kaisa Group Holdings Ltd 9.375% 30/06/2024 4,720,000 USD 4,378,995 4,572,500 0.61 MAF Sukuk Ltd 4.638% 14/05/2029 4,055,000 USD 4,055,000 4,563,307 0.61 Meituan 3.050% 28/10/2030 144A(2) 6,100,000 USD 6,091,792 6,341,560 0.84 OmGrid Funding Ltd 5.196% 16/05/2027 200,000 USD 196,790 202,496 0.03 17,697,618 18,830,136 2.50 Colombia Oleoducto Central SA 4.000% 14/07/2027 144A(2) 1,825,000 USD 1,812,177 1,981,056 0.26 1,812,177 1,981,056 0.26 Costa Rica Instituto Costarricense de Electricidad 6.375% 15/05/2043 200,000 USD 140,605 160,752 0.02 140,605 160,752 0.02 Dominican Republic Dominican Republic International Bond 4.875% 23/09/2032 144A(2) 3,780,000 USD 3,780,000 4,186,388 0.55 Dominican Republic International Bond 6.850% 27/01/2045 1,525,000 USD 1,644,998 1,858,609 0.25 5,424,998 6,044,997 0.80 Egypt Egypt Government Bond 14.605% 08/09/2025 38,770,000 EGP 2,480,279 2,506,121 0.33 Egypt Government Bond 16.500% 02/04/2026 85,300,000 EGP 5,802,852 5,884,203 0.78 Egypt Government International Bond 5.250% 06/10/2025 144A(2) 1,315,000 USD 1,315,000 1,396,793 0.19 Egypt Government International Bond 8.700% 01/03/2049 745,000 USD 767,794 858,612 0.11 10,365,925 10,645,729 1.41 El Salvador El Salvador Government International Bond 8.250% 10/04/2032 1,175,000 USD 1,156,769 1,151,500 0.15 1,156,769 1,151,500 0.15 France Casino Guichard Perrachon SA 4.048% 05/08/2026 EMTN 200,000 EUR 186,179 215,834 0.03 Crown European Holdings SA 2.875% 01/02/2026 100,000 EUR 129,194 130,997 0.02 Faurecia SE 3.750% 15/06/2028 1,425,000 EUR 1,671,311 1,828,557 0.24 La Financiere Atalian SASU 4.000% 15/05/2024 115,000 EUR 130,400 129,635 0.02 Loxam SAS 3.750% 15/07/2026 250,000 EUR 284,486 309,788 0.04 2,401,570 2,614,811 0.35 Germany thyssenkrupp AG 1.375% 03/03/2022 385,000 EUR 452,672 468,864 0.06 Vertical Holdco GmbH 7.625% 15/07/2028 144A(2) 200,000 USD 215,918 218,000 0.03 668,590 686,864 0.09
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 23 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Great Britain Anglo American Capital PLC 3.950% 10/09/2050 144A(2) 855,000 USD 842,840 959,293 0.13 International Game Technology PLC 3.500% 15/07/2024 1,390,000 EUR 1,675,766 1,771,315 0.24 Jerrold Finco PLC 4.875% 15/01/2026 135,000 GBP 165,287 182,287 0.02 Liquid Telecommunications Financing PLC 8.500% 13/07/2022 2,037,000 USD 1,746,698 2,079,889 0.28 Liquid Telecommunications Financing PLC 8.500% 13/07/2022 144A(2) 890,000 USD 891,130 907,800 0.12 NAK Naftogaz Ukraine via Kondor Finance PLC 7.625% 08/11/2026 200,000 USD 189,155 206,500 0.03 Pinnacle Bidco PLC 6.375% 15/02/2025 240,000 GBP 285,606 322,655 0.04 Rolls-Royce PLC 3.375% 18/06/2026 EMTN 195,000 GBP 239,976 265,315 0.03 Stonegate Pub Co Financing 2019 PLC 8.250% 31/07/2025 235,000 GBP 293,296 325,249 0.04 Vedanta Resources Ltd 6.375% 30/07/2022 510,000 USD 436,904 452,115 0.06 Vmed O2 UK Financing I PLC 3.250% 31/01/2031 120,000 EUR 149,749 150,642 0.02 6,916,407 7,623,060 1.01 Guatemala Guatemala Government Bond 5.375% 24/04/2032 1,125,000 USD 1,324,927 1,371,094 0.18 1,324,927 1,371,094 0.18 Indonesia Indonesia Treasury Bond 7.500% 15/06/2035 89,879,000,000 IDR 6,413,610 7,100,761 0.94 6,413,610 7,100,761 0.94 Isle of Man AngloGold Ashanti Holdings PLC 3.750% 01/10/2030 1,585,000 USD 1,580,025 1,703,690 0.23 1,580,025 1,703,690 0.23 Israel Leviathan Bond Ltd 6.125% 30/06/2025 144A(2) 2,445,000 USD 2,445,000 2,677,796 0.36 Leviathan Bond Ltd 6.500% 30/06/2027 144A(2) 3,550,000 USD 3,550,000 3,999,695 0.53 5,995,000 6,677,491 0.89 Italy Assicurazioni Generali SpA 2.429% 14/07/2031 EMTN 545,000 EUR 616,804 728,517 0.10 Atlantia SpA 1.875% 13/07/2027 EMTN 210,000 EUR 242,931 252,752 0.03 Autostrade per l'Italia SpA 1.750% 01/02/2027 EMTN 325,000 EUR 379,393 396,124 0.05 Banca Monte dei Paschi di Siena SpA 4.000% 10/07/2022 EMTN 220,000 EUR 265,651 278,649 0.04 F-Brasile SpA/F-Brasile US LLC 7.375% 15/08/2026 144A(2) 510,000 USD 448,797 494,700 0.07 Intesa Sanpaolo SpA 3.928% 15/09/2026 EMTN 295,000 EUR 380,872 404,768 0.05 LKQ Italia Bondco SpA 3.875% 01/04/2024 330,000 EUR 414,562 435,569 0.06 2,749,010 2,991,079 0.40 Ivory Coast Ivory Coast Government International Bond 4.875% 30/01/2032 144A(2) 1,470,000 EUR 1,738,178 1,845,167 0.25 1,738,178 1,845,167 0.25 Japan SoftBank Group Corp 4.000% 19/09/2029 330,000 EUR 397,400 427,707 0.06 397,400 427,707 0.06
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 24 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Jersey Adient Global Holdings Ltd 3.500% 15/08/2024 830,000 EUR 933,647 1,010,469 0.14 Aptiv PLC 4.250% 15/01/2026 140,000 USD 139,956 160,424 0.02 Aston Martin Capital Holdings Ltd 10.500% 30/11/2025 144A(2) 200,000 USD 212,565 219,786 0.03 Galaxy Bidco Ltd 6.500% 31/07/2026 260,000 GBP 351,018 370,732 0.05 1,637,186 1,761,411 0.24 Kenya Kenya Government International Bond 7.250% 28/02/2028 3,550,000 USD 3,539,618 3,981,005 0.53 Kenya Government International Bond 8.000% 22/05/2032 4,240,000 USD 4,312,241 4,939,295 0.65 7,851,859 8,920,300 1.18 Liberia Royal Caribbean Cruises Ltd 3.700% 15/03/2028 605,000 USD 453,652 536,269 0.07 453,652 536,269 0.07 Luxembourg Altice Financing SA 5.000% 15/01/2028 144A(2) 300,000 USD 297,073 307,391 0.04 Altice France Holding SA 6.000% 15/02/2028 144A(2) 265,000 USD 258,857 268,313 0.03 ArcelorMittal SA 7.000% 01/03/2041 270,000 USD 328,888 372,081 0.05 ArcelorMittal SA 7.250% 15/10/2039 1,820,000 USD 2,007,522 2,553,678 0.34 ARD Finance SA 5.000% 30/06/2027 2,400,000 EUR 2,089,262 2,989,073 0.40 Kernel Holding SA 6.750% 27/10/2027 144A(2) 2,090,000 USD 2,090,000 2,214,698 0.29 Millicom International Cellular SA 6.250% 25/03/2029 144A(2) 7,680,000 USD 8,216,996 8,640,000 1.15 Minerva Luxembourg SA 6.500% 20/09/2026 630,000 USD 664,509 661,506 0.09 Summer BC Holdco B Sarl 5.750% 31/10/2026 1,965,000 EUR 1,954,300 2,532,303 0.33 Summer BC Holdco B Sarl 5.750% 31/10/2026 144A(2) 1,615,000 EUR 1,795,234 2,081,257 0.28 Telenet Finance Luxembourg Notes Sarl 3.500% 01/03/2028 100,000 EUR 125,375 126,637 0.02 19,828,016 22,746,937 3.02 Macedonia North Macedonia Government International Bond 3.675% 03/06/2026 215,000 EUR 273,488 294,289 0.04 273,488 294,289 0.04 Mauritius HTA Group Ltd/Mauritius 7.000% 18/12/2025 144A(2) 10,710,000 USD 10,886,496 11,513,250 1.53 10,886,496 11,513,250 1.53 Mexico Cemex SAB de CV 5.700% 11/01/2025 535,000 USD 545,404 546,770 0.07 Mexican Bonos 7.750% 29/05/2031 124,000,000 MXN 6,666,581 7,311,678 0.97 Petroleos Mexicanos 3.750% 21/02/2024 EMTN 1,385,000 EUR 1,598,874 1,715,359 0.23 Petroleos Mexicanos 5.950% 28/01/2031 1,370,000 USD 1,187,876 1,366,575 0.18 Petroleos Mexicanos 6.875% 16/10/2025 144A(2) 2,760,000 USD 2,751,752 3,021,924 0.40 Petroleos Mexicanos 7.690% 23/01/2050 135,000 USD 125,980 136,113 0.02 Unifin Financiera SAB de CV 7.000% 15/01/2025 1,705,000 USD 1,707,929 1,639,997 0.22 14,584,396 15,738,416 2.09 Morocco OCP SA 6.875% 25/04/2044 144A(2) 5,810,000 USD 7,080,620 7,602,745 1.01
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 25 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
7,080,620 7,602,745 1.01 Multinational CANPACK SA/Eastern PA Land Investment Holding LLC 2.375% 01/11/2027 144A(2) 955,000 EUR 1,117,302 1,203,545 0.16 GEMS MENASA Cayman Ltd/GEMS Education Delaware LLC 7.125% 31/07/2026 144A(2) 3,395,000 USD 3,533,920 3,539,287 0.47 4,651,222 4,742,832 0.63 Netherlands Diamond BC BV 5.625% 15/08/2025 140,000 EUR 167,622 173,233 0.02 Fiat Chrysler Automobiles NV 4.500% 07/07/2028 100,000 EUR 144,722 149,273 0.02 IHS Netherlands Holdco BV 7.125% 18/03/2025 144A(2) 2,795,000 USD 2,835,121 2,937,449 0.39 IHS Netherlands Holdco BV 8.000% 18/09/2027 2,920,000 USD 3,127,185 3,150,348 0.42 IHS Netherlands Holdco BV 8.000% 18/09/2027 144A(2) 4,555,000 USD 4,807,313 4,914,328 0.65 Petrobras Global Finance BV 5.600% 03/01/2031 6,100,000 USD 6,672,742 7,010,730 0.93 Petrobras Global Finance BV 6.250% 17/03/2024 1,330,000 USD 1,493,940 1,512,290 0.20 Petrobras Global Finance BV 6.900% 19/03/2049 105,000 USD 128,821 133,088 0.02 Prosus NV 3.832% 08/02/2051 144A(2) 2,325,000 USD 2,324,814 2,281,592 0.30 Prosus NV 4.027% 03/08/2050 144A(2) 2,780,000 USD 2,780,000 2,912,917 0.39 Teva Pharmaceutical Finance Netherlands II BV 1.250% 31/03/2023 1,440,000 EUR 1,477,332 1,698,659 0.23 Teva Pharmaceutical Finance Netherlands II BV 6.000% 31/01/2025 405,000 EUR 501,187 537,658 0.07 Trivium Packaging Finance BV 8.500% 15/08/2027 144A(2) 220,000 USD 239,447 240,900 0.03 VEON Holdings BV 3.375% 25/11/2027 144A(2) 4,290,000 USD 4,290,000 4,408,447 0.59 VEON Holdings BV 4.000% 09/04/2025 144A(2) 6,030,000 USD 6,153,660 6,383,418 0.85 Ziggo Bond Co BV 5.125% 28/02/2030 144A(2) 355,000 USD 367,992 374,632 0.05 37,511,898 38,818,962 5.16 Nigeria Nigeria Government International Bond 7.143% 23/02/2030 2,370,000 USD 2,433,461 2,553,675 0.34 Nigeria Government International Bond 8.747% 21/01/2031 1,905,000 USD 2,061,022 2,206,954 0.29 4,494,483 4,760,629 0.63 Norway Adevinta ASA 3.000% 15/11/2027 144A(2) 545,000 EUR 644,599 689,107 0.09 644,599 689,107 0.09 Oman Oman Government International Bond 5.625% 17/01/2028 780,000 USD 757,792 794,845 0.10 Oman Government International Bond 6.750% 17/01/2048 705,000 USD 628,243 697,442 0.09 Oman Government International Bond 7.375% 28/10/2032 144A(2) 6,175,000 USD 6,175,000 6,820,609 0.91 7,561,035 8,312,896 1.10 Romania Romanian Government International Bond 4.000% 14/02/2051 144A(2) 1,590,000 USD 1,589,938 1,730,569 0.23 1,589,938 1,730,569 0.23 Russia Russian Federal Bond - OFZ 7.650% 10/04/2030 241,785,000 RUB 3,541,457 3,690,794 0.49 3,541,457 3,690,794 0.49 (2) See Note 12.
The accompanying notes form an integral part of these financial statements. 26 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Saudi Arabia Saudi Arabian Oil Co 2.250% 24/11/2030 144A(2) 2,460,000 USD 2,445,515 2,505,126 0.33 Saudi Arabian Oil Co 3.250% 24/11/2050 144A(2) 2,290,000 USD 2,268,366 2,322,215 0.31 4,713,881 4,827,341 0.64 South Africa Republic of South Africa Government Bond 6.250% 31/03/2036 165,485,000 ZAR 6,825,030 7,755,075 1.03 Republic of South Africa Government International Bond 5.750% 30/09/2049 1,175,000 USD 1,064,333 1,177,068 0.16 7,889,363 8,932,143 1.19 Spain Banco Santander SA 2.749% 03/12/2030 400,000 USD 400,000 412,291 0.06 International Consolidated Airlines Group SA 1.500% 04/07/2027 500,000 EUR 446,673 531,938 0.07 846,673 944,229 0.13 Sri Lanka Sri Lanka Government International Bond 5.750% 18/01/2022 1,940,000 USD 1,783,056 1,502,142 0.20 Sri Lanka Government International Bond 6.125% 03/06/2025 2,590,000 USD 1,731,734 1,535,352 0.20 3,514,790 3,037,494 0.40 Sweden Intrum AB 3.000% 15/09/2027 375,000 EUR 398,391 439,790 0.06 398,391 439,790 0.06 Turkey KOC Holding AS 6.500% 11/03/2025 144A(2) 680,000 USD 640,086 739,160 0.10 Turkey Government International Bond 5.200% 16/02/2026 790,000 EUR 930,140 1,048,766 0.14 Turkey Government International Bond 5.750% 11/05/2047 1,915,000 USD 1,549,091 1,815,765 0.24 Turkey Government International Bond 5.950% 15/01/2031 200,000 USD 200,436 208,500 0.03 Turkey Government International Bond 6.625% 17/02/2045 710,000 USD 637,615 741,666 0.10 Ulker Biskuvi Sanayi AS 6.950% 30/10/2025 144A(2) 4,530,000 USD 4,530,000 4,901,542 0.65 8,487,368 9,455,399 1.26 Ukraine Ukraine Government International Bond 7.253% 15/03/2033 144A(2) 2,665,000 USD 2,665,000 2,911,984 0.39 VF Ukraine PAT via VFU Funding PLC 6.200% 11/02/2025 144A(2) 1,955,000 USD 1,955,000 2,042,975 0.27 4,620,000 4,954,959 0.66 United Arab Emirates Acwa Power Management And Investments One Ltd 5.950% 15/12/2039 144A(2) 3,400,000 USD 3,695,137 4,061,572 0.54 DP World PLC 5.625% 25/09/2048 EMTN 3,170,000 USD 3,506,869 4,036,044 0.54 Kuwait Projects Co. SPC Ltd 4.500% 23/02/2027 EMTN 3,735,000 USD 3,860,357 3,851,719 0.51 Oztel Holdings SPC Ltd 5.625% 24/10/2023 660,000 USD 670,205 698,042 0.09 Oztel Holdings SPC Ltd 5.625% 24/10/2023 144A(2) 3,315,000 USD 3,417,194 3,506,077 0.47 15,149,762 16,153,454 2.15
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 27 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
United States AbbVie Inc 4.450% 14/05/2046 700,000 USD 683,295 890,533 0.12 American Express Co 4.050% 03/12/2042 693,000 USD 705,057 883,503 0.12 Antero Resources Corp 5.000% 01/03/2025 410,000 USD 307,707 389,500 0.05 Ashtead Capital Inc 4.250% 01/11/2029 144A(2) 580,000 USD 580,000 635,007 0.08 AT&T Inc 4.500% 15/05/2035 550,000 USD 548,866 667,389 0.09 Bank of America Corp 3.950% 21/04/2025 340,000 USD 339,568 383,278 0.05 Boeing Co/The 3.625% 01/02/2031 2,375,000 USD 2,373,505 2,599,155 0.34 Catalent Pharma Solutions Inc 2.375% 01/03/2028 144A(2) 1,160,000 EUR 1,139,351 1,425,733 0.19 Chemours Co 5.375% 15/05/2027 440,000 USD 436,253 468,600 0.06 CHS/Community Health Systems Inc 6.250% 31/03/2023 125,000 USD 127,809 129,162 0.02 Citigroup Inc 5.300% 06/05/2044 347,000 USD 415,522 484,577 0.06 Crown Americas LLC/Crown Americas Capital Corp V 4.250% 30/09/2026 120,000 USD 130,308 132,258 0.02 Delta Air Lines Inc 7.375% 15/01/2026 7,110,000 USD 7,163,083 8,121,774 1.08 Diebold Nixdorf Inc 8.500% 15/04/2024 200,000 USD 201,300 202,500 0.03 EnLink Midstream LLC 5.375% 01/06/2029 140,000 USD 121,828 136,150 0.02 EPR Properties 3.750% 15/08/2029 1,895,000 USD 1,881,413 1,817,986 0.24 EQT Corp 8.750% 01/02/2030 1,845,000 USD 1,767,387 2,260,125 0.30 Ford Motor Co 9.000% 22/04/2025 1,610,000 USD 1,667,591 1,973,876 0.26 Ford Motor Credit Co LLC 2.386% 17/02/2026 105,000 EUR 128,207 130,400 0.02 Freeport-McMoRan Inc 4.625% 01/08/2030 1,260,000 USD 1,260,000 1,382,850 0.18 FS KKR Capital Corp 3.400% 15/01/2026 2,970,000 USD 2,935,661 2,951,577 0.39 General Electric Co 4.350% 01/05/2050 3,500,000 USD 3,931,776 4,256,519 0.56 General Motors Co 5.200% 01/04/2045 420,000 USD 367,260 510,059 0.07 General Motors Financial Co Inc 4.350% 17/01/2027 450,000 USD 449,608 512,275 0.07 General Motors Financial Co Inc 5.250% 01/03/2026 215,000 USD 214,595 252,865 0.03 Goldman Sachs Group Inc/The 4.750% 21/10/2045 385,000 USD 382,081 535,623 0.07 HCA Inc 3.500% 01/09/2030 1,830,000 USD 1,655,187 1,944,514 0.26 Healthpeak Properties Inc 3.500% 15/07/2029 545,000 USD 543,017 618,214 0.08 Hecla Mining Co 7.250% 15/02/2028 140,000 USD 150,946 152,950 0.02 Hikma Finance USA LLC 3.250% 09/07/2025 4,875,000 USD 4,824,869 5,073,413 0.67 IQVIA Inc 2.250% 15/01/2028 255,000 EUR 244,561 314,501 0.04 Kellogg Co 3.250% 01/04/2026 15,000 USD 14,990 16,866 0.00 Kosmos Energy Ltd 7.125% 04/04/2026 144A(2) 3,995,000 USD 3,998,713 3,875,150 0.51 Kraft Heinz Foods Co 2.250% 25/05/2028 275,000 EUR 318,258 355,390 0.05 L Brands Inc 5.250% 01/02/2028 405,000 USD 405,000 422,650 0.06 LYB International Finance III LLC 3.625% 01/04/2051 1,695,000 USD 1,690,072 1,852,179 0.25 MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc 5.625% 01/05/2024 670,000 USD 714,540 727,720 0.10 MGM Resorts International 7.750% 15/03/2022 1,345,000 USD 1,406,366 1,432,425 0.19 Netflix Inc 3.625% 15/06/2030 310,000 EUR 428,474 430,612 0.06 Netflix Inc 3.875% 15/11/2029 1,920,000 EUR 2,157,351 2,712,875 0.36 Occidental Petroleum Corp 3.125% 15/02/2022 130,000 USD 129,964 130,975 0.02 Occidental Petroleum Corp 3.500% 15/08/2029 360,000 USD 279,291 329,461 0.04
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 28 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Occidental Petroleum Corp 8.875% 15/07/2030 110,000 USD 125,201 129,113 0.02 OneMain Finance Corp 5.375% 15/11/2029 640,000 USD 668,209 720,000 0.10 ONEOK Inc 7.150% 15/01/2051 1,165,000 USD 1,160,804 1,608,920 0.21 Oracle Corp 3.850% 15/07/2036 185,000 USD 184,972 223,399 0.03 Ovintiv Inc 7.375% 01/11/2031 150,000 USD 154,059 178,102 0.02 PG&E Corp 5.250% 01/07/2030 285,000 USD 285,000 313,500 0.04 QEP Resources Inc 5.625% 01/03/2026 595,000 USD 392,150 652,447 0.09 Range Resources Corp 4.875% 15/05/2025 1,990,000 USD 1,873,321 1,879,734 0.25 Raytheon Technologies Corp 3.125% 01/07/2050 1,225,000 USD 1,221,005 1,350,798 0.18 Reynolds American Inc 5.700% 15/08/2035 395,000 USD 393,741 501,250 0.07 Santander Holdings USA Inc 4.400% 13/07/2027 535,000 USD 534,358 611,424 0.08 Sasol Financing USA LLC 6.500% 27/09/2028 3,390,000 USD 3,786,869 3,671,370 0.49 Targa Resources Partners LP/Targa Resources Partners Finance Corp 5.875% 15/04/2026 755,000 USD 781,094 800,466 0.11 Tenet Healthcare Corp 7.000% 01/08/2025 430,000 USD 442,606 444,470 0.06 TransDigm Inc 7.500% 15/03/2027 120,000 USD 129,030 128,100 0.02 TRI Pointe Group Inc/TRI Pointe Homes Inc 5.875% 15/06/2024 375,000 USD 406,224 409,313 0.05 United Rentals North America Inc 3.875% 15/02/2031 1,275,000 USD 1,275,000 1,337,539 0.18 United States Steel Corp 6.250% 15/03/2026 220,000 USD 173,710 201,300 0.03 Wyndham Destinations Inc 4.250% 01/03/2022 545,000 USD 544,451 557,263 0.07 63,752,434 70,241,677 9.33 Total - Fixed rate bonds 325,122,713 352,499,778 46.83
Variable rate bonds
Cayman Islands MAF Global Securities Ltd 5.500% Perpetual 1,920,000 USD 1,920,000 1,966,072 0.26 1,920,000 1,966,072 0.26 France BNP Paribas SA 4.500% Perpetual 144A(2) 3,900,000 USD 3,240,707 3,941,067 0.52 BNP Paribas SA 6.750% Perpetual 144A(2) 3,205,000 USD 3,122,049 3,349,225 0.44 Credit Agricole SA 7.875% Perpetual 144A(2) 1,974,000 USD 2,112,480 2,240,490 0.30 Societe Generale SA 6.750% Perpetual 144A(2) 585,000 USD 496,239 655,416 0.09 8,971,475 10,186,198 1.35 Germany Commerzbank AG 6.125% Perpetual 3,000,000 EUR 3,456,859 3,913,830 0.52 Deutsche Bank AG 7.500% Perpetual 800,000 USD 701,396 851,744 0.11 4,158,255 4,765,574 0.63 Great Britain Barclays PLC 6.375% Perpetual 1,700,000 GBP 2,021,431 2,505,072 0.33 Barclays PLC 8.000% Perpetual 4,225,000 USD 4,341,340 4,710,875 0.63 HSBC Holdings PLC 4.600% Perpetual 5,275,000 USD 5,275,000 5,367,945 0.71 Legal & General Group PLC 5.625% Perpetual 980,000 GBP 1,228,920 1,488,835 0.20 RMAC Securities No 1 PLC 0.000% 12/06/2044 17,964 EUR 18,598 21,303 0.00 Standard Chartered PLC 6.000% Perpetual 144A(2) 1,375,000 USD 1,374,901 1,468,690 0.20 Standard Chartered PLC 7.750% Perpetual 144A(2) 970,000 USD 976,907 1,051,238 0.14 15,237,097 16,613,958 2.21
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 29 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Greece Alpha Bank AE 4.250% 13/02/2030 EMTN 240,000 EUR 240,599 274,497 0.04 240,599 274,497 0.04 Ireland AIB Group PLC 6.250% Perpetual 1,000,000 EUR 1,123,750 1,352,023 0.18 1,123,750 1,352,023 0.18 Italy Banca IFIS SpA 4.500% 17/10/2027 EMTN 295,000 EUR 309,609 340,375 0.04 Banca Monte dei Paschi di Siena SpA 5.375% 18/01/2028 EMTN 125,000 EUR 116,401 131,876 0.02 Banco BPM SpA 5.000% 14/09/2030 275,000 EUR 341,271 360,884 0.05 Iccrea Banca SpA 4.125% 28/11/2029 200,000 EUR 216,348 228,706 0.03 983,629 1,061,841 0.14 Mexico Banco Mercantil del Norte SA/Grand Cayman 6.875% Perpetual 144A(2) 1,245,000 USD 1,289,336 1,311,919 0.17 Banco Mercantil del Norte SA/Grand Cayman 7.500% Perpetual 144A(2) 925,000 USD 925,000 1,047,655 0.14 2,214,336 2,359,574 0.31 Portugal Banco Comercial Portugues SA 3.871% 27/03/2030 EMTN 200,000 EUR 213,596 234,677 0.03 Novo Banco SA 8.500% 06/07/2028 400,000 EUR 412,220 446,176 0.06 625,816 680,853 0.09 Spain Banco Bilbao Vizcaya Argentaria SA 6.000% Perpetual 2,000,000 EUR 2,257,100 2,704,588 0.36 Banco Bilbao Vizcaya Argentaria SA 6.500% Perpetual 2,000,000 USD 2,000,000 2,131,240 0.29 Banco Santander SA 7.500% Perpetual 400,000 USD 389,049 442,400 0.06 CaixaBank SA 5.250% Perpetual 3,200,000 EUR 3,418,673 4,009,328 0.53 Ibercaja Banco SA 2.750% 23/07/2030 200,000 EUR 220,958 236,702 0.03 8,285,780 9,524,258 1.27 Switzerland Credit Suisse Group AG 4.500% Perpetual 144A(2) 3,600,000 USD 3,600,000 3,623,892 0.48 Credit Suisse Group AG 5.250% Perpetual 144A(2) 3,795,000 USD 3,795,000 4,021,238 0.53 Credit Suisse Group AG 7.500% Perpetual 144A(2) 2,520,000 USD 2,589,108 2,766,919 0.37 9,984,108 10,412,049 1.38 Ukraine Ukraine Government International Bond 0.000% 31/05/2040 5,030,000 USD 4,674,225 5,174,613 0.69 4,674,225 5,174,613 0.69 Total - Variable rate bonds 58,419,070 64,371,510 8.55 Total - Transferable securities admitted to an official stock exchange listing 388,504,820 421,942,261 56.05 Transferable securities dealt in on another regulated market
Shares
Bermuda Islands Bunge Ltd 4.875% Preferred Convertible 2,904 USD 302,894 315,909 0.04
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 30 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
302,894 315,909 0.04 Total - Shares 302,894 315,909 0.04 Fixed rate bonds
Argentina Tecpetrol SA 4.875% 12/12/2022 235,000 USD 221,958 232,063 0.03 221,958 232,063 0.03 Bermuda Islands Enstar Group Ltd 4.950% 01/06/2029 1,495,000 USD 1,510,597 1,691,095 0.22 MAPS Ltd 5.193% 15/05/2043 144A(2) 457,385 USD 458,585 379,950 0.05 Nabors Industries Ltd 7.500% 15/01/2028 144A(2) 645,000 USD 298,870 441,632 0.06 Viking Cruises Ltd 5.875% 15/09/2027 144A(2) 140,000 USD 133,732 136,917 0.02 Weatherford International Ltd 11.000% 01/12/2024 144A(2) 185,000 USD 137,747 144,300 0.02 2,539,531 2,793,894 0.37 Brazil Banco do Brasil SA/Cayman 4.750% 20/03/2024 EMTN 580,000 USD 616,517 624,225 0.08 616,517 624,225 0.08 Canada 1011778 BC ULC/New Red Finance Inc 4.000% 15/10/2030 144A(2) 395,000 USD 394,030 400,305 0.05 Bombardier Inc 7.875% 15/04/2027 144A(2) 190,000 USD 145,406 174,693 0.02 Bombardier Inc 8.750% 01/12/2021 144A(2) 635,000 USD 645,337 660,400 0.09 Canadian Pacer Auto Receivables Trust 4.070% 19/03/2025 144A(2) 455,000 USD 454,975 469,936 0.06 First Quantum Minerals Ltd 7.250% 01/04/2023 144A(2) 1,675,000 USD 1,685,585 1,726,381 0.23 Glencore Finance Canada Ltd 6.000% 15/11/2041 144A(2) 190,000 USD 172,043 240,768 0.03 Master Credit Card Trust II 2.590% 21/09/2024 144A(2) 500,000 USD 499,947 502,114 0.07 MEG Energy Corp 7.125% 01/02/2027 144A(2) 655,000 USD 604,067 676,287 0.09 New Gold Inc 7.500% 15/07/2027 144A(2) 115,000 USD 125,378 127,075 0.02 Telesat Canada/Telesat LLC 6.500% 15/10/2027 144A(2) 360,000 USD 362,580 376,200 0.05 Tervita Corp 11.000% 01/12/2025 144A(2) 125,000 USD 129,215 134,505 0.02 5,218,563 5,488,664 0.73 Cayman Islands Baidu Inc 2.375% 09/10/2030 1,110,000 USD 1,110,000 1,135,645 0.15 CSN Inova Ventures 6.750% 28/01/2028 275,000 USD 275,825 297,688 0.04 Kestrel Aircraft Funding Ltd 4.250% 15/12/2038 144A(2) 753,448 USD 739,243 697,813 0.09 Shelf Drilling Holdings Ltd 8.250% 15/02/2025 144A(2) 925,000 USD 900,343 425,500 0.06 3,025,411 2,556,646 0.34 Colombia Colombia Telecomunicaciones SA ESP 4.950% 17/07/2030 305,000 USD 327,302 338,550 0.04 Colombia Telecomunicaciones SA ESP 4.950% 17/07/2030 144A(2) 1,730,000 USD 1,730,000 1,920,300 0.26 2,057,302 2,258,850 0.30
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 31 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
France Altice France SA/France 5.125% 15/01/2029 144A(2) 635,000 USD 638,061 657,225 0.09 638,061 657,225 0.09 Germany Commerzbank AG 8.125% 19/09/2023 144A(2) 315,000 USD 361,233 367,964 0.05 361,233 367,964 0.05 Great Britain Ardonagh Midco 2 PLC 11.500% 15/01/2027 144A(2) 1,800,000 USD 1,783,296 1,921,500 0.26 Virgin Media Finance PLC 5.000% 15/07/2030 144A(2) 370,000 USD 373,164 383,875 0.05 2,156,460 2,305,375 0.31 Ireland Cimpress PLC 7.000% 15/06/2026 144A(2) 295,000 USD 295,351 310,119 0.04 295,351 310,119 0.04 Italy Intesa Sanpaolo SpA 4.000% 23/09/2029 144A(2) 1,870,000 USD 1,858,971 2,108,174 0.28 1,858,971 2,108,174 0.28 Luxembourg Millicom International Cellular SA 4.500% 27/04/2031 144A(2) 1,135,000 USD 1,135,000 1,225,800 0.16 Rumo Luxembourg Sarl 5.250% 10/01/2028 144A(2) 3,550,000 USD 3,550,000 3,846,255 0.51 Telecom Italia Capital SA 6.000% 30/09/2034 835,000 USD 990,622 1,017,105 0.14 5,675,622 6,089,160 0.81 Mexico Axtel SAB de CV 6.375% 14/11/2024 970,000 USD 1,014,344 1,006,375 0.13 Cemex SAB de CV 5.200% 17/09/2030 144A(2) 3,315,000 USD 3,315,000 3,634,897 0.48 Cemex SAB de CV 7.375% 05/06/2027 144A(2) 5,380,000 USD 5,680,642 6,122,440 0.81 Kimberly-Clark de Mexico SAB de CV 2.431% 01/07/2031 144A(2) 630,000 USD 630,000 650,803 0.09 Petroleos Mexicanos 6.840% 23/01/2030 1,935,000 USD 1,760,158 2,025,519 0.27 Unifin Financiera SAB de CV 8.375% 27/01/2028 144A(2) 3,980,000 USD 3,955,196 3,830,750 0.51 16,355,340 17,270,784 2.29 Multinational Endo Dac/Endo Finance LLC/Endo Finco Inc 6.000% 30/06/2028 144A(2) 430,000 USD 340,187 365,500 0.05 Titan Acquisition Ltd/Titan Co.-Borrower LLC 7.750% 15/04/2026 144A(2) 170,000 USD 177,671 176,800 0.02 517,858 542,300 0.07 Netherlands VTR Finance NV 6.375% 15/07/2028 144A(2) 3,200,000 USD 3,200,000 3,496,000 0.46 Ziggo BV 5.500% 15/01/2027 144A(2) 212,000 USD 213,114 221,275 0.03 3,413,114 3,717,275 0.49 Panama AES Panama Generation Holdings SRL 4.375% 31/05/2030 144A(2) 2,650,000 USD 2,650,000 2,866,456 0.38 ENA Master Trust 4.000% 19/05/2048 144A(2) 2,690,000 USD 2,690,000 2,898,475 0.39 5,340,000 5,764,931 0.77 South Africa Eskom Holdings SOC Ltd 6.750% 06/08/2023 EMTN 295,000 USD 283,681 300,162 0.04 283,681 300,162 0.04
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 32 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Trinidad and Tobago Trinidad Petroleum Holdings Ltd 9.750% 15/06/2026 115,000 USD 129,619 134,550 0.02 129,619 134,550 0.02 Turkey Akbank T.A.S. 6.800% 06/02/2026 144A(2) 5,720,000 USD 5,719,478 6,056,190 0.80 5,719,478 6,056,190 0.80 United States AbbVie Inc 4.550% 15/03/2035 275,000 USD 276,577 347,684 0.05 Accelerated Assets LLC 4.510% 02/12/2033 144A(2) 234,754 USD 234,712 239,886 0.03 Acrisure LLC/Acrisure Finance Inc 7.000% 15/11/2025 144A(2) 195,000 USD 200,967 203,005 0.03 Adams Outdoor Advertising LP 5.653% 15/11/2048 144A(2) 1,355,000 USD 1,354,996 1,433,184 0.19 Adient US LLC 9.000% 15/04/2025 144A(2) 415,000 USD 415,000 462,725 0.06 Ahern Rentals Inc 7.375% 15/05/2023 144A(2) 190,000 USD 140,256 138,700 0.02 Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.750% 15/10/2027 144A(2) 120,000 USD 129,295 128,400 0.02 Allied Universal Holdco LLC/Allied Universal Finance Corp 9.750% 15/07/2027 144A(2) 515,000 USD 559,710 561,350 0.07 Alternative Loan Trust 5.750% 25/12/2033 38,999 USD 39,367 40,615 0.01 American Airlines Inc 11.750% 15/07/2025 144A(2) 965,000 USD 1,011,941 1,112,886 0.15 American Credit Acceptance Receivables Trust 5.650% 13/05/2026 144A(2) 130,000 USD 130,203 143,461 0.02 American Homes 4 Rent 5.885% 17/04/2052 144A(2) 772,000 USD 804,782 858,055 0.11 American Homes 4 Rent Trust 6.231% 17/10/2036 144A(2) 100,000 USD 106,932 110,959 0.01 Antero Midstream Partners LP/Antero Midstream Finance Corp 5.750% 15/01/2028 144A(2) 350,000 USD 323,961 336,070 0.04 APX Group Inc 7.625% 01/09/2023 205,000 USD 208,511 212,687 0.03 Ascent Resources Utica Holdings LLC/ARU Finance Corp 8.250% 31/12/2028 144A(2) 500,000 USD 500,000 498,750 0.07 AT&T Inc 3.650% 15/09/2059 144A(2) 1,266,000 USD 977,763 1,278,329 0.17 Atlas Air Worldwide Holdings Inc 1.875% 01/06/2024 805,000 USD 996,819 913,307 0.12 Avis Budget Car Rental LLC/Avis Budget Finance Inc 5.750% 15/07/2027 144A(2) 425,000 USD 407,927 431,375 0.06 Avis Budget Rental Car Funding AESOP LLC 2.970% 20/03/2024 144A(2) 145,000 USD 146,948 150,668 0.02 Avis Budget Rental Car Funding AESOP LLC 4.000% 20/03/2025 144A(2) 1,350,000 USD 1,349,795 1,462,727 0.19 Avis Budget Rental Car Funding AESOP LLC 4.270% 20/03/2025 144A(2) 150,000 USD 156,458 160,616 0.02 Banff Merger Sub Inc 9.750% 01/09/2026 144A(2) 740,000 USD 783,537 799,311 0.11 Bausch Health Americas Inc 8.500% 31/01/2027 144A(2) 115,000 USD 126,835 127,900 0.02 Beacon Roofing Supply Inc 4.875% 01/11/2025 144A(2) 195,000 USD 198,916 199,631 0.03 Blackstone Secured Lending Fund 3.625% 15/01/2026 144A(2) 820,000 USD 812,860 843,431 0.11 Boyd Gaming Corp 4.750% 01/12/2027 125,000 USD 127,413 129,844 0.02
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 33 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Boyd Gaming Corp 8.625% 01/06/2025 144A(2) 115,000 USD 127,311 127,902 0.02 Brand Industrial Services Inc 8.500% 15/07/2025 144A(2) 170,000 USD 171,755 173,612 0.02 Brighthouse Financial Inc 4.700% 22/06/2047 2,290,000 USD 1,975,450 2,391,323 0.32 Brookfield Property REIT Inc/BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL 5.750% 15/05/2026 144A(2) 395,000 USD 336,667 389,075 0.05 Caesars Entertainment Inc 8.125% 01/07/2027 144A(2) 515,000 USD 561,148 570,117 0.08 Caesars Resort Collection LLC/CRC Finco Inc 5.250% 15/10/2025 144A(2) 130,000 USD 131,014 131,377 0.02 California Republic Auto Receivables Trust 3.760% 15/12/2023 85,000 USD 84,999 86,059 0.01 CarMax Auto Owner Trust 4.150% 15/04/2025 310,000 USD 309,992 327,004 0.04 Carvana Co 5.875% 01/10/2028 144A(2) 160,000 USD 163,259 166,010 0.02 CCG Receivables Trust 3.420% 16/06/2025 144A(2) 100,000 USD 99,996 101,000 0.01 CCO Holdings LLC/CCO Holdings Capital Corp 4.500% 15/08/2030 144A(2) 90,000 USD 96,075 95,512 0.01 CCO Holdings LLC/CCO Holdings Capital Corp 4.500% 01/05/2032 144A(2) 575,000 USD 597,526 613,939 0.08 CCO Holdings LLC/CCO Holdings Capital Corp 5.000% 01/02/2028 144A(2) 120,000 USD 126,502 126,900 0.02 Cedar Fair LP/Canada's Wonderland Co/Magnum Management Corp./Millennium Op 5.500% 01/05/2025 144A(2) 590,000 USD 609,732 615,075 0.08 Chesapeake Funding II LLC 3.570% 15/04/2030 144A(2) 325,000 USD 324,981 331,749 0.04 Chesapeake Funding II LLC 3.710% 15/05/2029 144A(2) 240,000 USD 239,546 241,192 0.03 Chesapeake Funding II LLC 3.920% 15/04/2030 144A(2) 610,000 USD 609,970 622,753 0.08 CHS/Community Health Systems Inc 8.625% 15/01/2024 144A(2) 120,000 USD 125,432 125,100 0.02 Clear Channel Worldwide Holdings Inc 5.125% 15/08/2027 144A(2) 1,445,000 USD 1,376,862 1,459,450 0.19 Clear Channel Worldwide Holdings Inc 9.250% 15/02/2024 280,000 USD 281,417 283,500 0.04 Clearway Energy Operating LLC 4.750% 15/03/2028 144A(2) 1,080,000 USD 1,080,000 1,158,300 0.15 Cleveland-Cliffs Inc 5.875% 01/06/2027 340,000 USD 331,726 346,800 0.05 Coinstar Funding LLC 5.216% 25/04/2047 144A(2) 501,800 USD 511,395 489,391 0.07 COMM Mortgage Trust 3.961% 10/05/2051 500,000 USD 542,356 577,805 0.08 CommScope Technologies LLC 5.000% 15/03/2027 144A(2) 130,000 USD 129,923 128,050 0.02 Core & Main LP 6.125% 15/08/2025 144A(2) 730,000 USD 742,451 754,637 0.10 CoreVest American Finance Trust 4.358% 15/10/2049 144A(2) 260,000 USD 257,133 267,088 0.04 Cornerstone Building Brands Inc 6.125% 15/01/2029 144A(2) 170,000 USD 180,190 180,625 0.02 Credit Acceptance Auto Loan Trust 3.770% 15/06/2027 144A(2) 1,075,000 USD 1,074,920 1,092,145 0.15
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 34 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp 5.625% 01/05/2027 144A(2) 255,000 USD 232,668 252,450 0.03 CSC Holdings LLC 5.500% 15/04/2027 144A(2) 760,000 USD 800,408 805,600 0.11 CSC Holdings LLC 6.750% 15/11/2021 625,000 USD 651,618 653,125 0.09 CSFB Mortgage-Backed Pass-Through Certificates 5.750% 25/11/2033 58,143 USD 59,599 60,029 0.01 CSMC OA LLC 4.336% 15/09/2037 144A(2) 185,000 USD 155,377 166,676 0.02 CSMC OA LLC 4.373% 15/09/2037 144A(2) 1,530,000 USD 1,485,229 1,247,675 0.17 Curo Group Holdings Corp 8.250% 01/09/2025 144A(2) 310,000 USD 259,581 294,500 0.04 Dave & Buster's Inc 7.625% 01/11/2025 144A(2) 125,000 USD 130,284 131,562 0.02 DB Master Finance LLC 4.030% 20/11/2047 144A(2) 48,625 USD 48,625 51,636 0.01 Del Monte Foods Inc 11.875% 15/05/2025 144A(2) 140,000 USD 154,621 158,900 0.02 Dell International LLC/EMC Corp 6.200% 15/07/2030 144A(2) 1,445,000 USD 1,442,545 1,878,399 0.25 Dell International LLC/EMC Corp 8.350% 15/07/2046 144A(2) 2,985,000 USD 3,797,628 4,515,759 0.60 Delta Air Lines Inc 7.000% 01/05/2025 144A(2) 1,335,000 USD 1,335,000 1,541,327 0.20 Deutsche Mortgage Securities Inc Mortgage Loan Trust 6.160% 25/12/2033 56,629 USD 56,852 58,654 0.01 Diamond Sports Group LLC/Diamond Sports Finance Co 6.625% 15/08/2027 144A(2) 795,000 USD 332,241 480,975 0.06 DISH DBS Corp 5.875% 15/07/2022 935,000 USD 974,547 977,075 0.13 DISH Network Corp 3.375% 15/08/2026 860,000 USD 852,076 819,779 0.11 Domino's Pizza Master Issuer LLC 4.328% 25/07/2048 144A(2) 215,050 USD 213,862 233,742 0.03 Double Eagle III Midco 1 LLC/Double Eagle Finance Corp 7.750% 15/12/2025 144A(2) 885,000 USD 888,306 938,436 0.12 Drive Auto Receivables Trust 2.700% 17/05/2027 390,000 USD 389,944 405,896 0.05 Drive Auto Receivables Trust 3.050% 15/05/2028 100,000 USD 99,994 105,504 0.01 Entercom Media Corp 7.250% 01/11/2024 144A(2) 170,000 USD 165,461 169,575 0.02 ESH Hospitality Inc 5.250% 01/05/2025 144A(2) 215,000 USD 219,079 220,375 0.03 Federal National Mortgage Association 2.000% 01/01/2051 930,000 USD 959,262 966,074 0.13 Federal National Mortgage Association 2.000% 01/02/2051 567,000 USD 585,726 587,999 0.08 Ferrellgas LP/Ferrellgas Finance Corp 10.000% 15/04/2025 144A(2) 230,000 USD 250,946 254,270 0.03 First Investors Auto Owner Trust 4.920% 15/08/2024 144A(2) 475,000 USD 474,996 492,105 0.07 Flex Acquisition Co Inc 7.875% 15/07/2026 144A(2) 170,000 USD 177,656 178,500 0.02 Fortress Transportation & Infrastructure Investors LLC 6.750% 15/03/2022 144A(2) 240,000 USD 239,026 240,600 0.03 FXI Holdings Inc 7.875% 01/11/2024 144A(2) 130,000 USD 130,704 130,975 0.02 Glencore Funding LLC 4.000% 16/04/2025 144A(2) 130,000 USD 129,516 145,467 0.02 Global Atlantic Fin Co 4.400% 15/10/2029 144A(2) 745,000 USD 776,228 821,157 0.11 Golden Nugget Inc 6.750% 15/10/2024 144A(2) 220,000 USD 216,552 218,420 0.03 Grinding Media Inc/Moly-Cop AltaSteel Ltd 7.375% 15/12/2023 144A(2) 835,000 USD 849,680 847,525 0.11 Hanesbrands Inc 4.875% 15/05/2026 144A(2) 120,000 USD 129,713 130,350 0.02 Harbour Aircraft Investments Ltd 8.000% 15/11/2037 299,991 USD 299,886 164,155 0.02
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 35 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Hess Midstream Operations LP 5.625% 15/02/2026 144A(2) 918,000 USD 936,308 954,720 0.13 Hexion Inc 7.875% 15/07/2027 144A(2) 1,060,000 USD 1,114,799 1,134,200 0.15 Hill-Rom Holdings Inc 4.375% 15/09/2027 144A(2) 125,000 USD 125,000 132,056 0.02 Hilton Grand Vacations Trust 4.000% 25/02/2032 144A(2) 58,030 USD 58,589 60,497 0.01 Horizon Aircraft Finance I Ltd 4.458% 15/12/2038 144A(2) 763,366 USD 763,356 737,353 0.10 Howard Hughes Corp/The 5.375% 01/08/2028 144A(2) 120,000 USD 128,030 129,060 0.02 iHeartCommunications Inc 8.375% 01/05/2027 2,270,000 USD 2,401,533 2,423,134 0.32 Illuminate Buyer LLC/Illuminate Holdings IV Inc 9.000% 01/07/2028 144A(2) 1,865,000 USD 1,917,738 2,051,500 0.27 Intrado Corp 8.500% 15/10/2025 144A(2) 170,000 USD 163,420 164,411 0.02 IQVIA Inc 5.000% 15/10/2026 144A(2) 525,000 USD 530,525 548,625 0.07 KAR Auction Services Inc 5.125% 01/06/2025 144A(2) 125,000 USD 128,861 128,629 0.02 Kraft Heinz Foods Co 4.375% 01/06/2046 470,000 USD 445,335 506,506 0.07 Kraft Heinz Foods Co 4.875% 01/10/2049 144A(2) 745,000 USD 787,573 869,134 0.12 L Brands Inc 6.875% 01/07/2025 144A(2) 300,000 USD 300,000 325,734 0.04 LBM Acquisition LLC 6.250% 15/01/2029 144A(2) 170,000 USD 170,000 175,525 0.02 Legacy Mortgage Asset Trust 4.000% 25/04/2058 144A(2) 496,287 USD 498,147 499,506 0.07 Lennar Corp 5.250% 01/06/2026 50,000 USD 50,355 59,250 0.01 Liberty Interactive LLC 8.250% 01/02/2030 230,000 USD 248,616 257,888 0.03 LogMeIn Inc 5.500% 01/09/2027 144A(2) 990,000 USD 990,000 1,037,025 0.14 LSB Industries Inc 9.625% 01/05/2023 144A(2) 145,000 USD 146,457 149,350 0.02 Lumentum Holdings Inc 0.500% 15/12/2026 1,540,000 USD 1,690,940 1,877,876 0.25 Massachusetts Educational Financing Authority 3.850% 25/05/2033 164,050 USD 168,925 174,967 0.02 Matador Resources Co 5.875% 15/09/2026 605,000 USD 511,086 592,900 0.08 Match Group Holdings II LLC 5.000% 15/12/2027 144A(2) 535,000 USD 564,172 568,619 0.08 Mauser Packaging Solutions Holding Co 7.250% 15/04/2025 144A(2) 240,000 USD 241,910 242,400 0.03 Mylan Inc 5.400% 29/11/2043 1,260,000 USD 1,387,321 1,677,093 0.22 Nationstar Mortgage Holdings Inc 5.125% 15/12/2030 144A(2) 175,000 USD 175,000 182,914 0.02 Nationstar Mortgage Holdings Inc 6.000% 15/01/2027 144A(2) 435,000 USD 446,465 461,644 0.06 Navient Corp 5.625% 01/08/2033 425,000 USD 371,033 408,000 0.05 Navient Corp 6.750% 15/06/2026 90,000 USD 98,321 97,763 0.01 Navient Private Education Refi Loan Trust 3.680% 18/02/2042 144A(2) 465,000 USD 464,926 474,611 0.06 Navistar International Corp 6.625% 01/11/2025 144A(2) 350,000 USD 360,250 366,678 0.05 NBM US Holdings Inc 7.000% 14/05/2026 144A(2) 365,000 USD 378,852 397,397 0.05 NCR Corp 5.750% 01/09/2027 144A(2) 120,000 USD 126,817 127,500 0.02 NCR Corp 6.125% 01/09/2029 144A(2) 115,000 USD 125,312 127,363 0.02 Netflix Inc 4.875% 15/06/2030 144A(2) 455,000 USD 522,532 523,250 0.07 NGL Energy Partners LP/NGL Energy Finance Corp 7.500% 15/04/2026 610,000 USD 350,953 378,200 0.05
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 36 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
NortonLifeLock Inc 5.000% 15/04/2025 144A(2) 200,000 USD 203,510 204,000 0.03 NRG Energy Inc 5.250% 15/06/2029 144A(2) 375,000 USD 379,202 412,500 0.05 Nuance Communications Inc 5.625% 15/12/2026 660,000 USD 694,833 698,359 0.09 Occidental Petroleum Corp 7.875% 15/09/2031 120,000 USD 130,006 133,800 0.02 OneMain Financial Issuance Trust 4.830% 14/05/2032 144A(2) 100,000 USD 99,990 106,959 0.01 OneMain Financial Issuance Trust 5.810% 14/05/2032 144A(2) 315,000 USD 321,625 343,729 0.05 OneMain Financial Issuance Trust 5.820% 20/11/2028 144A(2) 400,000 USD 399,991 400,697 0.05 Orange Lake Timeshare Trust 3.740% 08/11/2030 144A(2) 184,662 USD 184,643 187,012 0.02 Ortho-Clinical Diagnostics Inc/Ortho-Clinical Diagnostics SA 7.250% 01/02/2028 144A(2) 165,000 USD 177,244 174,075 0.02 Owens-Brockway Glass Container Inc 5.875% 15/08/2023 144A(2) 140,000 USD 151,339 149,975 0.02 Parsley Energy LLC/Parsley Finance Corp 5.250% 15/08/2025 144A(2) 560,000 USD 525,540 583,240 0.08 PennyMac Financial Services Inc 5.375% 15/10/2025 144A(2) 310,000 USD 322,592 327,825 0.04 PetSmart Inc 7.125% 15/03/2023 144A(2) 130,000 USD 129,335 130,000 0.02 Plains All American Pipeline LP/PAA Finance Corp 3.800% 15/09/2030 380,000 USD 379,260 408,519 0.05 Planet Fitness Master Issuer LLC 4.666% 05/09/2048 144A(2) 508,300 USD 508,300 506,612 0.07 Progress Residential Trust 4.427% 17/10/2035 144A(2) 180,000 USD 183,581 183,558 0.02 Progress Residential Trust 4.873% 17/10/2035 144A(2) 100,000 USD 102,623 102,345 0.01 PTC Inc 4.000% 15/02/2028 144A(2) 215,000 USD 215,000 225,347 0.03 Rayonier AM Products Inc 5.500% 01/06/2024 144A(2) 260,000 USD 185,498 226,200 0.03 Realogy Group LLC/Realogy Co-Issuer Corp 4.875% 01/06/2023 144A(2) 125,000 USD 128,497 127,500 0.02 Santander Drive Auto Receivables Trust 1.640% 16/11/2026 195,000 USD 194,966 198,611 0.03 Santander Drive Auto Receivables Trust 2.220% 15/09/2026 100,000 USD 99,978 103,013 0.01 SCF Equipment Leasing LLC 4.210% 20/04/2027 144A(2) 585,000 USD 584,812 589,629 0.08 Science Applications International Corp 4.875% 01/04/2028 144A(2) 140,000 USD 147,227 148,400 0.02 Scientific Games International Inc 8.250% 15/03/2026 144A(2) 325,000 USD 337,704 350,220 0.05 Scripps Escrow II Inc 5.375% 15/01/2031 144A(2) 280,000 USD 280,000 291,900 0.04 SeaWorld Parks & Entertainment Inc 9.500% 01/08/2025 144A(2) 150,000 USD 157,737 162,844 0.02 Select Medical Corp 6.250% 15/08/2026 144A(2) 130,000 USD 139,602 140,000 0.02 Service Properties Trust 4.950% 01/10/2029 440,000 USD 375,296 441,100 0.06 Sirius XM Radio Inc 5.000% 01/08/2027 144A(2) 120,000 USD 126,216 127,501 0.02 Six Flags Theme Parks Inc 7.000% 01/07/2025 144A(2) 695,000 USD 737,625 750,600 0.10 SMB Private Education Loan Trust 3.000% 15/08/2045 144A(2) 390,000 USD 389,875 403,942 0.05
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 37 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
SMB Private Education Loan Trust 3.500% 15/09/2043 144A(2) 160,000 USD 164,415 167,588 0.02 SMB Private Education Loan Trust 4.000% 17/11/2042 144A(2) 120,000 USD 125,027 126,517 0.02 Sofi Professional Loan Program Trust 4.130% 25/01/2048 144A(2) 490,000 USD 489,965 541,728 0.07 Spirit AeroSystems Inc 4.600% 15/06/2028 135,000 USD 130,745 133,481 0.02 Spirit AeroSystems Inc 7.500% 15/04/2025 144A(2) 120,000 USD 129,693 128,700 0.02 Springleaf Funding Trust 3.860% 15/07/2030 144A(2) 335,000 USD 336,318 338,412 0.05 Sprint Corp 7.875% 15/09/2023 480,000 USD 548,742 555,744 0.07 Station Casinos LLC 5.000% 01/10/2025 144A(2) 180,000 USD 181,834 182,079 0.02 Summit Materials LLC/Summit Materials Finance Corp 5.250% 15/01/2029 144A(2) 260,000 USD 260,000 273,000 0.04 Surgery Center Holdings Inc 10.000% 15/04/2027 144A(2) 155,000 USD 169,596 171,275 0.02 Tenet Healthcare Corp 7.500% 01/04/2025 144A(2) 805,000 USD 848,163 879,463 0.12 Tidewater Auto Receivables Trust 4.300% 15/11/2024 144A(2) 100,000 USD 99,996 102,330 0.01 T-Mobile USA Inc 4.375% 15/04/2040 144A(2) 1,105,000 USD 1,083,974 1,348,509 0.18 T-Mobile USA Inc 4.500% 15/04/2050 144A(2) 1,095,000 USD 1,090,458 1,350,557 0.18 Triumph Group Inc 8.875% 01/06/2024 144A(2) 115,000 USD 126,861 126,213 0.02 Tronox Inc 6.500% 15/04/2026 144A(2) 330,000 USD 335,881 343,613 0.05 Uber Technologies Inc 0.000% 15/12/2025 144A(2) 475,000 USD 475,000 485,943 0.06 Uber Technologies Inc 6.250% 15/01/2028 144A(2) 120,000 USD 128,339 130,500 0.02 Uber Technologies Inc 7.500% 15/05/2025 144A(2) 200,000 USD 216,011 216,044 0.03 Uber Technologies Inc 7.500% 15/09/2027 144A(2) 995,000 USD 1,071,532 1,094,500 0.15 United Airlines Holdings Inc 4.250% 01/10/2022 145,000 USD 145,305 145,725 0.02 Uniti Group LP/Uniti Group Finance Inc/CSL Capital LLC 8.250% 15/10/2023 330,000 USD 330,387 332,475 0.04 US Foods Inc 6.250% 15/04/2025 144A(2) 140,000 USD 149,280 149,625 0.02 US Renal Care Inc 10.625% 15/07/2027 144A(2) 135,000 USD 149,754 149,175 0.02 Utah Acquisition Sub Inc 5.250% 15/06/2046 1,245,000 USD 1,338,306 1,631,050 0.22 Veritas US Inc/Veritas Bermuda Ltd 10.500% 01/02/2024 144A(2) 250,000 USD 247,708 253,750 0.03 WAVE Trust 5.682% 15/11/2042 144A(2) 568,522 USD 568,744 450,143 0.06 Wendy's Funding LLC 4.080% 15/06/2049 144A(2) 62,725 USD 64,805 66,946 0.01 WESCO Distribution Inc 7.125% 15/06/2025 144A(2) 675,000 USD 724,874 742,385 0.10 West Street Merger Sub Inc 6.375% 01/09/2025 144A(2) 160,000 USD 163,597 164,000 0.02 White Capital Buyer LLC 6.875% 15/10/2028 144A(2) 650,000 USD 650,000 693,063 0.09 William Carter Co/The 5.625% 15/03/2027 144A(2) 740,000 USD 750,691 778,850 0.10 Williams Scotsman International Inc 4.625% 15/08/2028 144A(2) 125,000 USD 130,149 129,375 0.02 Willis Engine Structured Trust IV 4.750% 15/09/2043 144A(2) 709,074 USD 709,039 630,398 0.08 Zayo Group Holdings Inc 6.125% 01/03/2028 144A(2) 120,000 USD 126,847 126,900 0.02 88,832,785 94,147,638 12.51 Total - Fixed rate bonds 145,256,855 153,726,189 20.42
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 38 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Variable rate bonds
Brazil Itau Unibanco Holding SA/Cayman Island 4.625% Perpetual 144A(2) 5,440,000 USD 5,440,000 5,354,824 0.71 5,440,000 5,354,824 0.71 Canada Enbridge Inc 6.250% 01/03/2078 410,000 USD 410,000 446,838 0.06 410,000 446,838 0.06 Cayman Islands AGL CLO 1 LTD 4.068% 20/10/2032 144A(2) 150,000 USD 150,000 150,436 0.02 CARLYLE US CLO Ltd 3.037% 15/01/2030 144A(2) 250,000 USD 236,676 230,860 0.03 CIFC Funding Ltd 2.868% 18/04/2031 144A(2) 250,000 USD 242,353 239,668 0.03 Galaxy XXIX CLO Ltd 1.901% 15/11/2026 144A(2) 555,000 USD 549,595 545,785 0.07 Magnetite XVI Ltd 1.818% 18/01/2028 144A(2) 500,000 USD 495,812 491,557 0.07 Mountain View CLO X Ltd 2.074% 13/10/2027 144A(2) 545,000 USD 543,625 530,789 0.07 OFSI Fund VI Ltd 2.737% 20/03/2025 144A(2) 305,000 USD 305,760 302,887 0.04 Parallel Ltd 2.368% 20/10/2031 144A(2) 500,000 USD 497,992 482,827 0.07 Regatta XIII Funding Ltd 3.337% 15/07/2031 144A(2) 250,000 USD 200,907 246,874 0.03 3,222,720 3,221,683 0.43 France Societe Generale SA 7.375% Perpetual 144A(2) 1,705,000 USD 1,403,919 1,839,269 0.24 1,403,919 1,839,269 0.24 Germany Deutsche Bank AG 4.789% Perpetual 600,000 USD 418,230 568,656 0.07 Deutsche Bank AG 6.000% Perpetual 3,000,000 USD 2,731,994 3,008,446 0.40 Deutsche Bank AG/New York NY 3.547% 18/09/2031 1,690,000 USD 1,690,000 1,831,523 0.24 Deutsche Bank AG/New York NY 4.875% 01/12/2032 495,000 USD 481,585 517,968 0.07 Deutsche Bank AG/New York NY 5.882% 08/07/2031 2,485,000 USD 2,536,801 2,979,325 0.40 7,858,610 8,905,918 1.18 Great Britain Lanark Master Issuer PLC 2.277% 22/12/2069 144A(2) 200,000 USD 200,000 203,356 0.03 200,000 203,356 0.03 Italy Intesa Sanpaolo SpA 7.700% Perpetual 144A(2) 1,660,000 USD 1,674,350 1,884,100 0.25 UniCredit SpA 5.459% 30/06/2035 144A(2) 3,480,000 USD 3,480,000 3,829,175 0.51 UniCredit SpA 5.861% 19/06/2032 144A(2) 505,000 USD 540,032 568,270 0.07 UniCredit SpA 7.296% 02/04/2034 144A(2) 1,920,000 USD 1,920,000 2,322,259 0.31 UniCredit SpA 8.000% Perpetual 880,000 USD 886,016 951,500 0.13 8,500,398 9,555,304 1.27 Switzerland Credit Suisse Group AG 7.250% Perpetual 144A(2) 1,725,000 USD 1,737,193 1,941,028 0.26 1,737,193 1,941,028 0.26 United States Banc of America Mortgage Trust 2.604% 25/10/2035 280,578 USD 276,387 269,806 0.04
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 39 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Bayview Koitere Fund Trust 4.250% 28/11/2053 144A(2) 100,000 USD 103,506 107,924 0.02 Bayview Opportunity Master Fund IVb Trust 4.250% 28/06/2054 144A(2) 100,000 USD 102,721 107,290 0.01 Bayview Opportunity Master Fund IVb Trust 4.750% 28/01/2055 144A(2) 100,000 USD 104,793 107,978 0.02 CG-CCRE Commercial Mortgage Trust 3.659% 15/11/2031 144A(2) 240,000 USD 228,388 169,130 0.02 CG-CCRE Commercial Mortgage Trust 4.659% 15/11/2031 144A(2) 675,000 USD 627,362 427,828 0.06 Citigroup Mortgage Loan Trust 4.000% 25/01/2068 144A(2) 300,521 USD 298,520 301,809 0.04 COMM Mortgage Trust 4.934% 10/12/2044 255,000 USD 259,702 250,332 0.03 COMM Mortgage Trust 5.535% 10/12/2044 20,000 USD 20,348 18,031 0.00 COMM Mortgage Trust 5.535% 10/12/2044 144A(2) 140,000 USD 133,160 98,088 0.01 CSMC Trust 4.164% 25/07/2058 144A(2) 360,000 USD 359,553 360,067 0.05 DBUBS Mortgage Trust 3.530% 10/10/2034 144A(2) 200,000 USD 205,955 209,116 0.03 FREMF Mortgage Trust 4.055% 25/05/2025 144A(2) 320,000 USD 318,822 353,928 0.05 General Electric Co 5.000% Perpetual 4,115,000 USD 3,470,595 3,827,979 0.51 General Motors Financial Co Inc 5.750% Perpetual 3,560,000 USD 3,540,589 3,702,400 0.49 GS Mortgage Securities CorpTrust 3.550% 05/03/2033 144A(2) 290,000 USD 261,255 233,828 0.03 GS Mortgage Securities Trust 5.388% 10/08/2044 144A(2) 820,000 USD 818,216 702,020 0.09 GSR Mortgage Loan Trust 3.750% 25/07/2035 21,867 USD 20,610 21,442 0.00 Invitation Homes Trust 2.153% 17/07/2037 144A(2) 569,185 USD 569,185 568,287 0.08 JP Morgan Chase Commercial Mortgage Securities Trust 5.424% 15/08/2046 144A(2) 304,000 USD 304,525 235,466 0.03 JP Morgan Mortgage Trust 0.428% 25/11/2048 144A(2) 6,855,861 USD 448,791 21,719 0.00 Morgan Stanley Capital I Trust 5.200% 15/06/2044 144A(2) 330,000 USD 331,929 329,130 0.04 Morgan Stanley Capital I Trust 5.477% 15/06/2044 144A(2) 345,000 USD 341,523 211,846 0.03 SLM Private Credit Student Loan Trust 0.000% 15/06/2032 160,000 USD 159,731 159,075 0.02 SLM Private Credit Student Loan Trust 0.000% 15/09/2032 90,000 USD 89,824 89,624 0.01 SLM Private Credit Student Loan Trust 0.000% 15/03/2033 487,000 USD 486,612 483,784 0.06 Starwood Retail Property Trust 3.659% 15/11/2027 144A(2) 2,410,000 USD 2,241,200 1,559,063 0.21 Starwood Retail Property Trust 4.559% 15/11/2027 144A(2) 1,010,000 USD 984,689 346,951 0.05 Towd Point Mortgage Trust 3.000% 25/08/2055 144A(2) 100,000 USD 94,165 106,002 0.01 Towd Point Mortgage Trust 3.250% 25/07/2058 144A(2) 200,000 USD 209,147 211,288 0.03 Towd Point Mortgage Trust 3.505% 25/10/2053 144A(2) 100,000 USD 102,493 105,986 0.01 Towd Point Mortgage Trust 3.750% 25/04/2055 144A(2) 100,000 USD 100,100 107,722 0.02
(2) See Note 12.
The accompanying notes form an integral part of these financial statements. 40 Natixis Investment Solutions (Lux) I
Loomis Sayles World Credit Asset Fund
Statement of Investments (continued) As at December 31, 2020 (expressed in USD)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets UBS Commercial Mortgage Trust 5.270% 15/12/2051 315,000 USD 269,872 329,260 0.04 UBS-Barclays Commercial Mortgage Trust 4.888% 10/05/2063 144A(2) 1,040,000 USD 1,004,189 481,984 0.06 Wells Fargo Commercial Mortgage Trust 5.024% 15/06/2049 490,000 USD 429,996 433,708 0.06 WFRBS Commercial Mortgage Trust 4.810% 15/06/2045 225,000 USD 229,374 175,233 0.02 WFRBS Commercial Mortgage Trust 4.810% 15/06/2045 144A(2) 585,000 USD 432,069 259,586 0.04 WFRBS Commercial Mortgage Trust 5.523% 15/02/2044 144A(2) 132,070 USD 132,316 131,706 0.02 WFRBS Commercial Mortgage Trust 5.642% 15/03/2044 144A(2) 1,324,000 USD 1,302,962 617,395 0.08 21,415,174 18,233,811 2.42 Total - Variable rate bonds 50,188,014 49,702,031 6.60 Total - Transferable securities dealt in on another regulated market 195,747,763 203,744,129 27.06 Other transferable securities
Fixed rate bonds
United States Avantor Funding Inc 3.875% 15/07/2028 144A(2) 815,000 EUR 935,532 1,047,053 0.14 935,532 1,047,053 0.14 Total - Fixed rate bonds 935,532 1,047,053 0.14
Treasury Bills
Egypt Egypt Treasury Bills 0.000% 12/01/2021 386,500,000 EGP 24,134,729 24,477,820 3.25 24,134,729 24,477,820 3.25 United States United States Treasury Bill 0.000% 28/01/2021 1,155,000 USD 1,154,921 1,154,921 0.15 United States Treasury Bill 0.000% 10/06/2021 1,960,000 USD 1,959,321 1,959,292 0.26 United States Treasury Bill 0.000% 24/06/2021 42,000,000 USD 41,983,940 41,983,541 5.58 45,098,182 45,097,754 5.99 Total - Treasury Bills 69,232,911 69,575,574 9.24 Total - Other transferable securities 70,168,443 70,622,627 9.38 TOTAL INVESTMENT PORTFOLIO 654,421,026 696,309,017 92.49
(2) See Note 12.
A detailed schedule of portfolio movements for the year from January 1, 2020 to December 31, 2020 is available free of charge upon request at the registered office of the Administrative Agent of the Fund.
The accompanying notes form an integral part of these financial statements. 41 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Changes in the number of Units for the period ended December 31, 2020
R/A (EUR) Number of units outstanding at the beginning - Number of units issued 219,164.578 Number of units redeemed (505.371) Number of units at the end 218,659.207 R/DIV (EUR) Number of units outstanding at the beginning - Number of units issued 644,811.239 Number of units redeemed - Number of units at the end 644,811.239
(1) See Note 1.
42 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statistics December 31, 2020 December 31, 2019 December 31, 2018
EUR EUR EUR
Total Net Asset Value 87,324,907 - -
Net Asset Value per Unit
R/A (EUR) 101.13 - -
R/DIV (EUR) 101.13 - -
(1) See Note 1.
43 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Transferable securities admitted to an official stock exchange listing
Shares
Brazil Cia de Saneamento Basico do Estado de Sao Paulo 20,210 BRL 142,645 141,319 0.16 142,645 141,319 0.16 Canada Stantec Inc 7,050 CAD 180,317 186,697 0.21 180,317 186,697 0.21 China Tencent Music Entertainment Group ADR 8,030 USD 111,285 126,270 0.15 111,285 126,270 0.15 Denmark Netcompany Group A/S 144A(2) 488 DKK 37,916 40,812 0.05 37,916 40,812 0.05 France Dassault Systemes SE 1,220 EUR 190,154 202,703 0.23 Suez SA 14,090 EUR 228,996 228,540 0.26 Ubisoft Entertainment SA 1,360 EUR 109,745 107,222 0.12 Veolia Environnement SA 8,850 EUR 173,278 177,089 0.21 Worldline SA/France 144A(2) 3,320 EUR 260,152 262,612 0.30 962,325 978,166 1.12 Germany HelloFresh SE 2,930 EUR 149,400 185,176 0.21 Knorr-Bremse AG 1,410 EUR 152,131 157,469 0.18 Siemens AG 860 EUR 97,095 101,067 0.11 Siemens Healthineers AG 144A(2) 3,040 EUR 117,687 127,619 0.15 516,313 571,331 0.65 Great Britain Auto Trader Group PLC 144A(2) 22,520 GBP 141,839 149,950 0.17 Beazley PLC 31,150 GBP 129,205 126,884 0.15 Blue Prism Group PLC 9,670 GBP 154,146 185,817 0.21 Ferguson PLC 2,290 GBP 215,018 227,287 0.26 Halma PLC 14,691 GBP 366,464 401,949 0.46 HomeServe PLC 28,400 GBP 337,603 325,217 0.37 IHS Markit Ltd 3,320 USD 274,339 243,746 0.28 London Stock Exchange Group PLC 1,590 GBP 143,833 160,014 0.18 Pennon Group PLC 14,200 GBP 152,583 150,710 0.17 Pentair PLC 4,750 USD 206,169 206,103 0.24 Rentokil Initial PLC 45,313 GBP 253,272 257,978 0.30 Rightmove PLC 21,280 GBP 150,764 154,721 0.18 Severn Trent PLC 7,880 GBP 212,440 201,513 0.23 Spirax-Sarco Engineering PLC 1,270 GBP 159,555 160,258 0.18 2,897,230 2,952,147 3.38 Hong Kong China Everbright Environment Group Ltd 238,000 HKD 112,186 109,878 0.13 Guangdong Investment Ltd 128,000 HKD 180,530 188,346 0.21 292,716 298,224 0.34 Ireland Aptiv PLC 2,850 USD 289,111 303,483 0.35
(1) See Note 1. (2) See Note 12.
The accompanying notes are an integral part of these financial statements. 44 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Experian PLC 4,150 GBP 123,048 128,752 0.15 412,159 432,235 0.50 Israel Wix.com Ltd 700 USD 151,615 143,003 0.16 151,615 143,003 0.16 Italy Nexi SpA 144A(2) 12,020 EUR 190,381 196,407 0.23 190,381 196,407 0.23 Japan Daifuku Co Ltd 2,000 JPY 196,684 202,018 0.23 FANUC Corp 1,300 JPY 266,705 260,977 0.30 Horiba Ltd 2,200 JPY 98,457 105,363 0.12 Keyence Corp 500 JPY 213,472 229,566 0.26 Kurita Water Industries Ltd 5,800 JPY 179,215 181,127 0.21 Nidec Corp 1,200 JPY 126,126 123,300 0.14 Omron Corp 2,200 JPY 165,900 160,221 0.18 Secom Co Ltd 1,200 JPY 99,249 90,405 0.10 Shimadzu Corp 6,500 JPY 193,780 206,332 0.24 SMC Corp 300 JPY 159,448 149,495 0.17 Sony Corp 1,900 JPY 148,210 154,692 0.18 1,847,246 1,863,496 2.13 Luxembourg Eurofins Scientific SE 3,630 EUR 251,391 249,127 0.29 251,391 249,127 0.29 Netherlands Aalberts NV 5,810 EUR 213,502 211,833 0.24 ASML Holding NV 320 EUR 116,861 127,216 0.15 Basic-Fit NV 144A(2) 5,000 EUR 152,381 150,000 0.17 BE Semiconductor Industries NV 2,880 EUR 127,697 142,790 0.17 Signify NV 144A(2) 4,870 EUR 174,464 168,161 0.19 Wolters Kluwer NV 3,570 EUR 251,598 246,544 0.28 1,036,503 1,046,544 1.20 South Korea Coway Co Ltd 5,280 KRW 280,283 288,800 0.33 280,283 288,800 0.33 Spain Fluidra SA 8,090 EUR 150,148 169,485 0.19 150,148 169,485 0.19 Sweden Alfa Laval AB 10,630 SEK 226,302 239,397 0.27 Hexagon AB 2,010 SEK 140,244 149,983 0.17 Spotify Technology SA 466 USD 108,562 119,841 0.14 475,108 509,221 0.58 Switzerland Geberit AG 230 CHF 116,636 117,854 0.13 Kardex Holding AG 780 CHF 128,699 139,621 0.16 TE Connectivity Ltd 1,430 USD 136,193 141,498 0.16 Tecan Group AG 490 CHF 181,056 196,534 0.23 562,584 595,507 0.68
(1) See Note 1. (2) See Note 12.
The accompanying notes are an integral part of these financial statements. 45 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
United States 1Life Healthcare Inc 4,653 USD 129,253 165,995 0.19 Activision Blizzard Inc 2,910 USD 189,983 220,828 0.25 Adobe Inc 750 USD 297,878 306,559 0.35 Agilent Technologies Inc 1,810 USD 173,322 175,283 0.20 Alarm.com Holdings Inc 2,450 USD 154,039 207,145 0.24 Alphabet Inc 190 USD 280,564 271,393 0.31 Altair Engineering Inc 3,110 USD 140,677 147,881 0.17 American Water Works Co Inc 1,591 USD 203,808 199,559 0.23 Anaplan Inc 2,340 USD 135,410 137,411 0.16 ANSYS Inc 810 USD 226,520 240,839 0.28 API Group Corp 144A(2) 14,730 USD 193,082 218,503 0.25 Applied Industrial Technologies Inc 3,290 USD 220,305 209,707 0.24 Autodesk Inc 650 USD 150,968 162,209 0.19 Cadence Design Systems Inc 1,770 USD 172,500 197,361 0.23 California Water Service Group 3,940 USD 165,131 173,984 0.20 Charter Communications Inc 510 USD 276,417 275,747 0.32 Chegg Inc 2,980 USD 192,390 220,002 0.25 Cintas Corp 570 USD 172,304 164,662 0.19 Clean Harbors Inc 3,270 USD 202,032 203,381 0.23 Clorox Co/The 1,180 USD 199,045 194,733 0.22 Cognex Corp 3,830 USD 239,392 251,311 0.29 Coherent Inc 1,270 USD 127,896 155,715 0.18 CoStar Group Inc 370 USD 277,928 279,501 0.32 Costco Wholesale Corp 1,030 USD 333,797 317,178 0.36 Coupa Software Inc 540 USD 151,263 149,574 0.17 CryoPort Inc 7,450 USD 305,566 267,178 0.31 Danaher Corp 1,600 USD 295,966 290,486 0.33 DexCom Inc 421 USD 115,697 127,214 0.15 Ecolab Inc 1,950 USD 361,784 344,818 0.39 Emerson Electric Co 1,850 USD 119,637 121,519 0.14 Essential Utilities Inc 11,529 USD 439,341 445,594 0.51 Everbridge Inc 2,520 USD 267,322 307,022 0.35 Evoqua Water Technologies Corp 6,823 USD 146,672 150,451 0.17 Exponent Inc 1,780 USD 125,187 130,974 0.15 FactSet Research Systems Inc 620 USD 174,411 168,485 0.19 Fidelity National Information Services Inc 1,530 USD 188,401 176,890 0.20 Fiserv Inc 3,242 USD 308,394 301,691 0.35 Generac Holdings Inc 1,420 USD 255,872 263,922 0.30 Global Payments Inc 1,847 USD 303,301 325,186 0.37 GoDaddy Inc 3,590 USD 238,516 243,382 0.28 HealthEquity Inc 3,710 USD 222,878 211,372 0.24 Helios Technologies Inc 2,820 USD 116,639 122,821 0.14 Hologic Inc 2,740 USD 157,859 163,094 0.19 HubSpot Inc 600 USD 196,912 194,405 0.22 IDEX Corp 1,270 USD 203,142 206,762 0.24 Intuit Inc 990 USD 292,281 307,345 0.35 Intuitive Surgical Inc 470 USD 286,959 314,255 0.36 iRobot Corp 1,990 USD 131,057 130,585 0.15
(1) See Note 1. (2) See Note 12.
The accompanying notes are an integral part of these financial statements. 46 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Jack Henry & Associates Inc 1,310 USD 174,412 173,435 0.20 John Bean Technologies Corp 1,940 USD 182,345 180,547 0.21 KLA Corp 590 USD 123,730 124,847 0.14 Littelfuse Inc 650 USD 130,905 135,286 0.15 Masco Corp 3,890 USD 174,901 174,638 0.20 Match Group Inc 1,780 USD 205,505 219,949 0.25 Mettler-Toledo International Inc 120 USD 113,637 111,774 0.13 Microsoft Corp 1,040 USD 186,391 189,054 0.22 MSA Safety Inc 1,420 USD 177,791 173,376 0.20 MSCI Inc 760 USD 260,059 277,359 0.32 Nasdaq Inc 2,145 USD 226,250 232,706 0.27 Netflix Inc 330 USD 135,279 145,839 0.17 New York Times Co/The 5,700 USD 202,702 241,174 0.28 Nuance Communications Inc 7,750 USD 281,168 279,267 0.32 NVIDIA Corp 1,098 USD 488,904 468,616 0.54 Omnicell Inc 1,750 USD 155,489 171,660 0.20 ON Semiconductor Corp 6,060 USD 146,315 162,105 0.19 Palo Alto Networks Inc 476 USD 117,218 138,258 0.16 PayPal Holdings Inc 1,390 USD 244,430 266,060 0.30 Peloton Interactive Inc 1,440 USD 133,757 178,560 0.20 PerkinElmer Inc 1,020 USD 110,704 119,627 0.14 Planet Fitness Inc 4,810 USD 291,676 305,178 0.35 Pool Corp 530 USD 150,784 161,354 0.18 Primo Water Corp 10,740 USD 135,170 137,635 0.16 Proofpoint Inc 1,880 USD 165,304 209,596 0.24 PTC Inc 1,680 USD 153,122 164,231 0.19 Q2 Holdings Inc 1,900 USD 182,929 196,483 0.22 Rapid7 Inc 3,200 USD 200,813 235,799 0.27 RingCentral Inc 640 USD 159,724 198,227 0.23 Rockwell Automation Inc 790 USD 166,569 161,939 0.19 Rollins Inc 4,245 USD 134,368 135,550 0.15 Roper Technologies Inc 960 USD 340,224 338,234 0.39 salesforce.com Inc 1,170 USD 232,356 212,791 0.24 ServiceNow Inc 880 USD 392,035 395,880 0.45 SiteOne Landscape Supply Inc 1,110 USD 128,015 143,909 0.16 SJW Group 2,670 USD 148,647 151,356 0.17 Sotera Health Co 6,785 USD 153,198 152,164 0.17 Splunk Inc 1,652 USD 279,943 229,380 0.26 SPS Commerce Inc 1,550 USD 133,914 137,562 0.16 Stanley Black & Decker Inc 1,012 USD 154,852 147,687 0.17 STERIS PLC 1,230 USD 196,655 190,539 0.22 Stitch Fix Inc 2,479 USD 84,825 118,971 0.14 Synopsys Inc 1,940 USD 368,337 411,038 0.47 Teladoc Health Inc 800 USD 132,159 130,741 0.15 Teradyne Inc 2,329 USD 212,314 228,208 0.26 Terminix Global Holdings Inc 4,400 USD 183,834 183,437 0.21 Tetra Tech Inc 1,210 USD 122,761 114,498 0.13 Thermo Fisher Scientific Inc 1,270 USD 489,751 483,463 0.55 T-Mobile US Inc 2,670 USD 292,034 294,266 0.34 Toro Co/The 3,040 USD 230,809 235,637 0.27
(1) See Note 1.
The accompanying notes are an integral part of these financial statements. 47 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
TransUnion 2,720 USD 210,589 220,570 0.25 Tyler Technologies Inc 610 USD 217,652 217,627 0.25 US Ecology Inc 4,360 USD 127,675 129,458 0.15 Vail Resorts Inc 539 USD 123,588 122,888 0.14 Varonis Systems Inc 2,700 USD 274,195 361,037 0.41 Visa Inc 1,060 USD 185,563 189,493 0.22 Walt Disney Co/The 1,180 USD 144,894 174,731 0.20 Waste Connections Inc 2,620 USD 228,759 219,634 0.25 Waste Management Inc 2,010 USD 201,064 193,731 0.22 Westinghouse Air Brake Technologies Corp 2,750 USD 168,268 164,521 0.19 Xilinx Inc 1,350 USD 157,780 156,422 0.18 Xylem Inc/NY 2,550 USD 205,264 212,141 0.24 Zebra Technologies Corp 490 USD 153,534 153,914 0.18 Zscaler Inc 1,570 USD 201,825 256,258 0.29 22,849,362 23,704,227 27.15 Total - Shares 33,347,527 34,493,018 39.50
Fixed rate bonds
Belgium Anheuser-Busch InBev SA/NV 2.000% 17/03/2028 EMTN 426,000 EUR 485,808 483,257 0.55 485,808 483,257 0.55 Canada Alimentation Couche-Tard Inc 1.875% 06/05/2026 444,000 EUR 480,290 477,516 0.54 Bank of Nova Scotia/The 0.500% 30/04/2024 EMTN 469,000 EUR 479,820 478,573 0.55 Fairfax Financial Holdings Ltd 2.750% 29/03/2028 455,000 EUR 488,479 505,568 0.58 Toronto-Dominion Bank/The 0.375% 25/04/2024 EMTN 472,000 EUR 480,541 479,087 0.55 1,929,130 1,940,744 2.22 Denmark Danske Bank A/S 0.875% 22/05/2023 EMTN 470,000 EUR 480,818 479,179 0.55 Danske Bank A/S 1.375% 24/05/2022 EMTN 466,000 EUR 477,073 475,534 0.54 957,891 954,713 1.09 France Autoroutes du Sud de la France SA 5.625% 04/07/2022 EMTN 450,000 EUR 490,983 489,600 0.56 Carrefour SA 1.750% 15/07/2022 EMTN 463,000 EUR 476,181 474,456 0.55 967,164 964,056 1.11 Germany Deutsche Bank AG 1.125% 17/03/2025 EMTN 500,000 EUR 517,027 516,696 0.59 Deutsche Bank AG 1.500% 20/01/2022 EMTN 500,000 EUR 508,594 507,517 0.58 Volkswagen Leasing GmbH 2.125% 04/04/2022 EMTN 459,000 EUR 473,233 471,802 0.54 1,498,854 1,496,015 1.71 Great Britain Barclays Bank PLC 6.625% 30/03/2022 EMTN 425,000 EUR 460,840 459,148 0.53 Barclays PLC 1.500% 01/04/2022 EMTN 465,000 EUR 475,415 474,500 0.54 BG Energy Capital PLC 1.250% 21/11/2022 EMTN 462,000 EUR 474,044 472,854 0.54 BP Capital Markets PLC 1.876% 07/04/2024 445,000 EUR 475,470 473,313 0.54
(1) See Note 1.
The accompanying notes are an integral part of these financial statements. 48 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
BP Capital Markets PLC 2.972% 27/02/2026 EMTN 410,000 EUR 474,902 472,037 0.54 Lloyds Banking Group PLC 1.000% 09/11/2023 EMTN 463,000 EUR 478,914 477,317 0.55 Santander UK Group Holdings PLC 1.125% 08/09/2023 470,000 EUR 484,842 483,580 0.55 Sky Ltd 1.875% 24/11/2023 EMTN 444,000 EUR 471,956 470,218 0.54 Tesco Corporate Treasury Services PLC 1.375% 24/10/2023 EMTN 456,000 EUR 474,147 472,325 0.54 Tesco Corporate Treasury Services PLC 2.500% 01/07/2024 EMTN 440,000 EUR 478,676 476,376 0.55 4,749,206 4,731,668 5.42 Italy Assicurazioni Generali SpA 4.125% 04/05/2026 EMTN 400,000 EUR 469,161 471,000 0.54 Enel SpA 5.250% 20/05/2024 EMTN 395,000 EUR 469,415 467,623 0.54 Enel SpA 5.625% 21/06/2027 EMTN 348,000 EUR 474,367 471,923 0.54 Eni SpA 1.500% 02/02/2026 EMTN 443,000 EUR 478,476 475,811 0.54 Eni SpA 1.625% 17/05/2028 EMTN 436,000 EUR 484,180 481,178 0.55 Eni SpA 3.625% 29/01/2029 EMTN 373,000 EUR 477,422 473,747 0.54 Eni SpA 3.750% 12/09/2025 EMTN 405,000 EUR 480,092 476,786 0.55 Intesa Sanpaolo SpA 1.000% 04/07/2024 EMTN 469,000 EUR 485,115 483,549 0.55 Intesa Sanpaolo SpA 1.125% 04/03/2022 EMTN 468,000 EUR 476,297 474,956 0.54 Intesa Sanpaolo SpA 4.000% 30/10/2023 EMTN 417,000 EUR 465,554 463,604 0.53 UniCredit SpA 1.000% 18/01/2023 EMTN 472,000 EUR 482,761 480,972 0.55 UniCredit SpA 6.950% 31/10/2022 EMTN 407,000 EUR 454,214 452,753 0.52 Unione di Banche Italiane SpA 0.750% 17/10/2022 EMTN 470,000 EUR 478,765 476,975 0.55 Unione di Banche Italiane SpA 1.000% 22/07/2022 EMTN 470,000 EUR 479,582 477,990 0.55 6,655,401 6,628,867 7.59 Luxembourg Becton Dickinson Euro Finance Sarl 0.632% 04/06/2023 473,000 EUR 481,360 479,676 0.55 DH Europe Finance II Sarl 0.750% 18/09/2031 484,000 EUR 500,659 498,331 0.57 DH Europe Finance II Sarl 1.350% 18/09/2039 484,000 EUR 519,371 519,756 0.59 DH Europe Finance II Sarl 1.800% 18/09/2049 476,000 EUR 538,592 537,571 0.62 DH Europe Finance Sarl 2.500% 08/07/2025 429,000 EUR 479,331 476,881 0.55 HeidelbergCement Finance Luxembourg SA 0.500% 09/08/2022 EMTN 476,000 EUR 480,678 479,290 0.55 2,999,991 2,991,505 3.43 Netherlands ABN AMRO Bank NV 7.125% 06/07/2022 EMTN 420,000 EUR 466,360 464,384 0.53 E.ON International Finance BV 0.750% 30/11/2022 EMTN 467,000 EUR 476,073 474,291 0.54 Enel Finance International NV 1.375% 01/06/2026 445,000 EUR 480,326 477,957 0.55 Enel Finance International NV 1.966% 27/01/2025 EMTN 436,000 EUR 473,720 471,743 0.54 EXOR NV 2.125% 02/12/2022 453,000 EUR 470,800 469,134 0.54 Upjohn Finance BV 0.816% 23/06/2022 471,000 EUR 478,604 477,281 0.55 Upjohn Finance BV 1.362% 23/06/2027 464,000 EUR 493,472 491,655 0.56 Upjohn Finance BV 1.908% 23/06/2032 457,000 EUR 507,447 504,741 0.58 Wintershall Dea Finance BV 0.452% 25/09/2023 500,000 EUR 506,287 504,019 0.58
(1) See Note 1.
The accompanying notes are an integral part of these financial statements. 49 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Wintershall Dea Finance BV 0.840% 25/09/2025 500,000 EUR 512,420 509,900 0.58 4,865,509 4,845,105 5.55 Spain Banco Santander SA 2.500% 18/03/2025 EMTN 400,000 EUR 434,322 433,401 0.50 Banco Santander SA 3.250% 04/04/2026 EMTN 400,000 EUR 455,178 454,417 0.52 889,500 887,818 1.02 United States Altria Group Inc 1.000% 15/02/2023 465,000 EUR 476,007 474,270 0.54 Altria Group Inc 1.700% 15/06/2025 451,000 EUR 479,635 477,219 0.55 Altria Group Inc 2.200% 15/06/2027 439,000 EUR 480,992 478,740 0.55 Altria Group Inc 3.125% 15/06/2031 415,000 EUR 494,000 493,898 0.56 Apple Inc 1.375% 24/05/2029 429,000 EUR 481,064 477,335 0.55 AT&T Inc 1.800% 05/09/2026 443,000 EUR 484,295 482,409 0.55 AT&T Inc 2.400% 15/03/2024 440,000 EUR 473,952 471,509 0.54 AT&T Inc 2.600% 17/12/2029 407,000 EUR 484,019 481,807 0.55 AT&T Inc 3.150% 04/09/2036 401,000 EUR 506,991 507,306 0.58 AT&T Inc 3.550% 17/12/2032 374,000 EUR 489,660 488,740 0.56 Berkshire Hathaway Inc 1.125% 16/03/2027 447,000 EUR 479,773 477,494 0.55 Berkshire Hathaway Inc 1.300% 15/03/2024 454,000 EUR 475,865 474,230 0.54 Berkshire Hathaway Inc 1.625% 16/03/2035 413,000 EUR 488,003 486,038 0.56 Berkshire Hathaway Inc 2.150% 15/03/2028 413,000 EUR 478,074 475,342 0.54 Danaher Corp 2.500% 30/03/2030 407,000 EUR 487,171 485,831 0.56 Fidelity National Information Services Inc 0.750% 21/05/2023 467,000 EUR 478,140 476,242 0.54 Honeywell International Inc 2.250% 22/02/2028 411,000 EUR 479,107 476,793 0.55 International Flavors & Fragrances Inc 1.800% 25/09/2026 456,000 EUR 493,776 491,512 0.56 Kraft Heinz Foods Co 2.000% 30/06/2023 465,000 EUR 482,310 481,043 0.55 Kraft Heinz Foods Co 2.250% 25/05/2028 469,000 EUR 496,468 495,363 0.57 Philip Morris International Inc 2.750% 19/03/2025 423,000 EUR 473,946 471,476 0.54 Philip Morris International Inc 2.875% 03/03/2026 EMTN 414,000 EUR 475,271 472,300 0.54 Thermo Fisher Scientific Inc 0.125% 01/03/2025 476,000 EUR 481,588 479,180 0.55 Thermo Fisher Scientific Inc 0.750% 12/09/2024 464,000 EUR 479,952 477,549 0.55 Thermo Fisher Scientific Inc 0.875% 01/10/2031 463,000 EUR 490,270 487,951 0.56 Thermo Fisher Scientific Inc 1.500% 01/10/2039 EMTN 471,000 EUR 511,050 517,156 0.59 Thermo Fisher Scientific Inc 1.875% 01/10/2049 EMTN 468,000 EUR 538,335 540,400 0.62 Verizon Communications Inc 0.875% 02/04/2025 459,000 EUR 480,468 478,182 0.55 Walmart Inc 4.875% 21/09/2029 334,000 EUR 480,166 476,502 0.54 14,100,348 14,053,817 16.09 Total - Fixed rate bonds 40,098,802 39,977,565 45.78
Variable rate bonds
Denmark Danske Bank A/S 1.375% 12/02/2030 EMTN 478,000 EUR 486,148 485,055 0.56 Danske Bank A/S 2.500% 21/06/2029 EMTN 456,000 EUR 483,239 482,403 0.55 969,387 967,458 1.11
(1) See Note 1.
The accompanying notes are an integral part of these financial statements. 50 Natixis Investment Solutions (Lux) I
Natixis Thematic Flexible Allocation 2027 Fund(1)
Statement of Investments (continued) As at December 31, 2020 (expressed in EUR)
Quantity / Face Currency Cost Evaluation % of Net Description value Assets
Finland Sampo Oyj 2.500% 03/09/2052 EMTN 474,000 EUR 504,639 512,824 0.59 504,639 512,824 0.59 France AXA SA 3.250% 28/05/2049 EMTN 425,000 EUR 492,413 496,228 0.57 Credit Agricole Assurances SA 2.625% 29/01/2048 500,000 EUR 535,229 540,000 0.62 Credit Agricole Assurances SA 4.750% 27/09/2048 400,000 EUR 491,789 496,500 0.57 1,519,431 1,532,728 1.76 Germany Allianz SE 1.301% 25/09/2049 500,000 EUR 513,748 515,796 0.59 513,748 515,796 0.59 Italy Assicurazioni Generali SpA 5.000% 08/06/2048 EMTN 411,000 EUR 491,090 496,282 0.57 Assicurazioni Generali SpA 5.500% 27/10/2047 EMTN 392,000 EUR 477,369 482,258 0.55 UniCredit SpA 1.200% 20/01/2026 EMTN 482,000 EUR 489,809 489,274 0.56 UniCredit SpA 2.731% 15/01/2032 495,000 EUR 502,601 499,959 0.57 UniCredit SpA 4.875% 20/02/2029 EMTN 438,000 EUR 477,861 477,020 0.55 2,438,730 2,444,793 2.80 Luxembourg Swiss Re Finance Luxembourg SA 2.534% 30/04/2050 400,000 EUR 443,564 448,934 0.51 443,564 448,934 0.51 Spain Banco Bilbao Vizcaya Argentaria SA 1.000% 16/01/2030 500,000 EUR 498,952 499,215 0.57 CaixaBank SA 2.250% 17/04/2030 EMTN 500,000 EUR 520,370 522,898 0.60 1,019,322 1,022,113 1.17 Total - Variable rate bonds 7,408,821 7,444,646 8.53
Investment Funds
United States Digital Realty Trust Inc REIT 1,635 USD 184,748 186,424 0.21 Equinix Inc REIT 310 USD 181,999 180,945 0.21 366,747 367,369 0.42 Total - Investment Funds 366,747 367,369 0.42 Total - Transferable securities admitted to an official stock exchange listing 81,221,897 82,282,598 94.23 TOTAL INVESTMENT PORTFOLIO 81,221,897 82,282,598 94.23
(1) See Note 1.
A detailed schedule of portfolio movements for the period from November 30, 2020 to December 31, 2020 is available free of charge upon request at the registered office of the Administrative Agent of the Fund.
The accompanying notes are an integral part of these financial statements. 51 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020
Note 1 – GENERAL
Natixis Investment Solutions (Lux) I (the “Fund”) was organised as a Specialised Investment Fund governed by the Luxembourg law of February 13, 2007, as amended, related to Specialised Investment Funds. On April 30, 2014, by the intention of the Board of Directors of the Management Company the Fund was reorganised as an Undertaking for Collective Investment in Transferable Securities (“UCITS”) pursuant to Part I of the Luxembourg law of December 17, 2010 on Undertakings for Collective Investment, as amended. The name of the Fund was also changed from Natixis International Funds (Lux) SIF into Natixis Investment Solutions (Lux) I.
Natixis Investment Solutions (Lux) I provides investors access to a diversified management expertise.
As of December 31, 2020 units are offered in three sub-funds (each, a "Sub-Fund"):
- Harris Associates Kokusai Fund, - Loomis Sayles World Credit Asset Fund, - Natixis Thematic Flexible Allocation 2027 Fund (launched on November 30, 2020).
The investment objective of Harris Associates Kokusai Fund is long term growth of capital. The investment objective of Loomis Sayles World Credit Asset Fund is high total investment return through a combination of income and capital appreciation. The investment objective of Natixis Thematic Flexible Allocation 2027 Fund is to seek to deliver a total return through a combination of income and capital appreciation over the 7 year term.
Natixis Investment Managers S.A. is a Société Anonyme incorporated under Luxembourg law on April 25, 2006 for an unlimited period of time and licensed as a management company under Chapter 15 of the Luxembourg Law of December 17, 2010 on Undertakings for Collective Investment, as amended. Since July 22, 2014 Natixis Investment Managers S.A. is also authorised by the Commission de Surveillance du Secteur Financier (“CSSF”) to act as an alternative investment fund manager under Chapter 2 of the law of July 12, 2013 on alternative investment fund managers.
The Fund has been established for an unlimited period of time.
Note 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES a) Presentation of financial statements
The financial statements are prepared in accordance with Luxembourg regulations relating to UCITS. b) Method of calculation
The value of each Sub-Fund’s assets shall be determined as follows:
a. Securities and money market instruments traded on exchanges and Regulated Markets – last closing price, unless the Management Company believes that an occurrence after the publication of the last market price and before any Sub-Fund next calculates its net asset value will materially affect the security’s value. In that case, the security may be fair valued at the time the Administrative Agent determines its net asset value by or pursuant to procedures approved by the Management Company.
52 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) b) Method of calculation (continued)
b. Securities and money market instruments not traded on a Regulated Market (other than short-term money market instruments) – based upon valuations provided by pricing vendors, which valuations are determined based on normal, institutional-size trading of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.
c. Short-term money market instruments (with remaining maturity of less than 90 calendar days or less) – amortized cost (which approximates market value under normal conditions).
d. Futures, options and forwards – unrealised gain or loss on the contract using current settlement price. When a settlement price is not used, futures and forward contracts will be valued at their fair value as determined pursuant to procedures approved by the Management Company, as used on a consistent basis.
e. Units or shares of open-ended funds – last published net asset value.
f. Cash on hand or deposit, bills, demand notes, accounts receivable, prepaid expenses, cash dividends and interest declared or accrued and not yet received – full amount, unless in any case such amount is unlikely to be paid or received in full, in which case the value thereof is arrived at after the Management Company or its delegates makes such discount as it may consider appropriate in such case to reflect the true value thereof.
g. Credit Default Swaps (CDS) and Total Return Rate Swaps (TRS) – Swaps are marked to market based upon daily prices obtained from third party pricing agents and verified against the value from the counterparty. Realised appreciation/(depreciation) and change in unrealised appreciation/(depreciation) resulting therefrom are included in the Statement of Changes in Net Assets respectively under the heading “Net realised appreciation/(depreciation) on swaps” and “Change in net unrealised appreciation/(depreciation) on swaps”.
h. Swaptions – when the Fund writes a swaption, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the swaption written. Premiums received from the written swaptions which expire unexercised are treated by the Fund on the expiration dates as realised gains.
When the Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an asset and is subsequently adjusted to the current fair value of the swaption purchased. Premiums paid for the purchase of swaptions which expire unexercised are treated on the expiration date as realised losses.
i. All other assets – fair market value as determined pursuant to procedures approved by the Management Company. c) Foreign exchange translation
The value of all assets and liabilities not expressed in the Reference Currency of a Sub-Fund will be converted into the Reference Currency of such Sub-Fund at rates last quoted by any major bank.
The exchange rate used as at December 31, 2020:
1 USD = 0.8173 EUR
53 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 3 – FEES AND EXPENSES
The Management Company pays out of the assets of the Fund all expenses payable by the Fund. Those expenses include fees payable to:
The Management Company; The Depositary; and Auditor, outside counsels and other professionals.
They also include administrative expenses, such as registration fees, insurance coverage and the costs relating to the translation and printing of the Prospectus and reports to Unitholders.
The total amount of charges and expenses paid annually by each Sub-Fund, other than expenses relating to the creation or liquidation of any Sub-Fund or Unit Class, (“Total Expense Ratio”) shall not exceed such percentage of each Sub-Fund’s average daily Net Asset Value as indicated below:
S Units Q Units I Units R Units X Units X1 Units
Harris Associates Kokusai Fund 0.80 0.35(2) - - - - Loomis Sayles World Credit Asset Fund(3) 0.60 0.15(2) 0.75 0.45 0.35 Natixis Thematic Flexible Allocation 2027 Fund(1) - - - 1.70(4) - -
(1) See Note 1. (2) No management fee is charged by the Management Company on this Unit Class. However, this Unit Class will pay other expenses such as administrative fees and depositary fees. (3) In the event that any subscription or redemption represents more than 10% of the Sub-Fund’s Net Asset Value on any Subscription/Redemption Date, and to the extent that the Management Company considers it in the best interest of the Sub-Fund, an additional dilution levy of up to 2% may be applied at the discretion of the Management Company to such subscriptions or redemptions. (4) Total Expense Ratio is calculated excluding cash collateral.
The Total Expense Ratio by Unit Class, as indicated in each Sub-Fund’s description, does not necessarily include all the expenses linked to the Sub-Fund’s investments (such as brokerage fees, taxe d’abonnement owed to the Luxembourg tax authority and expenses linked to withholding tax reclaims) that are paid by such Sub-Fund.
If the total real expenses paid by each Sub-Fund exceed the Total Expense Ratio, the Management Company will support the difference and the corresponding income will be presented under the “Other income” and the corresponding “Other assets” caption in the Statement of Net Assets. If the total real expenses paid by each Sub-Fund are lower than the Total Expense Ratio, the difference will be paid to the Management Company and the corresponding charge will be presented under the “Other charges” caption in the Statement of Changes in Net Assets and the corresponding “Other liabilities” caption. As at December 31, 2020, total real expenses equal to the Total Expense Ratio.
Note 4 – DISTRIBUTION FEES
The fees paid out of the Fund’s assets to cover marketing and selling the Fund’s Units may cover advertising costs, compensating brokers and others who sell the Fund’s Units, payments for printing and mailing prospectuses to new investors, and providing sales literature to prospective investors.
54 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 5 – TAXATION
The Fund is not subject to any Luxembourg tax on interest or dividends received by any Sub-Fund, any realised or unrealised capital appreciation of Sub-Fund’s assets or any distribution paid by any Sub-Fund to Unitholders. The Fund is not subject to any Luxembourg stamp tax or other duty payable on the issuance of Units. The Fund is, however liable in Luxembourg to a subscription tax (“Taxe d’Abonnement”) of 0.05% per annum of its Net Asset Value with respect to unit classes reserved to retailed investors and of 0.01% per annum of its Net Asset Value with respect to unit classes reserved to institutional investors, such tax being payable quarterly on the basis of the value of the aggregate net assets of the Sub-Fund at the end of the relevant calendar quarter. However, the portion of assets which are invested in units or units of UCIs shall be exempt from such tax as far as those UCIs are already submitted.
Note 6 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FORWARD FOREIGN EXCHANGE CONTRACTS
As at December 31, 2020, Loomis Sayles World Credit Asset Fund had the following Forward Foreign Exchange Contracts outstanding:
Hedged Share Class Forward Foreign Exchange Contracts Unrealised appreciation/ Purchases Sales Class Maturity Date (depreciation) (*)
GBP 6,480,375 USD 8,749,344 H-I/A(GBP) 28/01/2021 110,683 GBP 466,150,798 USD 629,363,832 H-X1/A(GBP) 28/01/2021 7,961,795
USD 8,072,478 All Hedged Unit Class Forward Foreign Exchange Contracts are held with BBH&Co.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
55 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 6 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FORWARD FOREIGN EXCHANGE CONTRACTS (continued)
Forwards Unrealised appreciation/ Purchases Sales Counterparty Maturity Date (depreciation) (*)
BRL 39,373,000 USD 7,682,659 Deutsche Bank 11/01/2021 (101,348) EUR 1,397,000 USD 1,717,737 Morgan Stanley 04/01/2021 (8,438) EUR 3,260,000 USD 4,008,072 UBS 04/01/2021 (19,300) EUR 3,629,000 USD 4,462,400 HSBC 04/01/2021 (22,137) IDR 100,092,354,000 USD 7,086,161 Morgan Stanley 11/01/2021 33,897 MXN 144,800,000 USD 7,275,590 Credit Suisse 11/01/2021 (13,893) RUB 134,962,000 USD 1,824,304 Morgan Stanley 11/02/2021 (6,723) RUB 275,091,000 USD 3,744,297 Morgan Stanley 11/01/2021 (27,773) USD 3,898,425 EUR 3,260,000 UBS 04/01/2021 (90,347) USD 7,654,333 ZAR 115,950,000 Bank of America 11/01/2021 (230,928) USD 4,339,388 EUR 3,629,000 HSBC 04/01/2021 (100,875) USD 2,616,694 EUR 2,153,000 Deutsche Bank 11/01/2021 (18,035) USD 2,961,445 EUR 2,414,000 Standard Chartered Bank 21/01/2021 6,591 USD 2,790,535 EUR 2,293,000 BNP Paribas 19/01/2021 (16,071) USD 637,889 EUR 520,000 Bank of America 29/01/2021 1,260 USD 22,180,271 EUR 18,143,000 Barclays 25/01/2021 (29,791) USD 1,223,304 EUR 1,000,000 State Street 25/01/2021 (863) USD 1,672,684 EUR 1,397,000 Morgan Stanley 04/01/2021 (36,615) USD 661,597 EUR 545,000 BNP Paribas 14/01/2021 (5,395) USD 183,138 EUR 150,000 Goldman Sachs 29/01/2021 (505) USD 4,051,381 EUR 3,318,000 Deutsche Bank 28/01/2021 (10,704) USD 1,764,201 EUR 1,445,000 Goldman Sachs 28/01/2021 (4,851) USD 4,010,974 EUR 3,260,000 UBS 04/02/2021 19,217 USD 1,719,013 EUR 1,397,000 Morgan Stanley 04/02/2021 8,435 USD 4,465,742 EUR 3,629,000 HSBC 04/02/2021 22,158 USD 2,322,738 GBP 1,741,000 Standard Chartered Bank 11/01/2021 (57,271) USD 1,468,207 GBP 1,086,000 Barclays 29/01/2021 (16,594) USD 1,351,980 GBP 1,000,000 BNP Paribas 29/01/2021 (15,240) USD 7,059,987 IDR 100,092,354,000 Morgan Stanley 11/01/2021 (60,071) USD 7,259,289 MXN 144,800,000 Credit Suisse 11/01/2021 (2,408) USD 3,732,485 RUB 275,091,000 Morgan Stanley 11/01/2021 15,961 USD 1,824,624 RUB 134,962,000 Morgan Stanley 11/02/2021 7,043 USD 7,749,039 BRL 39,373,000 Deutsche Bank 11/01/2021 167,727 ZAR 115,950,000 USD 7,872,102 Bank of America 11/01/2021 13,159
USD (600,728)
At December 31, 2020, the net unrealised appreciation on forward foreign exchange contracts amounted to USD 7,471,750.
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
56 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 7 – NET UNREALISED APPRECIATION/(DEPRECIATION) ON FINANCIAL FUTURES CONTRACTS
As at December 31, 2020, Loomis Sayles World Credit Asset Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
Unrealised Number of contracts appreciation/ purchased/(sold) Index Maturity Date Currency Commitments (depreciation) (*)
334 US 10YR ULTRA FUTURE 22/03/2021 USD 32,565,000 (73,256)
USD (73,256)
As at December 31, 2020, Natixis Thematic Flexible Allocation 2027 Fund had the following Financial Futures Contracts outstanding:
Financial Futures Contracts
Unrealised Number of contracts appreciation/ purchased/(sold) Index Maturity Date Currency Commitments (depreciation) (*)
20 EURO FX CURRENCY FUTURE 15/03/2021 USD 2,495,403 11,033
EUR 11,033
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
Note 8 – SWAPTIONS
As at December 31, 2020, Loomis Sayles World Credit Asset Fund had the following Swaptions:
Unrealised Pay/Receive Fixed appreciation/ Fixed Rate Rate Floating Rate Index Counterparty Maturity Date Currency Nominal (depreciation) (*)
Pay 0.75% 3 Month USD LIBOR Merrill Lynch 07/07/2021 USD 39,600,000 355,695 Receive 1.25% 3 Month USD LIBOR Merrill Lynch 07/07/2021 USD 39,600,000 (28,017) Pay 0.85% 3 Month USD LIBOR Merrill Lynch 15/09/2021 USD 33,000,000 231,772
USD 559,450
(*) The net unrealised appreciation/(depreciation) is included in the Statement of Net Assets.
Note 9 – COLLATERAL
As at December 31, 2020, the collateral received from counterparties for the purpose of transactions of OTC derivatives are as follows:
Sub-Fund Total collateral Security Counterparty Currency Type of collateral name received Description Loomis Sayles World Credit Bank of America USD 1,900,000 Cash - Asset Fund
57 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 10 – PLEDGED SECURITIES AND CASH
As at December 31, 2020, the following securities serve as pledged assets for commitments on derivative instruments:
Sub-Fund Market Margin Securities description Currency Quantity Counterparty name value (in USD) - - - - JP Morgan 193,162 Cash USD - 10,000 Goldman Sachs - Loomis Sayles Cash USD - 3,227,000 JP Morgan - World Credit Cash USD - 9,445,000 Morgan Stanley - Asset Fund Harbour Aircraft Investments USD 299,991 164,155 Wells Fargo - Ltd 8.000% 15/11/2037 Natixis Thematic Flexible - - - - Caceis 2,223,550 Allocation 2027 Fund(1)
(1) See Note 1.
Note 11 – TRANSACTION COSTS
During the year ended December 31, 2020, the transaction costs which have been defined as brokerage fees and depositary transaction fees have been charged to the Fund in relation to purchases or sales of transferable securities, money market instruments, derivatives or any other eligible assets (brokerage transaction costs on fixed income or derivatives are excluded).
Brokerage transaction costs are mainly included in the caption “Portfolio at cost” in the Statement of Net Assets, and respectively in the captions “Net realized appreciation/(depreciation)” and “Change in net unrealised appreciation/(depreciation)” in the Statement of Changes in Net Assets.
Depositary transaction fees are included in the caption “Taxes and expenses payable” in the Statement of Net Assets, and respectively in the caption “Depositary fees” in the Statement of Changes in Net Assets.
Sub-Fund Currency Total amount of Transaction Costs Harris Associates Kokusai Fund USD 37,759 Loomis Sayles World Credit Asset Fund USD 190,269 Natixis Thematic Flexible Allocation 2027 Fund(1) EUR 27,074
(1) See Note 1.
Note 12 – 144A RULE
144A is an SEC rule that modifies the two year lock up requirement on private placement securities that are without SEC registration. 144A allows debt or equity private placements to trade to and from qualified institutional investors. 144A securities are often called “restricted securities”.
Note 13 – DIVIDEND DISTRIBUTION
During the year ended December 31, 2020, there were no dividend declared.
58 Natixis Investment Solutions (Lux) I Notes to the Financial Statements As at December 31, 2020 (continued)
Note 14 – LIQUIDATED SUB-FUNDS
Loomis Sayles Buy & Maintain Maturity 2027 Fund liquidated on December 4, 2019. The liquidated Sub-Fund retained cash to pay post liquidation invoices to miscellaneous service providers. As at December 31, 2020, Loomis Sayles Buy & Maintain Maturity 2027 Fund held EUR 112,053.
Note 15 – SIGNIFICANT EVENTS DURING THE YEAR
A new prospectus entered into force in August, 2020, including the creation of a new Sub-Fund, Natixis Thematic Flexible Allocation 2027 Fund.
A new prospectus entered into force in November, 2020, including the decrease of the TER applicable to the S and X unit classes as well as the minimum initial investment and the minimum holding amounts applicable to the I and S unit classes of the Loomis Sayles World Credit Asset Fund.
The Natixis Thematic Flexible Allocation 2027 Fund launched on November 30, 2020.
The 2020 reporting period has seen an increase in the volatility of all financial markets due to the Covid-19 pandemic. The Management Company is currently monitoring the situation and, with the support of the Investment Managers, continues to manage the Umbrella Fund’s assets within investment and risk parameters considering the current market environment and perspective. The Management Company will continue to review the situation in order to navigate the Umbrella Fund through this period of additional uncertainty.
There were no other significant events to be disclosed as at December 31, 2020.
Note 16 – SUBSEQUENT EVENTS
There are no subsequent events to be disclosed as at December 31, 2020.
59 Natixis Investment Solutions (Lux) I
Appendix I
Additional Information (Unaudited)
SAVINGS DIRECTIVE
The law of 21 June 2005, (the “Law”) has implemented into Luxembourg law the Council Directive 2003/48/EC on the taxation of savings income in the form of interest payments (the “Savings Directive”). It seeks to ensure that individuals residents in an EU Member State who receive interest payments from another Member State are taxed in the Member State in which they are resident for the tax purposes.
The Savings Directive targets payments in the form of interest payments from debt claims (“Taxable Income”) made in a member state of the European Union (a “Member State”) to individuals (“Beneficiaries”) residing in another Member State. Under the Savings Directive, Member States are required to provide the tax authorities of the Beneficiary's Member State with details on payments of Taxable Income made and the identity of the respective Beneficiaries (“Exchange of Information”). For a transitional period some countries (amongst which Luxembourg) have however applied a withholding tax system instead of, an exchange of information. Although the territorial scope of the Directive is limited to the EU arrangements, agreements have been concluded with 8 dependent or associated territories – Aruba, British Virgin Islands, Curaçao, Guernsey, Isle of Man, Jersey, Montserrat and Sint Maarten – and 5 third countries – Switzerland, Liechtenstein, San Marino, Monaco and Andorra – to ensure a level playing field.
However, on 24 March, 2014, the Council of the European Union adopted a Council Directive which, inter alia, amends and broadens the scope of the EU Savings Directive to include notably (i) payments made through certain intermediate structures (whether or not established in a EU Member State) for the ultimate benefit of an European Union resident individual, and (ii) a wider range of income similar to interest.
Luxembourg confirmed amendments to the EU Savings Directive and provide the required information on interest payments to the tax authorities of other EU Member States under the automatic information exchange since 1 January 2015 and abolished the withholding tax system. Luxembourg, to that effect, adopted the law dated 25 November 2014 abolishing the withholding tax system as from 1 January 2015 and replacing it by the automatic exchange of information.
Dividends distributed by the Fund will fall into the scope of the Savings Directive if more than 15% of the relevant portfolio's assets are invested in debt claims (as defined in the Law). Redemption proceeds realised by unitholders on the disposal of units will fall into the Scope of the Savings Directive if more than 40% of the relevant Fund assets are invested in debt claims.
The Fund is authorised to reject any application for units if the applying investor does not provide the Fund with complete and satisfactory information as required by the Law.
Name of the Sub-Fund Tax status for Tax status for Method used to redemption(1) distribution(1) determine the status Harris Associates Kokusai Fund O O AT Loomis Sayles World Credit Asset Fund O O AT Natixis Thematic Flexible Allocation 2027 Fund O O AT
O = out of scope of the law AT = asset testing
(1) For the fiscal year of 2020.
60 Natixis Investment Solutions (Lux) I
Appendix II
Additional Information (Unaudited) (continued)
INFORMATION ON GLOBAL MARKET RISK EXPOSURE (unaudited)
The Management Company monitored the global market risk exposure of the Sub-Funds for the year ended December 31, 2020 utilizing the commitment approach.
61 Natixis Investment Solutions (Lux) I
Appendix III
Additional Information (Unaudited) (continued)
Remuneration disclosure for Natixis Investment Solutions (Lux) I Annual Report
Natixis Investment Managers S.A. as the Management Company of the Fund (the “Management Company”) has implemented a Remuneration Policy that is designed to promote sound and effective risk management and to discourage taking excessive risks for both the Management Company itself and for the funds it manages. The Policy is reviewed on an annual basis.
Further details on the remuneration policy are available by referring to the following website www.im.natixis.com/intl-regulatory-documents and a paper copy of such details is available on request and without charge.
As at December 31, 2020 the Fund did not have any employees and the remuneration policy applied only to members of the Management Company’s board of directors or senior management as more fully described below.
The below tables sets out the proportion of the total fixed and variable remuneration of the staff identified as “Material Risk Takers” of the Management Company attributable to all the funds it manages, taking into account UCITS and non-UCITS. The amount has been proportioned to the total net assets of the fund and the number of staff of the Management Company.
The organization of the Management Company does not allow such amounts to be identified per fund managed. The figures below therefore show the amount of the remunerations on a pro-rata basis compared to the total assets under management. The portion of total remuneration paid or payable to Identified Staff of entities to whom the Management Company has delegated portfolio management functions (the “Delegate(s)”) is also set out below.
Total remuneration paid by Natixis Investment Managers, S.A. to its’ staff identified as 'Material Risk Takers' (including the identified staff of the delegate(s) in the year ending December 31, 2020 is as follows:
Identified Staff of the Management Company
Fixed Remuneration $ 217,816 Variable Remuneration $ 732,632 Total $ 950,448
Number of beneficiaries: 17
Identified Staff of the delegate(s)
Fixed Remuneration $ 184,055 Variable Remuneration $ 607,057 Total $ 791,112
Number of beneficiaries: 16
Fixed remuneration includes 2020 base salary paid to employees, as well as the cash value of company provided benefits. Variable remuneration consists of 2020 cash bonus and long term incentive payouts, as well as the grant value of outstanding long term incentive awards.
62 Natixis Investment Solutions (Lux) I
Appendix III (continued)
Additional Information (Unaudited) (continued)
Remuneration disclosure for Natixis Investment Solutions (Lux) I Annual Report
In addition, the aggregate amount of remuneration is further broken down as follows:
Identified Staff of the Management Company
Senior Management* $ 441,430
Other members having a material impact on risk $ 509,019 profile of the Fund Total $ 950,449
Number of other member beneficiaries: 13
*Senior Management includes: Bilal, Oliver Horsfall, Patricia Jackson, Christopher Urvoy, Jerome
63