NATIXIS AM Funds

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NATIXIS AM Funds

Société d'Investissement à Capital Variable organised under the laws of the Grand Duchy of Luxembourg

Audited annual report for the year ended June 30, 2020

R.C.S. Luxembourg B 177 509 NATIXIS AM Funds

Table of Contents

Management and Administration 3

Report of the Board of Directors 4

Report of the Réviseur d’Entreprises agréé 14

Combined statement of net assets 18

Combined statement of operations and changes in net assets 19

NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months 21 NATIXIS AM Funds - Ostrum Euro Short Term Credit 25 NATIXIS AM Funds - Ostrum Euro Credit 34 NATIXIS AM Funds - Ostrum Euro Inflation 41 NATIXIS AM Funds - Ostrum Euro Aggregate 45 NATIXIS AM Funds - Ostrum Global Aggregate 55 NATIXIS AM Funds - Ostrum Credit Opportunities 61 NATIXIS AM Funds - Ostrum Global Convertible Bonds 67 NATIXIS AM Funds - Ostrum Multi Asset Global Income 73 NATIXIS AM Funds - H2O Lux Multibonds (liquidation on May 28, 2020) 81 NATIXIS AM Funds - H2O Lux Allegro (liquidation on May 28, 2020) 84 NATIXIS AM Funds - Ostrum Euro Value Equity 87 NATIXIS AM Funds - Ostrum Food & Consumer Equities (liquidation on October 30, 2019) 91 NATIXIS AM Funds - Natixis Conservative Risk Parity 94 NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund 99 NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund 104 NATIXIS AM Funds - Seeyond Equity Factor Investing Europe 109 NATIXIS AM Funds - Seeyond Europe Market Neutral 116 NATIXIS AM Funds - Seeyond Europe Minvol 124 NATIXIS AM Funds - Seeyond US Minvol 130 NATIXIS AM Funds - Seeyond Global Minvol 135 NATIXIS AM Funds - Seeyond Equity Volatility Strategies 143 NATIXIS AM Funds - Ostrum Global Emerging Bonds 148 NATIXIS AM Funds - Ostrum Global Emerging Equity 156

Notes to the financial statements - Schedule of derivative instruments 161

Other notes to the financial statements 172

Unaudited information 199

No subscription can be received on the basis of this financial report. Subscriptions are only valid if made on the basis of the current Prospectus supplemented by the latest annual report and the latest semi-annual report if published thereafter.

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Management and Administration

REGISTERED OFFICE 5, Allée Scheffer L - 2520 Luxembourg

MANAGEMENT COMPANY Natixis Investment Managers International 43, Avenue Pierre Mendès-France 75013 Paris - France BOARD OF DIRECTORS OF THE SICAV Chairman Natixis Investment Managers International Represented by Jason Trépanier, « Executive Vice-President, Chief Operating Officer» of Natixis Investment Managers International

Directors Natixis Wealth Management Luxembourg Represented by Philippe Guénet (since September 25, 2019), Directeur Général of Natixis Wealth Management Luxembourg

Natixis Life Represented by Frédéric Lipka, « Directeur Général » of Natixis Life

DELEGATED INVESTMENT MANAGERS Ostrum Asset Management 43, Avenue Pierre Mendès France 75013 Paris - France

H2O Asset Management LLP (until 28/05/2020) 10 Old Burlington Street London W1S 3AG - United Kingdom

SEEYOND 43, Avenue Pierre Mendès-France 75013 Paris - France

Ostrum Asset Management Asia Limited 5 Shenton Way #22-06 UIC Building Singapore 068808

DEPOSITARY BANK CACEIS Bank, Luxembourg Branch 5, Allée Scheffer L - 2520 Luxembourg

ADMINISTRATIVE AGENT, PAYING AGENT, CACEIS Bank, Luxembourg Branch LISTING AGENT, DOMICILIARY, CORPORATE 5, Allée Scheffer L - 2520 Luxembourg AGENT, REGISTRAR AND TRANSFER AGENT

AUDITOR (Cabinet de Révision Agréé) KPMG Luxembourg, Société Coopérative 39, Avenue John F. Kennedy L - 1855 Luxembourg

C2 - Internal Natixis Page 3 NATIXIS AM Funds

Report of the Board of Directors

1. NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months

The Fund outperformed its Reference Index (the EONIA capitalized) by 0.84% (gross of fees I/C share class in EUR) in the 12 past months as of 30 June 2020. The fund realized a performance of 0.39% (gross of fees I/C share class) VS. - 0.44% for the benchmark.

The fund’s outperformance was mainly realized T3 2019 and T2 2020. During T3 2019 the outperformance of was mainly due to our country positioning, especially on Italy which contributed positively, as well as our strategy on forward contracts.

Over the second quarter of 2020 Italian, Portuguese and Spanish interest rate spreads tightened with tension over sovereign spreads in April. The 2-year Italian Spread for instance, went from 100 to 75 bps with its highest level at 193 bps on April 21st. Spanish and Portuguese spread levels moved from 47 to 26 bps and from 59 to 19 bps in the quarter, with highest at 80 and 88 bps respectively on 22nd of April. Greek spreads also tightened, for instance Greece 2023 on the portfolio decreased by 72 bps, from 1.04% to 0.32%. All this contributed to the fund’s over-performance during the quarter.

The I/C share class of the fund outperformed its Reference Index (the EONIA capitalized) by 0.46% (net of fees I/C share class) in the 12 past months ended 30 June 2020. The share class realized a yearly performance of 0.02% (net of fees I/C share class) VS. -0.44% for the benchmark as of end of June 2020.

2. NATIXIS AM Funds - Ostrum Euro Short Term Credit

Performance drivers:

The fund had a negative performance of -1.83% over 1 year (I/A share class class), underperforming its benchmark, the Bloomberg Barclays Euro Corporate index 1-3 years index (-0.73% over the period).

The underperformance happened during Q1 2020 due to the consequences of the Covid19 Pandemic. The risk off move was brutal during March 2020 as the markets collapsed in 3 weeks. Bond valuations dropped sharply amid the market dislocation and absent liquidity. The outperformance generated during the Q3 2019, Q4 2019 and Q2 2020 was not enough to compensate the sharp correction in Q1 2020.

During 3Q19, the fund posted a positive gross return of 0.36% (0.25% net of fees), outperforming its benchmark by +0.26%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. This outperformance is explained mostly by the security selection (positive impact of +0.11%), the asset allocation (i.e. the HY allocation, positive impact of +0.08%) and the the yield curve positioning.

During 4Q19, the fund posted a positive gross return of 0.16% (0.07% net of fees), outperforming its benchmark by +0.17%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. This outperformance is explained by credit directional exposure which had a positive impact of +0.12% as the fund was overweight credit and credit spread of the benchmark tightened by -12bps over the quarter (from 44bps to 32bps). Secondly, the security selection had a positive impact of +0.07%.

During 1Q20, the fund posted a negative gross return of -4.43% (-4.53% net of fees), underperforming its benchmark by - 1.56%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. First, the credit directional exposure had the most significant impact on performance with a negative contribution of -1.96% as the fund was overweight credit and credit spread of the benchmark widened by +147bps over the quarter (from 32bps to 179bps). Secondly, the asset allocation had also a negative impact of -0.61% as the funds was overweight in high beta sectors (subordinated debts) and HY allocation which underperformed strongly over the quarter. Third, the security selection had a positive impact of +0.99%, mainly due to buying protection on credit derivatives index.

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Report of the Board of Directors

During 2Q20, the fund posted a positive gross return of +2.6% (+2.51% net of fees), outperforming its benchmark by +0.38%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. First, the credit directional exposure had the most significant impact on performance with a positive contribution of 0.33% as the fund was overweight credit and the credit spread of the benchmark tightened by -85bps over the quarter (from 179bps to 94bps). Secondly, the asset allocation had an impact of +0.18% as the funds was overweight in high beta sectors (subordinated debts) and HY allocation which performed over the quarter. Third, the security selection had an impact of -0.19%,

3. NATIXIS AM Funds - Ostrum Euro Credit

Performance drivers:

The fund had a negative performance of -1.47% over 1 year (I/A share class class), underperforming its benchmark, the Bloomberg Barclays Euro Corporate index (-0.42% over the period).

Q3 2019: Ostrum Euro Credit strategy posted a positive gross performance of +1.52% (+1.37 net of fees), outperforming its benchmark on a gross basis by 0.23%. During the quarter, the credit market widened by 6bps from 63bps to 69bps in spread on average. The decline in rates during this period (-17bps on the 5-year Swap rate) counterbalanced it and contributed to the positive performance of the fund. The outperformance was driven by the sector allocation and the yield curve positioning.

Q4 2019: Ostrum Euro Credit strategy posted a negative gross performance of -0.22% (-0.37% net of fees), outperforming its benchmark on a gross basis by 0.29% (0.14% net of fees). During the quarter, the credit market spread tightened by 16bps from 73bps to 57bps on average. However, the rise in rates during this period (+30bps on the 5-year Swap rate) exceeded the tightening in spreads and resulted in a small negative performance for the fund. The outperformance versus the benchmark was mainly driven by the issuer selection for 26bps out of 29bps in total. Among them, 8bps comes from the selection of banking subordinated debts, 5bps from the selling protection on Itraxx Fin sub, 3bps from the selection of hybrid corporate debts.

Q1 2020: Ostrum Euro Credit strategy posted a negative gross performance of -7.36% (-7.51% net of fees), underperforming its benchmark on a gross basis by 1.21% (1.36% net of fees). During the quarter, the credit market spread widened by 141bps from 57bps to 196bps on average. CDS indices: Itraxx Main 5Y, Itraxx SubFin 5Y and CrossOver 5Y ended March at 96bps, 250bps and 571bps, respectively wider by +52bps, +138bps and +364bps. The underperformance of the strategy versus the benchmark was driven by the directional view for 26bps, the sector allocation for 52bps (overweight in financials and energy), issuer selection (overweight in subordinated debts) and + 5bps in yield curve (management of the rate duration).

Q2 2020: Ostrum Euro Credit strategy posted a positive gross performance of +5.63% outperforming its benchmark on a gross basis by +0.35%. During the quarter, the credit market spread tightened by 79bps from 196bps to 117bps on average. As for CDS markets, Synthetic Itraxx Main 5Y, Itraxx SubFin 5Y and CrossOver 5Y ended the quarter at 66bps, bps, 382bps, respectively tighter by 30bps, 86bps and 190bps. The outperformance of the strategy versus the benchmark was driven by the directional view for +12bps, the sector allocation for +41bps, issuer selection for -22bps and + 4bps in yield curve (management of the rate duration).

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Report of the Board of Directors

4. NATIXIS AM Funds - Ostrum Euro Inflation

The Fund underperformed its Reference Index (the BBGB ALL CPI EURO TR Euro) by -0.31% (gross of fees I/C share class in EUR) in the 12 past months as of 30 June 2020. The fund realized a performance of 0.48% (gross of fees I/C share class) VS. 0.79% for the benchmark.

The relative underperformance of the fund was mainly realized during the Q4 2019 and Q1 2020. The underperformance during Q4 2019 and Q1 2020 was mainly due to the flattening on directional real rates, and overweight on Italy and Spain. Over the 1st quarter of 2020, our diversification in G10 breakeven also cost us.

Nonetheless, during Q2 2020, the fund outperformed its reference index, mainly thanks to the flattening on directional real rates, our overweight on Spain for 25 bps and Italy for 10 bps, our directional nominal rate and our diversification in G10 breakeven and G10 real rate. This outperformance was not enough to absorb the previous quarters’ lag.

The I/C share class of the fund underperformed its Reference Index (the BBGB ALL CPI EURO TR Euro) by -0.42% (net of fees I/C share class) in the 12 past months ended 30 June 2020. The share class realized a yearly overall performance of 0.36% (net of fees I/C share class) VS. 0.79% for the benchmark as of end of June 2020.

5. NATIXIS AM Funds - Ostrum Euro Aggregate

The Fund underperformed its Reference Index (the Bloomberg Barclays Euro Aggregate 500 mm) by -0.97% (gross of of fees SI/C share class) in the 12 past months as of 30 June 2020. The fund realized a performance of 0.85% (gross of fees SI/C share class) VS. 1.85% for the benchmark.

The fund’s underperformance was mainly realized during the COVID19 health crises (in the past six months). Diversification in high beta strategies or out of the benchmark asset classes is what cost us the most versus the benchmark (i.e. exposure to High Yield and Emerging Debt for instance underperformed core assets). In addition, credit spreads also widened significantly during the COVID emergence. Therefore, the credit selection too contributed negatively to our performance attribution on a rolling yearly basis.

On the other hand, allocation, duration and yield curve management contributed positively to our performance attribution.

The SI/C share class of the fund underperformed its Reference Index (the Bloomberg Barclays Euro Aggregate 500 mm) by -1.23% (net of fees SI/C share class) in the 12 past months ended 30 June 2020. The share class realized a yearly performance of 0.59% (net of fees SI/C share class) VS. 1.85% for the benchmark as of end of June 2020.

6. NATIXIS AM Funds - Ostrum Global Aggregate

The Fund outperformed its Reference Index (the Bloomberg Barclays Global Aggregate) by 0.93% (gross of fees SI/C USD share class) in the 12 past months as of 30 June 2020. The fund realized an overall yearly performance of 7.17% (gross of fees SI/C share class) VS. 6.23% for the benchmark.

The fund’s outperformance was mainly realized during the first semester of 2020. Allocation has been positive across the whole period but so has been picking within US corporate and US treasuries. High beta strategies and notably emerging market debt cost us during the first quarters but were very positive in the last quarter during the “V-shaped” correction and the sharp spread tightening. In addition, global convertible bonds contributed positively since the asset class resisted quite well during the health crises. In addition, our duration overlay strategies also paid well over the year while the FX overlay is what cost us.

The SI/C share class of the fund outperformed its Reference Index (the Libor 3m in USD) by 0.53% (net of fees SI/C share class in USD) in the 12 past months as of 30 June 2020. The share class realized a yearly performance of 6.76% (net of fees SI/C share class) VS. 6.23% for the benchmark as of end of June 2020.

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Report of the Board of Directors

7. NATIXIS AM Funds - Ostrum Credit Opportunities

Performance drivers:

The fund had a negative performance of -1.68% over 1 year (I/A share class), underperforming its capitalized Eonia+3% benchmark (+2.58% over the period).

The underperformance happened during Q1 2020 due to the consequences of the Covid19 Pandemic. The risk off move was brutal during March 2020 as the markets collapsed in 3 weeks. Bond valuations dropped sharply amid the market dislocation and absent liquidity. The sharp correction during the 1st quarter of 2020 (-11.03%) was followed by a strong rebound of 8.98% the following quarter although it was not enough to compensate the loss.

Q3 2019: The Ostrum Credit Opportunities I/A share class net return was of +0.57% for the third quarter of 2019, versus +0.69% for its capitalized Eonia+3% benchmark. The performance pace is consistent with the annual performance target. The Carry portfolio was the main contributor to this performance. The portfolio positioning that remains essentially buyer of low duration EU core and peripheral financials has benefitted from the risk appetite of the end of the quarter. The Conviction strategies positively to the fund’s quarterly performance. The Casino vs Tesco strategy is the highest contributing strategy. The most notable detractors to the performance during the quarter were a short of a bask of telecommunication companies with a high level of debt and also a strategy where we are Long the iTraxx Crossover index against the iTraxx Main Europe Index.

Q4 2019: The Ostrum Credit Opportunities I/A share class net return was of +0.81% for the third quarter of 2019, versus +0.69% for its capitalized Eonia+3% benchmark. The performance has been above the target pace by 12 basis points which resulted in an annual performance beat by 125 basis points above the annual performance target. The Carry portfolio was the main contributor to this performance. The portfolio positioning benefited from three positive factors during the period: the exposure to the front end of the credit curve, the interest rates hedge and the exposure to funds invested in high alpha credit such as subordinated debt, convertible bonds and high yield. The Conviction strategies contributed slightly negatively to the strategy due to the exposures to thematic short baskets and to the strategy where we are Long the iTraxx Crossover index against the iTraxx Main Europe Index. The positive contributors to the funds quarterly performance were primarily the Long Tenet vs HCA strategy, the Long Casino vs Tesco strategy and the short debt laden companies’ thematic basket

Q1 2020: The Ostrum Credit Opportunities I/A share class net return was of -11.03% for the first quarter of 2020, versus +0.63% for its capitalized Eonia+3% benchmark. The performance has been strongly impacted by the consequences of the Covid19 Pandemic. The risk off move was brutal during March 2020 as the markets collapsed in 3 weeks. Bond valuations dropped sharply amid the market dislocation and absent liquidity. The Carry portfolio was by far the main contributor to the performance. It explains circa 90% of the loss in the Q1 2020. Every part of the credit markets experienced a strong drawdown. The biggest exposure on the portfolio is on bank subordinated debt and specifically on Tier 2 instruments. It was therefore one of the biggest detractors to the performance. The second worst performance comes from exposures to the cyclical sectors and specifically Autos. The Conviction strategies contributed negatively to circa 10% of the quarter loss. The short basket strategies suffered from the iTraxx Main and Crossover indices used to hedge the market exposure of these strategies.

Q2 2020: The Ostrum Credit Opportunities I/A share class net return was of 8.98% at the end of the second quarter of 2020, versus +0.63% for its capitalized Eonia+3% benchmark. The performance recovered well although from low levels. The recovery of credit market spreads combined with spread curve flattening as well as outperformance of the high yield credits explain the performance recovery from the lows of march 31st. The Carry portfolio was the main driver of the performance during the quarter explaining 85% of the performance. All the bonds had a positive performance from depressed starting levels. The high yield, financial subordinated and cyclical bonds were the highest positive performers of the period as they experienced the deepest drawdown on the first quarter. The portfolio hedging costs affected slightly negatively the performance. The Conviction strategies contributed positively to circa 15% of the quarter performance.

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Report of the Board of Directors

8. NATIXIS AM Funds - Ostrum Global Convertible Bonds

Performance drivers:

The fund had a positive performance of 12.18% over 1 year (S/A USD share class), outperforming its benchmark, the Thomson Reuters Global Convertible Focus Hedged USD index (+10.26% over the period).

The fund succeeded in outperforming its index during the 1st quarter of 2020, and then well participated in the rally that followed.

Q3 2019: The fund outperformed the benchmark over the Q3 by 22 bps (+7 bps net of fees). The Asia-ex-Japan and the European regions were the most positive contributors. Overall, our major positions in Europe paid off such as our underweights in Transocean and Wright Medical, and our overweights in Orpea and Adidas. In Asia, our underweights in iQiyi, Evergrande, Country Garden and YY Inc contributed positively to the alpha. Despite a weak quarter for Cloud Software companies, the American region in general also contributed positively but to a lower extent. The Japan region performance was flat.

Q4 2019: The strategy has underperformed the benchmark over the Q4 by 18 bps (-33 bps net of fees). Nonetheless, over the whole year 2019, the strategy has outperformed the benchmark by 55 bps (-5 bps net of fees). The American and the Japanese regions were the most positive contributors. In the US, the big winners were our major positions in semiconductor companies such as Microchip Technology, ON Semiconductor and AMD. In Japan, our bond picking was particularly profitable with notably our positions in Terumo and Digital Garage. On the other hand, our underweights in Asia ex Japan were the biggest detractors: IQiyi, Country Garden, Evergrande and Pinduoduo. The European region also contributed negatively to the alpha mainly due to our underweights in Sibanye Gold and Transocean.

Q1 2020: The strategy has outperformed the benchmark over the Q1 by 100 bps (+85 bps net of fees). The Asian and the US regions were the best contributors in terms of alpha generation. Regarding the US, the portfolio was less sensitive to equities than the benchmark. Therefore, the impact of the stock market collapse was minimized. The biggest winners relative to the benchmark were our largest underweights such as Wayfair, Zillow, GOL and Cheniere Energy. In Asia, our underweights in Real Estate paid off. On the other hand, the Europe area contributed negatively to the alpha largely due to our overweights in long term positions such as LVMH, Vinci, Swiss Re and European Real Estate. The Japanese region was neutral.

Q2 2020: The strategy has outperformed the benchmark over the Q2 by 135 bps (+120 bps net of fees). The US region was the best contributor in terms of alpha generation. The portfolio was positioned to benefit from US equities rebound notably in the Technology sector. As a result, the portfolio caught most of the strong rally beginning from March 20. The biggest winners relative to the benchmark were our largest overweigths in Technology and growth companies such as Sea Ltd, Microchip, Wix, Docusign, MongoDB, and Splunk. The European region also contributed positively because of our underweights in Wirecard. The portfolio has no position on the convertible bond and therefore generated a positive alpha of 40 bps. The German company filed for insolvency after a devastating scandal that saw $2 billion go missing. On the other hand, the Asian region contributed negatively due to our underweights in Chinese value such as Zhongsheng Group, Country Garden, Evergrande and Kingsoft. The Japanese region performance was flat relative to the benchmark.

9. NATIXIS AM Funds - Ostrum Multi Asset Global Income

The Fund outperformed its Reference Index (the Libor 3m in USD) by 0.45% (gross of of fees SI/C USD share class) in the 12 past months as of 30 June 2020. The fund realized anoverall performance of 2.08% (gross of fees SI/C share class) VS. 1.63% for the benchmark.

The fund’s outperformance was mainly driven by the carry strategies and notably US corporate, US treasuries but also global convertible bonds which resisted quite well during the health crises. High beta strategies such as emerging debt is what cost us the most versus the benchmark and versus core allocations. In addition, our duration overlay strategies also paid well over the year while the FX overlay is what cost us.

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Report of the Board of Directors

The SI/C share class of the fund outperformed its Reference Index (the Libor 3m in USD) by 0.14% (net of fees SI/C share class in USD) in the 12 past months as of 30 June 2020. The share class realized a yearly performance of 1.77% (net of fees SI/C share class) VS. 1.63% for the benchmark as of end of June 2020.

10. NATIXIS AM Funds - Ostrum Euro Value Equity

The Fund underperformed its Reference Index.

Its large underexposure to Technology (+22%) and Healthcare (+14%) combined with its absence from Personal & Household Goods (0%) were very painful for the fund as in the respect of our process of investment we are structurally almost out of these sectors. In the same time our overweight on the banking sector (-28%) and Oil & Gas (-26%) penalized the fund.

Thales (-34%, aeronautic industry strongly impacted by Covid-19), Royal Dutch Shell (-47%, Covid pandemic has impacted oil prices and assets valuation), Banco Santander (-46%, Spain and Brazil has been among worst impacted countries), Aroundtown (-30%, Hotels and Offices face challenges from Covid), ArcelorMittal (-40%, US-China Trade war and Impact on Chinese economy from Covid 19) was poor performers.

On the positive side, our overexposure to Utilities (+11%) helps the fund. Enel (+30%, Best placed in green energy), Sanofi (+24%, Successful transformation and pipeline), Nexans (+40%, Well positioned for energy transition), Deutsche Wohnen (+30%, Berlin rent cap not yet implemented), Inwit (+11%, A winner of incoming 5G implementation) outperform the market.

Performance of the fund: -11.09%. Performance of the Msci Emu DNR: -5.55%

Nb : Stock performance is calculated since the introduction of the stock in the portfolio if the stock was not in the portfolio at the beginning of the study period.

11. NATIXIS AM Funds - Natixis Conservative Risk Parity

The Fund posted a positive return of 0.77% (share I) during the 12-month period ended 30 June 2020. Most of the positive performance came from the bond’s bucket with especially a strong return coming from our investment in US and Canadian Bonds which benefitted from a sharp fall in interest rates due very dovish central banks’ policies after the dissemination of Covid 19. The fund also benefitted from our increasing position in Gold which posted a rise of around 25% during the year. On the contrary, risky assets suffered. If losses on the equity bucket were globally limited thanks to very strong performance in 2019 especially for the Us market, long term assets, HY and EM debt have experienced notable losses. We also suffered from the disappointing performances coming from our bucket of absolute return funds especially during the Covid pandemic.

12. NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund

At the beginning of the period, for technical and fundamental reasons, the portfolio gradually became more aggressive on the equity markets and more cautious on the fixed income markets. The strategic models gradually became more aggressive on the equity markets, while on government bonds they became more cautious in all geographical areas, justifying a decrease in the modified duration in the portfolio.

The portfolio subsequently became more offensive, in anticipation of a partial resolution of the US-China trade war and positive signals of a short-term technical recovery. Exposure to equities increased and we added some geographical and sector-based relative tactical biases. Conversely, sensitivity to government bonds decreased. The biggest contribution to the performance in the second half of 2019 came from US equities.

At the beginning of 2020, implied volatility rose sharply, risky assets plummeted, government bonds fell, credit spreads came under pressure and the US dollar appreciated. The main catalysts for this bout of volatility were the emergence of the Covid-19 epidemic in China and its developing into a pandemic after it spread to Europe and America, and increased expectations of a global recession in the wake of the drastic lockdown measures dictated by the major world economies affected by the virus, plus a fall in the price of oil under the double effect of the downward adjustment in demand and the

Page 9 NATIXIS AM Funds

Report of the Board of Directors failure of OPEC members' negotiations on cutting output. In this context, the portfolio became more cautious, which allowed it to come through the crisis relatively unperturbed.

Indeed, for reasons of valuation and underestimation of the health risk from China, the risk was reduced in the portfolio in the early part of the period, January and the beginning of February. We reduced overall exposure to equities and introduced option-based hedging strategies for US and euro zone equities. At 31 March 2020, the fund had an exposure to equities of 10%, a modified duration of around 3.7 and exposure to a falling US dollar of 11.5%.

During the second quarter, implied volatilities eased sharply, risky assets rebounded, rates on core euro zone government bonds remained stable while those on peripheral ones fell. The main catalysts in this large-scale renewed risk appetite were the following: 1- the gradual reopening of world economies following the fall in the number of Covid-19 cases in Europe and Asia, 2- the positive dynamic of global macroeconomic surprises under the effect of the "technical" rebound of the main leading indicators in the industry and services sector, 3- the abundance of liquidity in the wake of announcements of massive and historic fiscal and monetary stimulus plans, 4- investors’ positioning in extreme negative territory at the beginning of the period.

The portfolio did not suffer the extreme shock of the first quarter and remained very conservative with little exposure to risky assets throughout the second quarter due to mostly weak economic fundamentals and market trends.

At 30 June 2020, the fund had an exposure to equities of 8%, a modified duration of around 3.7 and exposure to a rising US dollar of 8%.

Over the period, the fund’s performance was 0.11% (class 1A).

13. NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund

Indeed, for reasons of valuation and under-estimation of the health risk from China, the risk was reduced in the portfolio in the early part of the period, January and the beginning of February. We reduced overall exposure to equities and introduced option-based hedging strategies for US and euro zone equities. At 31 March 2020, the fund had an exposure to equities of 20%, a modified duration of around 6.5 and exposure to a falling US dollar of 24%.

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Report of the Board of Directors announcements of massive and historic fiscal and monetary stimulus plans, 4- investors’ positioning in extreme negative territory at the beginning of the period.

At 30 June 2020, the fund had an exposure to equities of 16%, a modified duration of around 6.2 and exposure to a rising US dollar of 15%.

Over the period, the fund’s performance was 0.40% (class 1A).

14. NATIXIS AM Funds - Seeyond Equity Factor Investing Europe

The Fund underperformed its reference index the MSCI Europe

The top contributors to the Fund’s returns were Airbus SE, ASM International N.V., Evolution Gaming Group AB, HelloFresh SE, BP p.l.c., CD Projekt S.A.

The largest detractors from the Fund’s returns were Helvetia Holding Ltd, ASML Holding NV Cineworld Group plc, AstraZeneca PLC, Roche Holding AG, International Consolidated Airlines Group SA.

Figures on the performance of the sub-fund’s main share class compared with the reference benchmark:

Seeyond Equity Factor Investing Europe SI/A, -1.73 % from 06/30/2019 to 06/30/2020 Seeyond Equity Factor Investing Europe I/A, -1.83 % from 06/30/2019 to 06/30/2020

15. NATIXIS AM Funds - Seeyond Europe Market Neutral

Review of Fund Performance:

Over the period, the Fund posted a negative performance of -2.73% vs -0.44% for the EONIA. We gradually increased our exposure to Utilities and Health Care, while reducing the exposure to Financials.

Sector allocation has a negative contribution to the performance. In particular, the fund suffered from its underweight in Health Care and Technology through the first quarter of 2020. The top contributors to the Fund’s returns were Novo Nordisk, Ahold Delhaize, Roche, ASM and Coloplast. The largest detractors from the Fund’s returns were Cineworld, Swiss Life, Aena, Scor and Engie.

16. NATIXIS AM Funds - Seeyond Europe Minvol

Review of Fund Performance:

Over the period, the Fund outperformed its reference benchmark, the MSCI Europe NR (-4.91% vs -5.48%). Through the year we gradually increased our exposure to Health Care and Materials, while significantly reducing the weighting of Financials.

Although sector allocation contribution was flat, stock selection was positive, in particular within Health Care (arGEN-X, UCB, Recordati) and Financials (Deutsche Boerse, Euronext). The top contributors to the Fund’s returns were Novo Nordisk, Ahold Delhaize, Roche, Tesco and Nestle. The largest detractors were Coca-Cola European, Thales, Sampo, Eiffage and Scor.

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Report of the Board of Directors

17. NATIXIS AM Funds - Seeyond US Minvol

Review of Fund Performance:

Over the period, the Fund underperformed its reference benchmark, the MSCI USA NR (-9.38% vs 7.79%). Throughout the year we increased our exposure to Health Care and Communications, while significantly reducing the weighting of Financials.

From a relative standpoint, although both sector and stock picking contributions were negative, most of the fund underperformance comes from our US large underweight in mega-cap names. The top contributors to the Fund’s returns were Newmont, Amazon, Bristol-Myers, Citrix and Microsoft. The largest detractors from the Fund’s returns were Starwood Poperty, AMN Healthcare, Darden Restaurants, Fidelity National and Blackstone Mortgage.

18. NATIXIS AM Funds - Seeyond Global Minvol

Review of Fund Performance:

Over the period, the Fund underperformed its reference benchmark, the MSCI AC World € (-6.19% vs 3.54%). Through the year we increased our exposure to Health Care and Communications, while significantly reducing the weighting of Financials.

From a relative standpoint, although both sector and country allocations contributed negatively most of the fund underperformance comes from our US underweight and in tech names in particular. The top contributors to the Fund’s returns were Top Glove, Barrick Gold, Franco-Nevada, Dollarama and Kroger. The largest detractors from the Fund’s returns were Erste Group, Japan Retail Fund, Aroundtown, H&R Block and Komercni Bank.

19. NATIXIS AM Funds - Seeyond Equity Volatility Strategies

From June 2019 to June 2020, the sub-fund returned +14.81% and its average Vega over the period was +1.1%. The highlight of the period was the spike of volatility during the Covid-19 crisis March 2020 where S&P500 1Y volatility went from sub 15 in mid-February to 45+ in mid-March, so a massive volatility spike in a very short time frame. Then, as Equity markets quickly recovered, 1Y volatility came back below 30 as soon as end of March, and then drifted lower to around 23 at the end of the period. In the true contrarian spirit of the strategy, the fund started the crisis with a Vega around +1.7% and gradually reduced it starting from mid-March as volatility reached very high levels, to reach a minimum Vega of -0.3% on the 23rd of March. As volatility normalized the fund gradually added some Vega to end the period around +0.4% Vega. Overall, the fund managed to lock-in most of the volatility spike by selling volatility on the highs to avoid suffering too much on the market rebound and volatility normalization. The fund returned +1.97% in Q3 2019, -4.58% in Q4 2019, +27.66% in Q1 2020 and -7.57% in Q2 2020.

20. NATIXIS AM Funds - Ostrum Global Emerging Bonds

The Fund outperformed its Reference Index (the JP MORGAN EMBI GLOBAL DIVERSIFIED TR in USD) by +0.74% (gross of fees I/C share class in EUR) in the 12 past months as of 30 June 2020. The fund realized a performance of 1.24% (gross of fees I/C share class in USD) VS. 0.49% for the benchmark.

During Q3&Q4 2019 Ostrum Global Emerging bonds returned solid absolute positive performances in line with the rest of 2019. The asset class was, supported by robust US Treasury bonds market and by some spread narrowing. Our OGEB fund’s performances during Q3& Q4 2019 were in line with the benchmark.

Q1 2020 the emerging market debt was marked by the health crises and therefore historically high levels of volatility. Spreads widened to 626 bp from 291 bp, leading to a total return fall of -13.38% (in USD) concentrated in March. High yield sovereign issuers naturally underperformed with a fall of -22.44% (spread ended at 1077 bp) compared to -5.44% for the investment grade (spreads ended at 329 bp).

Page 12 NATIXIS AM Funds

Report of the Board of Directors

During Q2 2020, on the other hand Emerging USD denominated debt recovered about half the March spread widening. High yield sovereign issuers outperformed substantially with a quarterly rebound of +16.57% compared with +9.06% for the investment grade. Local markets also benefited from a solid momentum with a quarterly rebound of +9.82% due to both lower yields and stronger emerging currencies against the US dollar.

Net of fees, the I/C share class of the fund has slightly underperformed its Reference Index (the JP MORGAN EMBI GLOBAL DIVERSIFIED TR in USD) by -0.07% (in USD) in the 12 past months ended 30 June 2020. The share class realized a yearly overall performance of 0.42% (net of fees I/C share class) VS. 0.49% for the benchmark as of end of June 2020.

21. NATIXIS AM Funds - Ostrum Global Emerging Equity

For the period from 28 June 2019 to 30 June 2020, the performance of the Ostrum Global Emerging Equity fund (of the Natixis AM Funds SICAV, based in Luxembourg) was -1.43% for I units in euros (starting NAV: €13,413.15; closing NAV: €13,220.76)

Over the same period, the performance of the MSCI Emerging Markets Investable Market Index (IMI) was -2.63% (in euros, net dividends reinvested).

Over the period as a whole, the fund’s outperformance was due above all to stock picking, with country and sector deviation playing only a marginal role in relative performance.

The fund benefited from the good relative performance of the following stocks: NCSoft (South Korea, communication services, +83%), MercadoLibre (Latin America, communication services, +57%), TSMC (Taiwan, IT, +45%), Weg (Brazil, manufacturing, +53%) and Tencent (China, communication services, +45%)

Conversely, among the main drags on performance, the following stocks stood out: Capitec (South Africa, finance, - 43%), Lojas Renner (Brazil, discretionary consumption, -43%), BB Seguridade (Brazil, finance, -32%), Titan (India, discretionary consumption, -32%) and Ayala Land (Philippines, real estate, -32%).

22. NATIXIS AM Funds - H2O Lux Multibonds

The sub-fund NATIXIS AM Funds - H2O Lux Multibonds has been liquidated on 28 May 2020.

For the period from 28 June 2019 to 28 May 2020, the performance of the H2O Lux Multibonds was -13.81% for I units and -13.94% for R units in euros.

23. NATIXIS AM Funds - H2O Lux Allegro

The sub-fund NATIXIS AM Funds - H2O Lux Allegro has been liquidated on 28 May 2020.

For the period from 28 June 2019 to 28 May 2020, the performance of the H2O Lux Allegro was -27.61% for I units and -28.15% for R units in euros.

24. NATIXIS AM Funds - Ostrum Food & Consumer Equities

The sub-fund NATIXIS AM Funds - Ostrum Food & Consumer Equities has been liquidated on 30 October 2019.

For the period from 28 June 2019 to 30 October 2019, the performance of the Ostrum Food & Consumer Equities was 1.53% for I units in euros.

Page 13

KPMG Luxembourg, Société coopérative Tel.: +352 22 51 51 1 39, Avenue John F. Kennedy Fax: +352 22 51 71 L-1855 Luxembourg E-mail: info@kpmg.lu Internet: www.kpmg.lu

To the Shareholders of Natixis AM Funds 5, Allée Scheffer L-2520 Luxembourg

REPORT OF THE REVISEUR D’ENTREPRISES AGREE

Page 14

KPMG Luxembourg, Société coopérative, a Luxembourg entity and a T.V.A. LU 27351518 member firm of the KPMG network of independent member firms R.C.S. Luxembourg B 149133 affiliated with KPMG International Cooperative (“KPMG International”),

Page 15

Page 16

Natixis AM Funds Combined statements

Page 17 Natixis AM Funds Combined statements Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 6,140,659,494.36 Securities portfolio at market value Note 2a) 5,733,466,063.60 Cost price 5,618,257,833.29 Unrealised profit on the securities portfolio 115,208,230.31 Options purchased at market value Note 2d) 6,265,822.37 Options purchased at cost 7,971,815.50 Cash at banks and liquidities 328,460,838.55 Interest receivable 31,125,820.24 Brokers receivable 30,937,543.45 Subscriptions receivable 2,650,453.92 Dividends receivable 2,615,786.79 Net unrealised appreciation on forward foreign exchange contracts Note 2b) 3,510,492.03 Net unrealised appreciation on financial futures Note 2c) 773,787.78 Net unrealised appreciation on swaps Note 2e) 7, 8 140,598.76 Receivable on spot exchange 550,823.64 Other assets 161,463.23 Liabilities 243,622,351.99 Options sold at market value Note 2d) 4,936,020.88 Options sold at cost 5,782,956.03 Bank overdrafts 3,663,267.60 Brokers payable 47,646,472.88 Payable for repurchase transactions Note 2l), 10 167,187,155.09 Redemptions payable 2,923,643.01 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 83,944.23 Net unrealised depreciation on financial futures Note 2c) 1,228,576.23 Net unrealised depreciation on swaps Note 2e), 7, 8 1,527,515.33 Payable on spot exchange 551,486.32 Accrued expenses 9,750,085.98 Other liabilities 4,124,184.44

Net asset value 5,897,037,142.37

The accompanying notes form an integral part of these financial statements Page 18 Natixis AM Funds Combined statements Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20

Expressed in EUR

Income 128,458,718.86 Net dividends Note 2i) 46,810,602.04 Net interest on bonds Note 2i) 72,730,870.97 Bank interest on cash account 1,534,397.90 Bank interest on time deposits 1,902.80 Securities lending income, net Note 2l), 9 528,436.56 Interest on swaps 3,967,507.89 Other income 1,425,774.58 Income on repurchase transactions Note 2l), 10 1,459,226.12 Expenses 60,612,106.87 Management fees Note 3 29,712,595.88 Custodian fees 833,940.26 Taxe d'abonnement Note 5 948,312.09 Administration fees Note 3 1,376,642.74 Performance fee Note 4 331,446.36 Domiciliation fees 9,054.49 Professional fees 157,101.50 Bank interest on overdrafts 2,338,673.59 Legal fees 25,522.96 Transaction fees Note 2k) 8,425,026.75 Expenses on repurchase and reverse repurchase transactions 758,069.86 Interest on swaps 11,615,419.36 Other expenses 4,080,301.03

Net income from investments 67,846,611.99 Net realised profit / (loss) on: - sales of investment securities Note 2h) -108,993,179.79 - options -9,082,119.98 - forward foreign exchange contracts -22,109,109.23 - financial futures 7,155,400.25 - swaps -5,346,252.36 - foreign exchange 12,980,273.59

Net realised loss -57,548,375.53 Movement in net unrealised appreciation / (depreciation) on: - investments -84,902,397.39 - options 334,785.67 - forward foreign exchange contracts -3,296,805.33 - financial futures -1,153,175.88 - swaps 6,473,770.03

Decrease in net assets as a result of operations -140,092,198.43 Dividends paid Note 6 -28,656,033.81 Subscription capitalisation shares 2,374,622,541.81 Subscription distribution shares 169,054,940.74 Redemption capitalisation shares -1,969,960,560.96 Redemption distribution shares -273,055,448.10

Increase in net assets 131,913,241.25

The accompanying notes form an integral part of these financial statements Page 19 Natixis AM Funds Combined statements Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20

Expressed in EUR

Reevaluation of opening combined NAV 5,227,557.78

Net assets at the beginning of the year 5,759,896,343.34

Net assets at the end of the year 5,897,037,142.37

The accompanying notes form an integral part of these financial statements Page 20 Natixis AM Funds - Ostrum Euro Bonds Opportunities 12 Months

Page 21 Natixis AM Funds - Ostrum Euro Bonds Opportunities 12 Months Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 85,048,160.15 Securities portfolio at market value Note 2a) 67,731,273.69 Cost price 68,205,807.31 Unrealised loss on the securities portfolio -474,533.62 Cash at banks and liquidities 16,927,759.13 Interest receivable 386,277.10 Brokers receivable 50.50 Subscriptions receivable 2,799.73 Liabilities 10,848,951.83 Payable for repurchase transactions Note 2l), 10 10,719,000.00 Redemptions payable 22,891.92 Accrued expenses 46,161.81 Other liabilities 60,898.10

Net asset value 74,199,208.32

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class I (EUR) 1,894.38 400.32 1,862.20 432.50

Class R (EUR) 464.30 13.46 181.48 296.28

Class SI (EUR) (*) 0.00 516,200.00 35,220.00 480,980.00

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 74,199,208.32 107,606,366.83 171,371,025.68 Class I (EUR) Number of shares 432.50 1,894.38 3,006.76 Net asset value per share EUR 54,894.17 54,887.04 54,765.55 Class R (EUR) Number of shares 296.28 464.30 857.05 Net asset value per share EUR 7,795.99 7,817.47 7,822.26 Class SI (EUR) (*) Number of shares 480,980.00 0.00 0.00 Net asset value per share EUR 100.10 0.00 0.00

(*) Launched on 25/10/19.

The accompanying notes form an integral part of these financial statements Page 22 Natixis AM Funds - Ostrum Euro Bonds Opportunities 12 Months Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 67,731,273.69 91.28 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 67,731,273.69 91.28 Greece 16,378,951.44 22.07 5,900,000.00 HELLENIC REPUBLIC 3.50 17-23 30/01A EUR 6,379,257.00 8.60 10,000,000.00 HELLENIC TBILL ZCP 03-07-20 EUR 9,999,694.44 13.47 Italy 42,901,798.25 57.82 200,000.00 ITALY 0.05 18-21 15/04S EUR 200,390.00 0.27 14,950,000.00 ITALY 0.45 16-21 01/06S EUR 15,029,085.50 20.26 1,000,000.00 ITALY 0.65 15-20 01/11S EUR 1,003,070.00 1.35 1,000,000.00 ITALY 3.75 10-21 01/03S EUR 1,026,720.00 1.38 1,000,000.00 ITALY 4.00 10-20 01/09S EUR 1,007,140.00 1.36 10,000,000.00 ITALY 4.75 11-21 01/09S EUR 10,567,050.00 14.24 400,000.00 ITALY 5.50 12-22 01/09S EUR 446,632.00 0.60 2,900,000.00 ITALY BTP 1.20 17-22 01/04S EUR 2,957,173.50 3.99 10,650,000.00 ITALY 0.20 17-20 15/10S EUR 10,664,537.25 14.37 Portugal 3,079,901.50 4.15 2,900,000.00 PORTUGAL 2.20 15-22 17/10A EUR 3,079,901.50 4.15 Spain 5,370,622.50 7.24 5,300,000.00 SPAIN 0.75 16-21 30/07A EUR 5,370,622.50 7.24

Total securities portfolio 67,731,273.69 91.28

The accompanying notes form an integral part of these financial statements Page 23 Natixis AM Funds - Ostrum Euro Bonds Opportunities 12 Months Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 1,496,170.31 Net interest on bonds Note 2i) 1,462,395.44 Bank interest on cash account 4,072.41 Securities lending income, net Note 2l), 9 227.25 Other income 3,129.95 Income on repurchase transactions Note 2l), 10 26,345.26 Expenses 337,035.25 Management fees Note 3 184,895.53 Custodian fees 15,921.93 Taxe d'abonnement Note 5 9,760.80 Administration fees Note 3 4,041.47 Performance fee Note 4 1,871.73 Domiciliation fees 375.00 Professional fees 2,656.40 Bank interest on overdrafts 23,467.06 Legal fees 381.59 Transaction fees Note 2k) 9,342.50 Expenses on repurchase and reverse repurchase transactions 12,120.09 Other expenses 72,201.15

Net income from investments 1,159,135.06 Net realised profit / (loss) on: - sales of investment securities Note 2h) -1,899,651.78 - financial futures -87,950.00

Net realised loss -828,466.72 Movement in net unrealised appreciation / (depreciation) on: - investments 459,168.24 - financial futures 47,910.00

Decrease in net assets as a result of operations -321,388.48 Subscription capitalisation shares 73,655,754.09 Redemption capitalisation shares -106,741,524.12

Decrease in net assets -33,407,158.51

Net assets at the beginning of the year 107,606,366.83

Net assets at the end of the year 74,199,208.32

The accompanying notes form an integral part of these financial statements Page 24 Natixis AM Funds - Ostrum Euro Short Term Credit

Page 25 Natixis AM Funds - Ostrum Euro Short Term Credit Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 1,634,949,048.92 Securities portfolio at market value Note 2a) 1,560,773,041.21 Cost price 1,615,303,754.92 Unrealised loss on the securities portfolio -54,530,713.71 Cash at banks and liquidities 55,852,511.12 Interest receivable 17,255,810.47 Subscriptions receivable 894,886.12 Net unrealised appreciation on financial futures Note 2c) 172,800.00 Liabilities 56,935,294.17 Bank overdrafts 177,197.36 Payable for repurchase transactions Note 2l), 10 53,321,225.00 Redemptions payable 294,055.08 Net unrealised depreciation on swaps Note 2e), 7, 8 488,216.74 Accrued expenses 1,149,956.44 Other liabilities 1,504,643.55

Net asset value 1,578,013,754.75

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (EUR) 6,297,869.85 5,880,002.24 3,260,631.65 8,917,240.44

Class SI (EUR) - Distribution 2,571,209.93 245,865.08 1,011,730.74 1,805,344.27

Class N1 (EUR) 976,301.48 1,219,908.46 443,987.67 1,752,222.27

Class I (EUR) 25,638.71 19,696.58 21,269.93 24,065.36

Class I (EUR) - Distribution 1,812.70 159.50 1,902.77 69.43

Class N (EUR) 3,481.62 81,775.76 10,253.54 75,003.84

Class R (EUR) 632,089.19 311,570.00 322,400.19 621,259.00

Class R (EUR) - Distribution (*) 0.00 99.75 0.00 99.75

Class RE (EUR) 6,325.72 2,113.52 4,022.07 4,417.17

The accompanying notes form an integral part of these financial statements Page 26 Natixis AM Funds - Ostrum Euro Short Term Credit Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 1,578,013,754.75 1,360,821,732.67 1,327,645,870.00 Class SI (EUR) Number of shares 8,917,240.44 6,297,869.85 2,089,999.80 Net asset value per share EUR 102.08 103.83 102.48 Class SI (EUR) - Distribution Number of shares 1,805,344.27 2,571,209.93 2,783,155.31 Net asset value per share EUR 93.26 96.62 97.17 Dividend per share 1.75 1.81 2.52 Class N1 (EUR) Number of shares 1,752,222.27 976,301.48 32,658.86 Net asset value per share EUR 98.70 100.55 99.41 Class I (EUR) Number of shares 24,065.36 25,638.71 71,342.20 Net asset value per share EUR 10,549.85 10,746.68 10,622.60 Class I (EUR) - Distribution Number of shares 69.43 1,812.70 1,730.47 Net asset value per share EUR 9,118.49 9,446.60 9,499.85 Dividend per share 161.98 162.59 232.69 Class N (EUR) Number of shares 75,003.84 3,481.62 9,025.13 Net asset value per share EUR 98.74 100.73 99.69 Class R (EUR) Number of shares 621,259.00 632,089.19 591,543.27 Net asset value per share EUR 102.99 105.38 104.62 Class R (EUR) - Distribution (*) Number of shares 99.75 0.00 14,973.05 Net asset value per share EUR 94.37 0.00 97.62 Dividend per share 0.48 1.25 1.95 Class RE (EUR) Number of shares 4,417.17 6,325.72 11,800.48 Net asset value per share EUR 100.98 103.94 103.81

(*) Closed on 31/05/19 and launched on 29/10/19.

The accompanying notes form an integral part of these financial statements Page 27 Natixis AM Funds - Ostrum Euro Short Term Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 1,472,389,446.55 93.31 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 1,077,469,919.63 68.28 Australia 48,753,015.00 3.09 21,200,000.00 BHP BILLITON 4.75 15-76 22/04A EUR 21,636,402.00 1.37 7,000,000.00 MACQUERIE BANK SUB 6.00 10-20 21/09A EUR 7,083,335.00 0.45 4,000,000.00 ORIGIN ENERGY 114AREGS3.50 13-21 04/10A EUR 4,141,200.00 0.26 10,100,000.00 TELSTRA CORP LTD 3.625 10-21 15/03A EUR 10,357,348.00 0.66 5,400,000.00 TOYOTA FINANCE 1.5840 20-22 21/04A EUR 5,534,730.00 0.35 Austria 9,454,841.00 0.60 6,000,000.00 TELEKOM FINANZ 3.125 13-21 03/12A EUR 6,264,000.00 0.40 2,900,000.00 TELEKOM FINANZ 3.50 13-23 04/07A EUR 3,190,841.00 0.20 Belgium 21,443,210.00 1.36 4,000,000.00 ANHEUSER BUSCH 0.875 16-22 17/03A EUR 4,051,620.00 0.26 5,000,000.00 ANHEUSER-BU INB REGS 0.80 15-23 20/04A EUR 5,087,450.00 0.32 3,000,000.00 ELIA SYSTEMS OP 1.375 15-24 27/05A EUR 3,132,735.00 0.20 9,000,000.00 UCB SA 1.875 15-22 02/04A EUR 9,171,405.00 0.58 Canada 5,023,450.00 0.32 5,000,000.00 TORONTO-DOMINIO 0.3750 19-24 25/04A EUR 5,023,450.00 0.32 China 6,198,342.00 0.39 3,000,000.00 CHINA DEVELOP.BK 0.375 17-21 16/11A EUR 3,011,430.00 0.19 3,200,000.00 IND & COMM BK C 0.2500 19-22 25/04A EUR 3,186,912.00 0.20 Czech Republic 3,172,200.00 0.20 3,000,000.00 CEZ AS EMTN -9- 5.00 09-21 19/10A EUR 3,172,200.00 0.20 Denmark 13,326,892.00 0.84 3,000,000.00 DANSKE 0.875 18-23 22/05A EUR 2,999,580.00 0.19 4,000,000.00 DANSKE BANK A/S 0.50 16-21 06/05A EUR 4,019,780.00 0.25 3,500,000.00 DANSKE BANK A/S 1.375 19-22 24/05A EUR 3,542,420.00 0.22 2,800,000.00 NYKREDIT REALKR 0.2500 19-23 20/01A EUR 2,765,112.00 0.18 Finland 11,970,426.72 0.76 2,500,000.00 CRH FINLAND SER 0.8750 20-23 05/11A EUR 2,539,325.00 0.16 10,000,000.00 NORDEA BANK EMTN 1.125 12-20 02/10A CHF 9,431,101.72 0.60 France 251,769,279.75 15.94 700,000.00 ACCOR SA 2.625 14-21 05/02A EUR 704,515.00 0.04 6,000,000.00 ALD SA 1.2500 18-22 11/10A EUR 5,953,590.00 0.38 14,400,000.00 ATOS SE 0.7500 18-22 07/05A EUR 14,539,896.00 0.92 3,000,000.00 AXA SUB 5.125 13-43 04/07A EUR 3,346,050.00 0.21 12,200,000.00 BANQUE POSTALE 4.375 10-20 30/11A EUR 12,405,387.00 0.79 9,950,000.00 BFCM 4.00 10-20 22/10A EUR 10,059,848.00 0.64 3,300,000.00 BIOMERIEUX 2.875 13-20 14/10A EUR 3,316,945.50 0.21 9,000,000.00 BNP PARIBAS CARDIF 1.00 17-24 29/11A EUR 8,942,535.00 0.57 12,000,000.00 BPCE 4.625 13-23 18/07A EUR 13,345,380.00 0.85 6,400,000.00 BPCE SA 3.55 10-20 08/10Q EUR 6,457,472.00 0.41 9,000,000.00 BUREAU VERITAS SA 3.125 14-21 21/01A EUR 9,113,220.00 0.58 10,000,000.00 CAPGEMINI SE 1.250 20-22 15/04A EUR 10,134,500.00 0.64 21,400,000.00 CHRISTIAN DIOR SA 0.75 16-21 24/06A EUR 21,475,435.00 1.36 1,300,000.00 CNP ASSUR. 1.875 16-22 20/10A EUR 1,328,418.00 0.08 3,200,000.00 ESSILORLUXOTTICA 0.25 20-24 05/01A EUR 3,214,464.00 0.20 2,000,000.00 EUTELSAT 1.125 16-21 23/06A EUR 2,003,690.00 0.13 9,700,000.00 GDF SUEZ 0.50 15-22 13/03A EUR 9,756,211.50 0.62 1,500,000.00 GDF SUEZ EMTN 1.125 12-20 09/10A CHF 1,414,813.25 0.09 7,000,000.00 HAVAS SA 1.875 15-20 08/12A EUR 7,013,755.00 0.44 15,800,000.00 ILIAD SA 2.125 15-22 05/12A EUR 16,085,269.00 1.02 8,000,000.00 ILIAD SA 0.6250 18-21 25/11A EUR 7,935,440.00 0.50 3,000,000.00 INGENICO 2.50 14-21 20/05A EUR 3,042,600.00 0.19 3,600,000.00 KERING 0.2500 20-23 13/05A EUR 3,620,736.00 0.23 1,700,000.00 ORANGE 3.00 12-22 15/06A EUR 1,800,410.50 0.11 9,500,000.00 PSA BANQUE FRAN 0.5000 19-22 12/04A EUR 9,371,465.00 0.59 4,400,000.00 RCI BANQUE SA 0.2500 19-23 08/03A EUR 4,248,442.00 0.27 15,000,000.00 SOCIETE GENERALE 4.00 13-23 07/06A EUR 16,356,150.00 1.04 4,500,000.00 SOCIETE GENERALE SA 1.25 19-24 15/02A EUR 4,563,000.00 0.29 8,200,000.00 SODEXO 0.75 20-25 27/04A EUR 8,226,568.00 0.52 3,000,000.00 VALEO SA 0.375 17-22 12/09A EUR 2,910,150.00 0.18 9,700,000.00 VERITAS SA 1.25 16-23 07/09A EUR 9,644,322.00 0.61 7,200,000.00 VIVENDI 0.75 16-21 26/05A EUR 7,230,672.00 0.46

The accompanying notes form an integral part of these financial statements Page 28 Natixis AM Funds - Ostrum Euro Short Term Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 12,200,000.00 WORLDLINE SA 0.5 20-23 30/06A EUR 12,207,930.00 0.77 Germany 63,080,873.50 4.00 3,000,000.00 COMMERZBANK AG 7.75 11-21 16/03A EUR 3,126,105.00 0.20 4,100,000.00 CONTINENTAL AG 0.00 19-23 05/09U EUR 4,012,219.00 0.25 6,400,000.00 DEUTSCHE BANK 0.375 18-21 18/01A EUR 6,383,808.00 0.40 3,500,000.00 INFINEON TECHNO 0.7500 20-23 24/06A EUR 3,516,677.50 0.22 10,000,000.00 MUNICH RE 6.25 12-42 26/05A EUR 11,004,350.00 0.70 18,000,000.00 SCHAEFFLER AG 1.1250 19-22 26/03A EUR 17,542,440.00 1.12 1,900,000.00 SCHAEFFLER AG 1.8750 19-24 26/03A EUR 1,848,396.00 0.12 4,800,000.00 VOLKSWAGEN FIN SERV 0.625 19-22 01/04A EUR 4,771,896.00 0.30 3,300,000.00 VOLKSWAGEN FINANCIAL 0.25 18-20 16/10A EUR 3,297,657.00 0.21 5,800,000.00 VOLKSWAGEN LEASING 0.2500 18-21 16/02A EUR 5,795,766.00 0.37 1,800,000.00 VOLKSWAGEN LEASING 0.50 19-22 20/06A EUR 1,781,559.00 0.11 Guernsey 5,088,325.00 0.32 5,000,000.00 CREDIT SUISSE GR FDG 1.25 15-22 14/04A EUR 5,088,325.00 0.32 Ireland 30,543,071.50 1.94 16,700,000.00 AQUARIUS INVESTMENTS 4.25 13-43 02/10A EUR 18,251,346.50 1.16 4,600,000.00 FCA BANK SPA IRL 0.25 17-20 12/10A EUR 4,589,811.00 0.29 3,000,000.00 FCA CAPITAL IRELAND P 1.25 16-20 23/09A EUR 3,003,330.00 0.19 2,000,000.00 GE CAP EUR FD EMTN 2.25 13-20 20/07A EUR 2,001,500.00 0.13 2,700,000.00 JOHNSON CONT INTL PLC 0.00 17-20 04/12U EUR 2,697,084.00 0.17 Italy 57,370,383.98 3.64 4,393,000.00 AEROPORTI DI ROMA SPA 3.25 13-21 20/02A EUR 4,454,743.62 0.28 5,000,000.00 ATLANTIA EMTN 2.875 13-21 26/02A EUR 4,971,800.00 0.32 11,125,000.00 CAMPARI 2.75 15-20 30/09A EUR 11,147,361.25 0.71 8,000,000.00 ENI SPA 4.0000 18-23 12/09S USD 7,708,712.11 0.49 5,000,000.00 ITALY 2.15 14-21 15/12S EUR 5,162,125.00 0.33 3,500,000.00 MEDIOBANCA 0.625 17-22 27/09A EUR 3,491,950.00 0.22 13,100,000.00 UNICREDIT SPA REGS 6.95 12-22 31/10A EUR 14,441,702.00 0.91 6,000,000.00 UNIONE DI BANCH 1.0000 19-22 22/07A EUR 5,991,990.00 0.38 Japan 12,132,859.35 0.77 10,000,000.00 SUMITOMO MIT REGS SUB 4.00 10-20 09/11A EUR 10,126,700.00 0.64 1,970,000.00 TAKEDA PHARMACE 1.1250 18-22 21/11A EUR 2,006,159.35 0.13 Jersey Island 4,710,459.50 0.30 1,200,000.00 GLENCORE FINANCE 2.75 14-21 01/04A EUR 1,208,412.00 0.08 3,500,000.00 GLENCORE FINANCE EURO 1.25 15-21 17/03A EUR 3,502,047.50 0.22 Luxembourg 30,553,337.14 1.94 4,130,000.00 ARCELORMITTAL 2.50 15-20 03/07A CHF 3,880,667.14 0.25 2,000,000.00 DELL BANK INTER 0.6250 19-22 17/10A EUR 1,976,120.00 0.13 4,400,000.00 FIAT FINANCE REGS 4.75 14-21 22/03A EUR 4,482,984.00 0.28 4,000,000.00 HEIDELBERGCEMENT REGS 3.25 13-21 21/10S EUR 4,135,260.00 0.26 6,000,000.00 LOGICOR FINANCING SA 0.50 19-21 30/04A EUR 5,969,850.00 0.38 2,900,000.00 UNICREDIT LEASING COR 0.502 19-22 18/10A EUR 2,860,908.00 0.18 5,000,000.00 UPJOHN FINANCE 0.8160 20-22 23/06A EUR 5,030,850.00 0.32 2,200,000.00 UPJOHN FINANCE 1.0230 20-24 23/06A EUR 2,216,698.00 0.14 Norway 3,885,280.00 0.25 4,000,000.00 SANTANDER CONS BK 0.125 19-24 11/09A EUR 3,885,280.00 0.25 Poland 1,007,748.84 0.06 1,009,000.00 PKO BANK POLSKI S.A. 0.75 17-21 25/07A EUR 1,007,748.84 0.06 Portugal 16,139,110.00 1.02 2,500,000.00 BRISA CONCESSAO ROD 3.875 14-21 01/04A EUR 2,559,550.00 0.16 4,500,000.00 GALP ENERGIA 1.00 17-23 15/02A EUR 4,458,330.00 0.28 9,000,000.00 GALP ENERGIA EMTN 3.00 14-21 14/01U EUR 9,121,230.00 0.58 South Korea 2,709,560.00 0.17 2,800,000.00 POSCO 0.5 20-24 17/01A EUR 2,709,560.00 0.17 Spain 102,546,358.50 6.50 2,000,000.00 BANCO BILBAO VIZCAYA 1.125 19-24 28/02A EUR 2,012,580.00 0.13 15,000,000.00 BANCO DE SABADELL SA 1.75 19-24 10/05A EUR 14,266,800.00 0.90 2,400,000.00 BANCO SANTANDER 1.3750 20-26 05/01A EUR 2,444,832.00 0.15 11,000,000.00 BCO BILBAO VIZCAYA 0.75 17-22 11/09A EUR 11,051,645.00 0.70 8,000,000.00 CAIXABANK SA 1.75 18-23 24/10A EUR 8,156,960.00 0.52 4,000,000.00 CRITERIA CAIXA SA 1.5 17-23 10/05A EUR 4,083,240.00 0.26 8,200,000.00 INTL CONSOLIDAT 0.5000 19-23 04/07A EUR 6,590,832.00 0.42 4,900,000.00 PROSEGUR CIA 1.00 18-23 08/02A EUR 4,900,245.00 0.31 8,000,000.00 SANTAN CONSUMER 1.1250 18-23 09/10A EUR 8,143,360.00 0.52

The accompanying notes form an integral part of these financial statements Page 29 Natixis AM Funds - Ostrum Euro Short Term Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 8,000,000.00 SANTAN CONSUMER 0.875 17-22 24/01A EUR 8,051,800.00 0.51 20,100,000.00 SANTANDER ISSUANCES 2.50 15-25 18/03A EUR 21,000,681.00 1.33 11,700,000.00 TELEFONICA EMISIONES 0.75 16-22 13/04A EUR 11,843,383.50 0.75 Sweden 6,536,300.00 0.41 4,000,000.00 MOLNLYCKE HLDG 1.50 14-22 28/02A EUR 4,062,400.00 0.25 2,500,000.00 VOLVO TREASURY 0.1000 19-22 24/05A EUR 2,473,900.00 0.16 Switzerland 10,209,822.37 0.65 5,000,000.00 CS AG REGS 6.50 13-23 08/08S USD 4,884,276.37 0.31 5,300,000.00 DEUTSCHE BK 1.625 19-21 12/02A EUR 5,325,546.00 0.34 The Netherlands 139,901,751.02 8.87 13,000,000.00 ABN AMRO BANK 7.125 12-22 06/07A EUR 14,665,690.00 0.94 14,778,000.00 ABN AMRO BANK EMTN 6.375 11-21 27/04A EUR 15,496,432.47 0.99 3,687,000.00 BASF FINANCE EUROP 0.00 16-20 10/11A EUR 3,686,815.65 0.23 7,800,000.00 BMW FINANCE NV 0.00 19-23 24/03A EUR 7,734,168.00 0.49 1,500,000.00 CONTI-GUMMI FINANCE 2.1250 20-23 27/11A EUR 1,548,585.00 0.10 6,000,000.00 DAIMLER INTL FI 0.2500 19-23 06/11A EUR 5,853,270.01 0.37 5,000,000.00 DE VOLKSBANK NV 3.75 15-25 05/11A EUR 5,046,100.00 0.32 2,200,000.00 DIGITAL DUTCH F 0.1250 20-22 15/10A EUR 2,174,700.00 0.14 3,000,000.00 DT ANNINGTON FINANCE 2.125 14-22 09/07A EUR 3,110,670.00 0.20 3,332,000.00 FERRARI 0.25 17-21 16/01A EUR 3,328,901.24 0.21 3,400,000.00 LEASEPLAN CORP 0.75 17-22 03103A EUR 3,358,673.00 0.21 5,700,000.00 LEASEPLAN CORPO 0.1250 19-23 13/09A EUR 5,496,510.00 0.35 7,000,000.00 MYLAN 1.25 16-20 23/11A EUR 7,008,575.00 0.44 3,000,000.00 NIBC BANK NV 1.50 17-22 31/01A EUR 3,027,795.00 0.19 4,100,000.00 NOMURA EUROPE FIN 1.50 14-21 12/05A EUR 4,150,573.50 0.26 5,000,000.00 RABOBANK 4.125 12-22 14/09A EUR 5,424,950.00 0.34 5,000,000.00 RABOBANK EMTN 1.25 12-20 15/10A CHF 4,722,386.65 0.30 9,000,000.00 RABOBANK NED 3.75 10-20 09/11A EUR 9,111,285.00 0.58 5,000,000.00 REN FIN EMTN REGS 4.75 13-20 16/10A EUR 5,064,375.00 0.32 10,500,000.00 SIEMENS FIN 0.00 20-23 20/02U EUR 10,492,650.00 0.66 5,500,000.00 SIEMENS FINANCI 0.1250 20-22 05/06A EUR 5,514,877.50 0.35 4,000,000.00 SIEMENS FINANCIERING 0.0 19-21 05/09A EUR 4,002,000.00 0.25 10,400,000.00 ZF EUROPE FINANCE BV 1.250 16-23 23/10A EUR 9,881,768.00 0.63 United Kingdom 70,046,516.51 4.44 3,000,000.00 BARCLAYS BANK 1.50 14-22 01/04A EUR 3,042,195.00 0.19 10,000,000.00 BARCLAYS BANK 10.00 09-21 21/05A GBP 11,779,372.94 0.75 5,000,000.00 BARCLAYS BANK PLC 6.00 10-21 14/01A EUR 5,145,550.00 0.33 3,750,000.00 CREDIT AGRICOLE 1.25 14-20 17/07A CHF 3,525,581.40 0.22 6,000,000.00 FCE BANK PLC 1.528 15-20 09/11 EUR 5,967,990.00 0.38 2,400,000.00 GLAXOSMITHKLINE 0.1250 20-23 12/05A EUR 2,402,016.00 0.15 2,946,000.00 GLAXOSMITHKLINE CA 0.000001 19-21 23/09A EUR 2,945,396.07 0.19 5,000,000.00 HITACHI CAPITAL 0.1250 19-22 29/11A EUR 4,883,400.00 0.31 5,000,000.00 MONDI FINANCE EMTN 3.375 12-20 28/09A EUR 5,034,375.00 0.32 9,500,000.00 NATIONWIDE BUILDING 6.75 10-20 22/07A EUR 9,534,247.50 0.60 4,800,000.00 UBS AG LONDON 0.7500 20-23 21/04A EUR 4,878,144.00 0.31 4,300,000.00 VODAFONE GROUP PLC 0.375 17-21 22/11A EUR 4,318,382.50 0.27 7,000,000.00 WESTPAC SECURITIES 0.625 14-20 02/09A CHF 6,589,866.10 0.42 United States of America 149,896,505.95 9.50 9,000,000.00 ABBVIE INC 0.5 20-21 01/06A EUR 9,001,035.00 0.57 12,775,000.00 ALBEMARLE 1.875 14-21 08/12A EUR 12,778,193.75 0.81 3,100,000.00 AMERICAN HONDA FINANCE 1.6 20-22 20/04A EUR 3,164,836.50 0.20 9,000,000.00 AT&T INC 2.50 13-23 15/03A EUR 9,461,520.00 0.60 16,000,000.00 BANK OF AMERICA 1.375 14-21 10/09A EUR 16,251,280.00 1.02 7,000,000.00 BECTON DICKINSON A 1.00 16-22 15/12A EUR 7,039,200.00 0.45 3,600,000.00 FEDEX CORP 0.7 19-22 13/05A EUR 3,619,170.00 0.23 10,000,000.00 FIDELITY NATL I 0.1250 19-22 03/12A EUR 9,955,350.00 0.63 22,580,000.00 GENERAL ELECTRIC CO 0.375 17-22 17/05A EUR 22,407,037.20 1.41 3,200,000.00 GENERAL MOTORS FINAN0.2 19-20 02/09A EUR 3,077,392.00 0.20 3,000,000.00 GOLDMAN SACHS G 0.1250 19-24 19/08A EUR 2,929,170.00 0.19 10,000,000.00 GOLDMAN SACHS GROUP 4.75 06-21 12/10A EUR 10,534,050.00 0.67 5,700,000.00 HARLEY-DAVIDSON 0.9000 19-24 19/11A EUR 5,368,402.50 0.34 1,200,000.00 ILLINOIS TOOL WORKS 0.25 19-24 05/12A EUR 1,200,960.00 0.08 11,000,000.00 INTL FLAVOR 0.5 18-21 25/09A EUR 10,986,965.00 0.70 6,300,000.00 PEPSI 0.25 20-24 06/05A EUR 6,342,840.00 0.40 4,300,000.00 WELLS FARGO 0.50 19-24 26/04A EUR 4,276,780.00 0.27 6,000,000.00 WELLS FARGO 1.50 15-22 12/09A EUR 6,144,570.00 0.39

The accompanying notes form an integral part of these financial statements Page 30 Natixis AM Funds - Ostrum Euro Short Term Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 5,100,000.00 WELLS FARGO 2.25 13-23 02/05A EUR 5,357,754.00 0.34 Floating rate notes 394,919,526.92 25.03 Australia 17,711,235.00 1.12 3,800,000.00 AUST & NZ BANKI FL.R 19-29 21/11A EUR 3,775,395.00 0.24 12,000,000.00 BHP BILLITON FIN FL.R 15-79 22/10A EUR 13,935,840.00 0.88 Austria 7,219,366.50 0.46 6,900,000.00 OMV SUB FL.R 15-XX 09/12A EUR 7,219,366.50 0.46 Denmark 7,284,992.00 0.46 6,400,000.00 ORSTED FL.R 13-XX 26/06A EUR 7,284,992.00 0.46 Finland 6,982,465.00 0.44 7,000,000.00 NORDEA BANK FL.R 16-26 07/09A EUR 6,982,465.00 0.44 France 123,028,191.00 7.79 4,400,000.00 ALD SA FL.R 18-21 26/02Q EUR 4,375,228.00 0.28 5,000,000.00 BNP PARIBAS FL.R 14-26 20/03A EUR 5,048,350.00 0.32 20,300,000.00 BNP PARIBAS SA FL.R 17-22 22/09Q EUR 20,419,770.00 1.29 8,500,000.00 CNP ASSURANCES FL.R 10-40 14/09A EUR 8,573,695.00 0.54 6,400,000.00 CNP ASSURANCES FL.R 11-41 30/09A EUR 6,847,552.00 0.43 4,600,000.00 CREDIT AGRICOLE SA FL.R 20-30 05/06A EUR 4,627,646.00 0.29 6,000,000.00 EDF FL.R 18-99 04/10A EUR 6,181,440.00 0.39 5,000,000.00 LVMH MOET HENNE FL.R 20-22 11/02Q EUR 4,994,550.00 0.32 4,300,000.00 ORANGE FL.R 14-XX 07/02A EUR 4,804,153.50 0.30 410,000.00 ORANGE EMTN FL.R 14-XX 01/10A EUR 423,855.95 0.03 13,000,000.00 SOCIETE GENERALE REGS FL.R 14-XX 07/04S EUR 12,936,885.00 0.82 2,651,000.00 TOTAL SA FL.R 15-XX 26/02A EUR 2,655,254.85 0.17 30,195,000.00 TOTAL SA FL.R 16-49 18/05A EUR 31,259,675.70 1.98 2,000,000.00 TOTAL SA FL.R 19-XX 04/04A EUR 1,979,170.00 0.13 9,000,000.00 UNIBAIL RODAMCO FL.R 18-XX 25/10A EUR 7,900,965.00 0.50 Germany 45,532,236.00 2.88 21,600,000.00 ALLIANZ SE FL.R 13-XX 24/10A EUR 23,793,156.00 1.50 16,000,000.00 ALLIANZ SE FL.R 12-42 17/10A EUR 17,615,280.00 1.12 4,000,000.00 ENBW ENERGIE FL.R 3.375 16-77 05/04A EUR 4,123,800.00 0.26 Italy 34,181,461.31 2.17 1,700,000.00 ASSICURAZ GENERALI FL.R 12-42 10/07A EUR 1,996,590.50 0.13 4,000,000.00 INTESA SAN PAOLO FL.R 17-22 19/04Q EUR 3,988,580.00 0.25 6,000,000.00 INTESA SANPAOLO SUB FL.R 7.00 16-XX 19/01S EUR 5,989,830.00 0.38 7,000,000.00 MEDIOBANCA FL.R 17-22 18/05Q EUR 6,949,600.00 0.44 15,063,000.00 UNICREDIT SPA EMTN FL.R 13-25 28/10A EUR 15,256,860.81 0.97 Luxembourg 26,136,470.00 1.66 10,000,000.00 HANNOVER FINANCE FL.R 10-40 14/09A EUR 10,092,400.00 0.64 14,000,000.00 TALANX FINANZ EMTN FL.R 12-42 15/06A EUR 16,044,070.00 1.02 Portugal 3,730,475.00 0.24 3,500,000.00 ENERGIAS DE POR FL.R 19-79 30/04A EUR 3,730,475.00 0.24 Spain 15,296,450.00 0.97 6,700,000.00 AMADEUS IT GROU FL.R 18-22 18/03Q EUR 6,569,082.00 0.41 1,600,000.00 BANCO BILBAO VIZCAYA A 1.00 20-30 16/01A EUR 1,506,200.00 0.10 2,100,000.00 BANCO DE SABADE FL.R 20-23 29/06A EUR 2,116,023.00 0.13 2,000,000.00 BANKIA SA FL.R 17-27 15/03A EUR 1,995,510.00 0.13 3,000,000.00 BCO BILBAO VIZCAYA FL.R 16-XX 14/04Q EUR 3,109,635.00 0.20 Switzerland 13,212,320.00 0.84 5,000,000.00 CREDIT SUISSE FL.R 13-25 18/09A EUR 5,039,400.00 0.32 8,000,000.00 UBS AG SUB FL.R 14-26 12/02A EUR 8,172,920.00 0.52 The Netherlands 26,944,128.00 1.71 7,400,000.00 COOP RABOBANK UA 6.625 16-49 26/04A EUR 7,629,585.00 0.48 4,000,000.00 ING GROEP NV FL.R 17-28 11/04A EUR 4,200,620.00 0.27 1,300,000.00 REPSOL INTL FINANCE FL.R 15-49 29/12A EUR 1,313,936.00 0.08 11,300,000.00 TELEFONICA EUROPA SUB 3.75 16-XX 15/09A EUR 11,362,037.00 0.73 2,500,000.00 TELEFONICA EUROPE BV FL.R 17-XX 07/06M EUR 2,437,950.00 0.15 United Kingdom 33,437,954.50 2.12 5,500,000.00 HSBC HOLDING FL.R 14-XX 16/09S EUR 5,481,960.00 0.35 7,000,000.00 HSBC HOLDING FL.R 17-22 27/09Q EUR 6,999,930.00 0.44 5,000,000.00 HSBC HOLDING FL.R 17-23 05/10Q EUR 4,945,925.00 0.31 6,600,000.00 NATWEST MARKETS FL.R 18-21 27/09Q EUR 6,633,957.00 0.42 4,500,000.00 NATWEST MARKETS PLC FL.R 19-21 18/06Q EUR 4,513,207.50 0.29 5,000,000.00 SANTANDER UK GR FL.R 20-25 28/02A EUR 4,862,975.00 0.31

The accompanying notes form an integral part of these financial statements Page 31 Natixis AM Funds - Ostrum Euro Short Term Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets

United States of America 34,221,782.61 2.17 5,000,000.00 BANK OF AMERICA FL.R 17-23 04/05Q EUR 5,008,225.00 0.32 6,000,000.00 GENERAL MOTORS FIN FL.R 17-21 10/05Q EUR 5,900,520.00 0.37 7,642,000.00 GOLDMAN SACHS GROUP FL.R 17-22 09/09Q EUR 7,603,446.11 0.48 10,500,000.00 MORGAN STANLEY FL.R 16-22 27/01Q EUR 10,511,340.00 0.67 5,100,000.00 WELLS FARGO FL.R 20-25 04/05A EUR 5,198,251.50 0.33

Shares/Units of UCITS/UCI 88,383,594.66 5.60 Shares/Units in investment funds 88,383,594.66 5.60 France 71,383,438.50 4.52 111.00 OS EURO ABS IG -SI- 4 DEC EUR 13,856,505.18 0.88 202.00 OS EURO ABS OPP-IC- 2 DEC EUR 23,798,634.04 1.51 1,292.50 OSTRUM GLOBAL SUBORD FCP EUR 4 DEC EUR 14,875,447.13 0.94 183.00 OSTRUM TRESORIE PLUS -IC- EUR CAP EUR 18,852,852.15 1.19 Luxembourg 17,000,156.16 1.08 170,274.00 OSTRUM SHT TRM GL HIC-HSAEUR EUR 17,000,156.16 1.08

Total securities portfolio 1,560,773,041.21 98.91

The accompanying notes form an integral part of these financial statements Page 32 Natixis AM Funds - Ostrum Euro Short Term Credit Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 37,889,464.64 Net interest on bonds Note 2i) 35,483,614.92 Bank interest on cash account 122,751.65 Bank interest on time deposits 1,243.31 Securities lending income, net Note 2l), 9 18,616.79 Interest on swaps 1,800,931.69 Other income 6,577.57 Income on repurchase transactions Note 2l), 10 455,728.71 Expenses 11,309,908.50 Management fees Note 3 3,606,217.78 Custodian fees 144,898.21 Taxe d'abonnement Note 5 235,743.38 Administration fees Note 3 22,690.27 Domiciliation fees 375.00 Professional fees 38,674.08 Bank interest on overdrafts 465,680.54 Legal fees 6,216.81 Transaction fees Note 2k) 186,648.71 Expenses on repurchase and reverse repurchase transactions 12,986.49 Interest on swaps 5,498,100.66 Other expenses 1,091,676.57

Net income from investments 26,579,556.14 Net realised profit / (loss) on: - sales of investment securities Note 2h) -21,408,367.04 - financial futures -190,990.00 - swaps -7,154,850.31 - foreign exchange 151,193.30

Net realised loss -2,023,457.91 Movement in net unrealised appreciation / (depreciation) on: - investments -36,654,213.66 - financial futures -59,570.00 - swaps 4,649,750.65

Decrease in net assets as a result of operations -34,087,490.92 Dividends paid Note 6 -4,046,726.90 Subscription capitalisation shares 983,070,704.25 Subscription distribution shares 24,966,808.28 Redemption capitalisation shares -638,784,299.61 Redemption distribution shares -113,926,973.02

Increase in net assets 217,192,022.08

Net assets at the beginning of the year 1,360,821,732.67

Net assets at the end of the year 1,578,013,754.75

The accompanying notes form an integral part of these financial statements Page 33 Natixis AM Funds - Ostrum Euro Credit

Page 34 Natixis AM Funds - Ostrum Euro Credit Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 194,860,308.47 Securities portfolio at market value Note 2a) 180,348,504.44 Cost price 180,698,041.21 Unrealised loss on the securities portfolio -349,536.77 Cash at banks and liquidities 12,881,084.89 Interest receivable 1,113,641.30 Subscriptions receivable 517,077.84 Liabilities 13,674,333.20 Bank overdrafts 447.98 Brokers payable 1,299,934.96 Payable for repurchase transactions Note 2l), 10 11,347,537.20 Net unrealised depreciation on financial futures Note 2c) 76,090.00 Net unrealised depreciation on swaps Note 2e), 7, 8 510,119.19 Accrued expenses 161,504.09 Other liabilities 278,699.78

Net asset value 181,185,975.27

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class M (EUR) - Distribution (*) 289.40 0.59 289.99 0.00

Class SI (EUR) 1,593,000.68 647,724.87 635,651.92 1,605,073.63

Class I (EUR) 1,242.00 745.23 1,553.91 433.32

Class N (EUR) (**) 0.00 5,775.52 531.53 5,243.99

Class R (EUR) - Distribution (***) 0.00 6,008.22 1,093.27 4,914.95

Class R (EUR) 6,077.24 112,329.44 21,721.99 96,684.69

The accompanying notes form an integral part of these financial statements Page 35 Natixis AM Funds - Ostrum Euro Credit Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 181,185,975.27 195,864,108.24 76,436,503.10 Class M (EUR) - Distribution (*) Number of shares 0.00 289.40 350.51 Net asset value per share EUR 0.00 53,721.18 52,062.38 Class SI (EUR) Number of shares 1,605,073.63 1,593,000.68 246,000.00 Net asset value per share EUR 102.34 103.63 98.94 Class I (EUR) Number of shares 433.32 1,242.00 2,920.41 Net asset value per share EUR 11,526.03 11,698.01 11,201.64 Class N (EUR) (**) Number of shares 5,243.99 0.00 0.00 Net asset value per share EUR 97.10 0.00 0.00 Class R (EUR) - Distribution (***) Number of shares 4,914.95 0.00 0.00 Net asset value per share EUR 96.47 0.00 0.00 Class R (EUR) Number of shares 96,684.69 6,077.24 10,225.62 Net asset value per share EUR 113.08 115.36 110.95

(*) Closed on 31/07/19. (**) Launched on 31/07/19. (***) Launched on 31/07/19.

The accompanying notes form an integral part of these financial statements Page 36 Natixis AM Funds - Ostrum Euro Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 173,137,030.94 95.56 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 150,339,703.94 82.98 Australia 4,476,460.50 2.47 2,000,000.00 BHP BILLITON 4.75 15-76 22/04A EUR 2,041,170.00 1.12 800,000.00 TELSTRA CORP LTD 1.0000 20-30 23/04A EUR 825,048.00 0.46 1,500,000.00 TELSTRA CORPORATION L 1.375 19-29 26/03A EUR 1,610,242.50 0.89 Belgium 1,584,810.00 0.87 900,000.00 ANHEUSER-BUSCH INBEV 2.125 20-27 12/02A EUR 976,131.00 0.53 600,000.00 KBC GROUP NV 0.6250 19-25 10/04A EUR 608,679.00 0.34 France 38,509,789.50 21.26 1,000,000.00 ALSTOM SA 0.25 19-26 14/10A EUR 957,710.00 0.53 1,000,000.00 ARKEMA S 0.75 19-29 03/12A EUR 971,170.00 0.54 700,000.00 BFCM 3.00 14-24 21/05A EUR 750,823.50 0.41 600,000.00 BNP PARIBAS 1.1250 19-24 28/08A EUR 613,530.00 0.34 900,000.00 BOUYGUES SA 1.1250 20-28 24/07A EUR 936,810.00 0.52 1,600,000.00 BPCE SA 0.6250 20-25 28/04A EUR 1,625,792.00 0.90 1,000,000.00 CARMILA 2.375 15-23 18/09A EUR 1,026,305.00 0.57 800,000.00 CIE DE SAINT-GOBAI 1 17-25 17/03A EUR 822,572.00 0.45 1,000,000.00 COMPAGNIE PLASTIC- 1.25 17-24 26/06A EUR 953,815.00 0.53 700,000.00 DANONE SA 0.3950 20-29 10/06A EUR 706,170.50 0.39 1,500,000.00 DASSAULT SYSTEM 0.1250 19-26 16/09A EUR 1,487,250.00 0.82 1,400,000.00 EIFFAGE SA 1.6250 20-27 14/01A EUR 1,402,282.00 0.77 1,500,000.00 ESSILORLUXOTTICA 0.5 19-27 27/11A EUR 1,497,082.50 0.83 800,000.00 KERING SA 0.75 20-28 13/05A EUR 816,448.00 0.45 2,300,000.00 LA BANQUE POSTALE 1.375 19-29 24/04A EUR 2,410,699.00 1.33 3,900,000.00 ORANGE 0.00 19-26 04/09U EUR 3,805,288.50 2.09 1,100,000.00 PERNOD RICARD S 0.5000 19-27 24/10A EUR 1,099,037.50 0.61 1,500,000.00 RCI BANQUE SA 1.1250 20-27 15/01A EUR 1,412,662.50 0.78 800,000.00 SEB 1.50 17-24 31/05A EUR 810,332.00 0.45 600,000.00 SOCIETE DES AUTOROUTE 1.375 19-31 21/02A EUR 654,522.00 0.36 600,000.00 SOCIETE GENERALE 4.00 13-23 07/06A EUR 654,246.00 0.36 2,000,000.00 SOCIETE GENERALE SA 2.625 15-25 27/02A EUR 2,135,900.00 1.18 1,300,000.00 SODEXO 1.0 20-29 27/04A EUR 1,282,833.50 0.71 2,000,000.00 SODEXO 0.75 20-25 27/04A EUR 2,006,480.00 1.11 900,000.00 SUEZ 0.5 19-31 14/10A EUR 879,687.00 0.49 1,000,000.00 SUEZ 1.2500 20-27 02/04A EUR 1,050,850.00 0.58 700,000.00 TOTAL CAP INT 1.535 19-39 31/05A EUR 739,053.00 0.41 2,000,000.00 VEOLIA ENVIRONNEMENT 0.664 20-31 15/01A EUR 1,981,700.00 1.09 400,000.00 VEOLIA ENVIRONNEMENT 1.2500 20-28 15/04A EUR 420,882.00 0.23 600,000.00 VERITAS SA 1.25 16-23 07/09A EUR 596,556.00 0.33 2,000,000.00 WORLDLINE SA 0.5 20-23 30/06A EUR 2,001,300.00 1.10 Germany 6,549,391.50 3.61 1,300,000.00 CONTINENTAL AG 0.00 19-23 05/09U EUR 1,272,167.00 0.70 1,500,000.00 DEUTSCHE TELEKOM AG 0.50 19-27 05/07A EUR 1,504,545.00 0.83 700,000.00 SCHAEFFLER AG 1.8750 19-24 26/03A EUR 680,988.00 0.38 800,000.00 VOLKSWAG FIN SVCS1.375 18-23 16/10A EUR 805,848.00 0.44 1,200,000.00 VOLKSWAGEN FIN SER 0.875 18-23 12/04A EUR 1,192,284.00 0.66 1,100,000.00 VOLKSWAGEN FIN SERV 0.625 19-22 01/04A EUR 1,093,559.50 0.60 Ireland 2,185,790.00 1.21 2,000,000.00 AQUARIUS INVESTMENTS 4.25 13-43 02/10A EUR 2,185,790.00 1.21 Italy 13,442,339.04 7.42 1,471,000.00 CAMPARI 2.75 15-20 30/09A EUR 1,473,956.71 0.81 1,200,000.00 ENI SPA 1.0000 19-34 11/10A EUR 1,192,446.01 0.66 3,000,000.00 INTESA SANPAOLO 1.0000 19-24 04/07A EUR 2,986,845.00 1.65 1,000,000.00 ITALGAS SPA 0.2500 20-25 24/06A EUR 992,565.01 0.55 500,000.00 ITALY 0.95 18-23 01/03S EUR 509,825.00 0.28 500,000.00 MEDIOBANCA 0.625 17-22 27/09A EUR 498,850.00 0.28 1,900,000.00 SNAM SPA 0.75 20-30 17/06A EUR 1,916,444.50 1.06 400,000.00 SNAM SPA 1.2500 19-25 28/08A EUR 416,820.00 0.23 900,000.00 TERNA SPA 1.0000 19-26 10/04A EUR 928,867.51 0.51 1,000,000.00 UNICREDIT SPA 0.5 08-13 12/02A EUR 965,795.00 0.53 1,415,000.00 UNICREDIT SPA REGS 6.95 12-22 31/10A EUR 1,559,924.30 0.86 Japan 1,305,603.00 0.72 1,300,000.00 TAKEDA PHARMACE 0.7500 20-27 09/07A EUR 1,305,603.00 0.72

The accompanying notes form an integral part of these financial statements Page 37 Natixis AM Funds - Ostrum Euro Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets

Luxembourg 3,764,970.00 2.08 600,000.00 MEDTRONIC GLOBAL HOLD 0.25 19-25 02/07A EUR 597,516.00 0.33 1,400,000.00 NESTLE FINANCE 1.75 17-37 02/11A EUR 1,670,809.00 0.93 500,000.00 RICHEMONT INTERNATION 0.75 20-28 26/05A EUR 514,620.00 0.28 1,000,000.00 WHIRLPOOL FINANCE 1.10 17-27 09/11A EUR 982,025.00 0.54 Norway 2,455,460.00 1.36 1,000,000.00 NORSK HYDRO ASA 1.125 19-25 11/04A EUR 965,885.00 0.53 1,500,000.00 TELENOR ASA 0.2500 20-28 14/02A EUR 1,489,575.00 0.83 Spain 15,926,109.00 8.79 1,000,000.00 ABERTIS INFRAESTRUCT 0.625 19-25 15/07A EUR 945,645.00 0.52 900,000.00 BANCO BILBAO VIZCAYA 0.75 20-25 04/06A EUR 907,420.50 0.50 1,500,000.00 BANCO BILBAO VIZCAYA 1.125 19-24 28/02A EUR 1,509,435.00 0.83 2,000,000.00 BANCO DE SABADELL SA 1.75 19-24 10/05A EUR 1,902,240.00 1.06 800,000.00 BANCO SANTANDER 1.3750 20-26 05/01A EUR 814,944.00 0.45 1,400,000.00 BANKINTER SA 0.8750 19-26 08/07A EUR 1,362,032.00 0.75 800,000.00 CAIXABANK SA 1.125 19-26 27/03A EUR 814,920.00 0.45 800,000.00 INTL CONSOLIDAT 0.5000 19-23 04/07A EUR 643,008.00 0.35 1,600,000.00 KUTXABANK SA 0.50 19-24 25/09A EUR 1,530,936.00 0.84 1,500,000.00 SANTANDER FIN 1.0 19-24 27/02A EUR 1,520,932.50 0.84 2,500,000.00 SANTANDER ISSUANCES 2.50 15-25 18/03A EUR 2,612,025.00 1.45 1,400,000.00 TELEFONICA EMIS 0.664 20-30 03/02A EUR 1,362,571.00 0.75 Sweden 3,141,700.25 1.73 1,550,000.00 ESSITY AB 1.125 15-25 05/03A EUR 1,605,730.25 0.88 900,000.00 SKF AB 1.2500 18-25 17/09A EUR 933,732.00 0.52 600,000.00 VATTENFALL AB 0.5000 19-26 24/06A EUR 602,238.00 0.33 The Netherlands 15,025,820.76 8.29 600,000.00 COMPASS GRO 1.5000 18-28 05/09A EUR 634,443.00 0.35 2,500,000.00 DEUT TELEKOM INT FIN 1.50 16-28 03/04A EUR 2,672,937.50 1.48 1,100,000.00 DIGITAL DUTCH FINCO BV 1.25 20-31 01/02A EUR 1,093,081.00 0.60 1,500,000.00 EDP FINANCE REGS 8.625 08-24 04/01A GBP 2,046,336.63 1.13 1,600,000.00 ENEL FINANCE INTL 5.625 09-24 14/08S GBP 2,076,391.63 1.15 800,000.00 HEINEKEN NV 1.7500 20-40 07/05A EUR 806,080.00 0.44 1,000,000.00 KONINKIJKE 1.125 18-26 19/03A EUR 1,039,485.00 0.57 2,000,000.00 KONINKIJKE AHOL 0.2500 19-25 26/06A EUR 1,992,760.00 1.10 900,000.00 KONINKLIJKE PHI 0.5000 19-26 22/05A EUR 910,183.50 0.50 500,000.00 RELX FINANCE BV 1.375 16-26 12/05A EUR 525,832.50 0.29 1,200,000.00 SCHLUMBERGER FINANCE 1.3750 20-26 28/10A EUR 1,228,290.00 0.68 United Kingdom 5,666,181.00 3.13 900,000.00 BP CAPITAL MARK 0.8310 19-27 08/11A EUR 888,237.00 0.49 1,000,000.00 BRITISH TELECOM 1.00 17-24 21/11A EUR 1,015,620.00 0.56 1,200,000.00 DIAGEO FINANCE PLC 1.875 20-27 27/03A EUR 1,318,020.00 0.74 1,000,000.00 FCE BANK PLC 1.615 16-23 11/05A EUR 944,115.00 0.52 600,000.00 RENTOKIL INITIAL 0.95 17-24 22/11A EUR 603,942.00 0.33 900,000.00 STANDARD CHARTERED P 0.9 19-27 02/07A EUR 896,247.00 0.49 United States of America 36,305,279.39 20.04 1,000,000.00 AMERICAN INTL GROUP 1.50 16-23 08/06A EUR 1,031,370.00 0.57 1,200,000.00 AT&T INC 1.6000 20-28 19/05A EUR 1,231,452.00 0.68 1,000,000.00 BOSTON SCIENTIF 0.6250 19-27 01/12A EUR 988,565.00 0.55 2,100,000.00 COLGATE-PALMOLIVE CO 1.375 19-34 06/03A EUR 2,369,871.00 1.31 900,000.00 COMCAST CORP 0.25 20-27 20/05A EUR 884,988.00 0.49 1,300,000.00 DIGITAL EURO FINCO 1.125 19-28 09/10A EUR 1,304,946.50 0.72 3,000,000.00 GENERAL ELECTRIC 0.875 17-25 17/05A EUR 2,899,425.00 1.60 1,500,000.00 GENERAL ELECTRIC CO 0.375 17-22 17/05A EUR 1,488,510.00 0.82 500,000.00 GENERAL MOTORS FINAN0.2 19-20 02/09A EUR 480,842.50 0.27 1,300,000.00 HARLEY-DAVIDSON 0.9000 19-24 19/11A EUR 1,224,372.50 0.68 1,200,000.00 INTERNATIONAL BUSINESS 1.75 19-31 31/01A EUR 1,310,922.00 0.72 2,000,000.00 MARSH MCLENNAN COS 1.349 19-26 21/09A EUR 2,096,530.00 1.16 1,400,000.00 MCDONALD'S CORP 0.9 19-26 15/06A EUR 1,419,901.00 0.78 3,000,000.00 METROPOLITAN LIFE GL 0.375 19-24 09/04A EUR 3,019,470.00 1.67 1,024,000.00 MONDELEZ INTL 1.625 15-27 08/03A EUR 1,083,253.76 0.60 1,000,000.00 NASDAQ INC 1.7500 19-29 28/03A EUR 1,077,925.00 0.59 1,000,000.00 PEPSI 0.5 20-28 06/05A EUR 1,009,380.00 0.56 1,100,000.00 PEPSICO INC 0.8750 19-39 16/10A EUR 1,087,311.50 0.60 600,000.00 PROCTER & GAMBLE 1.875 18-38 30/10A EUR 725,040.00 0.40 125,000.00 PROLOGIS 1.625 20-32 17/06A EUR 130,705.63 0.07 1,300,000.00 PROLOGIS EURO F 0.2500 19-27 10/09A EUR 1,274,182.00 0.70

The accompanying notes form an integral part of these financial statements Page 38 Natixis AM Funds - Ostrum Euro Credit Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 3,000,000.00 US BANCORP 0.85 17-24 07/06A EUR 3,051,405.00 1.67 2,800,000.00 VERIZON COMM 0.875 19-27 08/04A EUR 2,840,628.00 1.57 2,200,000.00 WELLS FARGO 1.375 16-26 26/10A EUR 2,274,283.00 1.26 Floating rate notes 22,797,327.00 12.58 Australia 580,660.00 0.32 500,000.00 BHP BILLITON FIN FL.R 15-79 22/10A EUR 580,660.00 0.32 Austria 627,771.00 0.35 600,000.00 OMV SUB FL.R 15-XX 09/12A EUR 627,771.00 0.35 Denmark 1,138,280.00 0.63 1,000,000.00 ORSTED FL.R 13-XX 26/06A EUR 1,138,280.00 0.63 France 7,961,434.00 4.38 1,400,000.00 CREDIT AGRICOLE SA FL.R 20-30 05/06A EUR 1,408,414.00 0.78 1,000,000.00 EDF FL.R 18-99 04/10A EUR 1,030,240.00 0.57 2,000,000.00 LA BANQUE POSTALE FL.R 20-26 17.06A EUR 1,979,600.00 1.08 2,000,000.00 SOCIETE GENERALE REGS FL.R 14-XX 07/04S EUR 1,990,290.00 1.09 1,500,000.00 TOTAL SA FL.R 16-49 18/05A EUR 1,552,890.00 0.86 Germany 3,107,510.00 1.72 1,000,000.00 ALLIANZ SE FL.R 12-42 17/10A EUR 1,100,955.00 0.61 1,000,000.00 ENBW ENERGIE FL.R 3.375 16-77 05/04A EUR 1,030,950.00 0.57 1,000,000.00 ENBW ENERGIE B-W FL.R 19-79 05/11A EUR 975,605.00 0.54 Ireland 2,193,895.00 1.21 2,200,000.00 ZURICH FINANCE IRELAN 1.875 20-50 17/09A EUR 2,193,895.00 1.21 Italy 975,415.00 0.54 1,000,000.00 CREDEM 1.50 19-25 25/10A EUR 975,415.00 0.54 Luxembourg 632,382.00 0.35 600,000.00 SWISS RE FINANC FL.R 19-50 30/04A EUR 632,382.00 0.35 Spain 507,795.00 0.28 500,000.00 CAIXABANK SA FL.R 17-28 14/07A EUR 507,795.00 0.28 The Netherlands 1,031,025.00 0.57 1,000,000.00 COOP RABOBANK UA 6.625 16-49 26/04A EUR 1,031,025.00 0.57 United Kingdom 1,993,440.00 1.10 2,000,000.00 HSBC HOLDING FL.R 14-XX 16/09S EUR 1,993,440.00 1.10 United States of America 2,047,720.00 1.13 2,000,000.00 JPMORGAN CHASE FL.R 19-27 11/03A EUR 2,047,720.00 1.13

Shares/Units of UCITS/UCI 7,211,473.50 3.98 Shares/Units in investment funds 7,211,473.50 3.98 France 7,211,473.50 3.98 70.00 OSTRUM TRESORIE PLUS -IC- EUR CAP EUR 7,211,473.50 3.98

Total securities portfolio 180,348,504.44 99.54

The accompanying notes form an integral part of these financial statements Page 39 Natixis AM Funds - Ostrum Euro Credit Statement of Operations and Changes in Net Assets from 01/07/19 to 31/03/14 Expressed in EUR

Income 3,807,942.68 Net interest on bonds Note 2i) 3,392,949.93 Bank interest on cash account 21,486.18 Securities lending income, net Note 2l), 9 5,419.21 Interest on swaps 245,269.47 Other income 13,905.51 Income on repurchase transactions Note 2l), 10 128,912.38 Expenses 1,491,294.68 Management fees Note 3 463,868.58 Custodian fees 22,190.99 Taxe d'abonnement Note 5 23,360.90 Administration fees Note 3 5,573.15 Domiciliation fees 375.00 Professional fees 5,375.20 Bank interest on overdrafts 87,476.21 Legal fees 844.08 Transaction fees Note 2k) 50,743.01 Expenses on repurchase and reverse repurchase transactions 40,490.33 Interest on swaps 623,964.44 Other expenses 167,032.79

Net income from investments 2,316,648.00 Net realised profit / (loss) on: - sales of investment securities Note 2h) -2,477,480.38 - financial futures 101,590.00 - swaps 851,170.21 - foreign exchange 697.82

Net realised profit 792,625.65 Movement in net unrealised appreciation / (depreciation) on: - investments -4,125,543.92 - financial futures -72,090.00 - swaps 59,972.53

Decrease in net assets as a result of operations -3,345,035.74 Dividends paid Note 6 -60,172.07 Subscription capitalisation shares 89,405,546.86 Subscription distribution shares 632,503.29 Redemption capitalisation shares -85,482,206.05 Redemption distribution shares -15,828,769.26

Decrease in net assets -14,678,132.97

Net assets at the beginning of the year 195,864,108.24

Net assets at the end of the year 181,185,975.27

The accompanying notes form an integral part of these financial statements Page 40 Natixis AM Funds - Ostrum Euro Inflation

Page 41 Natixis AM Funds - Ostrum Euro Inflation Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 53,477,810.17 Securities portfolio at market value Note 2a) 52,891,078.51 Cost price 52,594,365.66 Unrealised profit on the securities portfolio 296,712.85 Cash at banks and liquidities 275,620.43 Interest receivable 306,328.68 Subscriptions receivable 962.55 Net unrealised appreciation on financial futures Note 2c) 3,820.00 Liabilities 349,524.42 Bank overdrafts 3,820.00 Payable for repurchase transactions Note 2l), 10 199,872.60 Redemptions payable 44,495.85 Accrued expenses 64,850.80 Other liabilities 36,485.17

Net asset value 53,128,285.75

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class I (EUR) 1,225,081.16 82,682.40 152,620.79 1,155,142.77

Class R (EUR) 62,447.70 15,307.80 25,125.66 52,629.84

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 53,128,285.75 56,424,651.77 65,592,534.57 Class I (EUR) Number of shares 1,155,142.77 1,225,081.16 1,405,909.44 Net asset value per share EUR 44.08 43.92 43.31 Class R (EUR) Number of shares 52,629.84 62,447.70 113,040.13 Net asset value per share EUR 41.91 41.91 41.50

The accompanying notes form an integral part of these financial statements Page 42 Natixis AM Funds - Ostrum Euro Inflation Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 47,671,768.66 89.73 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 47,671,768.66 89.73 France 20,427,009.90 38.45 1,200,000.00 FRANCE OAT INDEXED 0.25 13-24 25/07A EUR 1,343,258.71 2.53 250,000.00 FRANCE OAT INDEXED 1.10 10-22 25/07A EUR 295,616.88 0.56 1,385,000.00 FRANCE OAT INDEXED 1.80 06-40 25/07A EUR 2,571,804.24 4.84 2,850,000.00 FRANCE OAT INDEXED 1.85 10-27 25/07A EUR 3,857,738.25 7.25 2,180,000.00 FRANCE OAT INDEXED 2.10 08-23 25/07A EUR 2,709,919.02 5.10 895,000.00 FRANCE OAT INDEXED 3.15 02-32 25/07A EUR 1,757,913.92 3.31 200,000.00 FRANCE OAT INDEXED 3.40 99-29 25/07A EUR 366,798.71 0.69 1,100,000.00 FRANCE 0.10 15-25 01/03A EUR 1,193,281.37 2.25 1,300,000.00 FRANCE 0.10 16-28 01/03A EUR 1,449,054.00 2.73 1,055,000.00 FRANCE 0.10 16-47 25/07A EUR 1,363,426.22 2.57 600,000.00 FRANCE 0.10 17-36 25/07A EUR 713,698.49 1.34 1,200,000.00 FRANCE 0.10 19-29 01/03A EUR 1,324,439.76 2.49 1,200,000.00 FRANCE 0.70 13-30 25/07A EUR 1,480,060.33 2.79 Germany 5,694,238.86 10.72 580,000.00 BRD INDEXED 0.10 12-23 15/04A EUR 641,903.41 1.21 1,250,000.00 GERMANY 0.10 15-26 15/04A EUR 1,413,217.37 2.66 1,025,000.00 GERMANY 0.10 15-46 15/04A EUR 1,501,731.94 2.83 1,720,000.00 GERMANY 0.50 14-30 15/04A EUR 2,137,386.14 4.02 Italy 14,829,019.37 27.91 1,200,000.00 ITALY 0.10 16-22 15/05S EUR 1,258,391.54 2.37 1,935,000.00 ITALY 1.25 15-32 15/09S EUR 2,107,220.28 3.97 1,800,000.00 ITALY 1.30 16-28 15/05S EUR 1,961,424.11 3.69 1,320,000.00 ITALY 2.35 04-35 15/09S EUR 1,979,896.47 3.73 1,440,000.00 ITALY 2.35 14-24 15/09S EUR 1,640,414.83 3.09 1,250,000.00 ITALY 2.55 09-41 15/09S EUR 1,788,838.84 3.37 1,790,000.00 ITALY 2.60 07-23 15/09S EUR 2,305,480.35 4.33 1,390,000.00 ITALY 3.10 11-26 15/09S EUR 1,787,352.95 3.36 Spain 6,721,500.53 12.65 750,000.00 KINGDOM OF SPAIN 0.7 17-33 30/11A EUR 870,397.13 1.64 250,000.00 SPAIN 0.15 17-23 30/11A EUR 264,532.50 0.50 1,640,000.00 SPAIN 1.00 14-30 30/11A EUR 1,965,166.31 3.69 1,650,000.00 SPAIN INDEXED 0.65 17-27 30/11A EUR 1,874,600.15 3.53 1,500,000.00 SPAIN INDEXED 1.80 13-24 30/11A EUR 1,746,804.44 3.29

Shares/Units of UCITS/UCI 5,219,309.85 9.82 Shares/Units in investment funds 5,219,309.85 9.82 Luxembourg 5,219,309.85 9.82 19,000.00 NATIXIS INTERNATIONAL FUNDS (LUX) I SICA EUR 3,075,910.00 5.79 28,000.00 NIFLI GL INFL -DH-I/A(EUR)-CAP EUR 2,143,399.85 4.03

Total securities portfolio 52,891,078.51 99.55

The accompanying notes form an integral part of these financial statements Page 43 Natixis AM Funds - Ostrum Euro Inflation Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 649,502.52 Net interest on bonds Note 2i) 629,618.81 Bank interest on cash account 746.03 Other income 1,120.00 Income on repurchase transactions Note 2l), 10 18,017.68 Expenses 284,907.82 Management fees Note 3 205,449.06 Custodian fees 8,312.78 Taxe d'abonnement Note 5 6,133.83 Administration fees Note 3 3,390.72 Domiciliation fees 375.00 Professional fees 1,539.69 Bank interest on overdrafts 9,546.82 Legal fees 241.16 Transaction fees Note 2k) 3,915.46 Expenses on repurchase and reverse repurchase transactions 160.07 Other expenses 45,843.23

Net income from investments 364,594.70 Net realised profit / (loss) on: - sales of investment securities Note 2h) 572,924.55 - financial futures -39,555.14 - foreign exchange 2,199.31

Net realised profit 900,163.42 Movement in net unrealised appreciation / (depreciation) on: - investments -741,215.84 - financial futures -10,810.32

Increase in net assets as a result of operations 148,137.26 Subscription capitalisation shares 4,350,022.73 Redemption capitalisation shares -7,794,526.01

Decrease in net assets -3,296,366.02

Net assets at the beginning of the year 56,424,651.77

Net assets at the end of the year 53,128,285.75

The accompanying notes form an integral part of these financial statements Page 44 Natixis AM Funds - Ostrum Euro Aggregate

Page 45 Natixis AM Funds - Ostrum Euro Aggregate Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 1,009,609,064.96 Securities portfolio at market value Note 2a) 895,849,262.35 Cost price 871,780,252.27 Unrealised profit on the securities portfolio 24,069,010.08 Cash at banks and liquidities 89,379,806.53 Interest receivable 7,115,524.36 Brokers receivable 17,264,471.72 Liabilities 91,339,926.78 Bank overdrafts 32,432.62 Brokers payable 38,055,839.13 Payable for repurchase transactions Note 2l), 10 51,453,382.89 Net unrealised depreciation on financial futures Note 2c) 619,677.30 Net unrealised depreciation on swaps Note 2e), 7, 8 170,566.48 Accrued expenses 749,926.64 Other liabilities 258,101.72

Net asset value 918,269,138.18

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (EUR) 210,385.00 2,116,398.75 697,978.79 1,628,804.96

Class SI (EUR) - Distribution 5,879,939.11 358,874.48 344,052.15 5,894,761.44

Class I (EUR) 879.75 458.29 716.42 621.62

Class I (EUR) - Distribution 94.15 4.88 9.88 89.15

Class N (EUR) 12,275.00 0.00 0.00 12,275.00

Class R (EUR) 290,672.78 32,972.01 270,753.15 52,891.64

Class R (EUR) - Distribution 6,235.99 1,344.12 483.44 7,096.67

Class RE (EUR) - Distribution 13,673.71 56.88 3,420.41 10,310.18

Class RE (EUR) 2,034.63 1,272.36 1,540.75 1,766.24

The accompanying notes form an integral part of these financial statements Page 46 Natixis AM Funds - Ostrum Euro Aggregate Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 918,269,138.18 852,215,762.76 828,571,506.47 Class SI (EUR) Number of shares 1,628,804.96 210,385.00 41,700.00 Net asset value per share EUR 109.68 109.02 106.84 Class SI (EUR) - Distribution Number of shares 5,894,761.44 5,879,939.11 6,102,573.98 Net asset value per share EUR 102.50 103.48 99.60 Class I (EUR) Number of shares 621.62 879.75 884.32 Net asset value per share EUR 180,517.50 179,954.24 170,643.24 Class I (EUR) - Distribution Number of shares 89.15 94.15 94.46 Net asset value per share EUR 126,139.97 127,336.86 122,572.74 Class N (EUR) Number of shares 12,275.00 12,275.00 275.00 Net asset value per share EUR 106.73 106.55 101.19 Class R (EUR) Number of shares 52,891.64 290,672.78 335,587.52 Net asset value per share EUR 161.18 161.37 153.69 Class R (EUR) - Distribution Number of shares 7,096.67 6,235.99 6,308.35 Net asset value per share EUR 134.40 135.66 130.59 Class RE (EUR) - Distribution Number of shares 10,310.18 13,673.71 16,144.64 Net asset value per share EUR 85.46 86.28 83.05 Class RE (EUR) Number of shares 1,766.24 2,034.63 55.89 Net asset value per share EUR 127.12 128.05 122.72

The accompanying notes form an integral part of these financial statements Page 47 Natixis AM Funds - Ostrum Euro Aggregate Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 806,579,075.24 87.84 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 765,309,489.74 83.35 Australia 4,627,995.00 0.50 2,000,000.00 BHP BILLITON 4.75 15-76 22/04A EUR 2,041,170.00 0.22 1,000,000.00 SGSP AUSTRALIA EMTN 2.00 14-22 30/06A EUR 1,024,710.00 0.11 500,000.00 TELSTRA CORP LTD 1.0000 20-30 23/04A EUR 515,655.00 0.06 1,000,000.00 TELSTRA CORP LTD 1.125 16-26 14/04A EUR 1,046,460.00 0.11 Austria 14,639,894.51 1.59 5,000,000.00 AUSTRIA 1.50 16-47 20/02A EUR 6,600,925.01 0.72 5,000,000.00 AUSTRIA 2.40 13-34 23/05A EUR 6,699,950.00 0.72 1,300,000.00 ERSTE GROUP BANK AG 0.875 20 27 13/05A EUR 1,339,019.50 0.15 Belgium 23,050,869.38 2.51 1,000,000.00 ANHEUSER-BUSCH 1.1250 19-27 01/07A EUR 1,023,145.00 0.11 1,500,000.00 ANHEUSER-BUSCH INBEV 2.875 20-32 02/04A EUR 1,704,112.50 0.19 2,500,000.00 BELGIUM 0.80 17-27 22/06A EUR 2,700,850.00 0.29 2,000,000.00 BELGIUM 1.00 15-31 22/06A EUR 2,237,590.00 0.24 8,000,000.00 BELGIUM 1.60 16-47 22/06A EUR 10,094,600.00 1.11 825,000.00 BELGIUM 4.00 12-32 28/03A EUR 1,217,365.88 0.13 3,000,000.00 BNP PARIBAS FORTIS SA 0.875 18-28 22/03A EUR 3,252,000.00 0.35 300,000.00 COMMUNAUTE FLAMANDE 0.375 16-26 13/10A EUR 309,591.00 0.03 500,000.00 ELIA TRANSMISSION BEL 0.875 20-30 28/04A EUR 511,615.00 0.06 Canada 3,553,285.00 0.39 2,000,000.00 TORONTO-DOMINIO 0.3750 19-24 25/04A EUR 2,009,380.00 0.22 1,500,000.00 TORONTO-DOMINION B 0.50 17-24 03/04A EUR 1,543,905.00 0.17 Chile 2,195,360.14 0.24 2,250,000.00 CHILI 3.125 16-26 21/01S USD 2,195,360.14 0.24 Croatia 399,938.00 0.04 400,000.00 CROATIA 1.5 20-31 17/06A EUR 399,938.00 0.04 Denmark 3,981,569.00 0.43 1,400,000.00 CARLSBERG BREWE 0.3750 20-27 30/06A EUR 1,385,146.00 0.15 2,000,000.00 DANSKE 0.875 18-23 22/05A EUR 1,999,720.00 0.22 600,000.00 ISS GLOBAL A/S 1.50 17-27 31/08A EUR 596,703.00 0.06 Finland 16,113,338.00 1.75 600,000.00 CRH FINLAND SER 0.8750 20-23 05/11A EUR 609,438.00 0.07 10,000,000.00 FINLAND 2.625 12-42 04/07A EUR 15,503,900.00 1.68 France 156,368,798.50 17.04 3,000,000.00 AGENCE FRANCAIS 0.5000 20-30 25/05A EUR 3,108,390.00 0.34 1,600,000.00 ARKEMA S 0.75 19-29 03/12A EUR 1,553,872.00 0.17 1,500,000.00 BNP PARIBAS CARDIF 1.00 17-24 29/11A EUR 1,490,422.50 0.16 4,600,000.00 BPCE 0.75 18-25 02/09A EUR 4,855,990.00 0.53 500,000.00 BPCE SFH 0.01 20-30 27/05A EUR 505,787.50 0.06 4,000,000.00 BPCE SFH - SOCI 0.1250 20-25 31/03A EUR 4,087,440.00 0.45 3,000,000.00 BPIFRANCE FINANCEMENT 0.625 18-26 25/05A EUR 3,142,590.00 0.34 1,200,000.00 BPIFRANCE FINANCEMENT 1.00 17-27 25/05A EUR 1,289,166.00 0.14 900,000.00 BUREAU VERITAS 1.125 19-27 18/01A EUR 874,071.00 0.10 1,600,000.00 CAPGEMINI SE 0.6250 20-25 23/06A EUR 1,600,208.00 0.17 400,000.00 CAPGEMINI SE 1.250 20-22 15/04A EUR 405,380.00 0.04 800,000.00 CAPGEMINI SE 1.6250 20-26 15/04A EUR 840,400.00 0.09 2,000,000.00 CARREFOUR SA 0.75 16-24 26/04A EUR 2,036,420.00 0.22 900,000.00 CNP ASSURANCES EMTN 2.75 19-29 05/02A EUR 990,117.00 0.11 1,000,000.00 COMPAGNIE FIN ET IND 0.75 16-28 09/09A EUR 1,033,560.00 0.11 5,400,000.00 CREDIT AGRICOLE 0.8750 18-28 11/08A EUR 5,876,415.00 0.64 1,200,000.00 CREDIT AGRICOLE SA 4.20 10-22 28/12Q EUR 1,324,194.00 0.14 1,100,000.00 CREDIT MUTUEL ARKEA 0.875 20-27 07/05A EUR 1,121,714.00 0.12 2,000,000.00 CREDIT MUTUEL HOME LOAN0.25 19-24 30/04A EUR 2,045,510.00 0.22 500,000.00 ENGIE SA 0.3750 20-27 11/06A EUR 499,380.00 0.05 1,300,000.00 ENGIE SA 0.0 19-27 04 03A EUR 1,270,405.50 0.14 1,500,000.00 ESSILORLUXOTTICA 0.375 20-26 05/01A EUR 1,501,912.50 0.16 2,000,000.00 ESSILORLUXOTTICA 0.5 19-27 27/11A EUR 1,996,110.00 0.22 10,000,000.00 FRANCE 1.75 17-39 25/06A EUR 12,754,650.00 1.39 11,000,000.00 FRANCE 4.50 09-41 25/04A EUR 20,245,390.00 2.21 8,000,000.00 FRANCE (GOVT OF) 0.7500 17-28 25/11A EUR 8,703,880.00 0.95 12,000,000.00 FRANCE OAT 1.5 18-50 25/05A EUR 15,132,600.00 1.66 200,000.00 FRANCE OAT 1.75 12-23 25/05A EUR 213,833.00 0.02

The accompanying notes form an integral part of these financial statements Page 48 Natixis AM Funds - Ostrum Euro Aggregate Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 10,400,000.00 FRANCE OAT 2.50 13-30 25/05A EUR 13,194,532.00 1.44 1,000,000.00 GROUPAMA SA SUB 6.00 17-27 23/01A EUR 1,203,315.00 0.13 100,000.00 HSBC SFH 2.00 13-23 16/10A EUR 107,777.50 0.01 2,700,000.00 ILIAD SA 2.125 15-22 05/12A EUR 2,748,748.50 0.30 1,300,000.00 ILIAD SA 2.375 20-26 17/06A EUR 1,304,712.50 0.14 1,400,000.00 IMERYS 0.875 16-22 31/03A EUR 1,386,882.00 0.15 1,300,000.00 INFRA PARK SAS 1.6250 18-28 19/04A EUR 1,239,836.00 0.14 700,000.00 KERING 0.2500 20-23 13/05A EUR 704,032.00 0.08 500,000.00 KERING SA 0.75 20-28 13/05A EUR 510,280.00 0.06 700,000.00 LA MONDIALE 2.1250 20-31 23/06A EUR 692,128.50 0.08 1,200,000.00 LEGRAND SA 0.6250 19-28 24/06A EUR 1,211,970.00 0.13 700,000.00 ORANGE 0.00 19-26 04/09U EUR 683,000.50 0.07 1,500,000.00 ORANGE 8.125 03-33 28/01A EUR 2,726,325.00 0.30 800,000.00 PERNOD RICARD S 0.5000 19-27 24/10A EUR 799,300.00 0.09 1,600,000.00 PERNOD RICARD S 1.7500 20-30 08/04A EUR 1,738,056.00 0.19 2,400,000.00 RATP 0.375 16-24 15/06A EUR 2,463,948.00 0.27 1,000,000.00 RTE EDF TRANSPORT 1.125 19-49 09/09A EUR 1,001,735.00 0.11 1,000,000.00 SANEF SA 1.875 15-26 16/03A EUR 1,032,055.00 0.11 1,200,000.00 SEB 1.50 17-24 31/05A EUR 1,215,498.00 0.13 1,200,000.00 SFIL 0.125 16-24 18/10A EUR 1,219,284.00 0.13 5,000,000.00 SNCF 4.375 11-26 15/04A EUR 6,282,150.00 0.68 600,000.00 SNCF RESEAU 2.00 18-48 05/02A EUR 758,676.00 0.08 1,700,000.00 SOCIETE DU GRAND PARIS 1.0 20-70 18/02A EUR 1,745,033.00 0.19 1,300,000.00 SOCIETE GENERALE 4.00 13-23 07/06A EUR 1,417,533.00 0.15 2,000,000.00 STE FONCIERE LYON. 1.5 18-25 29/05A EUR 2,071,040.00 0.23 1,400,000.00 SUEZ SA 1.25 20-35 14/05A EUR 1,425,179.00 0.16 1,600,000.00 THALES 0.25 20-27 29/01A EUR 1,582,008.00 0.17 900,000.00 VEOLIA ENVIRONNEMENT 0.8 20-32 15/01A EUR 902,331.00 0.10 2,500,000.00 WORLDLINE SA 0.5 20-23 30/06A EUR 2,501,625.00 0.27 Germany 12,492,165.00 1.36 1,200,000.00 BASF SE 0.2500 20-27 05/06A EUR 1,206,852.00 0.13 800,000.00 CONTINENTAL AG 0.00 19-23 05/09U EUR 782,872.00 0.09 1,200,000.00 DEUTSCHE TELEKOM AG 0.50 19-27 05/07A EUR 1,203,636.00 0.13 1,500,000.00 DEUTSCHE TELEKOM AG 1.375 19-34 05/07A EUR 1,543,057.50 0.17 500,000.00 INFINEON TECHNO 0.7500 20-23 24/06A EUR 502,382.50 0.05 600,000.00 INFINEON TECHNO 1.1250 20-26 24/06A EUR 601,680.00 0.07 2,000,000.00 LB BADEN-WUERTT 0.375 20-27 18/02A EUR 1,943,940.00 0.21 1,000,000.00 MUNICH RE 6.25 12-42 26/05A EUR 1,100,435.00 0.12 1,400,000.00 SAP SE 0.375 20-29 18/05A EUR 1,404,382.00 0.15 200,000.00 STATE OF BRANDENBURG 0.25 16-26 19/10A EUR 207,610.00 0.02 800,000.00 SYMRISE AG 1.3750 20-27 01/07A EUR 807,612.00 0.09 1,200,000.00 VOLKSWAGEN LEASING 0.50 19-22 20/06A EUR 1,187,706.00 0.13 Greece 8,649,840.00 0.94 8,000,000.00 HELLENIC REPUBLIC 3.50 17-23 30/01A EUR 8,649,840.00 0.94 Guernsey 1,012,875.00 0.11 1,000,000.00 CS GUERNSEY 0.75 14-21 17/09A EUR 1,012,875.00 0.11 Hungary 888,165.00 0.10 900,000.00 HUNGARY 1.75 20-35 05/06A EUR 888,165.00 0.10 Ireland 16,711,875.00 1.82 1,000,000.00 AQUARIUS INVESTMENTS 4.25 13-43 02/10A EUR 1,092,895.00 0.12 1,000,000.00 FCA CAPITAL IRELAND 1.00 17-21 15/11A EUR 995,375.00 0.11 6,000,000.00 IRELAND 0.90 18-28 15/05A EUR 6,519,540.00 0.70 1,000,000.00 IRELAND 2.00 15-45 18/02A EUR 1,354,515.00 0.15 4,000,000.00 IRELAND 1.35 18-31 18/03A EUR 4,579,540.00 0.50 2,000,000.00 SWISSCOM AG 1.75 15-25 15/09A EUR 2,170,010.00 0.24 Israel 8,753,910.00 0.95 8,200,000.00 ISRAEL 1.50 17-27 18/01A EUR 8,753,910.00 0.95 Italy 145,432,250.00 15.85 1,000,000.00 ASSICURAZ GEN SUB 4.125 14-26 04/05A EUR 1,097,115.00 0.12 4,900,000.00 BANCA POPOLARE DI 0.625 16-23 08/06A EUR 4,999,470.00 0.54 2,000,000.00 BANCO POPOLARE 0.75 15-22 31/03A EUR 2,031,790.00 0.22 1,100,000.00 CASSA DEPOSITI 1.875 18-26 07/02A EUR 1,150,242.50 0.13 3,500,000.00 CREDEM REGS 0.875 14-21 05/11A EUR 3,549,122.50 0.39 1,000,000.00 ENI SPA 3.625 14-29 29/01A EUR 1,231,890.00 0.13 3,000,000.00 INTESA SAN PAOLO 3.25 14-26 10/02A EUR 3,589,590.00 0.39 2,000,000.00 INTESA SAN PAOLO 3.50 14-22 17/01A EUR 2,090,160.00 0.23

The accompanying notes form an integral part of these financial statements Page 49 Natixis AM Funds - Ostrum Euro Aggregate Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 1,500,000.00 INTESA SAN PAOLO 5.00 11-21 27/01A EUR 1,544,437.50 0.17 1,500,000.00 ITALGAS SPA 0.2500 20-25 24/06A EUR 1,488,847.50 0.16 10,000,000.00 ITALY 1.35 15-22 15/04S EUR 10,227,100.00 1.11 13,000,000.00 ITALY 1.50 15-25 01/06S EUR 13,534,430.00 1.47 10,000,000.00 ITALY 1.65 15-32 01/03S EUR 10,288,149.99 1.12 15,000,000.00 ITALY 2.00 18-28 01/02S EUR 16,071,375.01 1.76 10,000,000.00 ITALY 2.70 16-47 01/03S EUR 11,132,650.00 1.21 20,000,000.00 ITALY 4.75 08-23 01/08S EUR 22,737,900.00 2.49 100,000.00 ITALY 5.00 09-25 01/03S EUR 120,104.50 0.01 2,000,000.00 ITALY 5.75 02-33 01/02S EUR 2,967,660.00 0.32 5,000,000.00 ITALY BTP 5.50 12-22 01/11S EUR 5,619,400.00 0.61 15,000,000.00 ITALY BTP 5.00 03-34 01/08S EUR 21,325,425.00 2.33 1,500,000.00 MEDIOBANCA 0.625 17-22 27/09A EUR 1,496,550.00 0.16 3,000,000.00 UBI BANCA 1.25 14-25 07/02A EUR 3,190,785.00 0.35 1,500,000.00 UNICREDIT SPA 0.5 08-13 12/02A EUR 1,448,692.50 0.16 800,000.00 UNION DI BANCHE ITAL 0.375 16-26 14/09A EUR 821,568.00 0.09 1,500,000.00 UNIONE DI BANCHE ITA 3.125 14-24 05/02A EUR 1,677,795.00 0.18 Japan 3,730,070.50 0.41 1,200,000.00 MITSUBISHI 0.848 19-29 19/07A EUR 1,202,208.00 0.13 1,500,000.00 MIZUHO FINANCIA 1.0200 18-23 11/10A EUR 1,525,057.50 0.17 1,000,000.00 NATURGY FINANCE 0.7500 19-29 28/11A EUR 1,002,805.00 0.11 Kazakhstan 1,037,916.00 0.11 1,100,000.00 REPUBLIC OF KAZ 0.6000 19-26 30/09A EUR 1,037,916.00 0.11 Lettonia 2,544,637.50 0.28 2,500,000.00 LETTONIE REPU OF 2.625 14-21 21/01A EUR 2,544,637.50 0.28 Lithuania 217,055.00 0.02 200,000.00 LITHUANIA 0.95 17-27 26/05A EUR 217,055.00 0.02 Luxembourg 29,687,202.13 3.23 3,000,000.00 BANQUE EUROP INV 0.05 19-34 19/34A EUR 3,047,505.00 0.33 5,000,000.00 EFSF 2.35 14-44 29/08A EUR 7,661,025.00 0.84 1,200,000.00 EFSF 1.80 17-48 10/07A EUR 1,702,740.00 0.19 4,800,000.00 EURO STABILITY 0.7500 18-28 05/09A EUR 5,238,624.00 0.57 3,000,000.00 EUROPEAN FINANCIAL 0.7 20-50 20/01A EUR 3,388,230.00 0.37 2,700,000.00 EUROPEAN INVEST 0.0000 20-27 17/06A EUR 2,796,835.50 0.30 1,000,000.00 EUROP.INVEST.BK 1.00 16-32 14/04A EUR 1,143,370.00 0.12 100,000.00 EUROP.INVEST.BK 4.50 09-25 15/10A EUR 127,251.00 0.01 1,000,000.00 JOHN DEERE CASH 1.3750 20-24 02/04A EUR 1,039,145.00 0.11 1,625,000.00 PROLOGIS INTL FUND II 1.876 15-25 17/04A EUR 1,729,950.63 0.19 800,000.00 UPJOHN FINANCE 0.8160 20-22 23/06A EUR 804,936.00 0.09 1,000,000.00 UPJOHN FINANCE 1.0230 20-24 23/06A EUR 1,007,590.00 0.11 Mexico 5,142,645.00 0.56 1,000,000.00 AMERICA MOVIL 0.75 19-27 26/06A EUR 984,055.00 0.11 2,000,000.00 MEXICO 3.375 16-31 23/02A EUR 2,131,550.00 0.23 2,000,000.00 UNITED MEXICAN STATES 1.625 15-24 06/03A EUR 2,027,040.00 0.22 Morocco 934,170.00 0.10 1,000,000.00 MOROCCO 1.50 19-31 27/11A EUR 934,170.00 0.10 Poland 3,730,237.50 0.41 300,000.00 PKO BANK HIPOTECZNY 0.75 17-24 27/08A EUR 308,784.00 0.03 300,000.00 POLAND 0.875 15-27 10/05A EUR 316,858.50 0.03 2,900,000.00 POLOGNE 1.125 18-26 07/08A EUR 3,104,595.00 0.35 Portugal 76,916,766.00 8.38 1,600,000.00 BANCO SANTANDER TOTTA 1.25 17-27 26/09A EUR 1,767,488.00 0.19 2,500,000.00 CAIXA ECO 0.875 17-22 17/10A EUR 2,546,300.00 0.28 2,000,000.00 CAIXA GERAL DEPO 1.00 15-22 27/01A EUR 2,036,350.00 0.22 600,000.00 ENERGIAS DE PORTUGAL 1.6250 20-27 15/04A EUR 637,227.00 0.07 1,000,000.00 GALP ENERGIA 1.00 17-23 15/02A EUR 990,740.00 0.11 9,000,000.00 OBRIGACOES DO 2.125 18-28 17/10A EUR 10,349,280.00 1.13 2,600,000.00 PORTUGAL 2.875 15-25 15/10A EUR 3,009,006.00 0.33 10,000,000.00 PORTUGAL 2.875 16-26 21/07A EUR 11,753,800.00 1.28 15,000,000.00 PORTUGAL 3.875 14-30 15/02A EUR 19,863,300.00 2.16 12,000,000.00 PORTUGAL 4.10 06-37 15/04A EUR 17,872,200.00 1.95 5,000,000.00 PORTUGAL 5.65 13-24 15/02A EUR 6,091,075.00 0.66 Slovakia 5,975,537.45 0.65 3,500,000.00 SLOVAK (REP OF) 4.375 12-22 21/05S USD 3,316,017.45 0.36 2,000,000.00 SLOVAKIA 2.00 17-47 17/10A EUR 2,659,520.00 0.29

The accompanying notes form an integral part of these financial statements Page 50 Natixis AM Funds - Ostrum Euro Aggregate Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets

Slovenia 3,451,361.50 0.38 700,000.00 SLOVENIA 4.625 09-24 09/09A EUR 843,132.50 0.09 2,600,000.00 SLOVENIA SIE 59 0.275 20-30 17/02A EUR 2,608,229.00 0.29 Spain 137,211,007.30 14.95 1,000,000.00 ABERTIS 1.375 16-26 20/05A EUR 962,225.00 0.10 1,300,000.00 BANCO DE SABADELL 0.625 16-24 10/06A EUR 1,345,025.50 0.15 1,500,000.00 BANCO DE SABADELL SA 0.875 17-23 05/03A EUR 1,470,622.50 0.16 1,900,000.00 BANCO SANTANDER TO 0.875 17-24 25/04A EUR 1,986,269.50 0.22 1,000,000.00 BANKINTER SA 0.8750 19-26 08/07A EUR 972,880.00 0.11 100,000.00 BBVA 3.875 13-23 30/01A EUR 110,864.00 0.01 15,000,000.00 BONOS Y OBLIG DEL 1.45 17-27 31/10A EUR 16,404,750.00 1.79 1,000,000.00 CAIXABANK SA 1.125 17-24 17/05A EUR 1,016,655.00 0.11 4,400,000.00 COMUNIDAD DE MADRID 0.997 16-24 30/09A EUR 4,587,044.00 0.50 2,000,000.00 CRITERIA CAIXA SA 1.5 17-23 10/05A EUR 2,041,620.00 0.22 160,000.00 ICO REGS 0.50 16-23 26/10A EUR 163,620.80 0.02 1,000,000.00 PROSEGUR CIA 1.00 18-23 08/02A EUR 1,000,050.00 0.11 10,000,000.00 SPAIN 0.75 16-21 30/07A EUR 10,133,250.00 1.10 4,000,000.00 SPAIN 1.40 18-28 30/04A EUR 4,371,940.00 0.48 3,800,000.00 SPAIN 1.95 15-30 30/07A EUR 4,374,712.00 0.48 7,000,000.00 SPAIN 1.95 16-26 30/04A EUR 7,810,494.99 0.85 13,000,000.00 SPAIN 2.15 15-25 31/10A EUR 14,548,365.01 1.58 10,000,000.00 SPAIN 2.75 14-24 31/10A EUR 11,279,100.00 1.23 4,000,000.00 SPAIN 2.90 16-46 31/10A EUR 5,549,020.00 0.60 4,000,000.00 SPAIN 5.15 13-44 31/10A EUR 7,420,380.00 0.81 6,000,000.00 SPAIN 5.75 01-32 30/07A EUR 9,644,280.00 1.05 10,000,000.00 SPAIN 5.90 11-26 30/07A EUR 13,584,100.00 1.48 4,200,000.00 SPAIN 6.00 98-29 31/01A EUR 6,232,989.00 0.68 10,000,000.00 SPAIN 0.35 18-23 30/07A EUR 10,200,750.00 1.11 Sweden 3,386,857.50 0.37 1,000,000.00 MOLNLYCKE HOLDING AB 0.875 19-29 05/09A EUR 950,265.00 0.10 600,000.00 SVENSKA HANDELSBANKEN 1.000 20-25 15/04A EUR 625,584.00 0.07 1,200,000.00 TELIA COMPANY AB 2.125 19-34 20/02A EUR 1,315,326.00 0.15 500,000.00 VATTENFALL AB 0.05 20-25 12/03A EUR 495,682.50 0.05 Switzerland 1,018,050.00 0.11 1,000,000.00 EUROFIMA 0.25 16-23 25/04A EUR 1,018,050.00 0.11 The Netherlands 41,916,228.99 4.56 2,500,000.00 ABN AMRO BANK 7.125 12-22 06/07A EUR 2,820,325.00 0.31 700,000.00 AEGON BANK NV 0.625 19-24 21/06A EUR 704,823.00 0.08 700,000.00 AIRBUS GROUP SE 1.625 20-25 07/04A EUR 721,661.50 0.08 1,000,000.00 ALLIANDER NV 0.375 20-30 10/06A EUR 1,013,645.00 0.11 700,000.00 CONTI-GUMMI FINANCE 2.1250 20-23 27/11A EUR 722,673.00 0.08 1,800,000.00 DAIMLER INTL FI 0.2500 19-23 06/11A EUR 1,755,981.00 0.19 1,300,000.00 DIGITAL DUTCH FINCO 0.625 20-25 15/07A EUR 1,286,181.00 0.14 1,200,000.00 DIGITAL DUTCH FINCO BV 1.25 20-31 01/02A EUR 1,192,452.00 0.13 1,200,000.00 EDP FINANCE BV 1.625 18-26 26/01A EUR 1,267,158.00 0.14 1,000,000.00 ENEL FINANCE IN 0.00 19-24 17/06A EUR 988,965.00 0.11 1,500,000.00 EXOR 2.125 15-22 02/12A EUR 1,547,977.50 0.17 300,000.00 GIVAUDAN FIN EU 1.0000 20-27 22/04A EUR 311,310.00 0.03 1,400,000.00 HEINEKEN NV 1.25 20-33 07/05A EUR 1,409,779.00 0.15 1,000,000.00 HEINEKEN NV 1.00 16-26 04/05A EUR 1,033,645.00 0.11 800,000.00 ING GROEP NV 2.5000 18-30 15/11A EUR 948,452.00 0.10 1,500,000.00 LEASEPLAN CORPO 0.1250 19-23 13/09A EUR 1,446,450.00 0.16 5,000,000.00 NETHERLANDS 4.00 05-37 15/01A EUR 8,458,275.00 0.91 7,000,000.00 NETHERLANDS 0.25 19-29 14/02A EUR 7,407,050.00 0.81 1,100,000.00 RELX FINANCE BV 1.375 16-26 12/05A EUR 1,156,831.49 0.13 1,500,000.00 SCAHEFFLER FIN REGS 3.25 15-25 15/05S EUR 1,492,252.50 0.16 700,000.00 SIEMENS FINANCI 0.1250 19-29 05/09A EUR 682,941.00 0.07 1,200,000.00 TENNET HOLDING B.V. 1.875 16-36 13/06A EUR 1,385,772.00 0.15 900,000.00 UPJOHN FINANCE BV 1.362 20-27 23/06A EUR 908,379.00 0.10 1,200,000.00 WPC EUROBOND 2.25 17-24 19/07A EUR 1,253,250.00 0.14 United Arab Emirates 4,686,862.84 0.51 5,000,000.00 EMIRATE OF ABU DHABI 2.50 20-25 16/04S USD 4,686,862.84 0.51 United Kingdom 4,171,800.00 0.45 400,000.00 AMCOR UK FINANCE PLC 1.125 20-27 23/06A EUR 404,072.00 0.04 200,000.00 ASTRAZENECA 0.875 14-21 24/11A EUR 202,513.00 0.02 1,000,000.00 COCA-COLA EUROP 1.1250 19-29 12/04A EUR 1,032,270.00 0.12

The accompanying notes form an integral part of these financial statements Page 51 Natixis AM Funds - Ostrum Euro Aggregate Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 500,000.00 HITACHI CAPITAL 0.1250 19-22 29/11A EUR 488,340.00 0.05 1,000,000.00 MONDI FINANCE 1.50 16-24 15/04A EUR 1,028,325.00 0.11 1,000,000.00 UBS AG LONDON 0.7500 20-23 21/04A EUR 1,016,280.00 0.11 United States of America 20,678,957.00 2.25 500,000.00 AMERICAN HONDA 1.9500 20-24 18/10A EUR 527,945.00 0.06 700,000.00 AMERICAN HONDA FINANCE 1.6 20-22 20/04A EUR 714,640.50 0.08 700,000.00 DANAHER CORP 1.7 20-24 30/03A EUR 733,369.00 0.08 700,000.00 DIGITAL EURO FINCO 1.125 19-28 09/10A EUR 702,663.50 0.08 2,000,000.00 ELI LILLY 1.70 19-XX 01/11A EUR 2,092,800.00 0.23 800,000.00 EURO MEDIUM TERM NOTE 0.875 19-25 31/01A EUR 820,628.00 0.09 2,500,000.00 GENERAL ELECTRIC CO 0.375 17-22 17/05A EUR 2,480,850.00 0.27 1,100,000.00 GOLDMAN SACHS G 0.1250 19-24 19/08A EUR 1,074,029.00 0.12 1,500,000.00 GOLDMAN SACHS GROUP 4.75 06-21 12/10A EUR 1,580,107.50 0.17 1,400,000.00 IBM CORP 0.65 20-32 11/02A EUR 1,353,779.00 0.15 3,300,000.00 INTL BK FOR RECONS 0.01 20-28 24/04A EUR 3,361,000.50 0.36 3,000,000.00 INTL BK RECON&DEVELOP 0.5 19-35 21/06A EUR 3,194,280.00 0.34 1,000,000.00 MARSH MCLENNAN COS 1.349 19-26 21/09A EUR 1,048,265.00 0.11 1,000,000.00 WELLS FARGO 0.50 19-24 26/04A EUR 994,600.00 0.11 Floating rate notes 41,269,585.50 4.49 Finland 797,996.00 0.09 800,000.00 NORDEA BANK FL.R 16-26 07/09A EUR 797,996.00 0.09 France 13,646,860.00 1.49 1,200,000.00 BNP PARIBAS FL.R 19-26 04/12A EUR 1,186,620.00 0.13 1,500,000.00 BNP PARIBAS FL.R 18-30 20/11A EUR 1,591,372.50 0.17 1,100,000.00 CREDIT AGRICOLE SA FL.R 20-30 05/06A EUR 1,106,611.00 0.12 600,000.00 CREDIT AGRICOLE SUB. FL.R 15-XX 13/01A EUR 646,458.00 0.07 1,300,000.00 CREDIT MUTUEL ARKEA FL.R 17-29 25/10A EUR 1,302,593.50 0.14 1,200,000.00 LA BANQUE POSTALE FL.R 15-27 19/11A EUR 1,236,414.00 0.13 1,000,000.00 LA BANQUE POSTALE FL.R 14-26 23/04A EUR 1,009,790.00 0.11 3,000,000.00 TOTAL SA FL.R 16-49 18/05A EUR 3,105,780.00 0.35 1,600,000.00 TOTAL SA FL.R 19-XX 04/04A EUR 1,583,336.00 0.17 1,000,000.00 UNIBAIL RODAMCO FL.R 18-XX 25/10A EUR 877,885.00 0.10 Germany 4,410,177.00 0.48 1,000,000.00 ALLIANZ SE FL.R 13-XX 24/10A EUR 1,101,535.00 0.12 2,000,000.00 ALLIANZ SE FL.R 12-42 17/10A EUR 2,201,910.00 0.24 1,100,000.00 MERCK KGAA FL.R 14-74 12/12A EUR 1,106,732.00 0.12 Italy 2,035,115.00 0.22 1,000,000.00 ENEL S.P.A FL.R 19-80 24/05A EUR 1,037,970.00 0.11 1,000,000.00 INTESA SAN PAOLO FL.R 17-22 19/04Q EUR 997,145.00 0.11 Luxembourg 2,292,010.00 0.25 2,000,000.00 TALANX FINANZ EMTN FL.R 12-42 15/06A EUR 2,292,010.00 0.25 Spain 1,412,062.50 0.15 1,500,000.00 BANCO BILBAO VIZCAYA A 1.00 20-30 16/01A EUR 1,412,062.50 0.15 Sweden 1,746,096.00 0.19 1,000,000.00 SWEDBANK AB FL.R 17-27 22/11A EUR 989,540.00 0.11 800,000.00 TELIA COMPANY AB FL.R 20-81 11/05A EUR 756,556.00 0.08 Switzerland 1,021,615.00 0.11 1,000,000.00 UBS AG SUB FL.R 14-26 12/02A EUR 1,021,615.00 0.11 The Netherlands 4,807,983.50 0.52 700,000.00 ABN AMRO BANK NV 4.375 20-99 31/12S EUR 682,048.50 0.07 1,000,000.00 ARGENTUM NETHLD FL.R 15-XX 16/06A EUR 1,107,485.00 0.12 1,000,000.00 COOP RABOBANK FL.R 14-26 26/05A EUR 1,011,410.00 0.11 1,500,000.00 IBERDROLA INTL BV FL.R 17-XX 22/02A EUR 1,502,182.50 0.17 500,000.00 VW INTL FIN SUB FL.R 14-XX 24/03A EUR 504,857.50 0.05 United Kingdom 4,314,088.00 0.47 800,000.00 BP CAPITAL MARK FL.R 20-XX 22/06A EUR 804,428.00 0.09 1,500,000.00 HSBC HOLDING FL.R 14-XX 16/09S EUR 1,495,080.00 0.16 2,000,000.00 STANDARD CHARTERED FL.R 13-25 21/10A EUR 2,014,580.00 0.22 United States of America 4,785,582.50 0.52 1,000,000.00 CITIGROUP INC FL.R 19-27 08/10A EUR 975,595.00 0.11 1,100,000.00 JPMORGAN CHASE FL.R 17-28 18/05A EUR 1,164,146.50 0.13 1,600,000.00 MORGAN STANLEY FL.R 19-24 26/07A EUR 1,602,376.00 0.17 1,000,000.00 WELLS FARGO AND CO 1.741 20-30 04/05A EUR 1,043,465.00 0.11

The accompanying notes form an integral part of these financial statements Page 52 Natixis AM Funds - Ostrum Euro Aggregate Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets

Shares/Units of UCITS/UCI 89,270,187.11 9.72 Shares/Units in investment funds 89,270,187.11 9.72 France 38,546,471.54 4.20 15.00 NATIXIS CONVERTIBLES EUE FCP -C- 4 DEC EUR 2,583,993.75 0.28 30.00 NATIXIS CONVERTIBLES EURO -I- 4 DEC CAP EUR 4,452,284.70 0.48 41.00 OS EURO ABS IG -SI- 4 DEC EUR 5,118,168.58 0.56 88.00 OS EURO ABS OPP-IC- 2 DEC EUR 10,367,721.76 1.13 900.00 OSTRUM GLOBAL SUBORD FCP EUR 4 DEC EUR 10,358,145.00 1.13 55.00 OSTRUM TRESORIE PLUS -IC- EUR CAP EUR 5,666,157.75 0.62 Ireland 7,049,315.76 0.77 79,188.00 ISHARES JPM USD EM BOND EUR HEDGE EUR 7,049,315.76 0.77 Luxembourg 43,674,399.81 4.75 24,000.00 NAT AM MUL AS GL INC I/A H-EUR CAP EUR 2,297,519.61 0.25 75,000.00 NATIXIS EURO INFLATION I/A EUR C EUR 3,306,000.00 0.36 10,000.00 NATIXIS GLOBAL CV BONDS IA (HEUR) EUR 1,136,000.00 0.12 140.00 NATIXIS GLOBAL EMERGING BONDS I/A H-EUR EUR 25,380,730.20 2.76 55,000.00 NIFLI EURO HI -I/A-EUR CAP EUR 8,818,150.00 0.96 25,000.00 NIFLI SH.TERM GLB HIGH INCOME H-IC EURO EUR 2,736,000.00 0.30

Total securities portfolio 895,849,262.35 97.56

The accompanying notes form an integral part of these financial statements Page 53 Natixis AM Funds - Ostrum Euro Aggregate Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 17,713,375.43 Net dividends Note 2i) 17,120.44 Net interest on bonds Note 2i) 16,535,000.02 Bank interest on cash account 285,268.32 Securities lending income, net Note 2l), 9 102,324.97 Interest on swaps 239,448.13 Other income 97.31 Income on repurchase transactions Note 2l), 10 534,116.24 Expenses 5,800,965.65 Management fees Note 3 2,287,487.64 Custodian fees 91,424.42 Taxe d'abonnement Note 5 92,278.12 Administration fees Note 3 494,420.47 Domiciliation fees 375.00 Professional fees 23,151.20 Bank interest on overdrafts 399,194.42 Legal fees 3,612.32 Transaction fees Note 2k) 147,921.57 Expenses on repurchase and reverse repurchase transactions 490,448.71 Interest on swaps 1,477,107.07 Other expenses 293,544.71

Net income from investments 11,912,409.78 Net realised profit / (loss) on: - sales of investment securities Note 2h) 3,593,755.34 - financial futures -4,279,014.82 - swaps 1,140,191.50 - foreign exchange 36,291.70

Net realised profit 12,403,633.50 Movement in net unrealised appreciation / (depreciation) on: - investments -8,542,415.62 - financial futures -552,593.18 - swaps 385,000.79

Increase in net assets as a result of operations 3,693,625.49 Dividends paid Note 6 -9,691,431.39 Subscription capitalisation shares 323,708,035.95 Subscription distribution shares 38,147,540.08 Redemption capitalisation shares -252,703,191.82 Redemption distribution shares -37,101,202.89

Increase in net assets 66,053,375.42

Net assets at the beginning of the year 852,215,762.76

Net assets at the end of the year 918,269,138.18

The accompanying notes form an integral part of these financial statements Page 54 Natixis AM Funds - Ostrum Global Aggregate

Page 55 Natixis AM Funds - Ostrum Global Aggregate Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in USD

Assets 55,775,849.66 Securities portfolio at market value Note 2a) 49,672,995.95 Cost price 48,501,411.41 Unrealised profit on the securities portfolio 1,171,584.54 Cash at banks and liquidities 4,068,703.76 Interest receivable 335,510.84 Brokers receivable 915,115.20 Net unrealised appreciation on forward foreign exchange contracts Note 2b) 36,533.22 Net unrealised appreciation on financial futures Note 2c) 25,911.60 Net unrealised appreciation on swaps Note 2e) 7, 8 102,421.50 Receivable on spot exchange 618,657.59 Liabilities 2,089,123.05 Bank overdrafts 1,339,714.27 Payable on spot exchange 619,401.88 Accrued expenses 99,265.65 Other liabilities 30,741.25

Net asset value 53,686,726.61

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (USD) 1.00 0.00 0.00 1.00

Class I (H-EUR) 501.00 10.00 65.00 446.00

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets USD 53,686,726.61 58,896,592.30 69,303,218.59 Class SI (USD) Number of shares 1.00 1.00 1.00 Net asset value per share USD 121,312.48 113,637.96 105,879.24 Class I (H-EUR) Number of shares 446.00 501.00 597.40 Net asset value per share EUR 106,933.02 103,030.59 99,208.45

The accompanying notes form an integral part of these financial statements Page 56 Natixis AM Funds - Ostrum Global Aggregate Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 45,631,595.55 85.00 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 42,266,150.57 78.73 Argentina 85,113.43 0.16 200,000.00 ARGENTINA 5.00 16-27 15/01A EUR 85,113.43 0.16 Australia 363,216.44 0.68 500,000.00 QUEENSLAND TREASURY 6.00 97-21 14/06S AUD 363,216.44 0.68 British Virgin Islands 302,979.00 0.56 300,000.00 SINOCHEM OV CAP REG S 4.50 10-20 12/11S USD 302,979.00 0.56 Canada 526,832.42 0.98 500,000.00 ONTARIO (PROVINCE 4.60 08-39 02/06S CAD 526,832.42 0.98 China 555,000.00 1.03 500,000.00 BANK OF CHINA 5.00 14-24 13/11S USD 555,000.00 1.03 Dominican Republic 211,448.00 0.39 200,000.00 DOMINICAN REPUBLIC 6.60 13-24 28/01S USD 211,448.00 0.39 Egypt 403,802.00 0.75 400,000.00 ARAB REPUBLIC EGYPT 5.875 15-25 11/06S USD 403,802.00 0.75 Finland 471,080.56 0.88 400,000.00 FORTUM OYJ 1.6250 19-26 27/02A EUR 471,080.56 0.88 France 1,048,476.25 1.95 200,000.00 BPCE 4.625 13-23 18/07A EUR 249,814.39 0.46 200,000.00 ILIAD SA 2.125 15-22 05/12A EUR 228,685.70 0.43 200,000.00 PERNOD RICARD 1.875 15-23 28/09A EUR 236,233.26 0.44 500,000.00 RALLYE EMTN DEF 4.371 17-23 23/01A EUR 108,052.65 0.20 200,000.00 VEOLIA ENVIRONN. 0.314 16-23 04/10A EUR 225,690.25 0.42 Germany 473,728.38 0.88 300,000.00 CONTINENTAL AG 2.5000 20-26 27/08A EUR 355,682.51 0.66 100,000.00 FRESENIUS MEDIC 1.5000 18-25 11/07A EUR 118,045.87 0.22 Greece 607,191.74 1.13 500,000.00 HELLENIC REPUBLIC 3.50 17-23 30/01A EUR 607,191.74 1.13 India 479,216.75 0.89 200,000.00 EXP IMP BK INDIA REGS 3.375 16-25 05/08S USD 207,388.00 0.39 250,000.00 RELIANCE INDUSTRIES 4.125 15-25 28/01S USD 271,828.75 0.50 Indonesia 222,619.00 0.41 200,000.00 INDONESIA 4.35 16-27 08/01S USD 222,619.00 0.41 Ireland 439,029.81 0.82 300,000.00 AIB GROUP PLC 1.2500 19-24 28/05A EUR 337,440.31 0.63 100,000.00 GE CAPITAL INTL 4.418 16-35 15/11S USD 101,589.50 0.19 Italy 2,702,789.15 5.03 600,000.00 ITALY 2.70 16-47 01/03S EUR 750,218.15 1.40 1,500,000.00 ITALY 3.00 19-29 01/02S EUR 1,952,571.00 3.63 Japan 2,332,309.69 4.34 1,000,000.00 DEV BK OF JAPAN 2.875 14-24 19/09S USD 1,091,280.00 2.03 100,000,000.00 JAPAN 2.40 07-37 20/03S JPY 1,241,029.69 2.31 Luxembourg 788,589.44 1.47 200,000.00 RICHEMONT INTERNATION 1.125 20-32 26/05A EUR 236,437.67 0.44 500,000.00 SELP FINANCE SARL 1.50 19-26 20/12A EUR 552,151.77 1.03 Mexico 294,429.27 0.55 60,000.00 MEXICAN BONOS 7.75 11-31 29/05S MXN 294,429.27 0.55 Micronesian Islands 326,212.50 0.61 300,000.00 KAZMUNAYGAS NATION 4.75 17-27 19/04S USD 326,212.50 0.61 Morocco 245,997.93 0.46 200,000.00 MOROCCO 3.50 14-24 19/06A EUR 245,997.93 0.46 New Zealand 1,104,684.05 2.06 1,500,000.00 NEW ZEALAND 5.50 11-23 15/04S NZD 1,104,684.05 2.06 Norway 2,306,871.40 4.30 800,000.00 EQUINOR ASA 2.45 12-23 17/01S USD 837,068.00 1.56 300,000.00 EQUINOR ASA 2.875 20-25 06/04S USD 324,009.00 0.60 10,000,000.00 NORWAY 1.75 19-29 06/03A NOK 1,145,794.40 2.14 Oman 187,272.00 0.35 200,000.00 OMAN 5.375 17-27 08/03S USD 187,272.00 0.35 Philippines 2,233,340.00 4.16 2,000,000.00 ASIAN DEV BANK 2.375 17-27 10/08S USD 2,233,340.00 4.16

The accompanying notes form an integral part of these financial statements Page 57 Natixis AM Funds - Ostrum Global Aggregate Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets

Portugal 3,395,647.47 6.33 500,000.00 PORTUGAL 4.10 06-37 15/04A EUR 836,381.72 1.56 2,000,000.00 PORTUGAL 1.95 19-29 15/06A EUR 2,559,265.75 4.77 Russia 271,960.00 0.51 200,000.00 RUSSIA 5.625 12-42 04/04S USD 271,960.00 0.51 Saudi Arabia 555,517.50 1.03 500,000.00 ARABIE SAOUDITE 4 18-25 17/04S USD 555,517.50 1.03 South Africa 200,523.00 0.37 200,000.00 SOUTH AFRICA REPU OF 4.875 16-26 14/04S USD 200,523.00 0.37 Spain 2,909,595.89 5.43 200,000.00 IBERDROLA FINANZAS 1.25 18-26 28/10A EUR 238,417.79 0.44 300,000.00 SANTAN CONSUMER 0.875 17-22 24/01A EUR 339,126.72 0.63 800,000.00 SPAIN 1.40 18-28 30/04A EUR 982,068.88 1.84 500,000.00 SPAIN 2.90 16-46 31/10A EUR 779,047.73 1.46 300,000.00 SPAIN 4.70 09-41 30/07A EUR 570,934.77 1.06 Sweden 222,284.86 0.41 200,000.00 VOLVO TREASURY 0.1000 19-22 24/05A EUR 222,284.86 0.41 The Netherlands 456,753.66 0.85 200,000.00 BMW FINANCE NV 0.375 18-23 10/07A EUR 224,938.87 0.42 200,000.00 EXOR 2.125 15-22 02/12A EUR 231,814.79 0.43 United Kingdom 675,727.63 1.26 450,000.00 UNITED KINGDOM 1.50 16-47 22/07S GBP 675,727.63 1.26 United States of America 13,865,281.35 25.84 200,000.00 ABBVIE 3.60 15-25 14/05S USD 221,275.00 0.41 200,000.00 AMGEN 2.25 16-23 19/08S USD 209,544.00 0.39 100,000.00 ANHEUSER-BUSCH COS LLC 4.90 19-46 01/02S USD 121,626.50 0.23 100,000.00 AT&T INC 4.50 16-48 09/03S USD 116,620.00 0.22 300,000.00 AUTOZONE INC 3.6250 20-25 15/04S USD 335,721.00 0.63 400,000.00 AVANGRID 3.2 20-25 15/04S USD 437,352.00 0.81 200,000.00 BAKER HUGHES 3.337 17-27 15/12S USD 214,204.00 0.40 196,000.00 BECTON DICKINSON CO 3.70 17-37 06/06S USD 219,314.20 0.41 100,000.00 BERKSHIRE HATHAWAY 4.25 19-49 15/01S USD 128,567.50 0.24 300,000.00 BMW US CAPITAL LLC 3.9 20-25 09/04S USD 333,370.50 0.62 200,000.00 BRISTOL-MYERS SQUIBB 3.20 19-26 15/06S USD 224,464.00 0.42 200,000.00 CVS HEALTH CORP 4.30 18-28 25/03S USD 234,110.00 0.44 200,000.00 DARDEN RESTAURANTS 3.85 17-27 01/05S USD 205,585.00 0.38 100,000.00 DIAMOND 1 FIN 144A 6.02 16-26 15/06S USD 114,671.50 0.21 200,000.00 ESTEE LAUDER CO INC 2.6000 20-30 15/04S USD 218,309.00 0.41 300,000.00 EXPEDIA GROUP 6.25 20-25 01/05S USD 319,521.00 0.60 1,100,000.00 FANNIE MAE 6.25 99-29 15/05S USD 1,594,554.50 2.97 300,000.00 FEDEX CORP 3.8 20-25 15/05S USD 334,051.50 0.62 200,000.00 FEDEX CORP 4.00 14-24 15/01S USD 221,961.00 0.41 500,000.00 FREDDIE MAC 2.375 12-22 13/01S USD 516,807.50 0.96 200,000.00 HALLIBURTON CO 5.00 15-45 15/11S USD 206,900.00 0.39 400,000.00 HARLEY-DAVIDSON 3.875 20-23 19/05A EUR 469,970.89 0.88 100,000.00 HEALTHPEAK PROP 4.00 15-25 01/06S USD 110,913.50 0.21 300,000.00 HUMANA INC 4.5 20-25 01/04S USD 343,137.00 0.64 300,000.00 INTER-AMERICAN DEV 4.375 14-44 24/01S USD 462,603.00 0.86 700,000.00 INTL FINANCE CORP 2.00 17-22 24/10S USD 727,734.00 1.36 200,000.00 JPMORGAN CHASE CO 4.125 14-26 15/12S USD 233,303.00 0.43 300,000.00 KINDER MORGAN INC 3.15 17-23 15/01S USD 314,611.50 0.59 500,000.00 KROGER 2.2 20-30 01/05S USD 520,510.00 0.97 200,000.00 ORACLE 3.90 15-35 15/05S USD 241,880.00 0.45 200,000.00 PARKER HANNIFIN CORP 2.70 19-24 14/06S USD 213,453.00 0.40 200,000.00 PFIZER INC 5.95 07-37 01/04S USD 295,248.00 0.55 100,000.00 PHILLIPS 66 3.7 20-23 06/04S USD 107,165.50 0.20 200,000.00 SIMON PROPERTY GRO 3.25 16-26 30/11S USD 216,497.00 0.40 200,000.00 UNITED STATES 4.50 06-36 15/02S USD 306,171.88 0.57 1,500,000.00 US TREASURY N/B 2.875 16-46 15/11S USD 1,994,296.88 3.70 100,000.00 VERIZON COMM 3.875 19-29 08/02S USD 118,257.50 0.22 300,000.00 VF CORP 2.4 20-25 23/04S USD 316,359.00 0.59 100,000.00 VISA INC 4.30 15-45 14/12S USD 132,090.00 0.25 200,000.00 WELLS FARGO 3.45 13-23 13/02S USD 212,550.00 0.40 Venezuela 1,000,630.00 1.86 1,000,000.00 CORP ANDINA 2.20 17-20 18/07S USD 1,000,630.00 1.86

The accompanying notes form an integral part of these financial statements Page 58 Natixis AM Funds - Ostrum Global Aggregate Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets

Floating rate notes 3,365,444.98 6.27 Belgium 991,706.07 1.85 500,000.00 KBC GROUP NV FL.R 19-29 03/12A EUR 543,843.27 1.02 400,000.00 KBC GROUP NV FL.R 17-22 24/11Q EUR 447,862.80 0.83 France 670,190.35 1.25 600,000.00 CNP ASSURANCES 2.5 20-51 30/06A EUR 670,190.35 1.25 Germany 343,015.06 0.64 300,000.00 ALLIANZ SE FL.R 20-50 08/07A EUR 343,015.06 0.64 Namibia 305,605.50 0.57 300,000.00 NAMIBIA (REP OF) REGS 5.25 15-25 29/10S USD 305,605.50 0.57 United States of America 1,054,928.00 1.96 200,000.00 BANK OF AMERICA FL.R 18-28 20/12S USD 223,064.00 0.42 400,000.00 JP MORGAN CHASE & CO 2.083 20-26 22/04S USD 415,784.00 0.77 400,000.00 MORGAN STANLEY FL.R 20-26 28/04S USD 416,080.00 0.77

Shares/Units of UCITS/UCI 4,041,400.40 7.53 Shares/Units in investment funds 4,041,400.40 7.53 France 878,994.49 1.64 68.00 OSTRUM GLOBAL SUBORD FCP EUR 4 DEC EUR 878,994.49 1.64 Ireland 49,782.00 0.09 10,000.00 ISHS MRT BCK USD ETF USD 49,782.00 0.09 Luxembourg 3,112,623.91 5.80 500.00 NAT AM MUL AS GL INC I/A USD CAP USD 51,940.00 0.10 500.00 NAT AM MUL AS GL INC SI/A USD CAP USD 52,530.00 0.10 15.00 NATIXIS GLOBAL EMERGING BONDS I/A USD USD 2,287,855.35 4.26 4,000.00 NIFLI EURO HI -I/A-EUR CAP EUR 720,298.56 1.34

Total securities portfolio 49,672,995.95 92.52

The accompanying notes form an integral part of these financial statements Page 59 Natixis AM Funds - Ostrum Global Aggregate Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in USD

Income 1,298,146.31 Net dividends Note 2i) 1,386.00 Net interest on bonds 1,270,273.10 Bank interest on cash account 21,003.00 Bank interest on time deposits 714.12 Securities lending income, net Note 2l), 9 30.28 Other income 15.71 Income on repurchase transactions Note 2l), 10 4,724.10 Expenses 526,250.33 Management fees Note 3 301,241.17 Custodian fees 9,878.39 Taxe d'abonnement Note 5 5,041.94 Administration fees Note 3 3,518.35 Domiciliation fees 399.84 Professional fees 1,473.95 Bank interest on overdrafts 16,378.47 Legal fees 216.51 Transaction fees Note 2k) 64,242.68 Expenses on repurchase and reverse repurchase transactions 2,073.98 Interest on swaps 82,055.49 Other expenses 39,729.56

Net income from investments 771,895.98 Net realised profit / (loss) on: - sales of investment securities Note 2h) 1,173,116.79 - forward foreign exchange contracts -1,586,640.99 - financial futures 1,519,034.05 - swaps -67,527.26 - foreign exchange -748,261.84

Net realised profit 1,061,616.73 Movement in net unrealised appreciation / (depreciation) on: - investments 788,303.74 - forward foreign exchange contracts -955,340.90 - financial futures 67,423.76 - swaps 102,421.50

Increase in net assets as a result of operations 1,064,424.83 Subscription capitalisation shares 1,196,149.48 Redemption capitalisation shares -7,470,440.00

Decrease in net assets -5,209,865.69

Net assets at the beginning of the year 58,896,592.30

Net assets at the end of the year 53,686,726.61

The accompanying notes form an integral part of these financial statements Page 60 Natixis AM Funds - Ostrum Credit Opportunities

Page 61 Natixis AM Funds - Ostrum Credit Opportunities Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 24,082,592.81 Securities portfolio at market value Note 2a) 22,700,544.32 Cost price 23,326,627.99 Unrealised loss on the securities portfolio -626,083.67 Options purchased at market value Note 2d) 40,998.40 Options purchased at cost 70,600.00 Cash at banks and liquidities 708,108.24 Interest receivable 172,579.85 Brokers receivable 460,362.00 Liabilities 670,630.56 Options sold at market value Note 2d) 19,836.00 Options sold at cost 38,800.00 Brokers payable 200,030.00 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 5,427.75 Net unrealised depreciation on financial futures Note 2c) 32,800.00 Net unrealised depreciation on swaps Note 2e), 7, 8 358,612.92 Accrued expenses 35,619.63 Other liabilities 18,304.26

Net asset value 23,411,962.25

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (EUR) 353,429.26 24,000.00 201,346.26 176,083.00

Class I (EUR) 269.66 25.86 213.64 81.88

Class R (EUR) 3,433.65 469.37 719.07 3,183.95

Class RE (EUR) 642.65 0.00 81.62 561.03

Class RE (H-USD) 8,870.00 366.00 3,830.00 5,406.00

The accompanying notes form an integral part of these financial statements Page 62 Natixis AM Funds - Ostrum Credit Opportunities Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 23,411,962.25 53,226,381.26 55,302,455.13 Class SI (EUR) Number of shares 176,083.00 353,429.26 271,895.96 Net asset value per share EUR 101.72 103.26 101.69 Class I (EUR) Number of shares 81.88 269.66 464.43 Net asset value per share EUR 56,524.32 57,493.29 56,730.82 Class R (EUR) Number of shares 3,183.95 3,433.65 1,905.00 Net asset value per share EUR 96.88 98.97 98.10 Class RE (EUR) Number of shares 561.03 642.65 3,153.65 Net asset value per share EUR 95.54 97.90 97.30 Class RE (H-USD) Number of shares 5,406.00 8,870.00 9,012.00 Net asset value per share USD 105.91 105.75 102.09

The accompanying notes form an integral part of these financial statements Page 63 Natixis AM Funds - Ostrum Credit Opportunities Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 20,838,368.32 89.01 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 10,777,512.20 46.04 Austria 403,504.00 1.72 400,000.00 WIENERBERGER AG 2.0000 18-24 02/05A EUR 403,504.00 1.72 Canada 895,470.00 3.82 1,000,000.00 BOMBARDIER REGS EMTN 6.125 10-21 15/05S EUR 895,470.00 3.82 France 3,113,487.20 13.31 500,000.00 CASINO GUICHARD PERR 1.865 17-22 13/0 EUR 482,947.50 2.06 500,000.00 COMPAGNIE PLASTIC- 1.25 17-24 26/06A EUR 476,907.50 2.04 300,000.00 FAURECIA 3.1250 19-26 15/06S EUR 294,538.50 1.26 200,000.00 LA POSTE 5.3 16-43 01/12S USD 187,152.20 0.80 400,000.00 LOXAM MODULE SAS 3.25 19-25 14/01S EUR 367,440.00 1.57 1,000,000.00 ORANO EMTN 3.50 10-21 22/03A EUR 1,013,920.00 4.34 300,000.00 RCI BANQUE SA 0.50 16-23 15/09A EUR 290,581.50 1.24 Germany 194,916.00 0.83 200,000.00 SCHAEFFLER AG 1.1250 19-22 26/03A EUR 194,916.00 0.83 Ireland 883,556.50 3.77 500,000.00 BK IRELAND (GOV&CO) 10.00 12-22 19/12A EUR 589,450.00 2.51 300,000.00 FCA BANK S.P.A 0.625 19-22 24/11A EUR 294,106.50 1.26 Italy 986,020.50 4.21 200,000.00 INTESA SANPAOLO 0.75 19-24 04/12A EUR 197,850.00 0.85 250,000.00 ITALY 0.65 15-20 01/11S EUR 250,767.50 1.07 300,000.00 MEDIOBANCA DI C 1.1250 19-25 15/07A EUR 296,755.50 1.26 250,000.00 MEDIOBANCA DI C 1.1250 20-25 23/04A EUR 240,647.50 1.03 Norway 288,417.00 1.23 300,000.00 SANTANDER CONSU 0.1250 20-25 25/02A EUR 288,417.00 1.23 Portugal 291,903.00 1.25 300,000.00 CAIXA GERAL DE 1.2500 19-24 25/11S EUR 291,903.00 1.25 Singapore 304,546.50 1.30 300,000.00 DBS GROUP HLDGS 1.5000 18-28 11/04A EUR 304,546.50 1.30 Spain 1,016,210.00 4.34 200,000.00 BANCO SABADELL 5.625 16-26 06/05A EUR 206,656.00 0.88 400,000.00 CELLNEX TELECOM 2.875 20-25 18/04A EUR 426,820.00 1.83 400,000.00 KUTXABANK SA 0.50 19-24 25/09A EUR 382,734.00 1.63 Sweden 393,338.00 1.68 400,000.00 VOLVO CAR AB 2.1250 19-24 02/04A EUR 393,338.00 1.68 The Netherlands 1,075,321.00 4.60 400,000.00 DAIMLER INTL FI 0.2500 19-23 06/11A EUR 390,218.00 1.68 200,000.00 DARLING GLOBAL FIN 3.625 18-26 15/05S EUR 202,259.00 0.86 200,000.00 ENEL FINANCE IN 0.00 19-24 17/06A EUR 197,793.00 0.84 300,000.00 ZF EUROPE FINANCE BV 1.250 16-23 23/10A EUR 285,051.00 1.22 United Kingdom 261,211.50 1.12 300,000.00 JAGUAR LAND ROV 5.8750 19-24 15/11S EUR 261,211.50 1.12 United States of America 669,611.00 2.86 400,000.00 FORD MOTOR CREDIT CO 1.514 19-23 17/02A EUR 376,636.00 1.61 100,000.00 HARLEY-DAVIDSON 3.875 20-23 19/05A EUR 104,610.00 0.45 200,000.00 HARLEY-DAVIDSON 0.9000 19-24 19/11A EUR 188,365.00 0.80 Floating rate notes 10,060,856.12 42.97 Australia 705,865.00 3.01 200,000.00 AUST & NZ BANKI FL.R 19-29 21/11A EUR 198,705.00 0.85 500,000.00 COMMONW.BK AUSTRALIA FL.R 15-27 22/04A EUR 507,160.00 2.16 Belgium 980,597.50 4.19 500,000.00 BELFIUS BANQUE SA/NV FL.R 18-28 15/03A EUR 496,385.00 2.12 500,000.00 KBC GROUP NV FL.R 19-29 03/12A EUR 484,212.50 2.07 Denmark 402,836.00 1.72 400,000.00 DANSKE BANK EMTN FL.R 14-26 19/05A EUR 402,836.00 1.72 France 848,537.00 3.62 400,000.00 ACCOR SA FL.R 19-XX 31/01A EUR 366,648.00 1.57 100,000.00 ARKEMA SA FL.R 14-XX 29/10A EUR 101,010.00 0.43 200,000.00 BNP PARIBAS FL.R 19-26 04/12A EUR 197,770.00 0.84 200,000.00 RCI BANQUE SA FL.R 19-30 18/02A EUR 183,109.00 0.78

The accompanying notes form an integral part of these financial statements Page 64 Natixis AM Funds - Ostrum Credit Opportunities Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets

Italy 201,741.25 0.86 250,000.00 INTESA SANPAOLO FL.R 20-XX 31/12S EUR 201,741.25 0.86 Portugal 534,512.50 2.28 500,000.00 CAIXA GERAL DEPO.DY FL.R 18-28 28/06A EUR 534,512.50 2.28 Singapore 175,024.70 0.75 200,000.00 DBS GROUP FL.R 20-XX 27/02S USD 175,024.70 0.75 Spain 2,071,342.50 8.86 100,000.00 BANCO DE SABADE FL.R 20-23 29/06A EUR 100,763.00 0.43 200,000.00 BANCO DE SABADELL SA FL.R 17-XX 18/02Q EUR 165,279.00 0.71 500,000.00 BANKIA SA FL.R 17-27 15/03A EUR 498,877.50 2.13 200,000.00 BBVA S5 REGS FL.R 17-XX 24/08Q EUR 195,754.00 0.84 500,000.00 CAIXABANK SA FL.R 17-28 14/07A EUR 507,795.00 2.17 600,000.00 CAIXABANK SUB FL.R 17-XX 13/06A EUR 602,874.00 2.58 Sweden 519,443.53 2.22 600,000.00 SKANDINAVISKA ENSKIL FL.R 19-XX 13/05S USD 519,443.53 2.22 The Netherlands 1,948,917.08 8.32 400,000.00 COOP RABOBANK FL.R 14-26 26/05A EUR 404,564.00 1.73 200,000.00 COOP RABOBANK FL.R 19-XX 29/06S EUR 184,323.00 0.79 300,000.00 ING GROEP NV FL.R 19-XX 16/04S USD 274,205.58 1.17 100,000.00 REPSOL INTL FINANCE FL.R 20-49 31/12A EUR 99,742.00 0.43 500,000.00 VOLKSWAGEN INTL FL.R 20-XX 09/07A EUR 495,830.00 2.11 500,000.00 VOLKSWAGEN INTL FIN FL.R 17-XX 14/12A EUR 490,252.50 2.09 United Kingdom 1,278,671.06 5.46 600,000.00 BARCLAYS PLC FL.R 15-25 11/11A EUR 600,276.00 2.56 200,000.00 BP CAPITAL MARK FL.R 20-XX 22/06A EUR 201,107.00 0.86 300,000.00 ROYAL BANK OF SCOTLAN FL.R 19-29 01/11S USD 276,524.06 1.18 200,000.00 SSE PLC FL.R 20-XX 14/07A EUR 200,764.00 0.86 United States of America 393,368.00 1.68 400,000.00 GENERAL MOTORS FIN FL.R 17-21 10/05Q EUR 393,368.00 1.68

Shares/Units of UCITS/UCI 1,862,176.00 7.95 Shares/Units in investment funds 1,862,176.00 7.95 Luxembourg 1,862,176.00 7.95 8,300.00 NATIXIS GLOBAL CV BONDS IA (HEUR) EUR 942,880.00 4.02 8,400.00 NIFLI SH.TERM GLB HIGH INCOME H-IC EURO EUR 919,296.00 3.93

Total securities portfolio 22,700,544.32 96.96

The accompanying notes form an integral part of these financial statements Page 65 Natixis AM Funds - Ostrum Credit Opportunities Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 2,379,058.84 Net interest on bonds Note 2i) 840,511.20 Bank interest on cash account 7,079.84 Bank interest on time deposits 23.67 Interest on swaps 1,531,373.50 Income on repurchase transactions Note 2l), 10 70.63 Expenses 1,616,778.72 Management fees Note 3 143,825.92 Custodian fees 7,681.59 Taxe d'abonnement Note 5 3,540.46 Administration fees Note 3 3,256.69 Performance fee Note 4 930.86 Domiciliation fees 375.00 Professional fees 1,182.07 Bank interest on overdrafts 10,597.90 Legal fees 145.79 Transaction fees Note 2k) 11,297.26 Interest on swaps 1,407,103.50 Other expenses 26,841.68

Net income from investments 762,280.12 Net realised profit / (loss) on: - sales of investment securities Note 2h) -340,020.69 - options -11,600.00 - forward foreign exchange contracts 66,774.66 - financial futures -31,255.00 - swaps -391,457.12 - foreign exchange -59,779.29

Net realised loss -5,057.32 Movement in net unrealised appreciation / (depreciation) on: - investments -911,713.12 - options -10,637.60 - forward foreign exchange contracts 8,337.47 - financial futures 45,805.00 - swaps 11,675.51

Decrease in net assets as a result of operations -861,590.06 Subscription capitalisation shares 4,057,726.10 Redemption capitalisation shares -33,010,555.05

Decrease in net assets -29,814,419.01

Net assets at the beginning of the year 53,226,381.26

Net assets at the end of the year 23,411,962.25

The accompanying notes form an integral part of these financial statements Page 66 Natixis AM Funds - Ostrum Global Convertible Bonds

Page 67 Natixis AM Funds - Ostrum Global Convertible Bonds Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in USD

Assets 88,117,948.67 Securities portfolio at market value Note 2a) 85,138,439.33 Cost price 79,078,301.77 Unrealised profit on the securities portfolio 6,060,137.56 Cash at banks and liquidities 2,525,185.86 Interest receivable 142,958.63 Brokers receivable 311,364.85 Liabilities 2,376,527.35 Payable for repurchase transactions Note 2l), 10 1,912,384.63 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 56,364.30 Accrued expenses 357,202.57 Other liabilities 50,575.85

Net asset value 85,741,421.32

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (USD) 86,780.00 0.00 0.00 86,780.00

Class I (H-EUR) 177,853.00 24,157.68 46,000.00 156,010.68

Class I (USD) 495,888.00 54,600.00 112,707.00 437,781.00

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets USD 85,741,421.32 86,614,331.41 80,686,995.00 Class SI (USD) Number of shares 86,780.00 86,780.00 369,905.00 Net asset value per share USD 125.79 112.15 108.22 Class I (H-EUR) Number of shares 156,010.68 177,853.00 104,053.00 Net asset value per share EUR 114.21 104.72 104.40 Class I (USD) Number of shares 437,781.00 495,888.00 257,441.00 Net asset value per share USD 125.20 112.26 108.65

The accompanying notes form an integral part of these financial statements Page 68 Natixis AM Funds - Ostrum Global Convertible Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 84,267,178.08 98.28 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 4,749,114.04 5.54 France 1,344,746.00 1.57 200,000.00 CARREFOUR SA CV 0.00 17-23 14/06U USD 188,066.00 0.22 1,000,000.00 VINCI SA CONV 0.375 17-22 16/02S USD 1,156,680.00 1.35 Germany 707,107.16 0.82 500,000.00 SYMRISE CV 0.2375 17-24 20/06A EUR 707,107.16 0.82 Japan 199,708.93 0.23 20,000,000.00 CYBERAGENT INC CV 0.00 18-23 17/02U JPY 199,708.93 0.23 The Netherlands 454,960.00 0.53 400,000.00 QIAGEN NV CV 0.50 17-23 13/09S USD 454,960.00 0.53 United States of America 2,042,591.95 2.39 800,000.00 EXACT SCIENCES CORP 0.375 20-28 01/03S USD 767,848.00 0.90 360,000.00 IAC FINANCECO 3 CV 2.00 19-30 15/01S USD 466,153.20 0.54 550,000.00 WAYFAIR INC 19-26 15/08S USD 808,590.75 0.95 Convertible bonds 79,225,846.04 92.40 Australia 199,275.30 0.23 300,000.00 DEXUS FINANCE PTY CV 2.3 19-26 19/06Q AUD 199,275.30 0.23 British Virgin Islands 1,052,439.63 1.23 800,000.00 ANLLIAN CAPITAL LTD CV 0.00 20-25 05/02U EUR 836,634.44 0.98 180,000.00 3SBIO 0.00 17-22 21/07U EUR 215,805.19 0.25 Cayman Islands 3,832,193.59 4.47 350,000.00 HERBALIFE NUTRI CV & 2.625 18-24 15/03S USD 345,630.25 0.40 480,000.00 IQIYI INC CV 3.75 19-23 01/12U USD 526,790.40 0.61 750,000.00 IQIYI INC CV 2.00 19-25 01/04S USD 746,647.50 0.87 800,000.00 POSEIDON FINANCE CV 0.00 18-25 01/02U USD 776,400.00 0.91 680,000.00 SINO BIOPHARMA CV & 0.00 20-25 17/02U EUR 790,854.84 0.93 580,000.00 YY INCORPORATION 0.75 19-25 15/06S USD 645,870.60 0.75 China 568,806.00 0.66 400,000.00 WUXI APPTEC CO CV 0.0 19-24 17/09U USD 568,806.00 0.66 France 8,415,985.69 9.82 500,000.00 ARCHER OBLIG CV 0.00 17-23 31/03U EUR 712,223.11 0.83 800,000.00 ATOS SE CV 0.0 19-24 06/11U EUR 1,191,639.69 1.40 400,000.00 CARREFOUR SA RCV 0.00 18-24 27/03U USD 382,010.00 0.45 10,500.00 EDENRED CV 0.00 19-24 06/09U EUR 712,472.73 0.83 2,000.00 INGENICO CV 0.00 15-22 26/06U EUR 415,698.03 0.48 200,000.00 KERING CV 0.00 19-22 30/09U EUR 232,923.34 0.27 15,500.00 KORIAN SA FL.R 17-22 06/12S EUR 733,045.72 0.85 850.00 LVMH MOET HENNESSY CV 0.00 16-21 16/02U USD 404,321.20 0.47 400,000.00 MICHELIN CV 0.00 10.11.23U USD 374,206.00 0.44 15,883.00 NEOEN SPA CV 2.00 20-25 02/06S EUR 867,739.08 1.02 1,500.00 NEXITY SA CV 0.25 18-25 02/03S EUR 94,231.85 0.11 4,382.00 ORPEA 0.375 19-27 17/05A EUR 706,899.39 0.82 600,000.00 TOTAL CV 0.50 15-22 02/12S USD 590,880.00 0.69 3,591.00 UBISOFT ENTERTAIN CV 0.0 19-24 24/09U EUR 489,059.59 0.57 14,578.00 VEOLIA ENV CV & 0.00 19-25 01/01U EUR 508,635.96 0.59 Germany 4,431,274.88 5.17 500,000.00 DELIVERY HERO 0.25 20-24 23/01S EUR 642,764.70 0.75 600,000.00 DELIVERY HERO CV 1.00 20-27 23/01S EUR 793,131.47 0.93 400,000.00 DEUSTCHE WOHNEN CV 0.325 17-24 26/07A EUR 493,527.83 0.58 800,000.00 DEUTSHE WOHNEN SE CV 17-26 05/01A EUR 964,372.53 1.12 300,000.00 LEG IMMOBILIEN CV 0.875 17-25 01/09S EUR 398,311.10 0.46 200,000.00 RAG STIFTUNG 0.00 17-23 16/03U EUR 218,184.24 0.25 600,000.00 RAG-STIFTUNG 0.0 18-24 02/10U EUR 642,230.65 0.75 200,000.00 TAG IMMOBILIEN CV 0.625 17-22 01/09U EUR 278,752.36 0.33 Hong Kong 450,159.75 0.53 450,000.00 LENOVO CV 3.375 19-24 24/01S USD 450,159.75 0.53 Israel 562,326.00 0.66 600,000.00 CYBERARK SOFTWARE 0.0 19-24 15/11U USD 562,326.00 0.66 Italy 770,610.06 0.90 600,000.00 NEXI SPA 1.75 20-27 24/04S EUR 770,610.06 0.90 Japan 4,417,799.10 5.15 50,000,000.00 DAINIPPON SCREEN CV 0.0 18-22 10/06U JPY 456,474.44 0.53

The accompanying notes form an integral part of these financial statements Page 69 Natixis AM Funds - Ostrum Global Convertible Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 20,000,000.00 DAIO PAPER CV REGS 0.00 15-20 17/09U JPY 186,340.07 0.22 50,000,000.00 DIGITAL GARAGE INC 0.00 18-23 14/09U JPY 469,733.93 0.55 30,000,000.00 EZAKI GLICO CO REGS 0.00 17-24 30/01U JPY 281,109.03 0.33 30,000,000.00 IWATANI CV REGS 0.00 15-20 22/10U JPY 289,986.53 0.34 50,000,000.00 MITSUBISHI CHEM CV 0.00 17-24 29/03U JPY 457,297.08 0.53 50,000,000.00 NAGOYA RAILROAD CV 0.00 14-24 11/12U JPY 523,450.85 0.61 50,000,000.00 NIPPON MILLS CV 0.0 18-25 20/06U JPY 475,274.55 0.55 30,000,000.00 NIPRO CORP CV 0.00 16-21 29/01U JPY 276,590.33 0.32 40,000,000.00 SBI HLD CV 0.00 18-23 13/09U JPY 367,967.71 0.43 50,000,000.00 SHIP HEALTHCARE CV 0.00 18-23 13/12U JPY 496,132.41 0.58 10,000,000.00 SONY CORP CV 0.00 15-22 30/09U JPY 137,442.17 0.16 Luxembourg 680,124.05 0.79 200,000.00 CITIGROUP CLOBAL CV 0.50 16-23 04/08A EUR 229,666.21 0.27 100,000.00 ELIOTT CAPITAL SARL CV 0.00 19-22 30/12U EUR 108,256.50 0.13 300,000.00 SELENA SARL 0.00 20-25 25/06U EUR 342,201.34 0.39 New Zealand 590,674.00 0.69 400,000.00 XERO INVESTMENTS LTD 2.375 18-23 01/10U USD 590,674.00 0.69 South Africa 284,268.00 0.33 200,000.00 SIBANYE GOLD LTD CV 1.875 17-23 26/09S USD 284,268.00 0.33 South Korea 598,671.96 0.70 200,000.00 LG CHEM LTD 0.00 18-21 16/04U EUR 229,891.96 0.27 400,000.00 LG DISPLAY CV 1.50 19-24 22/08S USD 368,780.00 0.43 Spain 1,014,059.00 1.18 700,000.00 CELLNEX TELECOM SA CV 0.50 19-28 05/07A EUR 1,014,059.00 1.18 Switzerland 1,314,996.05 1.53 1,060,000.00 SIKA 0.15 18-25 05/06A CHF 1,314,996.05 1.53 Taiwan 1,118,822.00 1.30 200,000.00 ASIA CEMENT CORP 0.00 18-23 21/09U USD 234,547.00 0.27 700,000.00 TAIWAN CEMENT CORP ZCP 18-23 10/12U USD 884,275.00 1.03 The Netherlands 4,935,199.77 5.76 230,000.00 BHARTI AIRTEL LTD 1.5 20-25 17/02S USD 265,054.30 0.31 800,000.00 ELM CV 3.25 18-24 13/06S USD 823,616.00 0.96 600,000.00 IBERDROLA INTL CV 0.00 15-22 11/11A EUR 855,203.47 1.00 400,000.00 QIAGEN NV CV 1 18-24 13/11S USD 435,592.00 0.51 600,000.00 STMICROELECTRONICS 0.00 17-22 03/07A USD 812,205.00 0.95 600,000.00 STMICROELECTRONICS 0.25 17-24 03/07S USD 884,001.00 1.03 800,000.00 YANDEX NV CV 0.75 20-25 03/031 USD 859,528.00 1.00 United Kingdom 707,665.44 0.83 200,000.00 OCADO GROUP CV 0.875 19-25 09/12S GBP 324,235.74 0.38 300,000.00 OCADO GROUP PLC 0.75 20-27 18/01S GBP 383,429.70 0.45 United States of America 43,280,495.77 50.47 40,000.00 ADVANCED MICRO DEV CV 2.125 16-26 01/09S USD 261,093.80 0.30 500,000.00 AKAMAI TECHNOLOGIE CV 0.375 19-27 01/09S USD 545,722.50 0.64 850,000.00 AKAMAI TECHNOLOGIES 0.125 19-25 01/05S USD 1,060,634.25 1.24 150,000.00 ATLASSIAN INCCV 0.625 18-23 01/05S USD 334,602.75 0.39 300,000.00 BIOMARIN PHARM CV SUB 0.599 17-24 01/08S USD 369,222.00 0.43 550,000.00 BIOMARIN PHARMACEUT CV 1.25 20-27 15/05S USD 644,308.50 0.75 350,000.00 BLACKLINE INC CV 0.125 19-24 01/08S USD 446,843.25 0.52 900,000.00 BOOKING HOLDINGS 0.75 20-25 01/05S USD 1,119,451.50 1.31 350,000.00 BRIDGEBIO PHARMA CV 2.5 20-27 15/03S USD 355,932.50 0.42 500,000.00 BURLINGTON STORES INC 2.25 20-25 15/04S USD 572,822.50 0.67 700,000.00 CHEGG INC CV 0.125 19-25 15/03S USD 994,966.00 1.16 600,000.00 CLOUDFLARE INC 0.75 20-25 15/05S USD 726,027.00 0.85 600,000.00 CREE INC 1.75 20-26 01/05S USD 847,839.00 0.99 1,000,000.00 DEXCOM INC CV 0.25 20-25 15/11S USD 1,023,945.00 1.19 350,000.00 DICK'S SPORTING GOOD CV3.25 20-25 15/04S USD 482,427.75 0.56 300,000.00 EQT CORPORATION CV 1.75 20-26 01/05S USD 311,647.50 0.36 400,000.00 ETSY INC CV 0.125 19-26 01/10S USD 547,282.00 0.64 330,000.00 EURONET WORLDWIDE 0.75 19-49 15/03S USD 318,219.00 0.37 400,000.00 EVERBRIDGE INC 0.125 19-24 15/12S USD 550,246.00 0.64 340,000.00 EXACT SCIENCES CV 0.375 19-27 15/03S USD 353,841.40 0.41 357,000.00 EXTRA SPACE STOR CV 3.125 15-35 01/10S USD 384,237.32 0.45 350,000.00 FIREEYE INC 0.875 18-24 01/06S USD 317,415.00 0.37 250,000.00 FORTIVE 0.875 19-22 15/02S USD 245,362.50 0.29 250,000.00 HALOZYME THERAPEUTI CV 1.25 19-24 01/12S USD 318,390.00 0.37

The accompanying notes form an integral part of these financial statements Page 70 Natixis AM Funds - Ostrum Global Convertible Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 600,000.00 IAC FINANCECO CV & 0.875 19-26 15/06S USD 739,464.00 0.86 460,000.00 ILLUMINA INC CV 0.00 18-23 15/08U USD 500,429.40 0.58 430,000.00 INPHI CORP CV 0.75 20-25 15/04S USD 519,968.90 0.61 500,000.00 INSULET CORP CV 0.375 19-26 01/09S USD 547,500.00 0.64 350,000.00 IONIS PHARMACEUT CV 0.125 19-24 15/12S USD 342,760.25 0.40 540,000.00 JPMORGAN CHASE BANK N 0.125 20-23 01/01S USD 576,841.50 0.67 400,000.00 JPMORGAN CHASE CV 0.00 18-20 17/07U USD 410,660.00 0.48 350,000.00 J2 GLOBAL INC CV 1.75 19-26 01/11S USD 294,941.50 0.34 400,000.00 LIBERTY MEDIA CV 2.75 19-49 01/12Q USD 373,872.00 0.44 150,000.00 LIBERTY MEDIA CORP 1.00 17-23 30/01S USD 164,049.00 0.19 630,000.00 LIBERTY MEDIA CV 1.375 13-23 15/10S USD 664,590.15 0.78 200,000.00 LIVE NATION CV 2.5 19-23 20/03S USD 204,177.00 0.24 700,000.00 LUMENTUM HLDG CV 0.50 19-26 15/12S USD 740,134.50 0.86 250,000.00 LYFT INC 1.5 20-25 15/05S USD 277,523.75 0.32 630,000.00 MICROCHIP TECH CV 2.25 17-37 15/02S USD 919,866.15 1.07 900,000.00 MICROCHIP TECHNOLOGY 1.625 17-27 15/02S USD 1,329,232.50 1.55 750,000.00 MONGODB INC CV 0.25 20-26 15/01S USD 947,160.00 1.10 400,000.00 NUANCE COMMUNICATIONS 1.00 16-35 15/12S USD 472,550.00 0.55 300,000.00 NUVASIVE INC 2.25 16-21 15/03S USD 330,120.00 0.39 970,000.00 OKTA CV 0.125 19-25 01/09S USD 1,206,515.10 1.41 407,000.00 ON SEMICONDUCTOR CV 1.00 15-20 01/12S USD 475,622.24 0.55 620,000.00 ON SEMICONDUCTOR CV 1.625 17-23 15/10S USD 754,890.30 0.88 1,050,000.00 PALO ALTO NETWORKS CV 0.75 19-23 01/07S USD 1,131,905.25 1.32 800,000.00 PIONEER NATURAL CV 0.25 20-25 15/05S USD 940,716.00 1.10 600,000.00 PROOFPOINT INC CV 0.250 19-24 15/08S USD 590,925.00 0.69 900,000.00 RINGCENTRAL INC CV 0.0 20-25 01/03U USD 961,168.50 1.12 750,000.00 SLACK TECHNOLOGIES INC 0.5 20-25 15/04S USD 926,283.75 1.08 700,000.00 SNAP INC 0.25 20-25 01/05S USD 891,205.00 1.04 796,000.00 SNAP INC CV 0.75 19-26 01/08S USD 998,848.66 1.16 1,300,000.00 SOUTHWEST AIRLINES CO 1.25 20-25 01/05S USD 1,558,583.00 1.81 900,000.00 SPLUNK INC CV 0.500 18-23 15/09S USD 1,292,184.00 1.51 600,000.00 SPLUNK INC CV 1.1250 18-25 15/09S USD 882,405.00 1.03 650,000.00 SQUARE INC CV 20-25 01/03S USD 737,272.25 0.86 710,000.00 SQUARE INC CV 0.50 19-23 15/05S USD 1,055,407.90 1.23 350,000.00 SYNAPTICS CV 0.50 17-22 15/06S USD 372,625.75 0.43 800,000.00 TELADOC CV 1.25 20-27 01/06S USD 884,532.00 1.03 670,000.00 TWITTER INC 0.25 18-24 15/06S USD 631,903.80 0.74 150,000.00 UNDER ARMOUR CV 1.50 20-24 01/06S USD 170,637.75 0.20 200,000.00 WAYFAIR INC CV 1.125 18-24 01/11S USD 357,656.00 0.42 900,000.00 WORKDAY INC 0.25 17-22 01/10S USD 1,242,157.50 1.45 370,000.00 ZENDESK INC 0.25 18-23 15/03S USD 553,333.15 0.65 400,000.00 ZILLOW GROUP CV 2.75 20-25 15/05S USD 468,178.00 0.55 550,000.00 ZYNGA INC 0.25 19-24 01/06S USD 707,220.25 0.82 Floating rate notes 292,218.00 0.34 United States of America 292,218.00 0.34 300,000.00 NEW RELIC INC 0.5 18-23 01/05S USD 292,218.00 0.34

Other transferable securities 738,253.33 0.86 Convertible bonds 738,253.33 0.86 France 738,253.33 0.86 5,480.00 SAFRAN SA 0.875 20-27 15/05A EUR 738,253.33 0.86

Other money market instruments 133,007.92 0.16 Bonds and money market instruments 133,007.92 0.16 France 133,007.92 0.16 1,000.00 SILICON ON INSUL CV 0.0 18-23 28/06U EUR 133,007.92 0.16

Total securities portfolio 85,138,439.33 99.30

The accompanying notes form an integral part of these financial statements Page 71 Natixis AM Funds - Ostrum Global Convertible Bonds Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in USD

Income 605,183.62 Net interest on bonds Note 2i) 526,600.11 Bank interest on cash account 46,157.75 Securities lending income, net Note 2l), 9 12,343.23 Income on repurchase transactions Note 2l), 10 20,082.53 Expenses 983,655.85 Management fees Note 3 618,550.41 Custodian fees 11,847.11 Taxe d'abonnement Note 5 8,191.91 Administration fees Note 3 3,941.85 Performance fee Note 4 156,772.02 Domiciliation fees 399.87 Professional fees 2,235.59 Bank interest on overdrafts 21,742.84 Legal fees 359.94 Transaction fees Note 2k) 75,605.32 Expenses on repurchase and reverse repurchase transactions 4,334.93 Other expenses 79,674.06

Net loss from investments -378,472.23 Net realised profit / (loss) on: - sales of investment securities Note 2h) 6,160,075.37 - forward foreign exchange contracts 183,664.23 - foreign exchange 27,734.55

Net realised profit 5,993,001.92 Movement in net unrealised appreciation / (depreciation) on: - investments 2,986,912.14 - forward foreign exchange contracts -468,548.39

Increase in net assets as a result of operations 8,511,365.67 Subscription capitalisation shares 9,070,409.80 Redemption capitalisation shares -18,454,685.56

Decrease in net assets -872,910.09

Net assets at the beginning of the year 86,614,331.41

Net assets at the end of the year 85,741,421.32

The accompanying notes form an integral part of these financial statements Page 72 Natixis AM Funds - Ostrum Multi Asset Global Income

Page 73 Natixis AM Funds - Ostrum Multi Asset Global Income Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in USD

Assets 100,085,709.65 Securities portfolio at market value Note 2a) 91,814,345.75 Cost price 93,032,873.02 Unrealised loss on the securities portfolio -1,218,527.27 Options purchased at market value Note 2d) 38,575.00 Options purchased at cost 154,832.64 Cash at banks and liquidities 6,812,984.75 Interest receivable 957,502.13 Net unrealised appreciation on forward foreign exchange contracts Note 2b) 187,315.59 Net unrealised appreciation on financial futures Note 2c) 207,743.98 Net unrealised appreciation on swaps Note 2e) 7, 8 55,492.00 Other assets 11,750.45 Liabilities 573,704.95 Options sold at market value Note 2d) 9,720.00 Options sold at cost 64,582.96 Bank overdrafts 207,743.97 Accrued expenses 196,750.73 Other liabilities 159,490.25

Net asset value 99,512,004.70

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (USD) 500.00 0.00 0.00 500.00

Class I (USD) (*) 500.00 0.00 0.00 500.00

Class I (H-EUR) 148,299.88 27.00 64,891.65 83,435.23

Class I (H-EUR) - Distribution 62,366.57 0.00 50,489.61 11,876.96

Class R (H-EUR) 95,546.11 671.50 23,229.19 72,988.42

Class R (H-EUR) Distribution (**) 807,099.92 20,481.00 85,035.58 742,545.34

The accompanying notes form an integral part of these financial statements Page 74 Natixis AM Funds - Ostrum Multi Asset Global Income Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets USD 99,512,004.70 126,833,636.39 98,639,601.67 Class SI (USD) Number of shares 500.00 500.00 555,113.80 Net asset value per share USD 105.10 103.28 100.01 Class I (USD) (*) Number of shares 500.00 500.00 0.00 Net asset value per share USD 103.92 102.33 0.00 Class I (H-EUR) Number of shares 83,435.23 148,299.88 213,295.38 Net asset value per share EUR 95.77 96.83 96.60 Class I (H-EUR) - Distribution Number of shares 11,876.96 62,366.57 63,709.12 Net asset value per share EUR 91.81 95.59 96.24 Dividend per share 2.64 0.87 0.66 Class R (H-EUR) Number of shares 72,988.42 95,546.11 105,988.79 Net asset value per share EUR 94.79 96.12 96.19 Class R (H-EUR) Distribution (**) Number of shares 742,545.34 807,099.92 0.00 Net asset value per share EUR 97.64 101.32 0.00 Dividend per share 2.24 0.00 0.00

(*) Launched on 13/03/19. (**) Launched on 21/02/19.

The accompanying notes form an integral part of these financial statements Page 75 Natixis AM Funds - Ostrum Multi Asset Global Income Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 85,770,643.34 86.19 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 81,175,267.13 81.57 Argentina 416,260.00 0.42 1,000,000.00 ARGENTINA 5.625 17-22 26/01S USD 416,260.00 0.42 Australia 219,839.00 0.22 200,000.00 WESTPAC BANKING 2.85 16-26 13/05S USD 219,839.00 0.22 Azerbaidjan 208,626.00 0.21 200,000.00 STATE OIL REGS 4.75 13-23 13/03S USD 208,626.00 0.21 Brazil 1,407,107.00 1.41 1,300,000.00 BNDES REGS 5.75 13-23 26/09S USD 1,407,107.00 1.41 British Virgin Islands 1,573,640.00 1.58 1,000,000.00 SINOPEC GR OVER REGS 3.90 12-22 17/05S USD 1,047,585.00 1.05 500,000.00 STATE GRID 3.125 13-23 22/05 USD 526,055.00 0.53 Canada 340,850.20 0.34 300,000.00 COTT FINANCE CORP 5.50 16-24 01/07S EUR 340,850.20 0.34 Colombia 961,232.00 0.97 800,000.00 COLOMBIA 8.125 04-24 21/05S USD 961,232.00 0.97 Costa Rica 398,064.00 0.40 400,000.00 ICE REGS 6.95 11-21 10/11S USD 398,064.00 0.40 Croatia 311,095.50 0.31 300,000.00 CROATIA REGS 6.375 11-21 24/03S USD 311,095.50 0.31 Dominican Republic 512,780.00 0.52 500,000.00 DOMINICAN REP REGS 5.875 13-24 18/04S USD 512,780.00 0.52 Ecuador 441,333.00 0.44 900,000.00 ECUADOR REGS 10.75 16-22 28/03S USD 441,333.00 0.44 Egypt 719,236.00 0.72 700,000.00 EGYPT 6.125 17-22 31/01S USD 719,236.00 0.72 France 3,165,950.26 3.19 400,000.00 ALTICE FRANCE SA 2.5 19-25 15/01S EUR 429,456.62 0.43 100,000.00 BANIJAY ENTERTA 5.3750 20-25 01/03S USD 98,079.50 0.10 400,000.00 CROWN EURO HOLD 0.7500 19-23 15/02S EUR 434,063.78 0.44 600,000.00 ELIS SA 1.875 18-23 15/02A EUR 660,809.79 0.67 400,000.00 LOXAM SAS 3.50 16-23 03/05S EUR 432,718.25 0.43 200,000.00 MOBILUX FINANCE SA 5.50 16-24 15/11S EUR 214,385.75 0.22 200,000.00 NEXANS 3.25 16-21 26/05A EUR 226,812.28 0.23 300,000.00 ORANO SA 3.125 14-23 20/03A EUR 342,277.16 0.34 300,000.00 THREEAB OPTIQUE 4.00 17-23 01/10S EUR 327,347.13 0.33 Gabon 219,598.38 0.22 230,564.00 GABON 6.375 13-24 12/12S USD 219,598.38 0.22 Georgia 408,491.00 0.41 200,000.00 GEORG RAILWAY REGS 7.75 12-22 11/07S USD 203,848.00 0.20 200,000.00 GEORGIA 6.875 11-21 12/04S USD 204,643.00 0.21 Germany 1,100,613.43 1.11 300,000.00 IHO VERWALT 3.625 19-25 15/05S EUR 336,574.36 0.34 300,000.00 NIDDA HEALTHCARE HOLD 3.5 20-24 30/09S EUR 330,217.89 0.33 400,000.00 THYSSENKRUPP AG 2.875 19-24 22/02A EUR 433,821.18 0.44 Hungary 1,364,118.00 1.37 1,200,000.00 HUNGARY 5.375 14-24 25/03S USD 1,364,118.00 1.37 India 632,898.00 0.64 600,000.00 EXPORT IMPORT BANK 3.875 19-24 12/03S USD 632,898.00 0.64 Indonesia 1,677,910.00 1.69 600,000.00 INDONESIA REGS 3.375 13-23 15/04S USD 625,437.00 0.62 300,000.00 PERTAMINA REG S 4.875 12-22 03/05S USD 315,358.50 0.32 400,000.00 PERTAMINA REGS 4.30 13-23 20/05S USD 423,388.00 0.43 300,000.00 PERUSAHAAN PERSEROAN 5.50 11-21 22/11S USD 313,726.50 0.32 Ireland 1,028,691.47 1.03 300,000.00 BK IRELAND (GOV&CO) 10.00 12-22 19/12A EUR 397,224.47 0.40 200,000.00 GE CAPITAL INTL 4.418 16-35 15/11S USD 203,179.00 0.20 400,000.00 VNESHECONOMBANK(VEB) 6.025 12-22 05/07S USD 428,288.00 0.43 Italy 1,541,559.69 1.55 200,000.00 FINMECCANICA FINANCE 5.25 09-22 21/01A EUR 238,760.35 0.24 197,000.00 INTESA SAN PAOLO 6.625 13-23 13/09A EUR 252,285.70 0.25

The accompanying notes form an integral part of these financial statements Page 76 Natixis AM Funds - Ostrum Multi Asset Global Income Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 500,000.00 TELECOM ITALIA EMTN 3.25 15-23 16/01A EUR 585,913.66 0.59 400,000.00 UNICREDIT SPA 6.125 11-21 19/04A EUR 464,599.98 0.47 Japan 455,608.04 0.46 400,000.00 SOFTBANK GROUP 4.0000 18-23 20/04S EUR 455,608.04 0.46 Jersey Island 180,608.00 0.18 200,000.00 ASTON MARTIN CAPIT 6.50 17-22 15/04S USD 180,608.00 0.18 Kazakhstan 464,636.00 0.47 400,000.00 KAZAKHSTAN REGS 5.125 15-25 21/07S USD 464,636.00 0.47 Kenya 509,575.00 0.51 500,000.00 KENYA 6.875 14-24 24/06S USD 509,575.00 0.51 Lebanon 172,562.00 0.17 700,000.00 LEBANESE REPU OF 6.10 10-22 04/10S USD 133,798.00 0.13 200,000.00 LIBAN EMTN 8.25 06-21 12/04S USD 38,764.00 0.04 Luxembourg 1,358,221.35 1.36 200,000.00 ALTICE FINANCING S.A. 2.25 20-25 15/01S EUR 211,149.95 0.21 300,000.00 ARCELORMITTAL 3.125 15-22 14/01A EUR 342,694.97 0.34 500,000.00 FIAT FINANCE TRADE 4.75 14-22 15/07A EUR 585,405.43 0.59 200,000.00 INGERSOLL-RAND 3.5000 19-26 21/03S USD 218,971.00 0.22 Mexico 2,599,953.83 2.62 800,000.00 MEXIQUE BONOS 4.00 13-23 02/10S USD 852,724.00 0.86 313,000.00 PETROLEOS MEXIC 5.9500 20-31 28/01S USD 258,317.33 0.26 1,000,000.00 PETROLEOS MEXICANOS 3.50 13-23 30/01S USD 952,450.00 0.96 500,000.00 UNITED MEXICAN 3.9000 20-25 27/04S USD 536,462.50 0.54 Mongolia 1,164,058.00 1.17 300,000.00 MONGOLIA 5.125 12-22 05/12S USD 298,950.00 0.30 800,000.00 MONGOLIA 8.75 17-24 09/03S USD 865,108.00 0.87 Morocco 749,362.00 0.75 300,000.00 MAROC REGS 4.25 12-22 11/12S USD 316,680.00 0.32 400,000.00 OCP SA 5.625 14-24 25/04S USD 432,682.00 0.43 Nigeria 203,877.00 0.20 200,000.00 NIGERIA 6.375 13-23 12/07S USD 203,877.00 0.20 Oman 968,215.00 0.97 1,000,000.00 SULTANATE OF OMAN 4.875 19-25 01/02S USD 968,215.00 0.97 Peru 104,095.00 0.10 100,000.00 REPUBLIC OF PER 2.3920 20-26 23/01S USD 104,095.00 0.10 Qatar 1,073,070.00 1.08 1,000,000.00 ETAT DU QATAR 3.375 19-24 14/03S USD 1,073,070.00 1.08 Romania 532,182.50 0.53 500,000.00 ROMANIA REGS 4.375 13-23 22/08S USD 532,182.50 0.53 Russia 635,241.00 0.64 600,000.00 RUSSIE (FED OF) REGS 4.50 12-22 04/04S USD 635,241.00 0.64 Saudi Arabia 313,360.50 0.31 300,000.00 SAUDI INTERNATIONA 2.875 17-23 04/03S USD 313,360.50 0.31 Senegal 210,149.00 0.21 200,000.00 SENEGAL REGS 6.25 14-24 30/07S USD 210,149.00 0.21 Serbia 140,807.70 0.14 132,000.00 SERBIA REGS 7.25 11-21 28/09S USD 140,807.70 0.14 South Africa 992,471.00 1.00 400,000.00 ESKOM HLDG REGS 6.75 13-23 06/08S USD 378,998.00 0.38 600,000.00 SOUTH AFRICA 4.665 12-24 17/01A USD 613,473.00 0.62 Spain 458,446.17 0.46 449,603.12 NH HOTEL GROUP SA 3.75 16-23 01/10S EUR 458,446.17 0.46 Sri Lanka 981,457.00 0.99 900,000.00 SRI LANKA 5.875 12-22 25/07S USD 699,471.00 0.71 400,000.00 SRI LANKA 6.85 18-24 14/03S USD 281,986.00 0.28 Sweden 220,888.79 0.22 200,000.00 VOLVO CAR AB 2.1250 19-24 02/04A EUR 220,888.79 0.22 The Netherlands 2,220,031.31 2.23 400,000.00 CBR FASHION FINANCE 5.125 17-22 01/10S EUR 389,387.12 0.39 500,000.00 IPD 3 BV 4.50 17-22 15/07S EUR 528,925.03 0.54 400,000.00 OCI NV 3.1250 19-24 01/11S EUR 440,622.98 0.44 300,000.00 OI EUROPEAN GRO 2.8750 19-25 15/02S EUR 326,337.98 0.33 200,000.00 PETROBRAS INTL FIN 5.375 11-21 27/01S USD 203,735.00 0.20

The accompanying notes form an integral part of these financial statements Page 77 Natixis AM Funds - Ostrum Multi Asset Global Income Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 300,000.00 VZ VENDOR FINANCING BV 2.5 19-24 31/01S EUR 331,023.20 0.33 The Netherlands Antilles 664,806.41 0.67 100,000.00 TEVA PHARM FNC 6.0000 19-25 31/01S EUR 119,048.85 0.12 486,776.05 TEVA PHARMA 0.375 16-20 25/07A EUR 545,757.56 0.55 Turkey 1,041,546.00 1.05 1,100,000.00 TURKEY 3.25 13-23 23/03S USD 1,041,546.00 1.05 Ukraine 1,038,930.00 1.04 600,000.00 UKRAINE 7.75 15-21 01/09S USD 620,736.00 0.62 400,000.00 UKRAINE 7.75 15-22 01/09S USD 418,194.00 0.42 United Arab Emirates 2,140,185.00 2.15 1,000,000.00 ABU DHABI REGS 3.125 16-26 03/05S USD 1,087,375.00 1.09 1,000,000.00 EMIRATE OF ABU DHABI 2.50 20-25 16/04S USD 1,052,810.00 1.06 United Kingdom 1,350,712.79 1.36 600,000.00 FCE BANK PLC 0.869 17-21 13/09A EUR 651,870.65 0.66 300,000.00 INTER GAME TECH REGS 4.75 15-23 15/02S EUR 340,872.10 0.34 200,000.00 JAGUAR LAND ROVER 2.75 17-21 24/01S GBP 243,880.46 0.25 100,000.00 SYNTHOMER PLC 3.8750 20-25 01/07S EUR 114,089.58 0.11 United States of America 38,375,852.81 38.57 200,000.00 AMAZON.COM 4.80 14-34 05/12S USD 272,983.00 0.27 300,000.00 AT&T INC 4.50 16-48 09/03S USD 349,860.00 0.35 400,000.00 AVANGRID 3.2 20-25 15/04S USD 437,352.00 0.44 300,000.00 BAKER HUGHES 3.337 17-27 15/12S USD 321,306.00 0.32 200,000.00 BALL 5.00 12-22 15/03S USD 208,406.00 0.21 142,000.00 BECTON DICKINSON CO 3.70 17-37 06/06S USD 158,890.90 0.16 200,000.00 BRISTOL-MYERS S 4.2500 19-49 26/10S USD 264,103.00 0.27 300,000.00 CARDINAL HEALTH 3.079 17-24 15/06S USD 320,317.50 0.32 300,000.00 CATERPILLAR INC 2.6000 20-30 09/04S USD 327,073.50 0.33 300,000.00 CCO HLDGS LLC/C 5.7500 15-26 15/02S USD 311,235.00 0.31 400,000.00 CEMEX FINANCE LLC 4.625 16-24 15/06S EUR 445,863.59 0.45 500,000.00 CENTURYLINK 5.80 12-22 15/03S USD 514,445.00 0.52 250,000.00 COMCAST CORP 4.2500 18-30 15/10S USD 306,378.75 0.31 100,000.00 CROWN AMERICAS 4.50 13-23 15/01S USD 102,916.50 0.10 200,000.00 CVS HEALTH CORP 4.30 18-28 25/03S USD 234,110.00 0.24 300,000.00 DARDEN RESTAURANTS 3.85 17-27 01/05S USD 308,377.50 0.31 150,000.00 DUKE ENERGY 6.10 07-37 01/06S USD 214,578.75 0.22 200,000.00 EQUINIX 2.875 17-26 01/02S EUR 229,074.31 0.23 100,000.00 ESTEE LAUDER CO INC 2.6000 20-30 15/04S USD 109,154.50 0.11 6,650,000.00 ETATS-UNIS D'AMERIQUE 2.875 18-21 15/10S USD 6,882,360.37 6.92 300,000.00 EXPEDIA GROUP 6.25 20-25 01/05S USD 319,521.00 0.32 300,000.00 FEDERAL-MOGUL HOLD 4.875 17-22 15/04Q EUR 321,885.24 0.32 200,000.00 FORD MOTOR COMPANY 8.5000 20-23 21/04S USD 211,762.00 0.21 50,000.00 GENERAL ELECTRIC MTNA 6.75 02-32 15/03S USD 61,066.00 0.06 300,000.00 GENERAL MILLS 3.65 14-24 15/02S USD 329,085.00 0.33 200,000.00 GENERAL MOTORS FIN 3.70 16-23 09/05S USD 206,014.00 0.21 200,000.00 GILEAD SCIENCES IN 3.65 15-26 01/03S USD 228,888.00 0.23 300,000.00 GOLDMAN SACHS GROUP 6.75 07-37 01/10S USD 435,222.00 0.44 400,000.00 GOODYEAR TIRE & RU 5.125 15-23 15/11 USD 384,984.00 0.39 300,000.00 HARLEY-DAVIDSON 3.875 20-23 19/05A EUR 352,478.16 0.35 200,000.00 HARLEY-DAVIDSON 3.5000 15-25 28/07S USD 212,012.00 0.21 300,000.00 HJ HEINZ CO 2.00 15-23 30/06A EUR 342,186.18 0.34 500,000.00 IMS HEALTH INC 3.50 16-20 09/07S EUR 572,093.30 0.57 200,000.00 JOHNSON JOHNSON 4.95 03-33 15/05S USD 275,869.00 0.28 300,000.00 KINDER MORGAN INC 4.30 18-28 01/03S USD 340,294.50 0.34 400,000.00 KROGER 2.2 20-30 01/05S USD 416,408.00 0.42 400,000.00 LENNAR CORP 4.75 13-22 15/11S USD 416,132.00 0.42 200,000.00 LEVEL 3 FINANCING 5.25 17-26 15/03S USD 205,753.00 0.21 500,000.00 LEVEL 3 FINANCING 5.625 15-23 01/02S USD 500,397.50 0.50 300,000.00 MARATHON OIL CORP 4.40 17-27 15/05S USD 295,306.50 0.30 200,000.00 MARSH & MCLENNAN C 3.75 15-26 14/03S USD 227,408.00 0.23 400,000.00 MGM RESORTS INTERNAT 7.75 12-22 15/03S USD 407,446.00 0.41 350,000.00 MICROSOFT CORP 3.70 16-46 08/08S USD 438,306.75 0.44 200,000.00 MORGAN STANLEY 6.25 06-26 09/08S USD 255,787.00 0.26 186,000.00 MPLX LP 6.25 19-22 15/10S USD 188,803.95 0.19 500,000.00 NEWELL BRANDS REGS 3.75 16-21 01/10S EUR 576,108.56 0.58 300,000.00 ORACLE 6.50 08-38 15/04S USD 461,182.50 0.46 48,000.00 OWENS BROCKWAY 5.00 14-22 15/01S USD 48,285.84 0.05

The accompanying notes form an integral part of these financial statements Page 78 Natixis AM Funds - Ostrum Multi Asset Global Income Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 50,000.00 PARKER HANNIFIN CORP 2.70 19-24 14/06S USD 53,363.25 0.05 100,000.00 PHILLIPS 66 3.7 20-23 06/04S USD 107,165.50 0.11 300,000.00 QUINTILES IMS INC 3.25 17-25 15/03S EUR 340,215.05 0.34 200,000.00 ROCKWELL AUTOMA 3.5000 19-29 01/03S USD 226,048.00 0.23 500,000.00 SEALED AIR CORP RE 4.50 15-23 15/09S EUR 600,551.11 0.60 200,000.00 SIMON PROPERTY GRO 3.30 16-26 15/01S USD 214,923.00 0.22 200,000.00 SOUTHWEST AIRLINES 3.45 17-27 16/11S USD 196,835.00 0.20 400,000.00 SOUTHWESTERN ENERG 4.95 15-25 23/01S USD 345,470.00 0.35 200,000.00 SPRINT 7.25 14-21 15/09S USD 209,802.00 0.21 500,000.00 SPRINT NEXTEL GLB 7.00 12-20 15/08S USD 503,417.50 0.51 150,000.00 STANLEY BLACK & 3.4000 19-26 01/03S USD 169,143.75 0.17 400,000.00 T MOBILE US 6.00 14-23 01/03S USD 402,912.00 0.40 300,000.00 TARGA RESOURCES PTNR 5.125 16-25 01/02S USD 289,765.50 0.29 100,000.00 TENET HEALTHCARE 4.625 17-24 15/07S USD 98,130.50 0.10 400,000.00 T-MOBILE USA 3.875 20-25 15/04S USD 444,968.00 0.45 700,000.00 TOLL BROS FINANCE COR 4.375 13-23 15/04S USD 728,217.00 0.73 250,000.00 UNITED PARCEL S 3.4000 19-29 15/03S USD 289,283.75 0.29 10,200,000.00 UNITED STATES 2.125 15-22 31/12S USD 10,698,843.75 10.74 500,000.00 VF CORP 2.4 20-25 23/04S USD 527,265.00 0.53 200,000.00 VIRGINIA ELEC POWER 8.875 08-38 15/11S USD 364,193.00 0.37 200,000.00 WELLS FARGO 3.00 15-25 19/02S USD 215,868.00 0.22 Uruguay 548,392.50 0.55 500,000.00 URUGUAY 4.50 13-24 14/08S USD 548,392.50 0.55 Vietnam 547,782.50 0.55 500,000.00 VIETNAM REGS 4.80 14-24 19/11S USD 547,782.50 0.55 Zambia 108,290.00 0.11 200,000.00 ZAMBIA 5.375 12-22 20/09S USD 108,290.00 0.11 Floating rate notes 4,595,376.21 4.62 France 1,276,158.97 1.28 300,000.00 BURGER KING FRANCE FL.R 17-23 01/05Q EUR 323,763.71 0.33 600,000.00 CASINO GUICHARD FL.R 14-24 07/03A EUR 609,708.72 0.61 300,000.00 SOLVAY FINANCE SUB FL.R 15-XX 02/06A EUR 342,686.54 0.34 Italy 563,714.60 0.57 500,000.00 ENEL 2.5 18-78 24/05A EUR 563,714.60 0.57 The Netherlands 1,715,937.89 1.73 300,000.00 GAS NAT FENOSA REGS FL.R 14-XX 30/11A EUR 346,723.14 0.35 300,000.00 REPSOL INTL FINANCE FL.R 15-75 25/03A EUR 351,406.68 0.35 600,000.00 TELEFONICA EUROPA SUB 3.75 16-XX 15/09A EUR 677,589.65 0.69 300,000.00 VW INTL FIN SUB FL.R 14-XX 24/03A EUR 340,218.42 0.34 United States of America 1,039,564.75 1.04 200,000.00 BANK OF AMERICA FL.R 18-28 20/12S USD 223,064.00 0.22 350,000.00 CITIGROUP FL.R 19-30 20/03S USD 400,716.75 0.40 400,000.00 JP MORGAN CHASE & CO 2.083 20-26 22/04S USD 415,784.00 0.42

Other transferable securities 998,736.98 1.00 Bonds and money market instruments 998,736.98 1.00 Isle of Man 333,678.31 0.34 300,000.00 PLAYTECH 3.75 18-23 12/10S EUR 333,678.31 0.34 Luxembourg 449,814.83 0.44 200,000.00 INEOS GROUP HOLDIN 5.375 16-24 01/08S EUR 220,913.49 0.22 200,000.00 SIG COMBIBLOC P 1.8750 20-23 18/06A EUR 228,901.34 0.22 Romania 215,243.84 0.22 200,000.00 RCS RDS 2.50 20-25 05/02S EUR 215,243.84 0.22

Shares/Units of UCITS/UCI 5,044,965.43 5.07 Shares/Units in investment funds 5,044,965.43 5.07 France 3,166,965.43 3.18 245.00 OSTRUM GLOBAL SUBORD FCP EUR 4 DEC EUR 3,166,965.43 3.18 Luxembourg 1,878,000.00 1.89 15,000.00 NATIXIS GLOBAL CV BONDS IA (USD) USD 1,878,000.00 1.89

Total securities portfolio 91,814,345.75 92.26

The accompanying notes form an integral part of these financial statements Page 79 Natixis AM Funds - Ostrum Multi Asset Global Income Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in USD

Income 5,052,110.21 Net interest on bonds Note 2i) 3,671,741.57 Bank interest on cash account 44,246.89 Interest on swaps 167,517.34 Other income 1,168,604.41 Expenses 3,820,736.75 Management fees Note 3 608,370.00 Custodian fees 16,985.24 Taxe d'abonnement Note 5 43,881.32 Administration fees Note 3 4,374.47 Domiciliation fees 399.64 Professional fees 2,916.53 Bank interest on overdrafts 27,676.12 Legal fees 409.53 Transaction fees Note 2k) 154,895.23 Expenses on repurchase and reverse repurchase transactions 1,442.77 Interest on swaps 2,784,404.35 Other expenses 174,981.55

Net income from investments 1,231,373.46 Net realised profit / (loss) on: - sales of investment securities Note 2h) 1,602,076.82 - options -688,984.10 - forward foreign exchange contracts -3,277,546.04 - financial futures -144,683.99 - swaps 38,392.43 - foreign exchange 461,854.22

Net realised loss -777,517.20 Movement in net unrealised appreciation / (depreciation) on: - investments -2,518,728.90 - options -61,394.68 - forward foreign exchange contracts -1,975,257.42 - financial futures 304,695.22 - swaps 1,623,144.78

Decrease in net assets as a result of operations -3,405,058.20 Dividends paid Note 6 -2,083,325.51 Subscription capitalisation shares 71,082.60 Subscription distribution shares 2,067,726.76 Redemption capitalisation shares -9,457,805.85 Redemption distribution shares -14,514,251.49

Decrease in net assets -27,321,631.69

Net assets at the beginning of the year 126,833,636.39

Net assets at the end of the year 99,512,004.70

The accompanying notes form an integral part of these financial statements Page 80 Natixis AM Funds - H2O Lux Multibonds

Page 81 Natixis AM Funds - H2O Lux Multibonds Changes in number of shares outstanding from 01/07/19 to 28/05/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 28/05/20

Class I (EUR) 2,681.27 1,428.97 4,110.24 0.00

Class R (EUR) 8,581.00 2,029.22 10,610.22 0.00

Class R (EUR) - Distribution 11,948.89 2,142.00 14,090.89 0.00

Statistics

Period ended as at: 28/05/20 30/06/19 30/06/18

Total Net Assets EUR 0.00 3,855,054.39 8,021,904.53 Class I (EUR) Number of shares 0.00 2,681.27 10,475.00 Net asset value per share EUR 0.00 172.87 144.68 Class R (EUR) Number of shares 0.00 8,581.00 14,090.00 Net asset value per share EUR 0.00 166.50 139.88 Class R (EUR) - Distribution Number of shares 0.00 11,948.89 32,870.00 Net asset value per share EUR 0.00 164.26 137.98 Dividend per share 14.38 0.00 0.48

The accompanying notes form an integral part of these financial statements Page 82 Natixis AM Funds - H2O Lux Multibonds Statement of Operations and Changes in Net Assets from 01/07/19 to 28/05/20 Expressed in EUR

Income 23,104.55 Other income 23,104.55 Expenses 168,334.33 Management fees Note 3 29,683.58 Custodian fees 2,712.38 Taxe d'abonnement Note 5 1,140.90 Administration fees Note 3 2,593.14 Performance fee Note 4 124,616.47 Domiciliation fees 375.00 Professional fees 103.16 Bank interest on overdrafts 1,683.37 Legal fees 18.24 Transaction fees Note 2k) 237.98 Other expenses 5,170.11

Net loss from investments -145,229.78 Net realised profit / (loss) on: - sales of investment securities Note 2h) 840,777.08

Net realised profit 695,547.30 Movement in net unrealised appreciation / (depreciation) on: - investments -651,328.89

Increase in net assets as a result of operations 44,218.41 Dividends paid Note 6 -164,100.48 Subscription capitalisation shares 689,190.06 Subscription distribution shares 360,784.46 Redemption capitalisation shares -2,330,009.95 Redemption distribution shares -2,455,136.89

Decrease in net assets -3,855,054.39

Net assets at the beginning of the period 3,855,054.39

Net assets at the end of the period 0.00

The accompanying notes form an integral part of these financial statements Page 83 Natixis AM Funds - H2O Lux Allegro

Page 84 Natixis AM Funds - H2O Lux Allegro Changes in number of shares outstanding from 01/07/19 to 28/05/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 28/05/20

Class I (EUR) 5,444.22 5,485.00 10,929.22 0.00

Class R (EUR) 10,379.63 2,369.00 12,748.63 0.00

Statistics

Period ended as at: 28/05/20 30/06/19 30/06/18

Total Net Assets EUR 0.00 2,765,733.25 29,779,356.01 Class I (EUR) Number of shares 0.00 5,444.22 82,247.17 Net asset value per share EUR 0.00 169.88 158.50 Class R (EUR) Number of shares 0.00 10,379.63 103,501.43 Net asset value per share EUR 0.00 177.35 161.76

The accompanying notes form an integral part of these financial statements Page 85 Natixis AM Funds - H2O Lux Allegro Statement of Operations and Changes in Net Assets from 01/07/19 to 28/05/20 Expressed in EUR

Income 475,005.15 Net dividends Note 2i) 141,613.05 Other income 333,392.10 Expenses 79,667.43 Management fees Note 3 22,209.26 Custodian fees 2,678.16 Taxe d'abonnement Note 5 714.03 Administration fees Note 3 2,576.45 Performance fee Note 4 48,348.34 Domiciliation fees 375.00 Professional fees 92.79 Bank interest on overdrafts 2,184.15 Legal fees 16.39 Transaction fees Note 2k) 49.61 Other expenses 423.25

Net income from investments 395,337.72 Net realised profit / (loss) on: - sales of investment securities Note 2h) -1,125,213.95

Net realised loss -729,876.23 Movement in net unrealised appreciation / (depreciation) on: - investments -32,676.19

Decrease in net assets as a result of operations -762,552.42 Subscription capitalisation shares 1,328,487.52 Redemption capitalisation shares -3,331,668.35

Decrease in net assets -2,765,733.25

Net assets at the beginning of the period 2,765,733.25

Net assets at the end of the period 0.00

The accompanying notes form an integral part of these financial statements Page 86 Natixis AM Funds - Ostrum Euro Value Equity

Page 87 Natixis AM Funds - Ostrum Euro Value Equity Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 33,798,699.61 Securities portfolio at market value Note 2a) 33,196,517.59 Cost price 39,328,659.70 Unrealised loss on the securities portfolio -6,132,142.11 Cash at banks and liquidities 551,880.67 Interest receivable 14,949.73 Dividends receivable 35,351.62 Liabilities 113,759.46 Accrued expenses 104,982.56 Other liabilities 8,776.90

Net asset value 33,684,940.15

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class M (EUR) - Distribution 262.07 56.07 97.99 220.15

Class I (EUR) 1,162.75 15.05 1,153.09 24.71

Class I (EUR) - Distribution 2,649.00 0.00 0.00 2,649.00

Class R (EUR) 50.40 122.66 49.40 123.66

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 33,684,940.15 53,292,545.73 81,023,363.67 Class M (EUR) - Distribution Number of shares 220.15 262.07 279.66 Net asset value per share EUR 44,040.86 50,826.31 52,048.12 Class I (EUR) Number of shares 24.71 1,162.75 1,225.78 Net asset value per share EUR 9,614.01 10,810.70 10,908.95 Class I (EUR) - Distribution Number of shares 2,649.00 2,649.00 5,014.00 Net asset value per share EUR 8,962.24 10,342.55 10,588.44 Class R (EUR) Number of shares 123.66 50.40 50.40 Net asset value per share EUR 88.14 100.52 102.51

The accompanying notes form an integral part of these financial statements Page 88 Natixis AM Funds - Ostrum Euro Value Equity Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 30,888,949.44 91.70 exchange listing and/or dealt in on another regulated market Shares 30,888,949.44 91.70 France 17,581,567.81 52.19 18,422.00 ACCOR SA EUR 445,996.62 1.32 23,150.00 ALSTOM SA EUR 958,641.50 2.85 12,867.00 ATOS EUR 976,605.30 2.90 42,192.00 AXA SA EUR 785,277.50 2.33 33,256.00 BNP PARIBAS SA EUR 1,176,264.72 3.49 11,214.00 BOUYGUES EUR 341,017.74 1.01 12,007.00 CAPGEMINI SE EUR 1,224,113.65 3.63 25,894.00 CIE DE SAINT-GOBAIN EUR 829,902.70 2.46 72,037.00 CREDIT AGRICOLE SA EUR 607,127.84 1.80 4,137.00 IPSEN EUR 312,964.05 0.93 11,186.00 MICHELIN SA REG SHS EUR 1,032,915.24 3.07 11,380.00 NEXANS SA EUR 470,449.20 1.40 43,660.00 ORANGE EUR 464,760.70 1.38 58,453.00 PEUGEOT SA EUR 846,399.44 2.51 21,514.00 SANOFI EUR 1,950,244.10 5.80 46,924.00 SPIE SA EUR 624,089.20 1.85 87,560.00 SUEZ ACT. EUR 913,688.60 2.71 10,265.00 THALES EUR 737,848.20 2.19 42,359.00 TOTAL SA EUR 1,439,147.03 4.27 5,238.00 VINCI SA EUR 429,516.00 1.28 44,422.00 VIVENDI SA EUR 1,014,598.48 3.01 Germany 4,258,689.21 12.64 5,585.00 ALLIANZ SE REG SHS EUR 1,015,129.60 3.01 109,647.00 E.ON AG REG SHS EUR 1,098,114.71 3.26 8,123.00 SIEMENS AG REG EUR 850,965.48 2.53 9,593.00 VOLKSWAGEN VORZ.AKT EUR 1,294,479.42 3.84 Ireland 1,505,435.54 4.47 25,001.00 CRH PLC EUR 761,780.47 2.26 40,034.00 RYANAIR HLDGS EUR 426,562.27 1.27 10,655.00 SMURFIT KAPPA PLC EUR 317,092.80 0.94 Italy 3,741,046.74 11.11 221,614.00 ENEL SPA EUR 1,701,552.29 5.06 107,978.00 INFRASTRUTTURE WIRELESS ITALIANE SPA EUR 963,163.76 2.86 1,032,016.00 TELECOM ITALIA SPA EUR 360,896.00 1.07 87,376.00 UNICREDIT -REGISTERD SHARE EUR 715,434.69 2.12 Luxembourg 1,281,407.69 3.80 80,056.00 ARCELORMITTAL - REGISTERED EUR 750,124.72 2.22 104,214.00 AROUNDTOWN SA EUR 531,282.97 1.58 Spain 1,632,593.41 4.85 8,967.00 AMADEUS IT -A- EUR 415,889.46 1.23 322,995.00 BANCO SANTANDER SA REG SHS EUR 702,352.63 2.09 270,640.00 CAIXABANK EUR 514,351.32 1.53 The Netherlands 477,606.88 1.42 7,519.00 AIRBUS GROUP EUR 477,606.88 1.42 United Kingdom 410,602.16 1.22 28,518.00 ROYAL DUTCH SHELL PLC EUR 410,602.16 1.22

Shares/Units of UCITS/UCI 2,307,568.15 6.85 Shares/Units in investment funds 2,307,568.15 6.85 France 2,307,568.15 6.85 18,409.00 OSTRUM ACTIONS EUR GRW -I- EUR 2,307,568.15 6.85

Total securities portfolio 33,196,517.59 98.55

The accompanying notes form an integral part of these financial statements Page 89 Natixis AM Funds - Ostrum Euro Value Equity Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 987,855.51 Net dividends Note 2i) 898,861.25 Bank interest on cash account 79,293.47 Securities lending income, net Note 2l), 9 6,946.07 Income on repurchase transactions Note 2l), 10 2,754.72 Expenses 572,829.70 Management fees Note 3 452,187.13 Custodian fees 8,293.22 Taxe d'abonnement Note 5 4,233.41 Administration fees Note 3 3,282.08 Performance fee Note 4 3.52 Domiciliation fees 375.00 Professional fees 1,300.61 Bank interest on overdrafts 16,040.09 Legal fees 171.72 Transaction fees Note 2k) 51,405.29 Expenses on repurchase and reverse repurchase transactions 4,372.66 Other expenses 31,164.97

Net income from investments 415,025.81 Net realised profit / (loss) on: - sales of investment securities Note 2h) -958,848.39 - foreign exchange 44.20

Net realised loss -543,778.38 Movement in net unrealised appreciation / (depreciation) on: - investments -2,381,186.49

Decrease in net assets as a result of operations -2,924,964.87 Dividends paid Note 6 -1,069,398.56 Subscription capitalisation shares 160,660.72 Subscription distribution shares 2,780,200.54 Redemption capitalisation shares -13,464,117.20 Redemption distribution shares -5,089,986.21

Decrease in net assets -19,607,605.58

Net assets at the beginning of the year 53,292,545.73

Net assets at the end of the year 33,684,940.15

The accompanying notes form an integral part of these financial statements Page 90 Natixis AM Funds - Ostrum Food & Consumer Equities

Page 91 Natixis AM Funds - Ostrum Food & Consumer Equities Changes in number of shares outstanding from 01/07/19 to 30/10/19

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/10/19

Class I (EUR) 500.00 0.00 500.00 0.00

Statistics

Period ended as at: 30/10/19 30/06/19 30/06/18

Total Net Assets EUR 0.00 48,621.26 46,924.00 Class I (EUR) Number of shares 0.00 500.00 500.00 Net asset value per share EUR 0.00 97.24 93.84

The accompanying notes form an integral part of these financial statements Page 92 Natixis AM Funds - Ostrum Food & Consumer Equities Statement of Operations and Changes in Net Assets from 01/07/19 to 30/10/19 Expressed in EUR

Income 0.09 Bank interest on cash account 0.09 Expenses 106.19 Management fees Note 3 64.29 Custodian fees 0.24 Taxe d'abonnement Note 5 1.68 Professional fees 1.14 Bank interest on overdrafts 0.28 Legal fees 0.01 Transaction fees Note 2k) 15.02 Other expenses 23.53

Net loss from investments -106.10 Net realised profit / (loss) on: - sales of investment securities Note 2h) -2,759.39

Net realised loss -2,865.49 Movement in net unrealised appreciation / (depreciation) on: - investments 3,504.23

Increase in net assets as a result of operations 638.74 Redemption capitalisation shares -49,260.00

Decrease in net assets -48,621.26

Net assets at the beginning of the period 48,621.26

Net assets at the end of the period 0.00

The accompanying notes form an integral part of these financial statements Page 93 Natixis AM Funds - Natixis Conservative Risk Parity

Page 94 Natixis AM Funds - Natixis Conservative Risk Parity Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 83,631,113.71 Securities portfolio at market value Note 2a) 77,691,659.18 Cost price 76,913,412.05 Unrealised profit on the securities portfolio 778,247.13 Cash at banks and liquidities 5,326,662.90 Interest receivable 101,283.81 Subscriptions receivable 459,927.80 Net unrealised appreciation on financial futures Note 2c) 51,580.02 Liabilities 542,448.26 Bank overdrafts 187,417.37 Redemptions payable 60,189.70 Accrued expenses 211,874.01 Other liabilities 82,967.18

Net asset value 83,088,665.45

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class I (EUR) 4,993.39 501.39 1,578.73 3,916.05

Class I (EUR) - Distribution 1,200.00 0.00 200.00 1,000.00

Class R (EUR) 154,967.88 99,937.80 44,432.52 210,473.16

Class R (EUR) - Distribution 33,038.29 1,937.08 31,080.63 3,894.74

Class RE (EUR) 2,438.33 1,874.13 0.28 4,312.18

Class RE (EUR) - Distribution 99.43 0.00 0.00 99.43

The accompanying notes form an integral part of these financial statements Page 95 Natixis AM Funds - Natixis Conservative Risk Parity Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 83,088,665.45 94,696,949.68 100,111,616.16 Class I (EUR) Number of shares 3,916.05 4,993.39 5,438.94 Net asset value per share EUR 12,047.96 11,956.62 11,558.82 Class I (EUR) - Distribution Number of shares 1,000.00 1,200.00 1,374.00 Net asset value per share EUR 10,609.52 10,961.48 11,007.97 Class R (EUR) Number of shares 210,473.16 154,967.88 151,281.03 Net asset value per share EUR 115.97 115.96 112.92 Class R (EUR) - Distribution Number of shares 3,894.74 33,038.29 45,308.15 Net asset value per share EUR 105.15 108.69 109.39 Class RE (EUR) Number of shares 4,312.18 2,438.33 753.08 Net asset value per share EUR 108.96 109.60 105.42 Class RE (EUR) - Distribution Number of shares 99.43 99.43 1.00 Net asset value per share EUR 100.31 102.83 101.87

The accompanying notes form an integral part of these financial statements Page 96 Natixis AM Funds - Natixis Conservative Risk Parity Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 33,768,858.97 40.64 exchange listing and/or dealt in on another regulated market Shares 1,807,416.64 2.18 Jersey Island 1,807,416.64 2.18 100,000.00 WISDOMTREE COM INDV 06 SS FIX MAT GD CO USD 1,807,416.64 2.18 Bonds and money market instruments 31,961,442.33 38.46 Germany 24,491,798.50 29.47 12,500,000.00 FEDERAL REPUBLIC 0.00 20-22 11/03A EUR 12,646,062.50 15.21 11,200,000.00 GERMANY 0.50 15-25 15/02A EUR 11,845,736.00 14.26 Portugal 5,207,895.00 6.27 4,500,000.00 PORTUGAL 2.875 15-25 15/10A EUR 5,207,895.00 6.27 United States of America 2,261,748.83 2.72 2,500,000.00 US TREASURY NOTES 1.125 20-22 28/02S USD 2,261,748.83 2.72

Shares/Units of UCITS/UCI 33,900,059.98 40.80 Shares/Units in investment funds 33,900,059.98 40.80 France 10,404,898.20 12.52 4,000.00 LYXOR ETF MSCI USA FCP -A- CAP/DIS EUR 1,078,133.60 1.30 14,000.00 NAT CREDIT OPPORTUNITIES SI/A EUR EUR 1,424,080.00 1.71 70.00 OSTRUM CASH EURIBOR SICAV -I- CAP EUR 7,132,459.60 8.58 500.00 OSTRUM ULTRA SHORT TERM BONDS PLUS EUR 770,225.00 0.93 Ireland 5,491,085.97 6.61 17,400.00 H2O BARRY VOLATIBILITY ARBITRAGE FD I EUR 1,589,490.00 1.91 50,000.00 INVESCO BLOOMBERG COMM EX AGRI EUR 974,700.00 1.17 5,000.00 ISHARES JPMORGA EM USD SHS USD ETF USD 480,501.27 0.58 6,000.00 ISHS CR PAC ETF USD EUR 727,879.20 0.88 35,000.00 ISHS GLOBAL INFRASTRUCTURE UCITS ETF EUR 847,395.50 1.02 50,000.00 ISHS LIS PRI EQ -USD- EUR 871,120.00 1.05 Luxembourg 15,718,149.35 18.92 7,502.00 AM IS EHYLBI UEC EUR 1,686,149.52 2.03 250,000.00 AM IS M EM M UEC EUR 1,000,425.00 1.20 1,200.00 AM IS MSCI NOR UEC EUR 474,761.04 0.57 1,000.00 AM IS MSCI SW UEC EUR 325,488.50 0.39 52,000.00 AM IS MSEMA UEC EUR 1,551,383.60 1.87 5,000.00 AMUNDI INDEX MSCI EMU UCI ETF DR EUR 969,680.00 1.17 2,500.00 AMUNDI IS AM IDX MSCI EMU - UEDR EUR 484,840.00 0.58 50,000.00 BNPP E FEN EC -UCITS ETF QD-DIS EUR 413,935.00 0.50 24,000.00 DB X TRACKERS MSCI JPN TRN IDX -1C- CAP EUR 1,272,388.80 1.53 25,000.00 DNCA INVEST SICAV ALPHA BONDS EUR 2,444,500.00 2.95 10,000.00 FIDELIO CLASS I EUR (HEDGED) EUR 875,700.00 1.05 55,000.00 MULTI UNITS LUXEMBOURG SICAV - LYXOR MSC EUR 472,433.50 0.57 14,750.00 NAT AM SEE EU MKT NEU SI/A EUR CAP EUR 1,433,995.00 1.73 25,000.00 NATIXIS INT ASG MANAGED FUTURES FD SA USD 2,312,469.39 2.78 United Kingdom 2,285,926.46 2.75 7.00 H2O MODERATO FCP -I- CAP EUR 515,707.71 0.62 25.00 H20 ADAGIO FCP -I- 4 DEC EUR 1,770,218.75 2.13

Other money market instruments 10,022,740.23 12.06 Bonds and money market instruments 10,022,740.23 12.06 France 10,022,740.23 12.06 10,000,000.00 FRANCE TREASURY BILL ZCP 150720 EUR 10,022,740.23 12.06

Total securities portfolio 77,691,659.18 93.50

The accompanying notes form an integral part of these financial statements Page 97 Natixis AM Funds - Natixis Conservative Risk Parity Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 448,849.73 Net dividends Note 2i) 299,276.32 Net interest on bonds Note 2i) 134,960.47 Bank interest on cash account 11,342.53 Other income 3,270.41 Expenses 833,399.81 Management fees Note 3 647,122.94 Custodian fees 9,528.97 Taxe d'abonnement Note 5 14,153.59 Administration fees Note 3 4,470.96 Domiciliation fees 900.00 Professional fees 2,299.40 Bank interest on overdrafts 19,592.07 Legal fees 342.16 Transaction fees Note 2k) 44,473.99 Other expenses 90,515.73

Net loss from investments -384,550.08 Net realised profit / (loss) on: - sales of investment securities Note 2h) 56,442.78 - financial futures 2,372,861.20 - foreign exchange 90,079.73

Net realised profit 2,134,833.63 Movement in net unrealised appreciation / (depreciation) on: - investments -1,159,345.73 - financial futures -450,480.47

Increase in net assets as a result of operations 525,007.43 Dividends paid Note 6 -520,587.57 Subscription capitalisation shares 17,937,909.02 Subscription distribution shares 211,615.71 Redemption capitalisation shares -24,187,194.40 Redemption distribution shares -5,575,034.42

Decrease in net assets -11,608,284.23

Net assets at the beginning of the year 94,696,949.68

Net assets at the end of the year 83,088,665.45

The accompanying notes form an integral part of these financial statements Page 98 Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund

Page 99 Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 490,853,471.24 Securities portfolio at market value Note 2a) 432,300,420.36 Cost price 423,041,523.94 Unrealised profit on the securities portfolio 9,258,896.42 Options purchased at market value Note 2d) 1,669,997.36 Options purchased at cost 2,237,764.39 Cash at banks and liquidities 54,064,768.48 Interest receivable 959,919.78 Net unrealised appreciation on forward foreign exchange contracts Note 2b) 1,858,365.26 Liabilities 30,303,610.70 Options sold at market value Note 2d) 1,768,000.00 Options sold at cost 2,060,000.00 Bank overdrafts 94,984.93 Brokers payable 1,354,104.76 Payable for repurchase transactions Note 2l), 10 25,484,810.00 Redemptions payable 23,165.06 Net unrealised depreciation on financial futures Note 2c) 493,250.99 Accrued expenses 742,997.93 Other liabilities 342,297.03

Net asset value 460,549,860.54

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class M (EUR) (**) 72.73 0.99 73.72 0.00

Class I (EUR) 29,259.53 10,582.95 958.50 38,883.98

Class R (EUR) 13,657.59 134,178.39 12,323.68 135,512.30

Class R (H-USD) 710.00 0.00 310.00 400.00

Class RE (EUR) 1,742.97 2,651.82 2,293.55 2,101.24

Class RE (EUR) - Distribution 649.30 1,172.11 403.33 1,418.08

The accompanying notes form an integral part of these financial statements Page 100 Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 460,549,860.54 340,825,681.46 405,335,794.32 Class M (EUR) (**) Number of shares 0.00 72.73 370.58 Net asset value per share EUR 0.00 59,239.99 58,565.10 Class I (EUR) Number of shares 38,883.98 29,259.53 33,566.19 Net asset value per share EUR 11,451.49 11,438.87 11,348.51 Class R (EUR) Number of shares 135,512.30 13,657.59 17,545.41 Net asset value per share EUR 109.80 110.39 110.15 Class R (H-USD) Number of shares 400.00 710.00 710.00 Net asset value per share USD 110.61 108.72 105.42 Class RE (EUR) Number of shares 2,101.24 1,742.97 3,084.07 Net asset value per share EUR 104.81 105.90 106.26 Class RE (EUR) - Distribution Number of shares 1,418.08 649.30 733.20 Net asset value per share EUR 92.51 93.48 93.81

(**) Closed on 19/09/19.

The accompanying notes form an integral part of these financial statements Page 101 Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 356,991,725.91 77.52 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 356,991,725.91 77.52 France 7,676,388.00 1.67 7,300,000.00 FRANCE 0.50 15-25 25/05A EUR 7,676,388.00 1.67 Germany 35,374,161.65 7.68 15,000,000.00 GERMANY 1.00 14-24 15/08A EUR 16,083,750.00 3.49 10,930,000.00 GERMANY 3.25 10-42 04/07A EUR 19,290,411.65 4.19 Italy 145,791,262.98 31.66 84,000,000.00 ITAL BUON ORDI DEL ZCP 14-07-20 EUR 84,010,213.16 18.25 17,000,000.00 ITAL BUON ORDI DEL ZCP 14-08-20 EUR 17,009,496.93 3.69 35,000,000.00 ITAL BUON ORDI DEL ZCP 31-07-20 EUR 35,015,592.89 7.60 8,500,000.00 ITALY 4.50 13-24 01/03S EUR 9,755,960.00 2.12 Spain 84,824,163.04 18.42 25,500,000.00 SPAIN GOVERNMENT BOND 0.5 20-30 30/04A EUR 25,759,590.00 5.59 59,000,000.00 SPAIN LETRAS DEL TES ZCP 140820 EUR 59,064,573.04 12.83 United Kingdom 4,597,183.72 1.00 4,000,000.00 UNITED KINGDOM 3.75 11-21 07/09S GBP 4,597,183.72 1.00 United States of America 78,728,566.52 17.09 23,300,000.00 UNITED STATES FL.R 20-30 15/01S USD 22,360,827.64 4.86 20,000,000.00 UNITED STATES 1.625 12-22 15/08S USD 18,362,835.59 3.99 39,900,000.00 UNITED STATES 1.625 16-26 15/02S USD 38,004,903.29 8.24

Shares/Units of UCITS/UCI 5,152,838.38 1.12 Shares/Units in investment funds 5,152,838.38 1.12 France 2,810,420.80 0.61 1.00 SEEY FLE PEA MT -IC- CAP 4 DEC EUR 51,407.48 0.01 52.75 SEEYOND VOLATILITY ALTERNATIVE INCOME EUR 2,759,013.32 0.60 Luxembourg 2,342,417.58 0.51 58.00 SEEYOND EQUITY VOLATILITY STRATEGIES I/A(EUR) EUR 2,342,417.58 0.51

Other money market instruments 70,155,856.07 15.23 Bonds and money market instruments 70,155,856.07 15.23 Spain 70,155,856.07 15.23 70,100,000.00 SPAIN LETR DEL TESO ZCP 10-07-20 EUR 70,155,856.07 15.23

Total securities portfolio 432,300,420.36 93.87

The accompanying notes form an integral part of these financial statements Page 102 Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 2,232,714.02 Net interest on bonds Note 2i) 2,042,357.27 Bank interest on cash account 131,497.73 Other income 56.86 Income on repurchase transactions Note 2l), 10 58,802.16 Expenses 3,082,318.67 Management fees Note 3 2,030,084.65 Custodian fees 40,929.06 Taxe d'abonnement Note 5 43,902.18 Administration fees Note 3 7,846.50 Performance fee Note 4 8,045.08 Domiciliation fees 375.00 Professional fees 10,305.97 Bank interest on overdrafts 168,004.72 Legal fees 1,674.30 Transaction fees Note 2k) 425,573.91 Other expenses 345,577.30

Net loss from investments -849,604.65 Net realised profit / (loss) on: - sales of investment securities Note 2h) -226,490.16 - options -2,988,918.49 - forward foreign exchange contracts -6,741,696.20 - financial futures 1,821,062.72 - foreign exchange 3,859,752.67

Net realised loss -5,125,894.11 Movement in net unrealised appreciation / (depreciation) on: - investments 5,139,748.65 - options -423,892.42 - forward foreign exchange contracts 947,118.79 - financial futures -274,981.69

Increase in net assets as a result of operations 262,099.22 Subscription capitalisation shares 136,501,582.84 Subscription distribution shares 110,625.97 Redemption capitalisation shares -17,112,308.80 Redemption distribution shares -37,820.15

Increase in net assets 119,724,179.08

Net assets at the beginning of the year 340,825,681.46

Net assets at the end of the year 460,549,860.54

The accompanying notes form an integral part of these financial statements Page 103 Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund

Page 104 Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 346,067,003.41 Securities portfolio at market value Note 2a) 289,034,879.73 Cost price 280,061,618.37 Unrealised profit on the securities portfolio 8,973,261.36 Options purchased at market value Note 2d) 2,342,545.45 Options purchased at cost 3,159,902.59 Cash at banks and liquidities 45,710,366.36 Interest receivable 600,492.40 Brokers receivable 6,507,381.27 Subscriptions receivable 282,374.48 Net unrealised appreciation on forward foreign exchange contracts Note 2b) 1,407,074.00 Net unrealised appreciation on financial futures Note 2c) 181,889.72 Liabilities 22,541,337.33 Options sold at market value Note 2d) 2,475,200.00 Options sold at cost 2,884,000.00 Bank overdrafts 505,746.65 Brokers payable 4,442,461.06 Payable for repurchase transactions Note 2l), 10 12,958,630.00 Redemptions payable 1,187,100.27 Accrued expenses 701,556.22 Other liabilities 270,643.13

Net asset value 323,525,666.08

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class M (EUR) 406,337.32 17,924.99 32,140.83 392,121.48

Class SI NPF (EUR) 366,970.55 0.00 231.16 366,739.39

Class I (EUR) 15,569.41 2,033.73 487.54 17,115.60

Class I (EUR) - Distribution 1.00 0.00 0.00 1.00

Class R (EUR) 5,867.02 2,897.21 1,066.58 7,697.65

The accompanying notes form an integral part of these financial statements Page 105 Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 323,525,666.08 300,336,208.47 282,348,827.44 Class M (EUR) Number of shares 392,121.48 406,337.32 405,352.65 Net asset value per share EUR 110.99 109.91 107.48 Class SI NPF (EUR) Number of shares 366,739.39 366,970.55 367,190.09 Net asset value per share EUR 104.03 103.49 101.66 Class I (EUR) Number of shares 17,115.60 15,569.41 14,765.07 Net asset value per share EUR 13,562.44 13,504.05 13,280.50 Class I (EUR) - Distribution Number of shares 1.00 1.00 1.00 Net asset value per share EUR 13,446.27 13,388.76 13,165.50 Dividend per share 0.00 0.00 0.00 Class R (EUR) Number of shares 7,697.65 5,867.02 4,256.99 Net asset value per share EUR 1,260.89 1,266.39 1,256.27

The accompanying notes form an integral part of these financial statements Page 106 Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 283,897,882.40 87.75 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 283,897,882.40 87.75 France 9,358,884.00 2.89 8,900,000.00 FRANCE 0.50 15-25 25/05A EUR 9,358,884.00 2.89 Germany 29,468,976.12 9.11 21,620,000.00 GERMANY 1.00 14-24 15/08A EUR 23,182,045.00 7.17 1,603,000.00 GERMANY 1.50 13-23 15/02A EUR 1,698,178.12 0.52 2,600,000.00 GERMANY 3.25 10-42 04/07A EUR 4,588,753.00 1.42 Italy 85,712,752.18 26.49 84,000,000.00 ITAL BUON ORDI DEL ZCP 14-07-20 EUR 84,004,807.14 25.96 704,000.00 ITALY 4.50 13-24 01/03S EUR 808,023.04 0.25 600,000.00 ITALY 4.75 13-44 01/09S EUR 899,922.00 0.28 Spain 88,361,440.46 27.31 29,000,000.00 SPAIN GOVERNMENT BOND 0.5 20-30 30/04A EUR 29,295,220.00 9.05 59,000,000.00 SPAIN LETRAS DEL TES ZCP 140820 EUR 59,066,220.46 18.26 United Kingdom 2,873,239.82 0.89 2,500,000.00 UNITED KINGDOM 3.75 11-21 07/09S GBP 2,873,239.82 0.89 United States of America 68,122,589.82 21.06 29,000,000.00 UNITED STATES FL.R 20-30 15/01S USD 27,831,073.03 8.60 38,000,000.00 UNITED STATES 1.625 16-26 15/02S USD 36,195,145.99 11.19 600,000.00 UNITED STATES 2.75 13-23 15/11S USD 580,183.25 0.18 500,000.00 UNITED STATES 2.75 18-28 15/02S USD 519,256.66 0.16 1,850,000.00 UNITED STATES 3.625 14-44 15/02S USD 2,411,792.45 0.75 650,000.00 USA T NOTES 1.375 16-21 31/05S USD 585,138.44 0.18

Shares/Units of UCITS/UCI 5,136,997.33 1.59 Shares/Units in investment funds 5,136,997.33 1.59 France 2,794,579.75 0.87 53.43 SEEYOND VOLATILITY ALTERNATIVE INCOME EUR 2,794,579.75 0.87 Luxembourg 2,342,417.58 0.72 58.00 SEEYOND EQUITY VOLATILITY STRATEGIES I/A(EUR) EUR 2,342,417.58 0.72

Total securities portfolio 289,034,879.73 89.34

The accompanying notes form an integral part of these financial statements Page 107 Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 1,565,136.23 Net interest on bonds Note 2i) 1,429,701.82 Bank interest on cash account 97,382.50 Income on repurchase transactions Note 2l), 10 38,051.91 Expenses 3,122,007.32 Management fees Note 3 2,020,840.76 Custodian fees 34,218.06 Taxe d'abonnement Note 5 35,216.53 Administration fees Note 3 6,933.02 Performance fee Note 4 7,963.83 Domiciliation fees 375.00 Professional fees 8,344.57 Bank interest on overdrafts 154,409.94 Legal fees 1,365.87 Transaction fees Note 2k) 572,926.44 Expenses on repurchase and reverse repurchase transactions 33.74 Other expenses 279,379.56

Net loss from investments -1,556,871.09 Net realised profit / (loss) on: - sales of investment securities Note 2h) 715,928.54 - options -4,561,238.83 - forward foreign exchange contracts -7,233,242.14 - financial futures 5,835,666.90 - foreign exchange 5,428,665.36

Net realised loss -1,371,091.26 Movement in net unrealised appreciation / (depreciation) on: - investments 3,689,096.82 - options -674,687.34 - forward foreign exchange contracts 716,271.82 - financial futures -460,851.28

Increase in net assets as a result of operations 1,898,738.76 Subscription capitalisation shares 33,044,621.76 Redemption capitalisation shares -11,753,902.91

Increase in net assets 23,189,457.61

Net assets at the beginning of the year 300,336,208.47

Net assets at the end of the year 323,525,666.08

The accompanying notes form an integral part of these financial statements Page 108 Natixis AM Funds - Seeyond Equity Factor Investing Europe

Page 109 Natixis AM Funds - Seeyond Equity Factor Investing Europe Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 8,349,099.91 Securities portfolio at market value Note 2a) 8,015,363.05 Cost price 7,810,281.50 Unrealised profit on the securities portfolio 205,081.55 Cash at banks and liquidities 209,712.23 Interest receivable 10.01 Dividends receivable 7,705.40 Other assets 116,309.22 Liabilities 32,913.18 Bank overdrafts 18,501.38 Net unrealised depreciation on financial futures Note 2c) 4,699.00 Accrued expenses 9,712.80

Net asset value 8,316,186.73

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (EUR) 215,928.00 500.00 141,311.00 75,117.00

Class I (EUR) (*) 0.00 1.00 0.00 1.00

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 8,316,186.73 25,763,042.79 67,118,368.86 Class SI (EUR) Number of shares 75,117.00 215,928.00 568,989.00 Net asset value per share EUR 110.70 119.31 115.68 Class I (EUR) (*) Number of shares 1.00 0.00 11,256.00 Net asset value per share EUR 109.73 0.00 115.13

(*) Closed on 29/05/19 and relaunched on 20/11/19.

The accompanying notes form an integral part of these financial statements Page 110 Natixis AM Funds - Seeyond Equity Factor Investing Europe Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 7,691,603.95 92.49 exchange listing and/or dealt in on another regulated market Shares 7,691,603.95 92.49 Belgium 80,535.36 0.97 646.00 AB INBEV EUR 28,336.79 0.35 538.00 AGEAS NOM EUR 16,968.52 0.20 105.00 GALAPAGOS GENOMICS NV EUR 18,380.25 0.22 330.00 KBC GROUPE SA EUR 16,849.80 0.20 Denmark 405,642.93 4.88 698.00 AMBU AS - BEARER -B- DKK 19,517.01 0.23 400.00 CARLSBERG AS -B- DKK 47,045.88 0.57 303.00 COLOPLAST -B- DKK 41,792.26 0.50 293.00 DSV PANALPINA A/S DKK 31,835.05 0.38 186.00 GENMAB AS DKK 55,402.08 0.67 2,094.00 NOVO NORDISK DKK 120,642.09 1.46 432.00 ORSTED DKK 44,364.17 0.53 943.00 TRYG A/S DKK 24,292.55 0.29 229.00 VESTAS WIND SYSTEMS AS DKK 20,751.84 0.25 Finland 179,769.15 2.16 361.00 ELISA CORPORATION -A- EUR 19,544.54 0.24 798.00 KONE -B- EUR 48,853.56 0.59 438.00 NESTE EUR 15,246.78 0.18 4,901.00 NOKIA OYJ EUR 19,057.54 0.23 6,698.00 NORDEA BANK ABP SEK 41,164.79 0.49 427.00 ORION CORPORATION (NEW) -B- EUR 18,386.62 0.22 681.00 UPM KYMMENE CORP EUR 17,515.32 0.21 France 1,091,169.20 13.12 530.00 AIR LIQUIDE SA EUR 68,052.00 0.82 1,756.00 AXA SA EUR 32,682.67 0.39 153.00 BIOMERIEUX SA EUR 18,711.90 0.23 1,031.00 BNP PARIBAS SA EUR 36,466.47 0.44 627.00 BOUYGUES EUR 19,067.07 0.23 268.00 CAPGEMINI SE EUR 27,322.60 0.33 745.00 CIE DE SAINT-GOBAIN EUR 23,877.25 0.29 1,027.00 DANONE EUR 63,222.12 0.76 208.00 EIFFAGE EUR 16,931.20 0.20 309.00 ESSILORLUXOTTICA SA EUR 35,303.25 0.42 34.00 EUROFINS SCIENTIFIC EUR 18,992.40 0.23 34.00 HERMES INTERNATIONAL SA EUR 25,289.20 0.30 160.00 INGENICO GROUP EUR 22,720.00 0.27 67.00 KERING EUR 32,444.75 0.39 463.00 LEGRAND SA EUR 31,308.06 0.38 140.00 L'OREAL SA EUR 39,998.00 0.48 195.00 LVMH EUR 76,147.50 0.92 449.00 MICHELIN SA REG SHS EUR 41,460.66 0.50 4,892.00 ORANGE EUR 52,075.34 0.63 415.00 PERNOD RICARD SA EUR 58,120.75 0.70 259.00 SAFRAN EUR 23,107.98 0.28 1,062.00 SANOFI EUR 96,270.30 1.15 84.00 SARTORIUS STEDIM BIOTECH EUR 18,900.00 0.23 452.00 SCHNEIDER ELECTRIC SE EUR 44,693.76 0.54 1,195.00 SOCIETE GENERALE SA EUR 17,686.00 0.21 2,518.00 TOTAL SA EUR 85,549.05 1.02 452.00 VINCI SA EUR 37,064.00 0.45 1,213.00 VIVENDI SA EUR 27,704.92 0.33 Germany 1,276,668.45 15.35 180.00 ADIDAS NAMEN AKT EUR 42,048.00 0.51 452.00 ALLIANZ SE REG SHS EUR 82,155.52 0.98 869.00 BASF SE REG SHS EUR 43,345.72 0.52 810.00 BAYER AG REG SHS EUR 53,289.90 0.64 125.00 BECHTLE EUR 19,625.00 0.24 261.00 BEIERSDORF AG EUR 26,387.10 0.32 1,065.00 DAIMLER NAMEN-AKT EUR 38,494.43 0.46 235.00 DELIVERY HERO SE EUR 21,375.60 0.26 1,816.00 DEUTSCHE BANK AG REG SHS EUR 15,370.62 0.18 229.00 DEUTSCHE BOERSE AG REG SHS EUR 36,880.45 0.44

The accompanying notes form an integral part of these financial statements Page 111 Natixis AM Funds - Seeyond Equity Factor Investing Europe Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 1,427.00 DEUTSCHE POST AG REG SHS EUR 46,448.85 0.56 4,862.00 DEUTSCHE TELEKOM AG REG SHS EUR 72,662.59 0.87 659.00 DEUTSCHE WOHNEN AG EUR 26,327.05 0.32 5,668.00 E.ON AG REG SHS EUR 56,765.02 0.68 758.00 EVONIK INDUSTRIES AG EUR 17,138.38 0.21 1,076.00 FREENET AG REG SHS EUR 15,408.32 0.19 327.00 FRESENIUS MEDICAL CARE AG & CO KGAA EUR 24,950.10 0.30 1,010.00 FRESENIUS SE & CO KGAA EUR 44,561.20 0.54 380.00 HEIDELBERGCEMENT AG EUR 18,065.20 0.22 548.00 HELLOFRESH SE EUR 25,975.20 0.31 304.00 HENKEL AG & CO KGAA EUR 25,195.52 0.30 1,177.00 INFINEON TECHNOLOGIES REG SHS EUR 24,569.88 0.30 235.00 MERCK KGAA EUR 24,275.50 0.29 236.00 MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 54,610.40 0.66 338.00 PORSCHE AUTOMOBIL HLDG - VORZ.AKT-STIMMR EUR 17,292.08 0.21 235.00 RHEINMETALL AG EUR 18,142.00 0.22 728.00 SAP AG EUR 90,504.96 1.08 61.00 SARTORIUS VORZ.OHNE STIMMRECHT. EUR 17,848.60 0.21 648.00 SCOUT24 EUR 44,744.40 0.54 591.00 SIEMENS AG REG EUR 61,913.16 0.74 245.00 SYMRISE AG EUR 25,357.50 0.30 526.00 UNITED INTERNET AG REG SHS EUR 19,835.46 0.24 209.00 VOLKSWAGEN VORZ.AKT EUR 28,202.46 0.34 1,380.00 VONOVIA SE EUR 75,320.40 0.91 118.00 WIRECARD AG EUR 676.14 0.01 333.00 ZALANDO SE EUR 20,905.74 0.25 Ireland 74,081.40 0.89 961.00 CRH PLC EUR 29,310.50 0.35 163.00 FLUTTER ENTERTAINMENT PLC EUR 19,071.00 0.23 233.00 KERRY GROUP -A- EUR 25,699.90 0.31 Italy 168,880.68 2.03 3,220.00 ASSICURAZIONI GENERALI SPA EUR 43,373.40 0.51 106.00 DIASORIN EUR 18,062.40 0.22 3,962.00 ENEL SPA EUR 30,420.24 0.37 3,114.00 ENI SPA EUR 26,437.86 0.32 17,382.00 INTESA SANPAOLO SPA EUR 29,611.98 0.36 1,362.00 NEXI S.P.A. EUR 20,974.80 0.25 Jersey Island 72,129.09 0.87 1,010.00 EXPERIAN GROUP GBP 31,322.22 0.38 271.00 FERGUSON NEWCO PLC GBP 19,712.34 0.24 11,199.00 GLENCORE PLC GBP 21,094.53 0.25 Poland 52,235.36 0.63 214.00 CD PROJEKT SA PLN 19,021.47 0.23 3,270.00 PKO BANK POLSKI SA PLN 16,869.63 0.20 2,510.00 POWSZECHNY ZAKLAD UBEZPIECZEN PLN 16,344.26 0.20 Spain 229,201.36 2.76 528.00 AMADEUS IT -A- EUR 24,488.64 0.29 8,168.00 BANCO BILBAO VIZCAYA ARGENT SA REG EUR 25,026.75 0.30 14,076.00 BANCO SANTANDER SA REG SHS EUR 30,608.26 0.37 404.00 CELLNEX TELECOM SA EUR 21,912.96 0.26 4,400.00 IBERDROLA SA EUR 45,408.00 0.56 1,317.00 INDITEX SHARE FROM SPLIT EUR 31,041.69 0.37 1,526.00 RED ELECTRICA EUR 25,339.23 0.30 5,975.00 TELEFONICA SA EUR 25,375.83 0.31 Sweden 349,383.53 4.20 1,484.00 ASSA ABLOY -B- NEW I SEK 26,867.72 0.32 887.00 ATLAS COPCO --- REGISTERED SHS -A- SEK 33,448.99 0.41 877.00 BOLIDEN AB SEK 17,767.97 0.21 1,422.00 EQT AB SEK 22,714.76 0.27 888.00 ESSITY REGISTERED -B- SEK 25,552.06 0.31 370.00 EVOLUTION GAMING GROUP AB SEK 19,645.64 0.24 1,223.00 GETINGE -B- SEK 20,208.02 0.24 1,143.00 HENNES AND MAURITZ AB SEK 14,746.27 0.18 1,011.00 NIBE INDUSTRIER -B- SEK 19,893.43 0.24 794.00 SAAB AB -SHS-B- SEK 17,649.50 0.21 1,765.00 SANDVIK AB SEK 29,366.06 0.35

The accompanying notes form an integral part of these financial statements Page 112 Natixis AM Funds - Seeyond Equity Factor Investing Europe Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 1,451.00 SECURITAS -B- FREE SEK 17,409.50 0.21 989.00 SKANSKA -B- FREE SEK 17,910.50 0.22 1,563.00 SWEDBANK -A- SEK 17,834.69 0.21 3,214.00 TELEFON AB L.M.ERICSSON SEK 26,463.90 0.32 1,571.00 VOLVO AB -B- SEK 21,904.52 0.26 Switzerland 1,498,928.30 18.02 1,868.00 ABB LTD REG SHS CHF 37,438.99 0.45 514.00 ALCON --- REGISTERED SHS CHF 26,254.21 0.32 129.00 BALOISE HOLDING REG.SHS CHF 17,224.24 0.21 14.00 BARRY CALLEBAUT - NAMEN-AKT CHF 23,770.73 0.29 6.00 CHOCOLADEFAB.LINDT.SPRUENGLI PARTIZIPSCH CHF 43,974.63 0.53 616.00 CIE FINANCIERE RICHEMONT NAMEN AKT CHF 34,983.36 0.42 2,735.00 CREDIT SUISSE GROUP AG REG SHS CHF 25,179.73 0.30 36.00 EMS-CHEM HOLDINGS-NAMEN ACT. CHF 24,828.75 0.30 674.00 GALENICA SANTA SA CHF 42,938.41 0.52 111.00 GEBERIT AG CHF 49,458.49 0.59 25.00 GIVAUDAN SA REG.SHS CHF 82,875.26 1.00 210.00 HELVETIA HLDG - REGISTERED SHS CHF 17,433.40 0.21 182.00 KUEHNE + NAGEL INTERNATIONAL AG CHF 26,917.36 0.32 686.00 LAFARGEHOLCIM N NAMEN-AKT. CHF 26,756.74 0.32 388.00 LOGITECH NAMEN AKT CHF 22,552.67 0.27 125.00 LONZA GROUP (CHF) CHF 58,750.29 0.71 2,256.00 NESTLE SA REG SHS CHF 222,028.13 2.66 1,789.00 NOVARTIS AG REG SHS CHF 138,547.69 1.67 233.00 PSP SWISS PROPERTY AG CHF 23,360.21 0.28 594.00 ROCHE HOLDING AG GENUSSSCHEIN CHF 183,265.12 2.19 115.00 SCHINDLER HOLDING SA CHF 24,096.78 0.29 12.00 SGS SA REG SHS CHF 26,102.89 0.31 1,309.00 SIG COMBIBLOC GROUP AG CHF 18,855.50 0.23 155.00 SIKA - REGISTERED SHS CHF 26,557.90 0.32 570.00 SUNRISE COMMUNICATIONS NAM.AKT CHF 45,016.21 0.54 52.00 SWISS LIFE HOLDING N-NAMEN REGISTERED CHF 17,150.11 0.21 278.00 SWISS PRIME SITE AG-NAMEN AKT CHF 22,882.59 0.28 373.00 SWISS RE NAMEN AKT CHF 25,606.18 0.31 51.00 SWISSCOM SHS NOM CHF 23,764.06 0.29 61.00 TECAN GROUP NAM.AKT CHF 19,235.71 0.23 3,850.00 UBS GROUP NAMEN-AKT CHF 39,449.61 0.47 118.00 VAT GROUP SA CHF 19,181.58 0.23 199.00 ZURICH INSURANCE GROUP NAMEN AKT CHF 62,490.77 0.75 The Netherlands 771,312.57 9.27 18.00 ADYEN --- PARTS SOCIALES EUR 23,319.00 0.28 631.00 AERCAP HOLDINGS USD 17,303.83 0.21 186.00 ASM INTERNATIONAL NV EUR 25,584.30 0.31 338.00 ASML HLDG EUR 110,492.20 1.33 706.00 ASR EUR 19,302.04 0.23 449.00 DSM KONINKLIJKE EUR 55,316.80 0.67 169.00 FERRARI EUR 25,662.65 0.31 636.00 HEINEKEN NV EUR 52,190.16 0.63 4,493.00 ING GROEP EUR 27,847.61 0.33 3,270.00 KONINKLIJKE AHOLD NV EUR 79,330.20 0.95 917.00 KONINKLIJKE VOPAK EUR 43,172.36 0.52 619.00 NN GROUP NV EUR 18,508.10 0.22 224.00 NXP SEMICONDUCTORS USD 22,744.03 0.27 483.00 PROSUS N.V. EUR 39,963.42 0.48 497.00 QIAGEN REGD EUR EUR 19,054.98 0.23 449.00 RANDSTAD BR EUR 17,807.34 0.21 812.00 ROYAL PHILIPS ELECTRONIC EUR 33,714.24 0.41 868.00 SIGNIFY -REGISTERED SHS EUR 19,955.32 0.24 864.00 STMICROELECTRONICS NV EUR 20,926.08 0.25 1,571.00 UNILEVER NV EUR 74,229.75 0.89 358.00 WOLTERS KLUWER EUR 24,888.16 0.30 United Kingdom 1,441,666.57 17.34 1,155.00 ASTRAZENECA PLC GBP 106,999.50 1.30 5,932.00 AVIVA PLC GBP 17,854.73 0.21 3,795.00 BAE SYSTEMS PLC GBP 20,181.55 0.24 21,392.00 BARCLAYS PLC GBP 26,927.10 0.32

The accompanying notes form an integral part of these financial statements Page 113 Natixis AM Funds - Seeyond Equity Factor Investing Europe Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 2,948.00 BARRATT DEVELOPMENTS PLC GBP 16,082.65 0.19 577.00 BELLWAY PLC GBP 16,161.08 0.19 2,206.00 BHP GROUP-REGISTERED SHS GBP 40,149.68 0.48 15,341.00 BP PLC GBP 51,845.49 0.62 13,438.00 BT GROUP PLC GBP 16,860.33 0.20 1,885.00 COMPASS GROUP GBP 23,059.63 0.28 429.00 CRODA INTL - REGISTERED SHS GBP 24,805.54 0.30 2,055.00 DIAGEO PLC GBP 60,621.38 0.73 5,613.00 DIRECT LINE INS GR PLC NI GBP 16,734.03 0.20 4,541.00 DS SMITH HOLDING GBP 16,395.56 0.20 5,027.00 GLAXOSMITHKLINE PLC GBP 90,508.12 1.09 726.00 HIKMA PHARMACEUTICALS PLC GBP 17,730.69 0.21 14,856.00 HSBC HOLDINGS PLC GBP 61,875.49 0.74 724.00 JOHNSON MATTHEY GBP 16,710.14 0.20 8,107.00 KINGFISHER PLC GBP 19,692.26 0.24 15,954.00 LEGAL GENERAL GROUP PLC GBP 38,770.51 0.47 70,812.00 LLOYDS BANKING GROUP PLC GBP 24,285.63 0.29 528.00 LSE GROUP GBP 48,548.12 0.58 5,087.00 MEGGITT PLC GBP 16,469.79 0.20 3,946.00 NATIONAL GRID PLC GBP 42,941.51 0.52 887.00 OCADO GROUP PLC GBP 19,789.17 0.24 1,595.00 PENNON GROUP PLC GBP 19,634.82 0.24 3,909.00 PRUDENTIAL PLC GBP 52,399.53 0.63 962.00 RECKITT BENCKISER GROUP PLC GBP 78,653.29 0.95 1,843.00 RELX PLC GBP 37,914.30 0.46 916.00 RIO TINTO PLC GBP 45,840.31 0.55 4,650.00 ROYAL DUTCH SHELL PLC GBP 65,836.63 0.79 3,640.00 ROYAL DUTCH SHELL PLC -B- GBP 49,013.86 0.59 8,729.00 ROYAL MAIL GBP 17,501.21 0.21 3,856.00 RSA INSURANCE GROUP PLC GBP 17,383.82 0.21 1,177.00 SMITH AND NEPHEW PLC GBP 19,493.66 0.23 4,335.00 STANDARD CHARTERED PLC GBP 20,988.27 0.25 10,264.00 TAYLOR WIMPEY PLC GBP 16,101.72 0.19 12,110.00 TESCO PLC GBP 30,388.24 0.37 1,380.00 UNILEVER PLC GBP 66,115.51 0.80 2,005.00 VISTRY GROUP PLC GBP 15,671.65 0.19 25,910.00 VODAFONE GROUP GBP 36,730.07 0.44

Shares/Units of UCITS/UCI 323,759.10 3.89 Shares/Units in investment funds 323,759.10 3.89 France 323,759.10 3.89 6.19 SEEYOND VOLATILITY ALTERNATIVE INCOME EUR 323,759.10 3.89

Total securities portfolio 8,015,363.05 96.38

The accompanying notes form an integral part of these financial statements Page 114 Natixis AM Funds - Seeyond Equity Factor Investing Europe Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 345,645.08 Net dividends Note 2i) 325,412.90 Bank interest on cash account 14,105.85 Securities lending income, net Note 2l), 9 4,465.79 Other income 634.01 Income on repurchase transactions Note 2l), 10 1,026.53 Expenses 172,481.73 Management fees Note 3 53,873.15 Custodian fees 6,578.05 Taxe d'abonnement Note 5 1,504.77 Administration fees Note 3 2,906.40 Domiciliation fees 375.00 Professional fees 642.58 Bank interest on overdrafts 8,847.43 Legal fees 62.08 Transaction fees Note 2k) 77,400.25 Expenses on repurchase and reverse repurchase transactions 4,772.74 Other expenses 15,519.28

Net income from investments 173,163.35 Net realised profit / (loss) on: - sales of investment securities Note 2h) 728,362.41 - financial futures -133,532.75 - foreign exchange 70,979.01

Net realised profit 838,972.02 Movement in net unrealised appreciation / (depreciation) on: - investments -1,382,000.95 - financial futures -18,388.00

Decrease in net assets as a result of operations -561,416.93 Subscription capitalisation shares 60,890.98 Redemption capitalisation shares -16,946,330.11

Decrease in net assets -17,446,856.06

Net assets at the beginning of the year 25,763,042.79

Net assets at the end of the year 8,316,186.73

The accompanying notes form an integral part of these financial statements Page 115 Natixis AM Funds - Seeyond Europe Market Neutral

Page 116 Natixis AM Funds - Seeyond Europe Market Neutral Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 15,024,854.42 Securities portfolio at market value Note 2a) 12,913,672.71 Cost price 12,176,916.96 Unrealised profit on the securities portfolio 736,755.75 Cash at banks and liquidities 1,978,690.91 Dividends receivable 18,148.84 Net unrealised appreciation on financial futures Note 2c) 79,650.00 Other assets 34,691.96 Liabilities 98,738.77 Bank overdrafts 79,650.00 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 670.55 Accrued expenses 18,418.22

Net asset value 14,926,115.65

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (EUR) (**) 189,206.25 0.00 68,208.25 120,998.00

Class SI/A (H-USD) (*) 20,424.70 184.88 0.00 20,609.58

Class I (EUR) 25,300.00 0.00 11,300.00 14,000.00

Class I (EUR) - Distribution (***) 32,000.00 0.00 32,000.00 0.00

The accompanying notes form an integral part of these financial statements Page 117 Natixis AM Funds - Seeyond Europe Market Neutral Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 14,926,115.65 26,247,335.66 28,723,049.81 Class SI (EUR) (**) Number of shares 120,998.00 189,206.25 0.00 Net asset value per share EUR 97.38 99.90 0.00 Class SI/A (H-USD) (*) Number of shares 20,609.58 20,424.70 0.00 Net asset value per share USD 98.61 98.99 0.00 Class I (EUR) Number of shares 14,000.00 25,300.00 236,186.67 Net asset value per share EUR 95.27 97.93 101.42 Class I (EUR) - Distribution (***) Number of shares 0.00 32,000.00 47,000.00 Net asset value per share EUR 0.00 96.60 101.44 Dividend per share 2.23 1.40 0.00

(*) Launched on 22/05/19. (**) Launched on 21/09/18. (***) Closed on 08/06/20.

The accompanying notes form an integral part of these financial statements Page 118 Natixis AM Funds - Seeyond Europe Market Neutral Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 12,913,672.71 86.52 exchange listing and/or dealt in on another regulated market Shares 12,913,672.71 86.52 Belgium 249,742.97 1.67 398.00 ACKERMANS AND VAN HAAREN NV EUR 46,327.20 0.31 1,155.00 COLRUYT EUR 56,560.35 0.38 463.00 ELIA SYSTEM OPERATOR SA EUR 44,725.80 0.30 2,578.00 PROXIMUS SA EUR 46,764.92 0.31 537.00 UCB EUR 55,364.70 0.37 Denmark 830,531.52 5.56 1,634.00 AMBU AS - BEARER -B- DKK 45,688.82 0.31 643.00 CARLSBERG AS -B- DKK 75,626.25 0.51 1,362.00 COLOPLAST -B- DKK 187,858.29 1.25 185.00 GENMAB AS DKK 55,104.22 0.37 4,273.00 NOVO NORDISK DKK 246,181.31 1.64 442.00 ORSTED DKK 45,391.12 0.30 1,005.00 PANDORA DKK 48,583.69 0.33 1,297.00 TOPDANMARK AS DKK 47,681.58 0.32 3,044.00 TRYG A/S DKK 78,416.24 0.53 Finland 293,846.54 1.97 2,615.00 KOJAMO RG EUR 49,162.00 0.33 1,157.00 KONE -B- EUR 70,831.54 0.48 6,549.00 NORDEA BANK ABP SEK 40,249.06 0.27 2,113.00 SAMPO OYJ -A- EUR 64,700.06 0.43 2,679.00 UPM KYMMENE CORP EUR 68,903.88 0.46 France 1,878,355.80 12.58 778.00 AIR LIQUIDE SA EUR 99,895.20 0.67 3,310.00 ALSTOM SA EUR 137,067.10 0.92 2,794.00 AXA SA EUR 52,001.93 0.35 310.00 BIOMERIEUX SA EUR 37,913.00 0.25 1,486.00 BOUYGUES EUR 45,189.26 0.30 512.00 CAPGEMINI SE EUR 52,198.40 0.35 10,913.00 CARREFOUR SA EUR 150,108.32 1.01 2,620.00 CNP ASSURANCES EUR 26,855.00 0.18 2,619.00 DANONE EUR 161,225.64 1.07 40.00 DASSAULT AVIATION SA EUR 32,820.00 0.22 476.00 DASSAULT SYSTEMES SA EUR 73,113.60 0.49 782.00 EIFFAGE EUR 63,654.80 0.43 69.00 EUROFINS SCIENTIFIC EUR 38,543.40 0.26 193.00 HERMES INTERNATIONAL SA EUR 143,553.40 0.96 279.00 ILIAD SA EUR 48,448.35 0.32 417.00 MICHELIN SA REG SHS EUR 38,505.78 0.26 7,418.00 ORANGE EUR 78,964.61 0.53 3,435.00 REXEL SA EUR 34,933.95 0.23 1,030.00 RUBIS EUR 44,063.40 0.30 1,274.00 SANOFI EUR 115,488.10 0.77 216.00 SARTORIUS STEDIM BIOTECH EUR 48,600.00 0.33 1,250.00 SCOR SE ACT PROV REGROUPEMENT EUR 30,500.00 0.20 348.00 SOPRA STERIA GROUP EUR 38,175.60 0.26 852.00 THALES EUR 61,241.76 0.41 1,284.00 TOTAL SA EUR 43,623.90 0.29 3,563.00 VEOLIA ENVIRONNEMENT SA EUR 71,331.26 0.48 4,831.00 VIVENDI SA EUR 110,340.04 0.74 Germany 1,995,948.09 13.38 735.00 ALLIANZ SE REG SHS EUR 133,593.60 0.90 3,043.00 ALSTRIA OFFICE REIT AG EUR 40,350.18 0.27 293.00 BECHTLE EUR 46,001.00 0.31 1,451.00 BEIERSDORF AG EUR 146,696.10 0.98 699.00 BMW AG EUR 39,717.18 0.27 812.00 BRENNTAG - NAMEN AKT EUR 37,977.24 0.25 521.00 DELIVERY HERO SE EUR 47,390.16 0.32 506.00 DEUTSCHE BOERSE AG REG SHS EUR 81,491.30 0.55 5,448.00 DEUTSCHE TELEKOM AG REG SHS EUR 81,420.36 0.55 1,687.00 DEUTSCHE WOHNEN AG EUR 67,395.65 0.45 1,672.00 EVONIK INDUSTRIES AG EUR 37,803.92 0.25 2,178.00 FREENET AG REG SHS EUR 31,188.96 0.21

The accompanying notes form an integral part of these financial statements Page 119 Natixis AM Funds - Seeyond Europe Market Neutral Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 2,301.00 FRESENIUS MEDICAL CARE AG & CO KGAA EUR 175,566.30 1.18 2,431.00 FRESENIUS SE & CO KGAA EUR 107,255.72 0.72 687.00 HEIDELBERGCEMENT AG EUR 32,659.98 0.22 1,071.00 HELLOFRESH SE EUR 50,765.40 0.34 1,249.00 HENKEL AG & CO KGAA EUR 103,517.12 0.69 806.00 HENKEL KGAA EUR 59,764.90 0.40 472.00 LEG IMMOBILIEN - NAMEN AKT EUR 53,336.00 0.36 149.00 MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 34,478.60 0.23 817.00 PORSCHE AUTOMOBIL HLDG - VORZ.AKT-STIMMR EUR 41,797.72 0.28 540.00 RHEINMETALL AG EUR 41,688.00 0.28 1,458.00 RWE AG EUR 45,358.38 0.30 151.00 SARTORIUS VORZ.OHNE STIMMRECHT. EUR 44,182.60 0.30 402.00 SIEMENS AG REG EUR 42,113.52 0.28 1,327.00 SYMRISE AG EUR 137,344.50 0.92 3,339.00 TAG IMMOBILIEN EUR 70,853.58 0.47 1,054.00 TEAMVIEWER - BEARER SHS EUR 51,224.40 0.34 11,781.00 TELEFONICA NAMEN AKT EUR 30,948.69 0.21 921.00 UNITED INTERNET AG REG SHS EUR 34,730.91 0.23 754.00 ZALANDO SE EUR 47,336.12 0.32 Ireland 301,604.53 2.02 1,172.00 CRH PLC EUR 35,746.00 0.24 358.00 FLUTTER ENTERTAINMENT PLC EUR 41,886.00 0.28 3,716.00 GLANBIA PLC EUR 37,457.28 0.25 1,131.00 KERRY GROUP -A- EUR 124,749.30 0.84 1,077.00 KINGSPAN GROUP EUR 61,765.95 0.41 Italy 653,160.50 4.38 2,601.00 ASSICURAZIONI GENERALI SPA EUR 35,035.47 0.23 201.00 DIASORIN EUR 34,250.40 0.23 8,857.00 ENEL SPA EUR 68,004.05 0.46 6,078.00 ENI SPA EUR 51,602.22 0.35 13,109.00 HERA SPA EUR 43,862.71 0.29 20,376.00 ITALGAS REG EUR 105,343.92 0.71 3,392.00 NEXI S.P.A. EUR 52,236.80 0.35 2,853.00 RECORDATI SPA EUR 126,815.85 0.85 16,077.00 SNAM SPA EUR 69,677.72 0.47 10,842.00 TERNA SPA EUR 66,331.36 0.44 Norway 300,596.85 2.01 8,450.00 ORKLA ASA NOK 65,743.89 0.44 12,679.00 TELENOR ASA NOK 163,943.51 1.09 2,301.00 YARA INTERNATIONAL ASA NOK 70,909.45 0.48 Poland 157,735.06 1.06 570.00 CD PROJEKT SA PLN 50,664.67 0.34 2,942.00 GRUPA PEKAO SA PLN 35,652.58 0.24 7,506.00 PKO BANK POLSKI SA PLN 38,722.77 0.26 5,021.00 POWSZECHNY ZAKLAD UBEZPIECZEN PLN 32,695.04 0.22 Portugal 150,048.77 1.01 20,410.00 EDP-ENERGIAS REG.SHS EUR 86,742.50 0.59 4,062.00 JERONIMO MARTINS SGPS SA EUR 63,306.27 0.42 South Africa 32,979.23 0.22 53,456.00 OLD MUTUAL -REGISTERED SHS GBP 32,979.23 0.22 Spain 473,233.65 3.17 962.00 CELLNEX TELECOM SA EUR 52,178.88 0.35 4,433.00 ENDESA EUR 97,215.69 0.65 1,504.00 FERROVIAL SA EUR 35,644.80 0.24 1,443.00 GRIFOLS SA -A- EUR 39,004.29 0.26 11,218.00 IBERDROLA SA EUR 115,769.76 0.78 21,154.00 MAPFRE REG-SHS EUR 33,507.94 0.22 6,017.00 RED ELECTRICA EUR 99,912.29 0.67 Sweden 580,059.85 3.89 1,908.00 BOLIDEN AB SEK 38,655.96 0.26 885.00 EVOLUTION GAMING GROUP AB SEK 46,990.25 0.31 1,331.00 LOOMIS AB SEK 28,314.28 0.19 1,837.00 SAAB AB -SHS-B- SEK 40,833.93 0.27 3,315.00 SECURITAS -B- FREE SEK 39,774.30 0.27 1,845.00 SKANSKA -B- FREE SEK 33,412.41 0.22 4,195.00 SVENSKA CELLULOSA SCA AB-SHS-B- SEK 44,419.53 0.30

The accompanying notes form an integral part of these financial statements Page 120 Natixis AM Funds - Seeyond Europe Market Neutral Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 2,301.00 SWEDISH MATCH SEK 144,032.40 0.97 9,927.00 TELEFON AB L.M.ERICSSON SEK 81,738.37 0.55 24,623.00 TELIA COMPANY AB SEK 81,888.42 0.55 Switzerland 1,814,227.44 12.15 868.00 ADECCO REG.SHS CHF 36,261.48 0.24 310.00 BALOISE HOLDING REG.SHS CHF 41,391.59 0.28 71.00 BARRY CALLEBAUT - NAMEN-AKT CHF 120,551.56 0.81 7.00 BELIMO HOLDING AG CHF 45,844.49 0.31 15.00 CHOCOLADEFAB.LINDT.SPRUENGLI PARTIZIPSCH CHF 109,936.58 0.74 1,036.00 GALENICA SANTA SA CHF 66,000.28 0.44 98.00 GEBERIT AG CHF 43,666.06 0.29 30.00 GIVAUDAN SA REG.SHS CHF 99,450.32 0.67 434.00 HELVETIA HLDG - REGISTERED SHS CHF 36,029.03 0.24 723.00 KUEHNE + NAGEL INTERNATIONAL AG CHF 106,929.95 0.72 1,067.00 LOGITECH NAMEN AKT CHF 62,019.84 0.42 91.00 LONZA GROUP (CHF) CHF 42,770.21 0.29 1,751.00 NESTLE SA REG SHS CHF 172,327.69 1.14 373.00 PSP SWISS PROPERTY AG CHF 37,396.38 0.25 480.00 ROCHE HOLDING AG GENUSSSCHEIN CHF 148,093.02 0.99 540.00 SCHINDLER HOLDING SA CHF 113,150.11 0.76 2,897.00 SIG COMBIBLOC GROUP AG CHF 41,729.87 0.28 1,834.00 SUNRISE COMMUNICATIONS NAM.AKT CHF 144,841.63 0.97 117.00 SWISS LIFE HOLDING N-NAMEN REGISTERED CHF 38,587.74 0.26 657.00 SWISS PRIME SITE AG-NAMEN AKT CHF 54,078.65 0.36 212.00 SWISSCOM SHS NOM CHF 98,783.93 0.66 153.00 TECAN GROUP NAM.AKT CHF 48,246.93 0.32 338.00 ZURICH INSURANCE GROUP NAMEN AKT CHF 106,140.10 0.71 The Netherlands 1,388,938.15 9.31 46.00 ADYEN --- PARTS SOCIALES EUR 59,593.00 0.40 708.00 AKZO NOBEL NV EUR 56,455.92 0.38 148.00 ARGENX SE EUR 29,348.40 0.20 369.00 ASM INTERNATIONAL NV EUR 50,755.95 0.34 142.00 ASML HLDG EUR 46,419.80 0.31 1,455.00 ASR EUR 39,779.70 0.27 1,204.00 BESI -REGISTERED SHS EUR 47,738.60 0.32 426.00 DSM KONINKLIJKE EUR 52,483.20 0.35 444.00 FERRARI EUR 67,421.40 0.45 902.00 HEINEKEN NV EUR 74,018.12 0.50 8,490.00 KONINKLIJKE AHOLD NV EUR 205,967.40 1.37 2,078.00 KONINKLIJKE VOPAK EUR 97,832.24 0.66 1,507.00 NN GROUP NV EUR 45,059.30 0.30 605.00 PROSUS N.V. EUR 50,057.70 0.34 1,112.00 RANDSTAD BR EUR 44,101.92 0.30 1,832.00 STMICROELECTRONICS NV EUR 44,371.04 0.30 4,278.00 UNILEVER NV EUR 202,135.50 1.34 2,523.00 WOLTERS KLUWER EUR 175,398.96 1.18 United Kingdom 1,812,663.76 12.14 398.00 ASTRAZENECA PLC GBP 36,870.83 0.25 8,518.00 AVAST PLC GBP 49,524.35 0.33 12,300.00 AVIVA PLC GBP 37,021.78 0.25 11,489.00 BAE SYSTEMS PLC GBP 61,097.72 0.41 5,971.00 BARRATT DEVELOPMENTS PLC GBP 32,574.47 0.22 1,188.00 BELLWAY PLC GBP 33,274.46 0.22 9,535.00 COUNTRYSIDE PROPERTIES PLC GBP 34,720.41 0.23 2,327.00 CRODA INTL - REGISTERED SHS GBP 134,551.29 0.90 3,258.00 DIAGEO PLC GBP 96,109.21 0.64 25,773.00 DIRECT LINE INS GR PLC NI GBP 76,837.00 0.51 537.00 GAMES WORKSHOP GROUP PLC GBP 47,349.34 0.32 12,394.00 GLAXOSMITHKLINE PLC GBP 223,146.53 1.50 4,920.00 IG GROUP HLDGS GBP 44,274.59 0.30 1,509.00 JOHNSON MATTHEY GBP 34,828.18 0.23 18,145.00 KINGFISHER PLC GBP 44,074.98 0.30 13,488.00 LEGAL GENERAL GROUP PLC GBP 32,777.77 0.22 9,745.00 MEGGITT PLC GBP 31,550.65 0.21 82,323.00 MORRISON SUPERMARKETS PLC GBP 172,570.39 1.16 3,564.00 PENNON GROUP PLC GBP 43,873.66 0.29

The accompanying notes form an integral part of these financial statements Page 121 Natixis AM Funds - Seeyond Europe Market Neutral Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 1,830.00 RECKITT BENCKISER GROUP PLC GBP 149,621.12 1.00 2,911.00 ROYAL DUTCH SHELL PLC GBP 41,215.15 0.28 17,836.00 ROYAL MAIL GBP 35,760.30 0.24 657.00 SPIRAX-SARCO ENGIN GBP 72,103.76 0.48 3,226.00 SSE PLC GBP 48,425.49 0.32 21,977.00 TAYLOR WIMPEY PLC GBP 34,476.57 0.23 65,369.00 TESCO PLC GBP 164,033.76 1.10

Total securities portfolio 12,913,672.71 86.52

The accompanying notes form an integral part of these financial statements Page 122 Natixis AM Funds - Seeyond Europe Market Neutral Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 423,805.86 Net dividends Note 2i) 421,829.26 Bank interest on cash account 1,976.60 Expenses 202,234.08 Management fees Note 3 69,114.60 Custodian fees 7,225.95 Taxe d'abonnement Note 5 1,889.26 Administration fees Note 3 2,913.32 Performance fee Note 4 84.09 Domiciliation fees 375.00 Professional fees 626.09 Bank interest on overdrafts 17,778.42 Legal fees 72.53 Transaction fees Note 2k) 91,779.65 Other expenses 10,375.17

Net income from investments 221,571.78 Net realised profit / (loss) on: - sales of investment securities Note 2h) 393,493.84 - forward foreign exchange contracts 51,146.05 - financial futures -818,976.00 - foreign exchange 192,748.80

Net realised profit 39,984.47 Movement in net unrealised appreciation / (depreciation) on: - investments -751,484.47 - forward foreign exchange contracts 28,031.85 - financial futures 297,846.00

Decrease in net assets as a result of operations -385,622.15 Dividends paid Note 6 -71,452.80 Subscription capitalisation shares 16,725.72 Redemption capitalisation shares -7,890,915.78 Redemption distribution shares -2,989,955.00

Decrease in net assets -11,321,220.01

Net assets at the beginning of the year 26,247,335.66

Net assets at the end of the year 14,926,115.65

The accompanying notes form an integral part of these financial statements Page 123 Natixis AM Funds - Seeyond Europe Minvol

Page 124 Natixis AM Funds - Seeyond Europe Minvol Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 1,086,133,506.20 Securities portfolio at market value Note 2a) 1,076,957,895.95 Cost price 1,005,538,200.20 Unrealised profit on the securities portfolio 71,419,695.75 Cash at banks and liquidities 6,768,724.34 Interest receivable 349,648.46 Subscriptions receivable 229,115.12 Dividends receivable 1,828,122.33 Liabilities 2,966,626.85 Redemptions payable 195,818.49 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 780.77 Accrued expenses 2,287,760.30 Other liabilities 482,267.29

Net asset value 1,083,166,879.35

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (EUR) (***) 2,266,504.77 1,507,968.78 1,469,065.64 2,305,407.91

Class SI (EUR) - Distribution 4,485.15 1,312.26 813.35 4,984.06

Class N1 (EUR) (*) 406,625.78 60,434.54 154,508.47 312,551.85

Class I (EUR) 15,890.66 7,395.18 7,985.92 15,299.92

Class I (EUR) - Distribution 2.78 92.80 7.49 88.09

Class N (EUR) 514,393.07 111,328.71 358,498.15 267,223.63

Class R (EUR) 88,943.63 20,805.61 21,865.20 87,884.04

Class R (EUR) - Distribution 4,653.05 7,622.65 6,342.61 5,933.09

Class R (H-CHF) (**) 0.00 0.00 0.00 0.00

Class R (H-USD) 5,443.65 11,770.73 6,893.63 10,320.75

Class RE (EUR) 434.31 1,493.11 439.70 1,487.72

The accompanying notes form an integral part of these financial statements Page 125 Natixis AM Funds - Seeyond Europe Minvol Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 1,083,166,879.35 1,153,151,447.90 793,442,530.82 Class SI (EUR) (***) Number of shares 2,305,407.91 2,266,504.77 0.00 Net asset value per share EUR 96.77 101.46 0.00 Class SI (EUR) - Distribution Number of shares 4,984.06 4,485.15 2,443.87 Net asset value per share EUR 66,951.44 72,246.41 69,606.63 Class N1 (EUR) (*) Number of shares 312,551.85 406,625.78 0.00 Net asset value per share EUR 99.53 104.71 0.00 Class I (EUR) Number of shares 15,299.92 15,890.66 23,298.58 Net asset value per share EUR 19,760.10 20,779.97 19,654.98 Class I (EUR) - Distribution Number of shares 88.09 2.78 116.17 Net asset value per share EUR 60,841.09 65,693.70 63,268.96 Class N (EUR) Number of shares 267,223.63 514,393.07 158,109.48 Net asset value per share EUR 99.37 104.64 99.13 Class R (EUR) Number of shares 87,884.04 88,943.63 76,885.71 Net asset value per share EUR 1,810.22 1,924.37 1,840.17 Class R (EUR) - Distribution Number of shares 5,933.09 4,653.05 4,035.99 Net asset value per share EUR 105.60 114.02 109.91 Class R (H-CHF) (**) Number of shares 0.00 0.00 3,341.00 Net asset value per share CHF 0.00 0.00 116.64 Class R (H-USD) Number of shares 10,320.75 5,443.65 553.00 Net asset value per share USD 125.52 129.65 120.51 Class RE (EUR) Number of shares 1,487.72 434.31 499.30 Net asset value per share EUR 108.48 116.13 111.83

(*) Launched on 03/10/18. (**) Closed on 19/07/18. (***) Launched on 04/04/19.

The accompanying notes form an integral part of these financial statements Page 126 Natixis AM Funds - Seeyond Europe Minvol Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 1,076,957,895.95 99.43 exchange listing and/or dealt in on another regulated market Shares 1,076,957,895.95 99.43 Belgium 13,871,941.29 1.28 30,594.00 COFINIMMO SA EUR 3,744,705.60 0.35 103,707.00 COLRUYT EUR 5,078,531.79 0.46 48,969.00 UCB EUR 5,048,703.90 0.47 Canada 9,009,111.14 0.83 375,597.00 BARRICK GOLD USD 9,009,111.14 0.83 Denmark 73,640,781.52 6.80 96,214.00 CARLSBERG AS -B- DKK 11,316,180.73 1.04 118,874.00 COLOPLAST -B- DKK 16,396,083.80 1.52 543,856.00 NOVO NORDISK DKK 31,333,297.52 2.90 145,284.00 TOPDANMARK AS DKK 5,341,072.70 0.49 359,232.00 TRYG A/S DKK 9,254,146.77 0.85 Finland 12,086,451.10 1.12 128,143.00 KONE -B- EUR 7,844,914.46 0.73 164,912.00 UPM KYMMENE CORP EUR 4,241,536.64 0.39 France 194,278,525.35 17.93 70,317.00 AIR LIQUIDE SA EUR 9,028,702.80 0.83 387,634.00 ALSTOM SA EUR 16,051,923.94 1.48 408,069.00 AXA SA EUR 7,594,980.23 0.70 192,807.00 BOUYGUES EUR 5,863,260.87 0.54 54,018.00 CAPGEMINI SE EUR 5,507,135.10 0.51 922,269.00 CARREFOUR SA EUR 12,685,810.10 1.17 298,880.00 DANONE EUR 18,399,052.80 1.71 54,529.00 DASSAULT SYSTEMES SA EUR 8,375,654.40 0.77 91,323.00 EIFFAGE EUR 7,433,692.20 0.69 484,936.00 ENGIE EUR 5,334,296.00 0.49 63,734.00 ESSILORLUXOTTICA SA EUR 7,281,609.50 0.67 7,259.00 EUROFINS SCIENTIFIC EUR 4,054,877.40 0.37 23,198.00 HERMES INTERNATIONAL SA EUR 17,254,672.40 1.59 30,274.00 LVMH EUR 11,821,997.00 1.09 516,776.00 ORANGE EUR 5,501,080.52 0.51 143,844.00 RUBIS EUR 6,153,646.32 0.57 199,029.00 SANOFI EUR 18,041,978.85 1.67 37,692.00 SEB SA EUR 5,544,493.20 0.51 58,847.00 THALES EUR 4,229,922.36 0.39 309,056.00 VEOLIA ENVIRONNEMENT SA EUR 6,187,301.12 0.57 522,436.00 VIVENDI SA EUR 11,932,438.24 1.10 Germany 104,836,922.59 9.68 44,896.00 ALLIANZ SE REG SHS EUR 8,160,296.96 0.75 183,718.00 BEIERSDORF AG EUR 18,573,889.80 1.71 71,500.00 DEUTSCHE BOERSE AG REG SHS EUR 11,515,075.00 1.06 717,304.00 DEUTSCHE TELEKOM AG REG SHS EUR 10,720,108.28 0.99 173,133.00 DEUTSCHE WOHNEN AG EUR 6,916,663.35 0.64 213,346.00 EVONIK INDUSTRIES AG EUR 4,823,753.06 0.45 196,837.00 FRESENIUS MEDICAL CARE AG & CO KGAA EUR 15,018,663.10 1.39 48,850.00 SAP AG EUR 6,073,032.00 0.56 167,490.00 SYMRISE AG EUR 17,335,215.00 1.60 104,438.00 VONOVIA SE EUR 5,700,226.04 0.53 Ireland 13,661,302.35 1.26 73,665.00 KERRY GROUP -A- EUR 8,125,249.50 0.75 96,531.00 KINGSPAN GROUP EUR 5,536,052.85 0.51 Italy 67,324,403.96 6.22 786,703.00 ASSICURAZIONI GENERALI SPA EUR 10,596,889.41 0.98 1,161,352.00 ENEL SPA EUR 8,916,860.66 0.82 417,620.00 ENI SPA EUR 3,545,593.80 0.33 909,212.00 INFRASTRUTTURE WIRELESS ITALIANE SPA EUR 8,110,171.04 0.75 1,222,364.00 ITALGAS REG EUR 6,319,621.88 0.58 372,928.00 RECORDATI SPA EUR 16,576,649.60 1.53 1,813,939.00 SNAM SPA EUR 7,861,611.63 0.73 882,152.00 TERNA SPA EUR 5,397,005.94 0.50 Norway 32,119,671.55 2.97 585,945.00 ORKLA ASA NOK 4,558,852.19 0.42

The accompanying notes form an integral part of these financial statements Page 127 Natixis AM Funds - Seeyond Europe Minvol Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 1,437,927.00 TELENOR ASA NOK 18,592,853.96 1.72 291,009.00 YARA INTERNATIONAL ASA NOK 8,967,965.40 0.83 Portugal 9,752,521.75 0.90 2,294,711.00 EDP-ENERGIAS REG.SHS EUR 9,752,521.75 0.90 Spain 54,377,847.63 5.02 348,201.00 ENDESA EUR 7,636,047.93 0.70 171,676.00 FERROVIAL SA EUR 4,068,721.20 0.38 405,512.00 GRIFOLS SA -A- EUR 10,960,989.36 1.01 1,167,579.00 IBERDROLA SA EUR 12,049,415.28 1.11 874,198.00 RED ELECTRICA EUR 14,516,057.79 1.34 661,009.00 REPSOL SA EUR 5,146,616.07 0.48 Sweden 47,095,459.87 4.35 459,714.00 ESSITY REGISTERED -B- SEK 13,228,200.06 1.22 136,286.00 SWEDISH MATCH SEK 8,530,899.27 0.79 1,156,726.00 TELEFON AB L.M.ERICSSON SEK 9,524,418.21 0.88 747,285.00 TELE2 AB SEK 8,823,304.83 0.81 2,101,411.00 TELIA COMPANY AB SEK 6,988,637.50 0.65 Switzerland 171,156,804.74 15.80 18,967.00 ALLREAL HOLDING LTD REG.SHS CHF 3,343,396.01 0.31 7,955.00 BARRY CALLEBAUT - NAMEN-AKT CHF 13,506,868.69 1.25 1,272.00 CHOCOLADEFAB.LINDT.SPRUENGLI PARTIZIPSCH CHF 9,322,621.56 0.86 112.00 CHOCOLADEFABRIKEN LINDT.SPRUENGLI NOM. CHF 8,566,408.27 0.79 66,499.00 GALENICA SANTA SA CHF 4,236,440.87 0.39 3,666.00 GIVAUDAN SA REG.SHS CHF 12,152,828.75 1.12 75,084.00 KUEHNE + NAGEL INTERNATIONAL AG CHF 11,104,741.93 1.03 211,649.00 NESTLE SA REG SHS CHF 20,829,801.51 1.91 46,189.00 PSP SWISS PROPERTY AG CHF 4,630,835.14 0.43 63,702.00 ROCHE HOLDING AG GENUSSSCHEIN CHF 19,653,795.35 1.81 66,980.00 SCHINDLER HOLDING SA CHF 14,034,803.85 1.30 183,536.00 SUNRISE COMMUNICATIONS NAM.AKT CHF 14,494,903.27 1.34 10,036.00 SWISS LIFE HOLDING N-NAMEN REGISTERED CHF 3,309,970.40 0.31 125,445.00 SWISS PRIME SITE AG-NAMEN AKT CHF 10,325,564.48 0.95 21,530.00 SWISSCOM SHS NOM CHF 10,032,160.67 0.93 36,977.00 ZURICH INSURANCE GROUP NAMEN AKT CHF 11,611,663.99 1.07 The Netherlands 134,108,172.71 12.38 58,197.00 AKZO NOBEL NV EUR 4,640,628.78 0.43 13,179.00 ARGENX SE EUR 2,613,395.70 0.24 113,637.00 ASR EUR 3,106,835.58 0.29 103,364.00 DSM KONINKLIJKE EUR 12,734,444.80 1.18 85,308.00 EURONEXT NV EUR 7,613,739.00 0.70 78,727.00 FERRARI EUR 11,954,694.95 1.10 83,787.00 HEINEKEN NV EUR 6,875,561.22 0.63 1,003,348.00 KONINKLIJKE AHOLD NV EUR 24,341,222.48 2.25 279,106.00 KONINKLIJKE VOPAK EUR 13,140,310.48 1.21 480,950.00 SBM OFFSHORE NV EUR 6,259,564.25 0.58 451,983.00 UNILEVER NV EUR 21,356,196.75 1.97 280,086.00 WOLTERS KLUWER EUR 19,471,578.72 1.80 United Kingdom 132,021,060.48 12.19 46,488.00 ASTRAZENECA PLC GBP 4,306,660.59 0.40 1,158,934.00 BAE SYSTEMS PLC GBP 6,163,131.97 0.57 225,312.00 CRODA INTL - REGISTERED SHS GBP 13,027,941.39 1.20 207,543.00 DIAGEO PLC GBP 6,122,404.35 0.57 2,288,235.00 DIRECT LINE INS GR PLC NI GBP 6,821,910.73 0.63 1,490,732.00 GLAXOSMITHKLINE PLC GBP 26,839,735.87 2.48 8,085,018.00 MORRISON SUPERMARKETS PLC GBP 16,948,296.81 1.56 527,294.00 NATIONAL GRID PLC GBP 5,738,165.29 0.53 206,040.00 RECKITT BENCKISER GROUP PLC GBP 16,845,866.67 1.56 1,016,641.00 RSA INSURANCE GROUP PLC GBP 4,583,272.63 0.42 48,644.00 SPIRAX-SARCO ENGIN GBP 5,338,531.84 0.49 7,685,311.00 TESCO PLC GBP 19,285,142.34 1.78 United States of America 7,616,917.92 0.70 138,564.00 NEWMONT CORPORATION USD 7,616,917.92 0.70

Total securities portfolio 1,076,957,895.95 99.43

The accompanying notes form an integral part of these financial statements Page 128 Natixis AM Funds - Seeyond Europe Minvol Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 28,570,521.75 Net dividends Note 2i) 27,754,962.98 Bank interest on cash account 398,356.91 Securities lending income, net Note 2l), 9 283,445.42 Income on repurchase transactions Note 2l), 10 133,756.44 Expenses 14,291,943.00 Management fees Note 3 7,377,767.52 Custodian fees 210,849.19 Taxe d'abonnement Note 5 211,909.17 Administration fees Note 3 499,452.74 Domiciliation fees 375.00 Professional fees 30,992.42 Bank interest on overdrafts 545,394.64 Legal fees 5,328.71 Transaction fees Note 2k) 4,601,082.14 Expenses on repurchase and reverse repurchase transactions 172,095.71 Other expenses 636,695.76

Net income from investments 14,278,578.75 Net realised profit / (loss) on: - sales of investment securities Note 2h) -57,581,551.30 - forward foreign exchange contracts 30,639.37 - foreign exchange 5,987,890.24

Net realised loss -37,284,442.94 Movement in net unrealised appreciation / (depreciation) on: - investments -19,724,023.40 - forward foreign exchange contracts 8,592.96

Decrease in net assets as a result of operations -56,999,873.38 Dividends paid Note 6 -9,317,862.84 Subscription capitalisation shares 366,460,106.13 Subscription distribution shares 96,846,851.14 Redemption capitalisation shares -409,163,585.55 Redemption distribution shares -57,810,204.05

Decrease in net assets -69,984,568.55

Net assets at the beginning of the year 1,153,151,447.90

Net assets at the end of the year 1,083,166,879.35

The accompanying notes form an integral part of these financial statements Page 129 Natixis AM Funds - Seeyond US Minvol

Page 130 Natixis AM Funds - Seeyond US Minvol Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in USD

Assets 8,573,254.98 Securities portfolio at market value 8,511,770.77 Cost price 7,989,190.51 Unrealised profit on the securities portfolio 522,580.26 Cash at banks and liquidities 55,667.15 Dividends receivable 5,817.06 Liabilities 10,060.43 Accrued expenses 10,060.43

Net asset value 8,563,194.55

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (USD) (*) 718.00 0.00 0.00 718.00

Class I (USD) (*) 5.00 0.00 0.00 5.00

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets USD 8,563,194.55 9,420,861.93 0.00 Class SI (USD) (*) Number of shares 718.00 718.00 0.00 Net asset value per share USD 11,844.90 13,030.99 0.00 Class I (USD) (*) Number of shares 5.00 5.00 0.00 Net asset value per share USD 11,710.57 12,922.06 0.00

(*) Launched on 25/07/18.

The accompanying notes form an integral part of these financial statements Page 131 Natixis AM Funds - Seeyond US Minvol Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 8,511,770.77 99.40 exchange listing and/or dealt in on another regulated market Shares 8,511,770.77 99.40 Bermuda 103,208.50 1.21 1,367.00 IHS MARKIT USD 103,208.50 1.21 British Virgin Islands 80,330.25 0.94 3,745.00 NOMAD FOODS LTD USD 80,330.25 0.94 Ireland 237,419.92 2.77 773.00 JAZZ PHARMACEUTICALS PLC USD 85,292.82 1.00 1,049.00 MEDTRONIC HLD USD 96,193.30 1.12 284.00 WILLIS TOWERS USD 55,933.80 0.65 United States of America 8,090,812.10 94.48 570.00 ACTIVISION BLIZZARD USD 43,263.00 0.51 95.00 ADOBE INC USD 41,354.45 0.48 270.00 ADVANCE AUTO PARTS USD 38,461.50 0.45 974.00 AKAMAI TECHNOLOGIES USD 104,305.66 1.22 104.00 ALPHABET -A- USD 147,477.20 1.72 1,636.00 ALTRIA GROUP USD 64,213.00 0.75 56.00 AMAZON.COM INC USD 154,493.92 1.80 937.00 AMERICAN ELECTRIC POWER CO INC USD 74,622.68 0.87 336.00 AMERICAN EXPRESS CO COM. USD 31,987.20 0.37 265.00 AMGEN INC USD 62,502.90 0.73 84.00 AUTOZONE INC USD 94,762.08 1.11 1,375.00 BAXTER INTERNATIONAL INC USD 118,387.50 1.38 535.00 BECTON DICKINSON USD 128,009.45 1.49 871.00 BERKSHIRE HATHAWAY -B- USD 155,482.21 1.82 127.00 BIO RAD LABORATORIES -A- USD 57,339.23 0.67 924.00 BLACK KNIGHT HOLDCO CORP USD 67,045.44 0.78 1,725.00 BRISTOL-MYERS SQUIBB CO USD 101,430.00 1.18 2,183.00 CABOT OIL AND GAS CORP -A- USD 37,503.94 0.44 1,755.00 CAMPBELL SOUP CO USD 87,100.65 1.02 836.00 CBOE HOLDINGS INC USD 77,982.08 0.91 801.00 C.H.ROBINSON WORLWIDE INC USD 63,327.06 0.74 669.00 CITRIX SYSTEMS USD 98,951.79 1.16 623.00 CLOROX CO USD 136,667.51 1.60 473.00 CME GROUP -A- USD 76,881.42 0.90 1,881.00 COCA-COLA CO USD 84,043.08 0.98 782.00 COLGATE-PALMOLIVE CO USD 57,289.32 0.67 1,752.00 COMCAST CORP USD 68,292.96 0.80 805.00 CONOCOPHILLIPS CO USD 33,826.10 0.40 215.00 CONSTELLATION BRANDS INC -A- USD 37,614.25 0.44 414.00 COSTCO WHOLESALE CORP USD 125,528.94 1.47 357.00 DIGITAL REALTY TRUST INC USD 50,733.27 0.59 329.00 DOLLAR GENERAL USD 62,677.79 0.73 551.00 DOLLAR TREE INC USD 51,066.68 0.60 657.00 DOMINION RESOURCES - REGISTERED USD 53,335.26 0.62 585.00 DTE ENERGY COMPANY USD 62,887.50 0.73 1,413.00 DUKE ENERGY CORP USD 112,884.57 1.32 1,663.00 EBAY USD 87,224.35 1.02 808.00 ELECTRONIC ARTS - REGISTERED USD 106,696.40 1.25 475.00 ELI LILLY & CO USD 77,985.50 0.91 712.00 ENTERGY CORP USD 66,792.72 0.78 3,145.00 EQUITY COMMON SHS OF BENEF INT USD 101,269.00 1.18 957.00 EQUITY LIFESTYLE USD 59,793.36 0.70 301.00 ESSEX PROPERTY TRUST USD 68,980.17 0.81 716.00 EVERGY USD 42,451.64 0.50 294.00 EXTRA SPACE STORAGE INC USD 27,156.78 0.32 201.00 FACEBOOK -A- USD 45,641.07 0.53 569.00 FIDELITY NATIONAL USD 76,297.21 0.89 1,597.00 FIRSTENERGY CORP USD 61,931.66 0.72 1,009.00 FISERV INC USD 98,498.58 1.15 1,077.00 FLIR SYSTEMS INC USD 43,693.89 0.51 2,569.00 FLOWERS FOODS INC USD 57,442.84 0.67 848.00 FTI CONSULTING USD 97,138.40 1.13 271.00 F5 NETWORKS USD 37,799.08 0.44 2,099.00 GENERAL MILLS INC USD 129,403.35 1.51

The accompanying notes form an integral part of these financial statements Page 132 Natixis AM Funds - Seeyond US Minvol Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 979.00 HARTFORD FINANCIAL SERVICES GROUP INC USD 37,740.45 0.44 3,130.00 HD SUPPLY HLDGS USD 108,454.50 1.27 892.00 HORMEL FOODS CORP USD 43,056.84 0.50 525.00 INCYTE CORP USD 54,584.25 0.64 1,616.00 INTERCONEXCH GR INC WI USD 148,025.60 1.73 948.00 J.M. SMUCKER CO SHS USD 100,307.88 1.17 1,213.00 JOHNSON AND JOHNSON USD 170,584.19 1.99 2,210.00 KELLOGG USD 145,992.60 1.70 3,076.00 KINDER MORGAN USD 46,662.92 0.54 3,804.00 KROGER CO USD 128,765.40 1.50 471.00 MCDONALD'S CORP USD 86,885.37 1.01 2,146.00 MERCK AND CO USD 165,950.18 1.94 781.00 MICROSOFT CORP USD 158,941.31 1.86 135.00 NETFLIX INC USD 61,430.40 0.72 377.00 NEUROCRINE BIOSCIENCES USD 45,994.00 0.54 2,715.00 NEWMONT CORPORATION USD 167,624.10 1.96 173.00 NEXTERA ENERGY USD 41,549.41 0.49 2,793.00 NORTONLIFELOCK INC USD 55,385.19 0.65 752.00 OMNICOM GROUP INC USD 41,059.20 0.48 2,232.00 ORACLE CORP USD 123,362.64 1.44 696.00 PEPSICO INC USD 92,052.96 1.07 640.00 PERKINELMER USD 62,777.60 0.73 3,543.00 PFIZER INC USD 115,856.10 1.35 1,330.00 PROCTER AND GAMBLE CO USD 159,028.10 1.86 454.00 QUEST DIAGNOSTICS USD 51,737.84 0.60 159.00 REGENERON PHARMACEUTICALS INC USD 99,160.35 1.16 1,360.00 REPUBLIC SERVICES -A- USD 111,588.00 1.30 875.00 SOUTHERN CO USD 45,368.75 0.53 178.00 TYLER TECHNOLOGIES INC USD 61,744.64 0.72 256.00 VEEVA SYSTEMS -A- USD 60,011.52 0.70 318.00 VERISK ANALYTICS INC USD 54,123.60 0.63 5,250.00 VERIZON COMMUNICATIONS INC USD 289,432.50 3.39 2,881.00 VIRTU FINANCL -A- USD 67,991.60 0.79 280.00 VISA INC -A- USD 54,087.60 0.63 1,939.00 WALMART INC USD 232,253.42 2.72 470.00 WALT DISNEY CO USD 52,409.70 0.61 884.00 WASTE MANAGEMENT INC USD 93,624.44 1.09 276.00 WEST PHARMACEUTICAL SERVICES INC USD 62,698.92 0.73 492.00 YUM BRANDS INC USD 42,759.72 0.50 2,265.00 YUM CHINA HOLDINGS INC WI USD 108,878.55 1.27 583.00 3M CO USD 90,942.17 1.06

Total securities portfolio 8,511,770.77 99.40

The accompanying notes form an integral part of these financial statements Page 133 Natixis AM Funds - Seeyond US Minvol Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in USD

Income 155,325.58 Net dividends 155,041.69 Bank interest on cash account 283.89 Expenses 53,696.54 Management fees 33,020.94 Custodian fees 2,970.29 Taxe d'abonnement 892.93 Administration fees 2,833.67 Domiciliation fees 399.64 Professional fees 250.93 Bank interest on overdrafts 163.65 Legal fees 42.13 Transaction fees Note 2k) 10,218.06 Other expenses 2,904.30

Net income from investments 101,629.04 Net realised profit / (loss) on: - sales of investment securities -883,436.77 - foreign exchange -433.86

Net realised loss -782,241.59 Movement in net unrealised appreciation / (depreciation) on: - investments -75,425.79

Decrease in net assets as a result of operations -857,667.38

Decrease in net assets -857,667.38

Net assets at the beginning of the year 9,420,861.93

Net assets at the end of the year 8,563,194.55

The accompanying notes form an integral part of these financial statements Page 134 Natixis AM Funds - Seeyond Global Minvol

Page 135 Natixis AM Funds - Seeyond Global Minvol Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 441,384,352.37 Securities portfolio at market value Note 2a) 438,369,622.24 Cost price 414,809,051.08 Unrealised profit on the securities portfolio 23,560,571.16 Cash at banks and liquidities 2,173,574.76 Interest receivable 13,442.90 Brokers receivable 67,998.24 Subscriptions receivable 263,310.28 Dividends receivable 496,403.95 Liabilities 2,483,950.71 Bank overdrafts 23,242.27 Redemptions payable 248,761.37 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 815.41 Accrued expenses 1,902,034.01 Other liabilities 309,097.65

Net asset value 438,900,401.66

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class M (EUR) - Distribution 4,725.96 144.76 1,211.69 3,659.03

Class SI (EUR) 81,539.28 45,405.92 109,145.20 17,800.00

Class N1 (EUR) (**) 87,548.44 236,919.29 269,741.10 54,726.63

Class I (EUR) 6,100.81 3,123.44 5,116.21 4,108.04

Class I (EUR) - Distribution 114,800.00 2,731.87 2,731.87 114,800.00

Class I (H-USD) 56.51 67.31 22.18 101.64

Class N (EUR) 6,426.19 62,085.47 35,234.75 33,276.91

Class R (EUR) 1,207,685.14 594,171.83 278,974.15 1,522,882.82

Class R (EUR) - Distribution (*) 2,502.00 5,598.86 955.29 7,145.57

Class R (H-USD) 3,266.34 464.77 2,502.19 1,228.92

The accompanying notes form an integral part of these financial statements Page 136 Natixis AM Funds - Seeyond Global Minvol Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class RE (EUR) 366.61 4,248.36 1,130.42 3,484.55

Class RE (EUR) - Distribution (***) 0.00 18.70 18.70 0.00

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 438,900,401.66 474,802,011.36 319,131,200.06 Class M (EUR) - Distribution Number of shares 3,659.03 4,725.96 5,131.84 Net asset value per share EUR 14,326.13 15,552.67 14,577.48 Class SI (EUR) Number of shares 17,800.00 81,539.28 181,265.76 Net asset value per share EUR 103.49 109.98 101.12 Class N1 (EUR) (**) Number of shares 54,726.63 87,548.44 0.00 Net asset value per share EUR 97.56 104.04 0.00 Class I (EUR) Number of shares 4,108.04 6,100.81 3,138.60 Net asset value per share EUR 19,787.52 21,093.28 19,451.11 Class I (EUR) - Distribution Number of shares 114,800.00 114,800.00 94,600.00 Net asset value per share EUR 107.26 116.47 109.17 Class I (H-USD) Number of shares 101.64 56.51 15.10 Net asset value per share USD 18,388.28 19,129.54 17,162.58 Class N (EUR) Number of shares 33,276.91 6,426.19 1,789.44 Net asset value per share EUR 99.67 106.40 98.26 Class R (EUR) Number of shares 1,522,882.82 1,207,685.14 834,724.23 Net asset value per share EUR 183.55 197.80 184.40 Class R (EUR) - Distribution (*) Number of shares 7,145.57 2,502.00 0.00 Net asset value per share EUR 97.75 106.18 0.00 Class R (H-USD) Number of shares 1,228.92 3,266.34 2,907.32 Net asset value per share USD 113.91 119.70 108.52 Class RE (EUR) Number of shares 3,484.55 366.61 187.72 Net asset value per share EUR 104.66 113.59 106.62

(*) Launched on 21/09/18. (**) Launched on 14/05/19. (***) Closed on 30/04/20.

The accompanying notes form an integral part of these financial statements Page 137 Natixis AM Funds - Seeyond Global Minvol Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 438,900,401.66 474,802,011.36 319,131,200.06 Class RE (EUR) - Distribution (***) Number of shares 0.00 0.00 0.00 Net asset value per share EUR 0.00 0.00 0.00

(*) Launched on 21/09/18. (**) Launched on 14/05/19. (***) Closed on 30/04/20.

The accompanying notes form an integral part of these financial statements Page 138 Natixis AM Funds - Seeyond Global Minvol Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 438,369,622.24 99.88 exchange listing and/or dealt in on another regulated market Shares 438,345,678.36 99.87 Australia 10,903,741.48 2.48 3,938,010.00 MEDIBANK PRIVATE LTD AUD 7,217,954.94 1.64 1,920,966.00 TELSTRA CORP AUD 3,685,786.54 0.84 Belgium 5,786,970.44 1.32 62,512.00 COLRUYT EUR 3,061,212.64 0.70 26,438.00 UCB EUR 2,725,757.80 0.62 Bermuda 6,528,236.22 1.49 673,384.00 CHINA RESOURCES GAS GROUP LTD HKD 2,920,205.86 0.67 787,161.00 CK INFRASTRUCTURE HOLDINGS LTD HKD 3,608,030.36 0.82 Canada 46,559,685.36 10.61 212,863.00 BARRICK GOLD CAD 5,083,108.61 1.16 336,527.00 DOLLARAMA INC CAD 9,934,668.62 2.26 156,652.00 EMPIRE -A- NON VOTING CAD 3,329,143.01 0.76 67,921.00 FORTIS INC CAD 2,292,375.38 0.52 26,547.00 FRANCO-NEVADA CORP CAD 3,291,151.20 0.75 235,709.00 KINROSS GOLD CORP CAD 1,510,016.80 0.34 63,313.00 LOBLAW COMPANIES CAD 2,736,148.02 0.62 113,735.00 METRO -A- SUB VTG CAD 4,163,529.99 0.95 57,975.00 OPEN TEXT CAD 2,184,839.84 0.50 358,435.00 QUEBECOR -B- SUBORD.VOTING CAD 6,834,808.92 1.56 147,520.00 SHAW COMMUNICATIONS -B- NON.VOTING CAD 2,135,050.04 0.49 36,702.00 WASTE CONNECTIONS INC USD 3,064,844.93 0.70 Cayman Islands 6,515,892.02 1.48 3,143,050.00 HKT LTD - STAPLED SECURITY HKD 4,094,473.49 0.93 7,749,385.00 SOHO CHINA HKD 2,421,418.53 0.55 China 5,173,682.87 1.18 6,369,345.00 AGRICULTURAL BANK OF CHINA -H- HKD 2,282,880.02 0.52 2,780,585.00 ZHAOJIN MINING INDUSTRY COMPANY LTD -H- HKD 2,890,802.85 0.66 Denmark 2,321,034.76 0.53 25,613.00 VESTAS WIND SYSTEMS AS DKK 2,321,034.76 0.53 Finland 2,409,557.98 0.55 39,359.00 KONE -B- EUR 2,409,557.98 0.55 France 20,959,842.59 4.78 159,684.00 ALSTOM SA EUR 6,612,514.44 1.50 53,427.00 CASINO GUICHARD PERRACHON SA EUR 1,757,748.30 0.40 53,847.00 DANONE EUR 3,314,821.32 0.76 16,817.00 ESSILORLUXOTTICA SA EUR 1,921,342.25 0.44 7,448.00 EUROFINS SCIENTIFIC EUR 4,160,452.80 0.95 139,797.00 VIVENDI SA EUR 3,192,963.48 0.73 Germany 16,447,689.67 3.75 27,693.00 DEUTSCHE BOERSE AG REG SHS EUR 4,459,957.65 1.02 185,077.00 DEUTSCHE TELEKOM AG REG SHS EUR 2,765,975.77 0.63 113,183.00 DEUTSCHE WOHNEN AG EUR 4,521,660.85 1.03 68,068.00 SCOUT24 EUR 4,700,095.40 1.07 Hong Kong 13,874,586.77 3.16 673,968.00 CHINA L&P HLDGS HKD 5,884,188.65 1.34 5,936,613.00 PCCW LTD HKD 3,014,357.29 0.69 625,504.00 POWER ASSETS HOLDINGS HKD 3,028,735.79 0.69 267,580.00 THE LINK REIT UNITS HKD 1,947,305.04 0.44 Hungary 3,049,190.84 0.69 165,760.00 RICHTER GEDEON HUF 3,049,190.84 0.69 Ireland 2,926,038.40 0.67 26,528.00 KERRY GROUP -A- EUR 2,926,038.40 0.67 Israel 2,323,743.31 0.53 521,822.00 BANK LEUMI LE-ISRAEL (IL604611) ILS 2,323,743.31 0.53 Italy 13,058,319.86 2.98 252,611.00 ASSICURAZIONI GENERALI SPA EUR 3,402,670.17 0.78 138,868.00 RECORDATI SPA EUR 6,172,682.60 1.41 803,638.00 SNAM SPA EUR 3,482,967.09 0.79 Japan 56,758,224.77 12.93 186,800.00 CHUGOKU ELECTRIC POWER CO JPY 2,221,477.82 0.51

The accompanying notes form an integral part of these financial statements Page 139 Natixis AM Funds - Seeyond Global Minvol Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 327,500.00 DON QUIJOTE HLD JPY 6,402,911.42 1.46 329,500.00 JAPAN TOBACCO JPY 5,442,671.74 1.24 152,500.00 KANSAI PAINT CO LTD JPY 2,860,687.43 0.65 25,300.00 MEIJI HLDGS JPY 1,791,467.52 0.41 346,200.00 NIPPON TELEGRAPH AND TELEPHONE CORP JPY 7,187,080.58 1.64 26,700.00 NITORI JPY 4,654,886.63 1.06 300,600.00 NTT DOCOMO INC JPY 7,149,638.47 1.63 104,500.00 ONO PHARMACEUTICAL CO LTD JPY 2,705,402.82 0.62 938,600.00 SEVEN BANK JPY 2,285,092.02 0.52 16,600.00 SHIMANO INC JPY 2,842,675.71 0.65 63,100.00 SUNDRUG CO LTD JPY 1,859,082.68 0.42 368,573.00 TOKYO GAS CO LTD JPY 7,847,735.41 1.78 12,300.00 TSURUHA HOLDINGS INC JPY 1,507,414.52 0.34 Malaysia 10,726,493.56 2.44 3,620,075.00 DIALOG GROUP BHD MYR 2,715,441.75 0.62 740,500.00 HONG LEONG BANK BHD MYR 2,166,423.90 0.49 2,934,986.00 IHH HEALHCARE BHD MYR 3,354,165.17 0.76 744,455.00 TOP GLOVE CORPORATION BHD MYR 2,490,462.74 0.57 New Zealand 2,399,557.88 0.55 918,094.00 SPARK NEW NZD 2,399,557.88 0.55 Norway 2,200,072.80 0.50 71,392.00 YARA INTERNATIONAL ASA NOK 2,200,072.80 0.50 Singapore 15,225,864.62 3.47 367,000.00 SINGAPORE EXCHANGE LTD SGD 1,953,460.77 0.45 1,298,000.00 SINGAPORE TECHNOLOGIES ENGINEERING SGD 2,733,765.20 0.62 3,377,726.00 SINGAPORE TELECOM - SH BOARD LOT 1000 SGD 5,303,127.91 1.21 507,000.00 VENTURE CORPORATION LIMITED SGD 5,235,510.74 1.19 South Korea 7,170,659.83 1.63 14,266.00 SK TELEKOM KRW 2,228,103.87 0.51 77,824.00 S1 CORP KRW 4,942,555.96 1.12 Spain 3,330,780.35 0.76 200,589.00 RED ELECTRICA EUR 3,330,780.35 0.76 Switzerland 17,785,786.87 4.05 24.00 CHOCOLADEFABRIKEN LINDT.SPRUENGLI NOM. CHF 1,835,658.91 0.42 21,406.00 KUEHNE + NAGEL INTERNATIONAL AG CHF 3,165,895.61 0.72 31,877.00 NESTLE SA REG SHS CHF 3,137,229.96 0.71 27,261.00 SCHINDLER HOLDING SA CHF 5,712,194.50 1.30 22,222.00 SWISS PRIME SITE AG-NAMEN AKT CHF 1,829,125.86 0.42 4,519.00 SWISSCOM SHS NOM CHF 2,105,682.03 0.48 Taiwan 7,672,987.68 1.75 1,199,987.00 FAR EASTONE TELECOMMUNICATION CO LTD TWD 2,462,403.16 0.56 229,589.00 PRESIDENT CHAIN STORE CORP TWD 2,054,231.95 0.47 946,563.00 TAIWAN MOBILE TWD 3,156,352.57 0.72 The Netherlands 11,621,307.37 2.65 34,389.00 HEINEKEN HOLDING EUR 2,505,238.65 0.57 28,640.00 JUST EAT TAKEAWAY.COM N.V EUR 2,656,646.40 0.61 107,956.00 KONINKLIJKE AHOLD NV EUR 2,619,012.56 0.60 81,572.00 KONINKLIJKE VOPAK EUR 3,840,409.76 0.87 United Kingdom 9,979,848.07 2.27 204,825.00 GLAXOSMITHKLINE PLC GBP 3,687,751.32 0.84 109,389.00 IMPERIAL BRANDS - REGISTERED GBP 1,851,429.89 0.42 219,073.00 SEGRO (REIT) GBP 2,156,989.38 0.49 910,067.00 TESCO PLC GBP 2,283,677.48 0.52 United States of America 134,635,881.99 30.67 39,517.00 AKAMAI TECHNOLOGIES USD 3,767,863.18 0.86 69,622.00 BRISTOL-MYERS SQUIBB CO USD 3,644,903.71 0.83 98,617.00 CAMPBELL SOUP CO USD 4,357,709.75 0.99 37,412.00 CBOE HOLDINGS INC USD 3,107,146.29 0.71 25,133.00 CLOROX CO USD 4,908,895.70 1.12 19,692.00 CME GROUP -A- USD 2,849,786.48 0.65 17,640.00 DOLLAR GENERAL USD 2,992,117.17 0.68 34,660.00 DOLLAR TREE INC USD 2,860,071.05 0.65 11,598.00 DOMINO PIZZA INC USD 3,814,953.59 0.87 21,089.00 DTE ENERGY COMPANY USD 2,018,490.41 0.46 21,239.00 DUKE ENERGY CORP USD 1,510,736.51 0.34

The accompanying notes form an integral part of these financial statements Page 140 Natixis AM Funds - Seeyond Global Minvol Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets 26,707.00 ELECTRONIC ARTS - REGISTERED USD 3,139,971.82 0.72 27,233.00 ENTERGY CORP USD 2,274,609.56 0.52 44,325.00 EVERGY USD 2,339,873.79 0.53 47,765.00 FIRSTENERGY CORP USD 1,649,224.68 0.38 50,627.00 FLIR SYSTEMS INC USD 1,828,729.37 0.42 54,430.00 GENERAL MILLS INC USD 2,987,677.07 0.68 19,194.00 GLOBAL PAYMENTS INC USD 2,898,710.13 0.66 35,583.00 JOHNSON AND JOHNSON USD 4,455,359.74 1.02 153,076.00 KELLOGG USD 9,003,428.36 2.04 188,443.00 KEURIG DR PEPPR --- REGISTERED SHS USD 4,764,974.58 1.09 297,833.00 KROGER CO USD 8,976,224.95 2.04 11,734.00 MCDONALD'S CORP USD 1,927,232.32 0.44 27,801.00 MICROSOFT CORP USD 5,037,422.88 1.15 26,864.00 MOTOROLA SOLUTIONS INC USD 3,351,691.51 0.76 39,424.00 NEUROCRINE BIOSCIENCES USD 4,282,355.87 0.98 11,211.00 NEXTERA ENERGY USD 2,397,316.36 0.55 23,802.00 PROCTER AND GAMBLE CO USD 2,533,949.29 0.58 21,205.00 SAREPTA THERAPEUTICS USD 3,027,208.92 0.69 71,438.00 TAKE TWO INTERACTIVE SOFTWARE INC USD 8,877,355.35 2.01 15,066.00 THERMO FISHER SCIEN SHS USD 4,860,450.02 1.11 268,831.00 VERIZON COMMUNICATIONS INC USD 13,195,613.26 3.00 46,826.00 WALMART INC USD 4,993,828.32 1.14 Warrants, Rights 23,943.88 0.01 Thailand 23,943.88 0.01 729,107.00 BTS GROUP HOLDINGS PUBLIC 29.05.20 WAR THB 23,943.88 0.01

Total securities portfolio 438,369,622.24 99.88

The accompanying notes form an integral part of these financial statements Page 141 Natixis AM Funds - Seeyond Global Minvol Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 12,675,657.89 Net dividends Note 2i) 12,386,963.80 Bank interest on cash account 156,273.74 Securities lending income, net Note 2l), 9 92,861.67 Other income 1.88 Income on repurchase transactions Note 2l), 10 39,556.80 Expenses 8,029,823.67 Management fees Note 3 5,598,918.90 Custodian fees 97,532.29 Taxe d'abonnement Note 5 166,217.39 Administration fees Note 3 283,890.77 Domiciliation fees 375.00 Professional fees 13,352.51 Bank interest on overdrafts 290,275.93 Legal fees 2,308.25 Transaction fees Note 2k) 1,162,420.71 Expenses on repurchase and reverse repurchase transactions 13,598.55 Other expenses 400,933.37

Net income from investments 4,645,834.22 Net realised profit / (loss) on: - sales of investment securities Note 2h) -37,556,707.57 - forward foreign exchange contracts 38,791.37 - foreign exchange 1,530,013.85

Net realised loss -31,342,068.13 Movement in net unrealised appreciation / (depreciation) on: - investments -11,062,932.59 - forward foreign exchange contracts 20,510.74

Decrease in net assets as a result of operations -42,384,489.98 Dividends paid Note 6 -1,859,406.08 Subscription capitalisation shares 226,138,258.58 Subscription distribution shares 3,157,004.55 Redemption capitalisation shares -201,635,417.92 Redemption distribution shares -19,317,558.85

Decrease in net assets -35,901,609.70

Net assets at the beginning of the year 474,802,011.36

Net assets at the end of the year 438,900,401.66

The accompanying notes form an integral part of these financial statements Page 142 Natixis AM Funds - Seeyond Equity Volatility Strategies

Page 143 Natixis AM Funds - Seeyond Equity Volatility Strategies Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 13,997,158.33 Securities portfolio at market value Note 2a) 9,304,530.26 Cost price 9,364,971.23 Unrealised loss on the securities portfolio -60,440.97 Options purchased at market value Note 2d) 2,177,935.79 Options purchased at cost 2,365,692.81 Cash at banks and liquidities 1,895,172.49 Brokers receivable 543,507.70 Net unrealised appreciation on financial futures Note 2c) 76,012.09 Liabilities 1,916,515.26 Options sold at market value Note 2d) 664,330.65 Options sold at cost 742,654.40 Bank overdrafts 1,155,294.04 Brokers payable 21,859.81 Redemptions payable 11,550.98 Net unrealised depreciation on forward foreign exchange contracts Note 2b) 26,065.63 Accrued expenses 30,039.53 Other liabilities 7,374.62

Net asset value 12,080,643.07

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class I (EUR) 570.95 30.88 370.43 231.40

Class R (EUR) 499.29 6,173.71 4,898.13 1,774.87

Class R (H-SGD) 20,707.37 315,589.05 316,938.92 19,357.50

Class R (H-USD) 216.68 9,497.20 6,171.88 3,542.00

The accompanying notes form an integral part of these financial statements Page 144 Natixis AM Funds - Seeyond Equity Volatility Strategies Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 12,080,643.07 21,450,194.40 36,911,949.36 Class I (EUR) Number of shares 231.40 570.95 1,011.40 Net asset value per share EUR 40,379.77 35,171.08 36,111.31 Class R (EUR) Number of shares 1,774.87 499.29 501.74 Net asset value per share EUR 766.99 672.49 694.91 Class R (H-SGD) Number of shares 19,357.50 20,707.37 542.33 Net asset value per share SGD 88.39 75.80 76.64 Class R (H-USD) Number of shares 3,542.00 216.68 216.68 Net asset value per share USD 89.89 76.88 76.99

The accompanying notes form an integral part of these financial statements Page 145 Natixis AM Funds - Seeyond Equity Volatility Strategies Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 8,564,577.62 70.89 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 8,564,577.62 70.89 France 2,002,263.31 16.57 1,000,000.00 BNPISPAR PAR ZCP 040920 EUR 1,001,127.01 8.29 1,000,000.00 SOCIETE GENERALE SA ZCP 040920 EUR 1,001,136.30 8.28 Italy 3,002,059.79 24.85 3,000,000.00 ITAL BUON ORDI DEL ZCP 31-08-20 EUR 3,002,059.79 24.85 United States of America 3,560,254.52 29.47 1,500,000.00 UNIT STAT TREA BIL ZCP 03-09-20 USD 1,335,080.06 11.05 1,300,000.00 UNIT STAT TREA BIL ZCP 20-08-20 USD 1,157,099.74 9.58 1,200,000.00 UNIT STAT TREA BIL ZCP 27-08-20 USD 1,068,074.72 8.84

Shares/Units of UCITS/UCI 739,952.64 6.13 Shares/Units in investment funds 739,952.64 6.13 France 739,952.64 6.13 18.00 OSTRUM CASH EURIBOR SICAV -R- CAP EUR 739,952.64 6.13

Total securities portfolio 9,304,530.26 77.02

The accompanying notes form an integral part of these financial statements Page 146 Natixis AM Funds - Seeyond Equity Volatility Strategies Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 104,008.07 Net interest on bonds Note 2i) 84,101.23 Bank interest on cash account 19,906.84 Expenses 230,099.98 Management fees Note 3 98,990.10 Custodian fees 2,879.11 Taxe d'abonnement Note 5 3,041.38 Administration fees Note 3 2,836.48 Domiciliation fees 375.00 Professional fees 490.70 Bank interest on overdrafts 8,585.06 Legal fees 65.97 Transaction fees Note 2k) 99,381.10 Other expenses 13,455.08

Net loss from investments -126,091.91 Net realised profit / (loss) on: - sales of investment securities Note 2h) -18,115.98 - options -906,923.60 - forward foreign exchange contracts -281,545.49 - financial futures 1,191,719.28 - foreign exchange 168,556.32

Net realised profit 27,598.62 Movement in net unrealised appreciation / (depreciation) on: - investments 17,730.67 - options 1,498,665.97 - forward foreign exchange contracts -73,056.94 - financial futures 47,062.54

Increase in net assets as a result of operations 1,518,000.86 Subscription capitalisation shares 24,365,832.23 Redemption capitalisation shares -35,253,384.42

Decrease in net assets -9,369,551.33

Net assets at the beginning of the year 21,450,194.40

Net assets at the end of the year 12,080,643.07

The accompanying notes form an integral part of these financial statements Page 147 Natixis AM Funds - Ostrum Global Emerging Bonds

Page 148 Natixis AM Funds - Ostrum Global Emerging Bonds Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in USD

Assets 122,494,142.75 Securities portfolio at market value Note 2a) 112,972,482.94 Cost price 118,368,503.23 Unrealised loss on the securities portfolio -5,396,020.29 Cash at banks and liquidities 6,382,374.77 Interest receivable 1,636,867.36 Brokers receivable 1,451,035.46 Net unrealised appreciation on forward foreign exchange contracts Note 2b) 51,382.22 Liabilities 2,269,151.13 Bank overdrafts 7,580.04 Brokers payable 1,000,116.15 Redemptions payable 915,115.20 Net unrealised depreciation on financial futures Note 2c) 2,312.50 Accrued expenses 248,992.36 Other liabilities 95,034.88

Net asset value 120,224,991.62

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class SI (H-EUR) 244,700.00 240,750.00 172,350.00 313,100.00

Class I (EUR) 5,808.19 0.00 0.00 5,808.19

Class I (H-EUR) 393.84 20.10 102.56 311.38

Class I (USD) 43.00 33.00 60.00 16.00

Class N (H-EUR) 27,201.63 4,273.65 11,633.76 19,841.52

Class R (EUR) 1,882.84 0.00 1,776.89 105.95

Class R (H-EUR) 43,356.52 10,286.97 32,793.83 20,849.66

Class R (USD) 5,540.71 273.32 103.23 5,710.80

Class SI (EUR) (*) 0.00 84,550.00 35,550.00 49,000.00

The accompanying notes form an integral part of these financial statements Page 149 Natixis AM Funds - Ostrum Global Emerging Bonds Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets USD 120,224,991.62 145,472,724.26 125,289,288.09 Class SI (H-EUR) Number of shares 313,100.00 244,700.00 167,900.00 Net asset value per share EUR 99.60 101.92 94.77 Class I (EUR) Number of shares 5,808.19 5,808.19 122,944.00 Net asset value per share EUR 115.10 113.06 99.77 Class I (H-EUR) Number of shares 311.38 393.84 334.93 Net asset value per share EUR 181,291.55 186,049.10 173,531.28 Class I (USD) Number of shares 16.00 43.00 16.00 Net asset value per share USD 152,523.69 151,897.32 137,441.86 Class N (H-EUR) Number of shares 19,841.52 27,201.63 7,788.27 Net asset value per share EUR 101.66 104.47 97.56 Class R (EUR) Number of shares 105.95 1,882.84 12,014.06 Net asset value per share EUR 109.08 107.68 95.53 Class R (H-EUR) Number of shares 20,849.66 43,356.52 39,506.02 Net asset value per share EUR 432.89 446.93 419.16 Class R (USD) Number of shares 5,710.80 5,540.71 5,764.98 Net asset value per share USD 146.38 146.57 133.34 Class SI (EUR) (*) Number of shares 49,000.00 0.00 0.00 Net asset value per share EUR 97.28 0.00 0.00

(*) Launched on 27/09/19.

The accompanying notes form an integral part of these financial statements Page 150 Natixis AM Funds - Ostrum Global Emerging Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 103,436,494.05 86.04 exchange listing and/or dealt in on another regulated market Bonds and money market instruments 102,786,075.05 85.50 Angola 763,063.50 0.63 600,000.00 ANGOLA 9.375 18-48 09/05S USD 491,043.00 0.40 300,000.00 ANGOLA 9.50 15-25 12/11S USD 272,020.50 0.23 Argentina 1,817,903.76 1.51 500,000.00 ARGENTINA 5.625 17-22 26/01S USD 208,130.00 0.17 2,000,000.00 ARGENTINA 7.50 17-26 22/04S USD 815,350.00 0.67 1,700,000.00 ARGENTINA (DEFAULT) 7.125 17-36 06/07S USD 667,301.00 0.56 285,826.48 ARGENTINA REPU 8.28 09-33 31/12S USD 127,122.76 0.11 Azerbaidjan 1,146,924.00 0.95 300,000.00 AZERBAIDJAN 3.50 17-32 01/09S USD 293,388.00 0.24 800,000.00 AZERBAIDJAN 4.75 14-24 18/03S USD 853,536.00 0.71 Bahrain 2,927,078.00 2.43 900,000.00 BAHRAIN 7.00 15-26 26/01S USD 1,002,897.00 0.83 700,000.00 BAHREIN REGS 6.00 14-44 19/09S USD 694,375.50 0.58 1,100,000.00 BAHREIN 7.00 16-28 12/10S USD 1,229,805.50 1.02 Brazil 2,206,751.00 1.84 300,000.00 BNDES REGS 4.75 17-24 09/05S USD 315,459.00 0.26 600,000.00 BRAZIL 4.625 17-28 13/01S USD 631,086.00 0.52 400,000.00 BRAZIL 5.625 09-41 07/01S USD 417,238.00 0.35 700,000.00 BRAZIL 7.125 06-37 20/01S USD 842,968.00 0.71 Chile 2,633,926.50 2.19 1,200,000.00 CODELCO 4.875 14-44 04/11S USD 1,432,170.00 1.19 300,000.00 CODELCO INC 3.15 20-30 14/01S USD 313,192.50 0.26 400,000.00 EMPRESA NACIONAL 5.2500 18-29 06/11S USD 448,682.00 0.37 400,000.00 REPUBLIC OF CHILE 3.24 18-28 02/02S USD 439,882.00 0.37 Colombia 3,901,011.50 3.24 700,000.00 COLOMBIA 2.625 13-23 15/03S USD 710,279.50 0.59 1,200,000.00 COLOMBIA 6.125 09-41 18/01S USD 1,501,422.00 1.25 1,000,000.00 COLOMBIA 3.875 17-27 25/04S USD 1,058,410.00 0.88 600,000.00 ECOPETROL 5.875 14-45 28/05S USD 630,900.00 0.52 Costa Rica 1,286,571.00 1.07 700,000.00 COSTA RICA REGS 4.375 13-25 30/04S USD 626,675.00 0.52 800,000.00 COSTA RICA REGS 7.000 14-44 04/04S USD 659,896.00 0.55 Croatia 802,774.00 0.67 700,000.00 CROATIA REGS 6.00 13-24 26/01S USD 802,774.00 0.67 Dominican Republic 3,872,722.50 3.22 1,200,000.00 DOMINICAN REPUBLIC 5.50 15-25 27/01S USD 1,217,076.00 1.01 1,300,000.00 DOMINICAN REPUBLIC 5.95 17-27 25/01S USD 1,313,136.50 1.09 1,300,000.00 DOMINICAN REPUBLIC 7.45 14-44 30/04S USD 1,342,510.00 1.12 Ecuador 1,383,137.50 1.15 1,300,000.00 ECUADOR 7.875 18-28 23/01S USD 538,999.50 0.45 700,000.00 ECUADOR (DEFAULT) 9.65 16-26 13/12S USD 301,112.00 0.25 1,100,000.00 ECUADOR 7.95 14-24 20/06S USD 543,026.00 0.45 Egypt 4,022,009.00 3.35 900,000.00 ARAB REPUBLIC EGYPT 5.875 15-25 11/06S USD 908,554.50 0.76 400,000.00 ARAB REPUBLIC O 8.1500 19-59 20/11S USD 373,484.00 0.31 300,000.00 ARAB REPUBLIC OF EGYP 7.053 19-32 15/01S USD 285,853.50 0.24 900,000.00 EGYPT 7.50 17-27 31/01S USD 946,017.00 0.79 600,000.00 EGYPT 8.50 17-47 31/01S USD 588,957.00 0.49 900,000.00 EGYPT GOVERN INTERN 7.6003 19-29 01/03S USD 919,143.00 0.76 El Salvador 699,360.00 0.58 400,000.00 EL SALVADOR REGS 5.875 12-25 30/01S USD 352,502.00 0.29 400,000.00 EL SALVADOR 6.375 14-27 18/01S USD 346,858.00 0.29 Georgia 203,848.00 0.17 200,000.00 GEORG RAILWAY REGS 7.75 12-22 11/07S USD 203,848.00 0.17 Ghana 2,449,524.00 2.04 800,000.00 GHANA 8.125 19-32 26/03S USD 754,992.00 0.63 600,000.00 GHANA 8.6270 18-49 16/06S USD 544,944.00 0.45 300,000.00 GHANA REGS 8.125 14-26 18/01S USD 305,388.00 0.25 900,000.00 REPUBLIC OF GHA 6.3750 20-27 11/02S USD 844,200.00 0.71

The accompanying notes form an integral part of these financial statements Page 151 Natixis AM Funds - Ostrum Global Emerging Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets

Guatemala 419,848.00 0.35 400,000.00 GUATEMALA 5.75 12-22 06/06S USD 419,848.00 0.35 Honduras 267,790.00 0.22 250,000.00 HONDURAS 6.25 17-27 19/01S USD 267,790.00 0.22 Hungary 1,295,505.50 1.08 400,000.00 HUNGARY 5.75 13-23 22/11S USD 455,188.00 0.38 500,000.00 HUNGARY (REPUBLIC OF) 7.625 11-41 29/03S USD 840,317.50 0.70 India 1,036,940.00 0.86 1,000,000.00 EXP IMP BK INDIA REGS 3.375 16-25 05/08S USD 1,036,940.00 0.86 Indonesia 6,226,004.50 5.17 500,000.00 INDONESIA 4.35 16-27 08/01S USD 556,547.50 0.46 300,000.00 INDONESIA ASAHAN 5.4500 20-30 15/05S USD 334,104.00 0.28 2,000,000.00 INDONESIA 5.375 13-23 17/10S USD 2,224,740.00 1.84 600,000.00 PERTAMINA REGS 6.00 12-42 03/05S USD 715,803.00 0.60 1,400,000.00 PERUSAHAAN LISTRIK 4.125 17-27 15/05S USD 1,486,674.00 1.23 800,000.00 PT BK NEGARA REGS 5.25 12-42 24/10S USD 908,136.00 0.76 Ivory Coast 600,714.00 0.50 600,000.00 IVORY COAST 6.125 17-33 15/06S USD 600,714.00 0.50 Jamaica 1,656,680.00 1.38 800,000.00 JAMAICA (GOV.OF) 7.875 15-45 28/07S USD 981,680.00 0.82 600,000.00 JAMAICA (GOVT OF) 6.75 15-28 28/04S USD 675,000.00 0.56 Kazakhstan 2,280,337.50 1.90 300,000.00 BANK OF KAZAKHSTAN 4.125 12-22 10/12S USD 313,714.50 0.26 700,000.00 KAZAKHSTAN 6.50 15-45 21/07S USD 1,037,351.00 0.87 800,000.00 KAZAKHSTAN REGS 5.125 15-25 21/07S USD 929,272.00 0.77 Kenya 1,099,884.50 0.91 300,000.00 KENYA 7.25 18-28 28/02S USD 296,764.50 0.25 400,000.00 KENYA 8.25 18-48 28/02S USD 395,460.00 0.33 400,000.00 KENYA 6.875 14-24 24/06S USD 407,660.00 0.33 Lebanon 433,999.00 0.36 1,000,000.00 LEBANESE REPUBLIC 6.00 12-23 27/01S USD 182,300.00 0.15 1,400,000.00 LEBANON -DEFAULTED 6.85 17-27 23/03S USD 251,699.00 0.21 Malaysia 1,700,174.00 1.41 400,000.00 PETRONAS CAPITAL LTD 3.5000 20-30 21/04S USD 443,594.00 0.37 1,000,000.00 PETRONAS CAPITAL REGS 4.50 15-45 18/03S USD 1,256,580.00 1.04 Mexico 4,182,246.79 3.48 500,000.00 MEXICAN STATES 3.60 14-25 30/01S USD 530,162.50 0.44 1,000,000.00 MEXICO 6.05 07-40 11/01S USD 1,222,555.00 1.02 860,000.00 PEMEX 4.50 16-26 23/01S USD 756,666.70 0.63 800,000.00 PEMEX PROJECT 6.50 11-41 02/06S USD 614,124.00 0.51 1,274,000.00 PETROLEOS MEXICANOS 7.69 19-50 23/01S USD 1,058,738.59 0.88 Micronesian Islands 652,425.00 0.54 600,000.00 KAZMUNAYGAS NATION 4.75 17-27 19/04S USD 652,425.00 0.54 Mongolia 648,831.00 0.54 600,000.00 MONGOLIA 8.75 17-24 09/03S USD 648,831.00 0.54 Morocco 812,323.50 0.68 300,000.00 OCP SA 5.625 14-24 25/04S USD 324,511.50 0.27 400,000.00 OCP SA 6.875 14-44 25/04S USD 487,812.00 0.41 Nigeria 1,581,519.00 1.32 500,000.00 NIGERIA 7.625 17-47 28/11S USD 447,435.00 0.37 1,200,000.00 NIGERIA 7.875 17-32 16/02S USD 1,134,084.00 0.95 Oman 2,655,066.50 2.21 1,300,000.00 OMAN 4.75 16-26 15/06S USD 1,204,970.00 1.00 900,000.00 OMAN 5.375 17-27 08/03S USD 842,724.00 0.70 700,000.00 OMAN 6.50 17-47 08/03S USD 607,372.50 0.51 Paraguay 1,914,300.00 1.59 400,000.00 PARAGUAY 5.00 16-26 15/04S USD 444,986.00 0.37 600,000.00 PARAGUAY 4.625 13-23 25/01S USD 632,856.00 0.52 500,000.00 PARAGUAY REGS 6.10 14-44 11/08S USD 613,400.00 0.51 200,000.00 REPUBLIC OF PAR 4.9500 20-31 28/04S USD 223,058.00 0.19 Peru 4,286,222.00 3.57 1,400,000.00 PERU 4.125 15-27 25/08S USD 1,609,426.00 1.34 600,000.00 PERU 5.625 10-50 18/11S USD 949,254.00 0.79 500,000.00 PERU (REP OF) 7.35 05-25 21/07S USD 637,060.00 0.53

The accompanying notes form an integral part of these financial statements Page 152 Natixis AM Funds - Ostrum Global Emerging Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets 700,000.00 PETROLEOS DEL PERU 4.75 17-32 19/06S USD 778,197.00 0.65 300,000.00 REPUBLIC OF PER 2.3920 20-26 23/01S USD 312,285.00 0.26 Philippines 2,680,115.00 2.23 1,400,000.00 PHILIPPINES 3.00 18-28 01/02S USD 1,514,135.00 1.26 1,000,000.00 PHILIPPINES REP OF 3.95 15-40 20/01S USD 1,165,980.00 0.97 Qatar 2,063,368.00 1.72 1,600,000.00 STATE OF QUATAR REGS 4.625 16-46 02/06S USD 2,063,368.00 1.72 Romania 2,362,054.00 1.96 1,200,000.00 ROMANIA REGS 4.875 14-24 22/01S USD 1,308,750.00 1.08 800,000.00 ROMANIA REGS 6.125 14-44 22/01S USD 1,053,304.00 0.88 Russia 4,014,856.00 3.34 1,800,000.00 RUSSIA 5.625 12-42 04/04S USD 2,447,640.00 2.04 1,400,000.00 RUSSIAN FEDERATION 4.25 17-27 23/06S USD 1,567,216.00 1.30 Saudi Arabia 2,271,100.50 1.89 1,100,000.00 SAUDI ARABIAN OIL COM 4.375 19-49 16/04S USD 1,241,960.50 1.03 1,000,000.00 SAUDI INTERNATI 2.7500 20-32 03/02S USD 1,029,140.00 0.86 Senegal 1,209,977.50 1.01 500,000.00 SENEGAL 6.75 18-48 13/03S USD 486,170.00 0.41 300,000.00 SENEGAL REGS 6.25 14-24 30/07S USD 315,223.50 0.26 400,000.00 SENEGAL 6.25 17-33 23/05S USD 408,584.00 0.34 South Africa 2,723,705.50 2.27 500,000.00 ESKOM HOLD SOC REGS 7.125 15-25 11/02S USD 464,997.50 0.39 1,000,000.00 SOUTH AFRICA 4.30 16-28 12/10S USD 930,255.00 0.77 600,000.00 SOUTH AFRICA 6.25 11-41 08/03A USD 584,598.00 0.49 700,000.00 SOUTH AFRICA 5.875 13-25 16/09S USD 743,855.00 0.62 Sri Lanka 1,854,086.00 1.54 1,000,000.00 SRI LANKA 5.875 12-22 25/07S USD 777,190.00 0.64 500,000.00 SRI LANKA 7.8500 19-29 14/03S USD 332,322.50 0.28 1,100,000.00 SRI LANKA 6.85 15-25 03/11S USD 744,573.50 0.62 Switzerland 497,622.00 0.41 600,000.00 ANGOLA 8.2500 18-28 09/05S USD 497,622.00 0.41 The Netherlands 764,554.00 0.64 700,000.00 PETROBRAS GLOBAL 7.25 14-44 17/03S USD 764,554.00 0.64 Turkey 3,951,155.50 3.29 800,000.00 TURKEY 3.25 13-23 23/03S USD 757,488.00 0.63 800,000.00 TURKEY 6.00 11-41 14/01S USD 693,212.00 0.58 200,000.00 TURKEY 5.75 17-47 11/05S USD 164,380.00 0.14 400,000.00 TURKEY 7.625 19-29 26/04S USD 422,302.00 0.35 1,200,000.00 TURKEY 6.00 17-27 25/03S USD 1,174,668.00 0.98 700,000.00 TURKEY 7.375 05-25 05/02S USD 739,105.50 0.61 Ukraine 3,480,690.50 2.90 1,700,000.00 UKRAINE 7.375 17-32 25/09S USD 1,709,749.50 1.42 1,700,000.00 UKRAINE 7.75 15-27 01/09S USD 1,770,941.00 1.48 United Arab Emirates 5,303,459.00 4.41 900,000.00 ABU DHABI GOVT 3.1250 19-49 30/09S USD 938,353.50 0.78 1,100,000.00 ABU DHABI GOVT INT 3.125 20-30 16/04S USD 1,211,545.50 1.01 2,000,000.00 ABU DHABI GVT INTERN 2.50 19-29 30/09S USD 2,100,750.00 1.74 1,000,000.00 EMIRATE OF ABU DHABI 2.50 20-25 16/04S USD 1,052,810.00 0.88 Uruguay 3,990,183.50 3.32 700,000.00 URUGUAY 4.375 15-27 27/10S USD 802,238.50 0.67 800,000.00 URUGUAY 4.50 13-24 14/08S USD 877,428.00 0.73 1,200,000.00 URUGUAY 5.10 14-50 18/06S USD 1,552,932.00 1.29 500,000.00 URUGUAY (PIK) 7.875 03-33 15/01S USD 757,585.00 0.63 Venezuela 336,321.00 0.28 2,300,000.00 VENEZUELA DEF 9.25 08-28 07/05S USD 145,866.00 0.12 3,000,000.00 VENEZUELA DEF 9.25 97-27 15/09S USD 190,455.00 0.16 Vietnam 876,452.00 0.73 800,000.00 VIETNAM REGS 4.80 14-24 19/11S USD 876,452.00 0.73 Zambia 538,960.00 0.45 600,000.00 ZAMBIA 8.50 14-24 14/04S USD 322,380.00 0.27 400,000.00 ZAMBIA 5.375 12-22 20/09S USD 216,580.00 0.18 Floating rate notes 650,419.00 0.54 Ukraine 650,419.00 0.54 700,000.00 UKRAINE FL.R 15-40 31/05A USD 650,419.00 0.54

The accompanying notes form an integral part of these financial statements Page 153 Natixis AM Funds - Ostrum Global Emerging Bonds Securities portfolio as at 30/06/20 Expressed in USD Quotation % of net Quantity Denomination Market value currency assets

Other transferable securities 9,535,988.89 7.93 Bonds and money market instruments 9,535,988.53 7.93 Argentina 1.53 0.00 300,375.00 ALPARGATAS SAIC 0.00 05-10 15/03A USD 0.03 0.00 1,500,000.00 BANCO MAYO COOP 9.125 97-99 30/06S USD 1.50 0.00 Indonesia 415,808.00 0.35 400,000.00 REPUBLIC OF INDONESIA 3.7 19-49 30/10S USD 415,808.00 0.35 Mexico 860,104.00 0.72 800,000.00 MEXICO 4.15 17-27 28/03S USD 860,104.00 0.72 Nigeria 716,600.50 0.60 700,000.00 NIGERIA 7.6250 18-25 21/11S USD 716,600.50 0.60 Philippines 1,261,068.00 1.05 1,200,000.00 PHILIPPINE GVT 2.457 20-30 05/05S USD 1,261,068.00 1.05 Qatar 3,819,443.50 3.17 1,500,000.00 STATE OF QATAR 3.25 16-26 02/06S USD 1,630,425.00 1.36 1,900,000.00 STATE OF QATAR 4.0000 19-29 14/03S USD 2,189,018.50 1.81 Saudi Arabia 2,462,963.00 2.04 600,000.00 SAUDI ARABIA 4.50 16-46 26/10S USD 690,900.00 0.57 1,700,000.00 SAUDI ARABIAN OIL COM 2.875 19-24 16/04S USD 1,772,063.00 1.47 Floating rate notes 0.36 0.00 Indonesia 0.36 0.00 35,530.00 ASIA PAC FIBERS FL.R 06-20 15/02 USD 0.36 0.00

Total securities portfolio 112,972,482.94 93.97

The accompanying notes form an integral part of these financial statements Page 154 Natixis AM Funds - Ostrum Global Emerging Bonds Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in USD

Income 6,647,676.06 Net dividends Note 2i) 50,581.13 Net interest on bonds Note 2i) 6,544,215.94 Bank interest on cash account 51,378.99 Interest on swaps 1,500.00 Expenses 1,178,769.13 Management fees Note 3 836,880.90 Custodian fees 18,186.01 Taxe d'abonnement Note 5 17,420.43 Administration fees Note 3 4,671.63 Domiciliation fees 399.64 Professional fees 3,400.73 Bank interest on overdrafts 10,173.21 Legal fees 607.87 Transaction fees Note 2k) 102,355.25 Interest on swaps 63,999.98 Other expenses 120,673.48

Net income from investments 5,468,906.93 Net realised profit / (loss) on: - sales of investment securities Note 2h) 1,435,647.44 - forward foreign exchange contracts -4,349,578.02 - financial futures 213,530.10 - swaps 263,528.78 - foreign exchange 590,839.89

Net realised profit 3,622,875.12 Movement in net unrealised appreciation / (depreciation) on: - investments -8,588,752.55 - forward foreign exchange contracts -2,163,379.64 - financial futures -26,227.50 - swaps -189,804.00

Decrease in net assets as a result of operations -7,345,288.57 Subscription capitalisation shares 51,025,055.07 Redemption capitalisation shares -68,927,499.14

Decrease in net assets -25,247,732.64

Net assets at the beginning of the year 145,472,724.26

Net assets at the end of the year 120,224,991.62

The accompanying notes form an integral part of these financial statements Page 155 Natixis AM Funds - Ostrum Global Emerging Equity

Page 156 Natixis AM Funds - Ostrum Global Emerging Equity Financial Statements as at 30/06/20 Statement of net assets as at 30/06/20 Expressed in EUR

Assets 285,469,112.04 Securities portfolio at market value Note 2a) 265,446,984.25 Cost price 228,378,319.25 Unrealised profit on the securities portfolio 37,068,665.00 Cash at banks and liquidities 16,087,414.33 Brokers receivable 3,709,838.05 Dividends receivable 224,875.41 Liabilities 2,287,682.51 Brokers payable 1,381,786.75 Redemptions payable 20,838.73 Accrued expenses 720,447.11 Other liabilities 164,609.92

Net asset value 283,181,429.53

Changes in number of shares outstanding from 01/07/19 to 30/06/20

Shares Shares outstanding as at Shares issued Shares redeemed outstanding as at 01/07/19 30/06/20

Class M (EUR) 1,193.96 43.62 83.24 1,154.34

Class I (EUR) 13,459.14 2,398.99 269.86 15,588.27

Class R (EUR) 163.19 48.39 112.06 99.52

Statistics

Year ending as at: 30/06/20 30/06/19 30/06/18

Total Net Assets EUR 283,181,429.53 261,337,305.98 238,993,924.65 Class M (EUR) Number of shares 1,154.34 1,193.96 1,219.00 Net asset value per share EUR 66,774.30 67,674.50 66,193.40 Class I (EUR) Number of shares 15,588.27 13,459.14 12,049.91 Net asset value per share EUR 13,220.76 13,412.13 13,129.86 Class R (EUR) Number of shares 99.52 163.19 725.69 Net asset value per share EUR 123.50 126.23 124.48

The accompanying notes form an integral part of these financial statements Page 157 Natixis AM Funds - Ostrum Global Emerging Equity Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets Transferable securities and money market instruments admitted to an official stock 265,446,984.25 93.74 exchange listing and/or dealt in on another regulated market Shares 265,446,984.25 93.74 Brazil 13,645,075.64 4.82 540,000.00 NOTRE DAME INTERMEDICA PARTICIPACOES SA BRL 5,955,148.37 2.11 275,000.00 RAIA DROGASIL SA BRL 4,932,787.42 1.74 734,483.00 TOTVS BRL 2,757,139.85 0.97 Cayman Islands 54,379,420.91 19.19 113,900.00 ALIBABA GR ADR USD 21,874,397.90 7.72 166,000.00 MEITUAN DIANPIN - SHS 114A/REG S HKD 3,278,065.93 1.16 359,000.00 SHENZHOU INTERNATIONAL GROUP HKD 3,851,900.36 1.36 416,000.00 TENCENT HLDG HKD 23,827,546.40 8.40 95,000.00 WUXI BIOLOGICS REG SHS UNIT 144A/REGS HKD 1,547,510.32 0.55 China 46,995,564.81 16.59 480,000.00 ANGEL YEAST CO LTD -A- CNY 2,989,257.73 1.06 29,800,000.00 CHINA TOWER HKD 4,689,975.24 1.66 1,654,540.00 HANGZHOU HIKVISION DIGITAL TECH -A- CNY 6,320,164.75 2.23 1,891,260.00 INNER MONGOLIA YI LI INDUSTRY CO LTD -A- CNY 7,410,078.20 2.61 32,452.00 KWEICHOW MOUTAI CO LTD CNY 5,975,064.57 2.11 658,000.00 PING AN INS (GRP) CO -H- HKD 5,858,161.16 2.07 1,460,000.00 SHANDONG WEIGAO GRP -H- HKD 2,891,504.26 1.02 340,000.00 SHANGHAI INTL AIRPORT -A- CNY 3,084,081.68 1.09 639,673.00 WUXI APP TEC CO LTD A CNY 7,777,277.22 2.74 Hong Kong 11,391,024.65 4.02 769,000.00 AIA GROUP LTD HKD 6,387,021.18 2.25 3,290,000.00 SUN ART RETAIL GROUP LTD HKD 5,004,003.47 1.77 India 29,080,579.12 10.27 163,000.00 ASIAN PAINTS LTD INR 3,243,488.95 1.15 203,000.00 HINDUSTAN UNILEVER INR 5,218,509.00 1.84 472,000.00 HOUSING DEVELOPMENT FINANCE CORP INR 9,766,217.78 3.45 278,000.00 TATA CONSULT.SERVICES SVS DEMATERIALISED INR 6,825,755.29 2.41 501,453.00 VARUN BEVERAGES LTD INR 4,026,608.10 1.42 Indonesia 6,835,751.45 2.41 2,571,000.00 BANK CENTRAL ASIA DEP IDR 4,562,968.79 1.61 3,900,000.00 INDOFOOD CBP SUKSES MAKMUT IDR 2,272,782.66 0.80 Kenya 5,470,226.58 1.93 22,849,251.00 SAFARICOM KES 5,470,226.58 1.93 Luxembourg 3,917,727.28 1.38 29,364.00 GLOBANT REG SHS USD 3,917,727.28 1.38 Mexico 8,088,775.30 2.86 525,000.00 FOMENTO ECONOMICO UNITS 1 SH-B- 4 SHS-D- MXN 2,882,456.86 1.02 2,450,000.00 WAL MART MXN 5,206,318.44 1.84 Russia 2,735,698.70 0.97 270,000.00 SBERBANK ADR 4 SHS USD 2,735,698.70 0.97 South Africa 14,574,520.29 5.15 66,000.00 CAPITEC BANK HOLDINGS LTD ZAR 2,904,172.48 1.03 72,000.00 NASPERS -N- ZAR 11,670,347.81 4.12 South Korea 18,025,309.02 6.37 16,700.00 KAKAO KRW 3,306,671.23 1.17 6,300.00 LG HOUSEHOLD AND HEALTHCARE KRW 6,276,772.21 2.22 12,800.00 NCSOFT KRW 8,441,865.58 2.98 Switzerland 2,849,819.67 1.01 127,736.00 COCA COLA HBC NAMEN GBP 2,849,819.67 1.01 Taiwan 23,437,850.80 8.28 37,500.00 LARGAN PRECISION CO LTD TWD 4,622,714.10 1.63 1,992,000.00 TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD 18,815,136.70 6.65 Thailand 9,503,614.56 3.36 2,698,200.00 AIRPORT OF THAILAND PUB CO -F- THB 4,702,491.09 1.66 2,460,000.00 CP SEVEN ELEVEN ALL FOREIGN REGISTERED THB 4,801,123.47 1.70 The Netherlands 2,761,198.42 0.98 62,000.00 YANDEX N.V. USD 2,761,198.42 0.98 United States of America 11,754,827.05 4.15 7,200.00 MERCADOLIBRE USD 6,319,319.77 2.23 127,000.00 YUM CHINA HOLDINGS INC WI USD 5,435,507.28 1.92

The accompanying notes form an integral part of these financial statements Page 158 Natixis AM Funds - Ostrum Global Emerging Equity Securities portfolio as at 30/06/20 Expressed in EUR Quotation % of net Quantity Denomination Market value currency assets

Other transferable securities 0.00 0.00 Shares 0.00 0.00 Bermuda 0.00 0.00 670,000.00 CHINA ANIMAL HEALTHCARE LTD HKD 0.00 0.00

Total securities portfolio 265,446,984.25 93.74

The accompanying notes form an integral part of these financial statements Page 159 Natixis AM Funds - Ostrum Global Emerging Equity Statement of Operations and Changes in Net Assets from 01/07/19 to 30/06/20 Expressed in EUR

Income 4,421,030.60 Net dividends Note 2i) 4,380,251.12 Bank interest on cash account 37,666.88 Securities lending income, net Note 2l), 9 3,112.60 Expenses 3,142,486.91 Management fees Note 3 2,284,871.54 Custodian fees 66,782.86 Taxe d'abonnement Note 5 26,412.29 Administration fees Note 3 6,348.71 Domiciliation fees 375.00 Professional fees 6,820.11 Bank interest on overdrafts 42,128.15 Legal fees 1,198.38 Transaction fees Note 2k) 525,756.65 Other expenses 181,793.22

Net income from investments 1,278,543.69 Net realised profit / (loss) on: - sales of investment securities Note 2h) -746,863.67 - forward foreign exchange contracts 0.51 - foreign exchange -4,774,418.87

Net realised loss -4,242,738.34 Movement in net unrealised appreciation / (depreciation) on: - investments 503,895.09

Decrease in net assets as a result of operations -3,738,843.25 Subscription capitalisation shares 35,036,024.94 Redemption capitalisation shares -9,453,058.14

Increase in net assets 21,844,123.55

Net assets at the beginning of the year 261,337,305.98

Net assets at the end of the year 283,181,429.53

The accompanying notes form an integral part of these financial statements Page 160 Natixis AM Funds Notes to the financial statements - Schedule of derivative instruments

Page 161 Natixis AM Funds OPTIONS As at 30/06/20, the following option contracts were outstanding :

Natixis AM Funds - Ostrum Credit Opportunities Commitment Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Purchase OTC options Options on interest rates 20,000,000.00 IEUROP335M OTC AUG 0.850 19.08.20 PUT EUR 20,000,000.00 40,998.40 -29,601.60 Total Purchase 40,998.40 -29,601.60 Sale OTC options Options on interest rates 20,000,000.00 IEUROP335M OTC AUG 1.050 19.08.20 CALL EUR 20,000,000.00 -19,836.00 18,964.00 Total Sale -19,836.00 18,964.00

Natixis AM Funds - Ostrum Multi Asset Global Income Commitment Market value Unrealised Quantity Denomination Currency (in absolute value) (in USD) (in USD) Purchase of options Listed options Options on futures 10.00 90DAY EURO$ MAR 99.750 15.03.21 PUT USD 981,533.00 1,375.00 -875.00 Options on index 8.00 SP500 SEP 2650.0 18.09.20 PUT USD 394,356.89 37,200.00 -115,382.64 Total Purchase of options 38,575.00 -116,257.64 Sale of options Listed options Options on index 8.00 SP 500 SEP 2200.0 18.09.20 PUT USD 104,169.74 -9,720.00 54,862.96 Total Sale of options -9,720.00 54,862.96

Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Commitment Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Purchase of options Listed options Options on futures 690.00 USD 10Y TREASU AUG 136.50 24.07.20 PUT USD 4,941,862.38 28,797.36 -142,287.03 Options on index 2,200.00 ESTX50 EUR P SEP 3400.0 18.09.20 CALL EUR 23,593,187.46 1,641,200.00 -425,480.00 Total Purchase of options 1,669,997.36 -567,767.03

Page 162 Natixis AM Funds OPTIONS

Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Commitment Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Sale of options Listed options Options on index 1,000.00 DJ EURO STOXX SEP 3200.0 18.09.20 CALL EUR 17,438,105.44 -1,768,000.00 292,000.00 Total Sale of options -1,768,000.00 292,000.00

Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Commitment Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Purchase of options Listed options Options on futures 1,075.00 USD 10Y TREASU AUG 136.50 24.07.20 PUT USD 7,699,278.32 44,865.45 -221,685.14 Options on index 3,080.00 ESTX50 EUR P SEP 3400.0 18.09.20 CALL EUR 33,030,462.45 2,297,680.00 -595,672.00 Total Purchase of options 2,342,545.45 -817,357.14 Sale of options Listed options Options on index 1,400.00 DJ EURO STOXX SEP 3200.0 18.09.20 CALL EUR 24,413,347.62 -2,475,200.00 408,800.00 Total Sale of options -2,475,200.00 408,800.00

Natixis AM Funds - Seeyond Equity Volatility Strategies Commitment Market value Unrealised Quantity Denomination Currency (in absolute value) (in EUR) (in EUR) Purchase of options Listed options Options on index 455.00 DJ EURO STOXX DEC 2900.0 17.12.21 PUT EUR 5,066,380.87 1,157,520.00 -140,180.00 38.00 SP 500 DEC 2900.0 17.12.21 PUT USD 3,946,089.63 1,020,415.79 -47,577.02 Total Purchase of options 2,177,935.79 -187,757.02 Sale of options Listed options Options on index 517.00 DJ EURO STOXX AUG 3400.0 21.08.20 CALL EUR 4,805,368.78 -265,221.00 -61,006.00 31.00 SP 500 AUG 3000.0 21.08.20 PUT USD 3,208,909.88 -244,544.36 59,780.19 31.00 SP 500 AUG 3200.0 21.08.20 CALL USD 2,979,579.78 -154,565.29 79,549.56 Total Sale of options -664,330.65 78,323.75

Page 163 Natixis AM Funds FORWARD FOREIGN EXCHANGE CONTRACTS As at 30/06/20, the following forward contracts were outstanding : The contracts market with an asterisk are those specifically related to the hedging of a class of shares.

Natixis AM Funds - Ostrum Global Aggregate Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in USD) Counterparty USD 268,785.66 MXN 6,250,000.00 28/08/20 351.02 Goldman Sachs International Finance USD 348,997.38 EUR 310,000.00 28/08/20 391.08 CHASE BANK A.G. USD 1,111,813.98 NOK 10,600,000.00 23/07/20 12,891.34 CHASE BANK A.G. EUR 47,301,395.00 USD 53,124,622.44 20/07/20 22,899.78 * CHASE BANK A.G. 36,533.22

Natixis AM Funds - Ostrum Credit Opportunities Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 1,445,353.23 USD 1,630,000.00 30/07/20 -5,008.52 STATE STREET BANK GMBH USD 4,488.00 EUR 4,001.67 20/07/20 -7.34 * Credit Agricole CIB USD 572,242.00 EUR 509,717.50 20/07/20 -420.29 * Goldman Sachs International Finance EUR 3,410.09 USD 3,822.00 20/07/20 8.40 * CHASE BANK A.G. -5,427.75

Natixis AM Funds - Ostrum Global Convertible Bonds Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in USD) Counterparty JPY 72,000,000.00 USD 662,101.23 09/07/20 5,375.34 CHASE BANK A.G. USD 15,656,382.00 EUR 14,000,000.00 09/07/20 -70,569.10 CHASE BANK A.G. USD 251,168.60 GBP 200,000.00 09/07/20 4,041.17 CHASE BANK A.G. USD 5,665,927.62 JPY 610,000,000.00 09/07/20 11,006.94 CHASE BANK A.G. EUR 363,878.00 USD 408,525.61 20/07/20 325.30 * CHASE BANK A.G. USD 375,916.20 GBP 300,000.00 09/07/20 5,221.97 CHASE BANK A.G. EUR 17,236,844.00 USD 19,361,629.76 20/07/20 5,580.43 * CHASE BANK A.G. USD 339,318.78 EUR 300,000.00 09/07/20 2,306.14 HSBC Bank USD 1,522,620.83 CHF 1,460,000.00 09/07/20 -18,559.57 CHASE BANK A.G. USD 208,901.21 AUD 305,000.00 09/07/20 -1,092.92 Société Générale, Paris -56,364.30

Natixis AM Funds - Ostrum Multi Asset Global Income Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in USD) Counterparty EUR 7,963,163.00 USD 8,943,101.88 20/07/20 4,253.32 * CHASE BANK A.G. EUR 6,873,365.00 USD 7,720,919.64 20/07/20 1,950.32 * CHASE BANK A.G. USD 21,600,533.80 EUR 19,100,000.00 24/07/20 137,770.07 Credit Agricole CIB EUR 72,813,827.00 USD 81,774,223.74 20/07/20 38,891.68 * CHASE BANK A.G. EUR 1,088,274.00 USD 1,221,749.72 20/07/20 1,027.46 * CHASE BANK A.G. USD 250,572.06 GBP 200,000.00 24/07/20 3,422.74 Credit Agricole CIB 187,315.59

Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 64,109,021.97 USD 70,000,000.00 28/08/20 1,858,399.62 Société Générale, Paris USD 44,366.00 EUR 39,520.26 20/07/20 -34.36 * CHASE BANK A.G. 1,858,365.26

Page 164 Natixis AM Funds FORWARD FOREIGN EXCHANGE CONTRACTS

Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 48,539,688.06 USD 53,000,000.00 28/08/20 1,407,074.00 Société Générale, Paris 1,407,074.00

Natixis AM Funds - Seeyond Europe Market Neutral Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty USD 2,024,619.00 EUR 1,802,593.71 20/07/20 -670.55 * Société Générale -670.55

Natixis AM Funds - Seeyond Europe Minvol Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty EUR 109,857.30 USD 123,256.00 20/07/20 157.00 * Société Générale USD 1,388,656.00 EUR 1,236,817.81 20/07/20 -909.57 * Société Générale USD 37,191.00 EUR 33,128.31 20/07/20 -28.20 * Société Générale -780.77

Natixis AM Funds - Seeyond Global Minvol Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty USD 41,251.00 EUR 36,744.80 20/07/20 -31.28 * Société Générale USD 3,067.00 EUR 2,732.04 20/07/20 -2.38 * Credit Agricole CIB USD 138,009.00 EUR 122,928.73 20/07/20 -100.27 * Société Générale USD 1,841,378.00 EUR 1,639,516.62 20/07/20 -681.48 * STATE STREET BANK GMBH -815.41

Natixis AM Funds - Seeyond Equity Volatility Strategies Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in EUR) Counterparty SGD 57,574.00 EUR 36,796.43 20/07/20 -64.01 * BNP Paribas SGD 4,999,765.00 EUR 3,195,734.52 20/07/20 -5,869.65 * Société Générale EUR 148,876.89 SGD 233,507.00 20/07/20 -93.71 * Société Générale EUR 537,925.09 SGD 843,573.00 20/07/20 -240.12 * STATE STREET BANK GMBH EUR 53,514.19 SGD 83,693.00 20/07/20 118.60 * STATE STREET BANK GMBH SGD 37,033.00 EUR 23,695.58 20/07/20 -67.15 * Société Générale USD 449,521.00 EUR 400,394.55 20/07/20 -319.43 * Société Générale EUR 9,381.20 USD 10,525.00 20/07/20 13.73 * Société Générale EUR 260,059.60 SGD 405,894.00 20/07/20 1,101.98 * Société Générale EUR 350,608.82 SGD 547,983.00 20/07/20 990.28 * Société Générale EUR 73,888.33 USD 83,128.00 20/07/20 -97.43 * STATE STREET BANK GMBH EUR 5,192.26 USD 5,829.00 20/07/20 4.45 * Credit Agricole CIB EUR 342,175.65 SGD 535,367.00 20/07/20 621.22 * HSBC Bank EUR 6,000,000.00 USD 6,775,531.80 17/09/20 -21,915.57 STATE STREET BANK GMBH EUR 30,262.47 USD 33,934.00 20/07/20 60.29 * STATE STREET BANK GMBH EUR 466,928.75 SGD 732,346.00 20/07/20 -309.11 * Société Générale -26,065.63

Natixis AM Funds - Ostrum Global Emerging Bonds Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in USD) Counterparty EUR 18,117.00 USD 20,441.81 20/07/20 -86.16 * CHASE BANK A.G. EUR 365,724.00 USD 410,573.83 20/07/20 352.06 * Credit Agricole CIB

Page 165 Natixis AM Funds FORWARD FOREIGN EXCHANGE CONTRACTS

Natixis AM Funds - Ostrum Global Emerging Bonds Currency Quantity Currency Quantity Maturity Unrealised purchased purchased sale sale date (in USD) Counterparty EUR 23,587.00 USD 26,479.54 20/07/20 22.71 * Credit Agricole CIB EUR 8,942,229.00 USD 10,042,440.62 20/07/20 4,966.85 * STATE STREET BANK GMBH EUR 55,667,252.00 USD 62,516,339.15 20/07/20 30,905.07 * STATE STREET BANK GMBH EUR 30,748,135.00 USD 34,534,638.68 20/07/20 13,692.92 * STATE STREET BANK GMBH EUR 661,660.00 USD 742,792.35 20/07/20 644.44 * CHASE BANK A.G. EUR 1,985,310.00 USD 2,229,791.99 20/07/20 884.33 * STATE STREET BANK GMBH 51,382.22

Page 166 Natixis AM Funds FUTURES As at 30/06/20, the following future contracts were outstanding :

Natixis AM Funds - Ostrum Euro Short Term Credit Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds 360 EURO BOBL FUTURE 09/20 EUR 372,283.20 172,800.00 CACEIS Bank, Paris 172,800.00

Natixis AM Funds - Ostrum Euro Credit Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds -35 EURO BUND FUTURE 09/20 EUR 36,722.18 -76,090.00 CACEIS Bank, Paris -76,090.00

Natixis AM Funds - Ostrum Euro Inflation Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds 3 EURO BUND FUTURE 09/20 EUR 3,147.62 4,860.00 CACEIS Bank, Paris -13 EURO SCHATZ FUTURE 09/20 EUR 13,177.13 -1,040.00 CACEIS Bank, Paris 3,820.00

Natixis AM Funds - Ostrum Euro Aggregate Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds 386 EURO BOBL FUTURE 09/20 EUR 399,170.32 162,120.00 CACEIS Bank, Paris -50 EURO BTP FUTURE -EUX 09/20 EUR 57,880.50 -217,380.00 CACEIS Bank, Paris 100 EURO BUND FUTURE 09/20 EUR 104,920.50 44,000.00 CACEIS Bank, Paris -80 EURO BUXL FUTURE 09/20 EUR 133,804.80 -657,820.00 CACEIS Bank, Paris -71 EURO SCHATZ FUTURE 09/20 EUR 71,967.38 -3,550.00 CACEIS Bank, Paris 51 EURO-OAT-FUTURES-EUX 09/20 EUR 54,363.96 111,690.00 CACEIS Bank, Paris -560,940.00 Futures on currency 150 EUR/GBP (CME) 09/20 GBP 20,627,062.71 32,432.62 CACEIS Bank, Paris 111 EUR/USD (CME) 09/20 USD 12,353,648.22 -91,169.92 CACEIS Bank, Paris -58,737.30

Natixis AM Funds - Ostrum Global Aggregate Commitment Quantity (in USD) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in USD) Broker Futures on bonds 8 AUSTR 10YR BOND 09/20 AUD 6,211.87 2,983.19 CACEIS Bank, Paris 18 CAN 10YR BOND (MSE) 09/20 CAD 15,261.87 15,198.04 CACEIS Bank, Paris 12 EURO BOBL FUTURE 09/20 EUR 13,937.66 5,660.68 CACEIS Bank, Paris -20 EURO BTP FUTURE -EUX 09/20 EUR 26,003.39 -88,639.00 CACEIS Bank, Paris -15 EURO BUND FUTURE 09/20 EUR 17,676.22 -40,343.55 CACEIS Bank, Paris 1 JPN 10 YEARS BOND 09/20 JPY 9,401.21 -1,761.13 CACEIS Bank, Paris

Page 167 Natixis AM Funds FUTURES

Natixis AM Funds - Ostrum Global Aggregate Commitment Quantity (in USD) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in USD) Broker 10 LONG GILT FUTURE-LIF 09/20 GBP 18,205.41 8,093.11 CACEIS Bank, Paris -20 US TREASURY BOND 09/20 USD 30,614.06 -58,750.00 CACEIS Bank, Paris 15 US 10 YEARS NOTE 09/20 USD 16,926.56 23,437.50 CACEIS Bank, Paris 50 US 2 YEARS NOTE- CBT 09/20 USD 103,119.14 4,118.75 CACEIS Bank, Paris 30 US 5 YEARS NOTE-CBT 09/20 USD 31,644.14 10,546.88 CACEIS Bank, Paris -119,455.53 Futures on currency -125 EUR/USD (CME) 09/20 USD 15,625,000.00 111,093.75 CACEIS Bank, Paris -11 JPN YEN CURR FUT 09/20 USD 13,750.00 -16,830.00 CACEIS Bank, Paris -8 USD/AUD (CME) 09/20 USD 8,000.00 6,944.00 CACEIS Bank, Paris -11 USD/CAD (CME) 09/20 USD 11,000.00 11,000.00 CACEIS Bank, Paris -11 USD/GBP (CME) 09/20 USD 6,875.00 19,559.38 CACEIS Bank, Paris -20 USD/NZD (CME) 09/20 USD 20,000.00 13,600.00 CACEIS Bank, Paris 145,367.13

Natixis AM Funds - Ostrum Credit Opportunities Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds -40 EURO BOBL FUTURE 09/20 EUR 41,364.80 -32,800.00 CACEIS Bank, Paris -32,800.00

Natixis AM Funds - Ostrum Multi Asset Global Income Commitment Quantity (in USD) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in USD) Broker Futures on bonds 17 EURO BTP FUTURE -EUX 09/20 EUR 22,102.88 60,526.55 CACEIS Bank, Paris -3 EURO BUND FUTURE 09/20 EUR 3,535.24 -4,750.92 CACEIS Bank, Paris 5 EURO BUXL FUTURE 09/20 EUR 9,392.68 20,778.28 CACEIS Bank, Paris 9 US TREASURY BOND 09/20 USD 13,776.32 7,875.00 CACEIS Bank, Paris -3 US ULTRA BD CBT 30YR 09/20 USD 4,044.37 562.50 CACEIS Bank, Paris 39 US 10 YEARS NOTE 09/20 USD 44,009.06 2,359.38 CACEIS Bank, Paris 5 US 2 YEARS NOTE- CBT 09/20 USD 10,311.91 296.87 CACEIS Bank, Paris 189 US 5 YEARS NOTE-CBT 09/20 USD 199,358.09 70,085.94 CACEIS Bank, Paris 157,733.60 Futures on currency -41 EUR/USD (CME) 09/20 USD 5,125,000.00 39,026.25 CACEIS Bank, Paris -1 JPN YEN CURR FUT 09/20 USD 1,250.00 -1,530.00 CACEIS Bank, Paris -2 USD/AUD (CME) 09/20 USD 2,000.00 1,736.00 CACEIS Bank, Paris -9 USD/CAD (CME) 09/20 USD 9,000.00 9,000.00 CACEIS Bank, Paris -1 USD/GBP (CME) 09/20 USD 625.00 1,778.13 CACEIS Bank, Paris 50,010.38

Natixis AM Funds - Natixis Conservative Risk Parity Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds 110 AUSTR 10YR BOND 09/20 AUD 76,047.88 113,100.47 CACEIS Bank, Paris 72 CAN 10YR BOND (MSE) 09/20 CAD 54,353.82 -16,473.28 CACEIS Bank, Paris 50 CAN 5YR BOND (MSE) 09/20 CAD 34,053.28 9,478.67 CACEIS Bank, Paris

Page 168 Natixis AM Funds FUTURES

Natixis AM Funds - Natixis Conservative Risk Parity Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker 50 LONG GILT FUTURE-LIF 09/20 GBP 81,046.20 17,601.76 CACEIS Bank, Paris 62 US 10 YEARS NOTE 09/20 USD 62,291.88 32,431.11 CACEIS Bank, Paris 24 US 5 YEARS NOTE-CBT 09/20 USD 22,539.57 5,842.94 CACEIS Bank, Paris 161,981.67 Futures on index 200 EURO STOX BANK IDX 09/20 EUR 628,200.00 -24,260.00 CACEIS Bank, Paris 5 NASDAQ 100 E-MINI 09/20 USD 904,318.21 16,560.57 CACEIS Bank, Paris -7,699.43 Futures on currency 60 EUR/USD (CME) 09/20 USD 6,677,647.69 -102,702.22 CACEIS Bank, Paris -102,702.22

Natixis AM Funds - Seeyond Multi Asset Conservative Growth Fund Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds 33 AUSTR 10YR BOND 09/20 AUD 22,814.36 38,139.24 CACEIS Bank, Paris 89 AUSTR 3YR BOND 09/20 AUD 60,698.32 1,791.13 CACEIS Bank, Paris -30 EURO BTP FUTURE -EUX 09/20 EUR 34,728.30 -67,200.00 CACEIS Bank, Paris -112 EURO BUND FUTURE 09/20 EUR 117,510.96 -259,500.00 CACEIS Bank, Paris -32 EURO BUXL FUTURE 09/20 EUR 53,521.92 -325,760.00 CACEIS Bank, Paris 109 EURO-OAT-FUTURES-EUX 09/20 EUR 116,189.64 295,330.00 CACEIS Bank, Paris 60 JPN 10 YEARS BOND 09/20 JPY 502,223.92 -14,855.03 CACEIS Bank, Paris 155 LONG GILT FUTURE-LIF 09/20 GBP 251,243.23 54,785.48 CACEIS Bank, Paris 77 US ULTRA BD CBT 30YR 09/20 USD 92,423.65 52,508.57 CACEIS Bank, Paris -330 US 10 YEARS NOTE 09/20 USD 331,553.55 -246,530.41 CACEIS Bank, Paris 23 US 2 YEARS NOTE- CBT 09/20 USD 42,233.72 64.00 CACEIS Bank, Paris -170 US 5 YEARS NOTE-CBT 09/20 USD 159,655.25 -29,437.30 CACEIS Bank, Paris -500,664.32 Futures on index 72 DJ EURO STOXX 50 09/20 EUR 2,328,530.40 16,560.00 CACEIS Bank, Paris 21 FTSE 100 INDEX 09/20 GBP 1,420,214.52 275.03 CACEIS Bank, Paris 42 MINI MSCI EMG MKT 09/20 USD 1,860,576.44 -552.70 CACEIS Bank, Paris -88 NASDAQ 100 E-MINI 09/20 USD 15,916,000.53 -261,300.81 CACEIS Bank, Paris 38 NIKKEI 225 (CME) 09/20 USD 3,779,192.45 23,254.44 CACEIS Bank, Paris 254 S&P 500 EMINI INDEX 09/20 USD 35,056,477.76 -38,892.85 CACEIS Bank, Paris 20 SWISS MARKET INDEX 09/20 CHF 1,887,770.73 -4,716.94 CACEIS Bank, Paris -265,373.83 Futures on currency 184 EUR/USD (CME) 09/20 USD 20,478,119.57 -147,217.65 CACEIS Bank, Paris -22 JPN YEN CURR FUT 09/20 USD 24,484.71 13,589.01 CACEIS Bank, Paris -194 USD/AUD (CME) 09/20 USD 172,728.49 133,622.76 CACEIS Bank, Paris -254 USD/GBP (CME) 09/20 USD 141,343.54 272,793.04 CACEIS Bank, Paris 272,787.16

Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on bonds 30 AUSTR 10YR BOND 09/20 AUD 20,740.33 34,672.04 CACEIS Bank, Paris 93 AUSTR 3YR BOND 09/20 AUD 63,426.34 1,871.63 CACEIS Bank, Paris -49 EURO BOBL FUTURE 09/20 EUR 50,671.88 -43,610.00 CACEIS Bank, Paris -95 EURO BUND FUTURE 09/20 EUR 99,674.48 -169,250.00 CACEIS Bank, Paris

Page 169 Natixis AM Funds FUTURES

Natixis AM Funds - Seeyond Multi Asset Diversified Growth Fund Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker 20 EURO BUXL FUTURE 09/20 EUR 33,451.20 202,000.00 CACEIS Bank, Paris 45 EURO SCHATZ FUTURE 09/20 EUR 45,613.13 7,200.00 CACEIS Bank, Paris 143 EURO-OAT-FUTURES-EUX 09/20 EUR 152,432.28 387,580.00 CACEIS Bank, Paris 75 JPN 10 YEARS BOND 09/20 JPY 627,779.90 -18,568.79 CACEIS Bank, Paris 179 LONG GILT FUTURE-LIF 09/20 GBP 290,145.41 63,663.37 CACEIS Bank, Paris 85 US ULTRA BD CBT 30YR 09/20 USD 102,026.10 56,637.58 CACEIS Bank, Paris -394 US 10 YEARS NOTE 09/20 USD 395,854.85 -293,955.62 CACEIS Bank, Paris 86 US 2 YEARS NOTE- CBT 09/20 USD 157,917.40 239.28 CACEIS Bank, Paris -101 US 5 YEARS NOTE-CBT 09/20 USD 94,854.00 -15,652.13 CACEIS Bank, Paris 212,827.36 Futures on index 91 DJ EURO STOXX 50 09/20 EUR 2,943,003.70 20,930.00 CACEIS Bank, Paris 29 FTSE 100 INDEX 09/20 GBP 1,961,248.62 693.07 CACEIS Bank, Paris 60 MINI MSCI EMG MKT 09/20 USD 2,657,966.34 -789.81 CACEIS Bank, Paris -122 NASDAQ 100 E-MINI 09/20 USD 22,065,364.38 -362,257.94 CACEIS Bank, Paris 53 NIKKEI 225 (CME) 09/20 USD 5,270,978.94 32,433.82 CACEIS Bank, Paris 354 S&P 500 EMINI INDEX 09/20 USD 48,858,240.66 -65,356.36 CACEIS Bank, Paris 28 SWISS MARKET INDEX 09/20 CHF 2,642,879.02 -6,840.50 CACEIS Bank, Paris -381,187.72 Futures on currency 223 EUR/USD (CME) 09/20 USD 24,818,590.57 -178,418.96 CACEIS Bank, Paris -24 JPN YEN CURR FUT 09/20 USD 26,710.59 14,824.38 CACEIS Bank, Paris -272 USD/AUD (CME) 09/20 USD 242,176.02 187,352.21 CACEIS Bank, Paris -304 USD/GBP (CME) 09/20 USD 169,167.07 326,492.45 CACEIS Bank, Paris 350,250.08

Natixis AM Funds - Seeyond Equity Factor Investing Europe Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on index 35 STOXX EUR 600 09/20 EUR 630,595.00 -4,699.00 CACEIS Bank, Paris -4,699.00

Natixis AM Funds - Seeyond Europe Market Neutral Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on index -590 STOXX EUR 600 09/20 EUR 10,630,030.00 79,650.00 CACEIS Bank, Paris 79,650.00

Natixis AM Funds - Seeyond Equity Volatility Strategies Commitment Quantity (in EUR) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in EUR) Broker Futures on index 252 DJ EURO STOXX 50 09/20 EUR 8,149,856.40 71,360.00 CACEIS Bank, Paris 15 S&P 500 EMINI INDEX 09/20 USD 2,070,264.43 4,652.09 CACEIS Bank, Paris 76,012.09

Page 170 Natixis AM Funds FUTURES

Natixis AM Funds - Ostrum Global Emerging Bonds Commitment Quantity (in USD) Unrealised (purchase/(sale)) Denomination Currency (in absolute value) (in USD) Broker Futures on bonds 5 US ULTRA BD CBT 30YR 09/20 USD 6,740.63 -2,312.50 CACEIS Bank, Paris -2,312.50

Page 171 Natixis AM Funds Other notes to the financial statements

Page 172 NATIXIS AM Funds

Other notes to the financial statements

1. General information:

NATIXIS AM Funds (the “SICAV”) was incorporated on May 21, 2013 as a Luxembourg Société d’Investissement à Capital Variable under Part I of the Luxembourg law of December 17, 2010 on undertakings for collective investment, as amended. The SICAV is recorded in the Luxembourg Registre de Commerce under the number R.C.S. Luxembourg B 177 509.

The Articles of Incorporation of the SICAV were lodged with the register of the District Court and a publication of such deposit was made in the Mémorial C, Recueil des Sociétés et Association of June 1st, 2013.

The SICAV is an umbrella structure with multiple sub-funds which offers investors a choice between several classes of shares with different characteristics and fee structure. As at June 30, 2020, the following sub-funds were active:

Sub-funds Currency Launch date NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months EUR 18/12/2013 NATIXIS AM Funds - Ostrum Euro Short Term Credit EUR 22/10/2013 NATIXIS AM Funds - Ostrum Euro Credit EUR 31/01/2014 NATIXIS AM Funds - Ostrum Euro Inflation EUR 13/12/2013 NATIXIS AM Funds - Ostrum Euro Aggregate EUR 18/11/2013 NATIXIS AM Funds - Ostrum Global Aggregate USD 28/08/2017 NATIXIS AM Funds - Ostrum Credit Opportunities EUR 20/11/2013 NATIXIS AM Funds - Ostrum Global Convertible Bonds USD 25/10/2016 NATIXIS AM Funds - Ostrum Multi Asset Global Income USD 19/06/2017 NATIXIS AM Funds - H2O Lux Multibonds (liquidated on May 28, 2020) EUR 05/07/2016 NATIXIS AM Funds - H2O Lux Allegro (liquidated on May 28, 2020) EUR 05/07/2016 NATIXIS AM Funds - Ostrum Euro Value Equity EUR 20/11/2013 NATIXIS AM Funds - Ostrum Food & Consumer Equities EUR 10/05/2017 (liquidated on October 30, 2019) NATIXIS AM Funds - Natixis Conservative Risk Parity EUR 25/06/2013 NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund EUR 03/10/2013 NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund EUR 24/01/2017 NATIXIS AM Funds - Seeyond Equity Factor Investing Europe EUR 30/11/2016 NATIXIS AM Funds - Seeyond Europe Market Neutral EUR 29/06/2017 NATIXIS AM Funds - Seeyond Europe Minvol EUR 27/11/2013 NATIXIS AM Funds - Seeyond US Minvol USD 25/07/2018 NATIXIS AM Funds - Seeyond Global Minvol EUR 19/12/2013 NATIXIS AM Funds - Seeyond Equity Volatility Strategies EUR 05/11/2013 NATIXIS AM Funds - Ostrum Global Emerging Bonds USD 24/01/2014 NATIXIS AM Funds - Ostrum Global Emerging Equity EUR 13/11/2013

The sub-fund NATIXIS AM Funds - H2O Lux Multibonds was closed on May 28, 2020 following a redemption request representing to 100% of the shares in issue within the Sub-Fund. The sub-fund NATIXIS AM Funds - H2O Lux Allegro was closed on May 28, 2020 following a redemption request representing to 100% of the shares in issue within the Sub-Fund. The sub-fund NATIXIS AM Funds - Ostrum Food & Consumer Equities was closed on October 30, 2019 following a redemption request representing to 100% of the shares in issue within the Sub-Fund.

2. Summary of significant accounting principles:

These financial statements have been prepared in accordance with Luxembourg legal and regulatory requirements applicable to undertakings for collective investment.

a) Portfolio valuation

The value of any transferable securities and money market instruments which are listed on a Stock Exchange or dealt in on a regulated market is determined according to their last closing price.

In the event that any transferable securities and money market instruments (other than short-term money market instruments) held by the SICAV at the valuation day are neither quoted on a Stock Exchange nor dealt in on another regulated market, their valuation is 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.

Short-term money market instruments are valued at amortized cost which approximates market value under normal conditions. Page 173

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Other notes to the financial statements (continued)

2. Summary of significant accounting principles (continued):

b) Forward foreign exchange contracts

Outstanding forward foreign exchange contracts are valued at the closing date by reference to the rate of exchange applicable to the outstanding life of the contract. The unrealised appreciation or depreciation is disclosed in the statement of net assets.

Realised profit/(loss) and change in unrealised appreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectively under “Net realised profit/(loss) on forward foreign exchange contracts” and “Movement in net unrealised appreciation/depreciation on forward foreign exchange contracts”.

For the details of outstanding financial forward foreign exchange contracts, please refer to section “Notes to the financial statements - Schedule of derivative instruments”.

c) Futures contracts

Open futures contracts are valued at their last known price on the valuation date or on the closing date. The unrealised appreciation or depreciation on futures contracts is recorded in the statement of net assets.

Realised profit/(loss) and change in unrealised appreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectively under “Net realised profit/(loss) on financial futures” and “Movement in net unrealised appreciation (depreciation) on financial futures”.

For the details of outstanding financial futures contracts, please refer to section “Notes to the financial statements - Schedule of derivative instruments”.

d) Options

Options traded on an official exchange or any other regulated market that operates regularly and is recognised and open to the public are valued on the basis of prices on the valuation date or closing date. The market value of options is recorded in the statement of net assets.

Credit index Options are call/put options on Credit Index. The pricing methodology is very similar to the one used for swaptions with a measure change that takes an annuity as a numeraire. For pricing credit index option a modified Black and Scholes formula is used with a risky annuity taking into account credit risk specificities. The main parameter of the model is the volatility which is contributed by BVAL derivatives.

Realised profit/(loss) and change in unrealised appreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectively under “Net realised profit/(loss) on options” and “Movement in net unrealised appreciation (depreciation) on options”.

For the details of outstanding financial options, please refer to section “Notes to the financial statements - Schedule of derivative instruments”.

e) Swaps

An Interest Rate Swap (“IRS”) is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interest payments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged IRS are valued with a multi-curve method according to the collateralization policy.

A Credit Default Swap (“CDS”) is a bilateral agreement in which one counterparty (the protection buyer) pays a periodic fee in return for a contingent payment by the protection seller following a credit event on any reference issuers. When the difference between the loss due to a credit event and the periodic fee is positive, the protection buyer usually receives a cash settlement corresponding to such difference. When such difference is negative, the cash settlement is usually received by the protection seller.

Prices of all CDS are retrieved daily from Bloomberg at 4 pm London time.

Bloomberg uses the standard ISDA model for valuating CDS and the input datas needed by the Bloomberg inner pricer (BVAL Derivatives) are standardized datas also published by Bloomberg like CDS curve or yield curve for example.

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Other notes to the financial statements (continued)

2. Summary of significant accounting principles (continued):

The Bloomberg CDS model values single name and index credit default swaps as a function of their schedule, currency, deal spread, notional, CDS curve and benchmark yield curve.

The key assumptions employed are constant recovery as a fraction of par, piecewise constant risk neutral hazard rates, and default events being statistically independent of changes in the default free yield curve.

An Equity Swap (“EQS”) is an exchange of cash flows between two parties that allows each party to diversify its income, while still holding its original assets. The two sets of nominally equal cash flows are exchanged as per the terms of the Swap, which may involve an equity-based cash flow (such as from a stock asset) that is traded for a fixed-income cash flow (such as a benchmark rate). Besides diversification and Tax Benefits, Equity Swaps also allow to hedge specific assets or positions in their portfolios.

An Inflation Swap (“IFS”) is a bilateral contract which allows investors wishing to protect their investment to secure an inflation-linked return against an inflation index. The inflation buyer (inflation receiver) pays a predetermined fixed or variable rate (less a spread). In exchange, the inflation buyer receives from the inflation seller (inflation payer) one or more inflation-related payments. The main risk inherent in an inflation swap resides in its sensitivity to the interest rates and inflation: the inflation payer faces an inflation risk, i.e. changes likely to affect the inflation curve, and also an interest-rate related risk, in other words changes in the nominal yield curve. To evaluate inflation swaps, a “Forward Zero Coupon” curve is created and adjusted to take into account the seasonal inflation, which permits calculation of the future inflation cash flows.

Realised profit/(loss) and change in unrealised appreciation/depreciation resulting there from are included in the statement of operations and changes in net assets respectively under “Net realised profit/(loss) on swaps” and “Movement in net unrealised appreciation (depreciation) on swaps”. The unrealised appreciation or depreciation on Swaps is recorded in the statement of net assets.

f) Repurchase agreements / Reverse repurchase agreements

Repurchase agreements ("Repos") are similar to secured borrowings of cash equal to the sale price of a portfolio of securities representing the collateral. The underlying securities remain in the investment portfolio of the SICAV, which remains exposed to the risk of depreciation in value. Reverse repurchase agreements (“Reverse repos”) are similar to secured lending of cash. In this case, the SICAV is not exposed to the risk of depreciation in value. The interest charged for the Repos transactions is included in the statement of operations and changes in net assets under “Expenses on repurchase transactions”. The income generated by the Reverse repos transactions are included in the statement of operations and changes in net assets under “Income on reverse repurchase transactions”.

g) Foreign currency translation

Assets and liabilities stated in currencies other than the reporting currency of each sub-fund of the SICAV have been translated at the exchange rates prevailing in Luxembourg at the statement of net assets date. Income and expenses denominated in currencies other than the reporting currency of each sub-fund have been translated at the rate prevailing at the date of the transaction.

As at June 30, 2020, the following exchange rates were used:

1 EUR = 4.1255 AED 1 EUR = 8.70495 HKD 1 EUR = 55.96095 PHP 1.6313 AUD 354.44 HUF 4.4428 PLN 6.167 BRL 16,044.209 IDR 4.0894 QAR 1.52975 CAD 84.802 INR 10.464 SEK 1.06425 CHF 3.88715 ILS 1.56685 SGD 921.6569 CLP 121.17105 JPY 34.71375 THB 7.94525 CNY 119.67165 KES 7.6989 TRY 4,199.7726 COP 1,350.981 KRW 33.138 TWD 26.6425 CZK 25.9526 MXN 1.12315 USD 7.93815 CNH 4.81265 MYR 19.51475 ZAR 7.45315 DKK 10.835 NOK 18.12765 EGP 1.7447 NZD 0.909 GBP 3.9709 PEN

h) Realised profit and loss on securities

The profit and loss realised on sale of investments are determined on the basis of the average cost of securities sold.

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Other notes to the financial statements (continued)

2. Summary of significant accounting principles (continued):

i) Dividend and interest income

Dividend income is recorded as of the ex-dividend date and net of withholding tax. Interest income is recorded on an accrual basis and net of withholding tax.

j) Combined statements

The combined financial statements of the SICAV are expressed in EUR and are equal to the sum of the corresponding captions in the financial statements of each sub-fund with no elimination of cross-investments. If cross-investments were eliminated, the recalculated combined net asset value would amount to EUR 5,852,629,005.31. These cross-investments amount to EUR 44,408,137.06 and are detailed as follows: - investment of the sub-fund NATIXIS AM Funds - Ostrum Euro Aggregate in the sub-funds NATIXIS AM Funds - Ostrum Euro Inflation, NATIXIS AM Funds - Ostrum Global Emerging Bonds, NATIXIS AM Funds - Ostrum Global Convertible Bonds and NATIXIS AM Funds - Ostrum Multi Asset Global Income for a total amount of EUR 32,120,249.81; - investment of the sub-fund NATIXIS AM Funds - Ostrum Global Aggregate in the sub-funds NATIXIS AM Funds - Ostrum Global Emerging Bonds and NATIXIS AM Funds - Ostrum Multi Asset Global Income for a total amount of EUR 2,130,014.11; - investment of the sub-fund NATIXIS AM Funds - Ostrum Multi Asset Global Income in the sub-fund NATIXIS AM Funds - Ostrum Global convertible Bonds for a total amount of EUR 1,672,082.98; - investment of the sub-fund NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund in the sub- fund NATIXIS AM Funds - Seeyond Equity Volatility Strategies for a total amount of EUR 2,342,417.58; - investment of the sub-fund NATIXIS AM Funds - Ostrum Credit Opportunities in the sub-fund NATIXIS AM Funds - Ostrum Global Convertible Bonds for a total amount of EUR 942,880.00; - investment of the sub-fund NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund in the sub-fund NATIXIS AM Funds - Seeyond Equity Volatility Strategies for a total amount of EUR 2,342,417.58; - investment of the sub-fund NATIXIS AM Funds - Natixis Conservative Risk Parity in the sub-funds NATIXIS AM Funds - Seeyond Europe Market Neutral and NATIXIS AM Funds - Ostrum Credit Opportunities for a total amount of EUR 2,858,075.00.

k) Transaction fees

Transaction fees represent the costs incurred by the sub-funds in connection with transactions on their portfolio securities and derivative instruments.

l) Income generated by securities lending, repurchase agreements and reverse repurchase agreements

According to the Fund’s prospectus, all revenues deriving from securities lending, repurchase agreements and reverse repurchase agreements are, after operational costs, for the benefit of the relevant sub-fund. The securities lendings and repurchase agreements may be entered into with Natixis Asset Management Finance, a company belonging to the Management Company’s group. Natixis Asset Management Finance receives a fee equal to 40% excluding taxes of the income generated by these activities, which amount is specified in Notes 11, 12 and 13.

m) Swing Pricing

Subscriptions and redemptions can potentially have a dilutive effect on the Sub-Funds’ Net Assets Values per share and be detrimental to long term investors as a result of the costs, bid-offer spreads or other losses that are incurred by the SICAV in relation to the trades undertaken by the Management Company. In order to protect the interest of existing shareholders, the Management Company may decide to introduce a Swing Pricing mechanism for any Sub-Fund.

If, for the Sub-Funds listed below, net subscriptions or net redemptions on any calculation day exceeds a certain threshold (“the Swing Threshold”), the net asset value per share will be adjusted respectively upwards or downwards by a Swing Factor. Swing Thresholds and Swing Factors are determined and reviewed on a periodic basis by the Management Company.

The Swing Factor is set by the Management Company to reflect estimated dealing and other costs, and may not exceed 2% of the net asset value. The volatility of the Sub Funds' net asset values may not reflect the true portfolio performance, and therefore might deviate from the Sub-Funds' benchmark as a consequence of the application of the Swing Pricing mechanism. Performance fees, if any, are calculated on the basis of the net asset value before the application of Swing Pricing adjustments.

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Other notes to the financial statements (continued)

2. Summary of significant accounting principles (continued):

The Board resolved on April 8, 2016 to set up the swing pricing mechanism to the following Sub-Funds:

• effective on October 10, 2016: NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months NATIXIS AM Funds - Ostrum Euro Short Term Credit NATIXIS AM Funds - Ostrum Euro Credit NATIXIS AM Funds - Ostrum Euro Inflation NATIXIS AM Funds - Ostrum Euro Aggregate NATIXIS AM Funds - Ostrum Credit Opportunities NATIXIS AM Funds - Ostrum Global Convertible Bonds NATIXIS AM Funds - Seeyond Europe Minvol NATIXIS AM Funds - Seeyond Global Minvol NATIXIS AM Funds - Ostrum Global Emerging Bonds NATIXIS AM Funds - Ostrum Global Emerging Equity NATIXIS AM Funds - Ostrum European Convertible Bonds

• effective on August 29, 2017: NATIXIS AM Funds - Ostrum Global Aggregate

At the date of the report, no Swing Pricing was applied to the year-end Net Asset Values of the Sub-Funds of the SICAV.

n) Acronyms used in this report:

XX: Perpetual Bonds Q: Quarterly, A: Annual, S: Semi-Annual, M: Monthly

3. Management fees and Administration fees:

Management fees and Administration fees are charged to the sub-funds in the form of an All-in fee, accrued daily and calculated on the basis of the average net asset value of each sub-fund.

If the yearly actual expenses paid by the sub-funds exceed the applicable All-in fee, the Management Company will support the difference; if the yearly actual expenses paid by the sub-funds are lower than the applicable All-in fee, the Management Company will keep the difference. The difference between the yearly actual expenses paid by the sub-funds and the applicable All-in fees is recorded in the management fees caption of the statement of operations.

Management fees comprise the aggregate amount of Management Company fees, Investment Managers fees, Distributors fees and registration fees.

Administration fees comprise the fees due to the Depositary bank, the Administrative Agent, the Paying Agent, the Domiciliary and Corporate Agent and Registrar and Transfer Agent, the costs relating to the translation and printing of key information documents, prospectus and reports to shareholders, independent auditor’s fees, outside counsels and other professionals as well as other administrative expenses.

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Other notes to the financial statements (continued)

3. Management fees and Administration fees (continued):

The All-in fees applicable as at the year-end are detailed in the below table: Maximum indirect Class of Management Administration Total (All-in Sub-funds Management shares fees fees fee) fees

NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months SI/A (EUR) 0.10% p.a 0.10% p.a 0.20% p.a. - I/A (EUR) 0.25% p.a. 0.10% p.a. 0.35% p.a. - R/A (EUR) 0.40% p.a 0.20% p.a. 0.60% p.a. - NATIXIS AM Funds - Ostrum Euro Short Term Credit SI/A (EUR) 0.15% p.a. 0.10% p.a. 0.25% p.a. - SI/D (EUR) 0.15% p.a. 0.10% p.a. 0.25% p.a. - N1/A (EUR) 0.27%p.a. 0.10% p.a. 0.37% p.a. - I/A (EUR) 0.30% p.a. 0.10% p.a. 0.40% p.a. - I/D (EUR) 0.30% p.a. 0.10% p.a. 0.40% p.a. - N/A (EUR) 0.30% p.a. 0.20% p.a. 0.50% p.a. - R/A (EUR) 0.60%p.a. 0.20% p.a. 0.80% p.a. - R/D (EUR) 0.60%p.a. 0.20% p.a. 0.80% p.a. - RE/A (EUR) 1.20%p.a. 0.20% p.a. 1.40% p.a. - NATIXIS AM Funds - Ostrum Euro Credit M/D (EUR) 0.05% p.a. 0.10% p.a. 0.15% p.a. - SI/A (EUR) 0.20% p.a. 0.10% p.a. 0.30% p.a. - I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - N/A (EUR) 0.50% p.a. 0.20% p.a. 0.70% p.a. - R/A (EUR) 0.80% p.a. 0.20% p.a. 1.00% p.a. - R/D (EUR) 0.80% p.a. 0.20% p.a. 1.00% p.a. -

NATIXIS AM Funds - Ostrum Euro Inflation I/A (EUR) 0.35% p.a. 0.10% p.a. 0.45% p.a. - R/A (EUR) 0.60% p.a. 0.20% p.a. 0.80% p.a. -

NATIXIS AM Funds - Ostrum Euro Aggregate SI/A (EUR) 0.20% p.a. 0.10% p.a. 0.30% p.a. - SI/D (EUR) 0.20% p.a. 0.10% p.a. 0.30% p.a. - I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - I/D (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - N/A (EUR) 0.50% p.a. 0.20%p.a. 0.70% p.a. - R/A (EUR) 0.80% p.a. 0.20% p.a. 1.00% p.a. - R/D (EUR) 0.80% p.a. 0.20% p.a. 1.00% p.a. - RE/A (EUR) 1.40% p.a. 0.20% p.a. 1.60% p.a. - RE/D (EUR) 1.40% p.a. 0.20% p.a. 1.60% p.a. - NATIXIS AM Funds - Ostrum Global Aggregate SI/A (USD) 0.25% p.a. 0.10% p.a. 0.35% p.a. - I/A (H-EUR) 0.55% p.a. 0.10% p.a. 0.65% p.a. - NATIXIS AM Funds - Ostrum Credit Opportunities SI/A (EUR) 0.30% p.a. 0.10% p.a. 0.40% p.a. - I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - R/A (EUR) 0.80% p.a. 0.20% p.a. 1.00% p.a. - RE/A (EUR) 1.10% p.a. 0.20% p.a. 1.30% p.a. - RE/A (H-CHF) 1.10% p.a. 0.20% p.a. 1.30% p.a. - NATIXIS AM Funds - Ostrum Global Convertible Bonds SI/A (USD) 0.50% p.a. 0.10% p.a. 0.60% p.a. - I/A (H-EUR) 0.75% p.a. 0.10% p.a. 0.85% p.a. - I/A (USD) 0.75% p.a. 0.10% p.a. 0.85% p.a. -

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NATIXIS AM Funds - Ostrum Multi Asset Global Income SI/A (USD) 0.20% p.a. 0.10% p.a. 0.30% p.a. - I/A (USD) 0.40% p.a. 0.10% p.a. 0.50% p.a. - I/A (H-EUR) 0.40% p.a. 0.10% p.a. 0.50% p.a. - I/D (H-EUR) 0.40% p.a. 0.10% p.a. 0.50% p.a. - R/A (H-EUR) 0.60% p.a. 0.20% p.a. 0.80% p.a. - R/D (H-EUR) 0.60% p.a. 0.20% p.a. 0.80% p.a. - NATIXIS AM Funds - H2O Lux Multibonds I/A (EUR) 0.60% p.a. 0.10% p.a. 0.70% p.a. 0.10% p.a. (closed on May 28, 2020) R/A (EUR) 1.00% p.a. 0.20% p.a. 1.20% p.a. 0.10% p.a. R/D (EUR) 1.00% p.a. 0.20% p.a. 1.20% p.a. 0.10% p.a. NATIXIS AM Funds - H2O Lux Allegro I/A (EUR) 0.60% p.a. 0.10% p.a. 0.70% p.a. 0.10% p.a. (closed on May 28, 2020) R/A (EUR) 1.10% p.a. 0.20% p.a. 1.30% p.a. 0.10% p.a. NATIXIS AM Funds - Ostrum Euro Value Equity M/D (EUR) 0.80% p.a. 0.10% p.a. 0.90% p.a. - I/A (EUR) 1.10% p.a. 0.10% p.a. 1.20% p.a. - I/D (EUR) 1.10% p.a. 0.10% p.a. 1.20% p.a. - R/A (EUR) 2.00% p.a. 0.20% p.a. 2.20% p.a. - NATIXIS AM Funds - Ostrum Food & Consumer Equities (closed on October 30, 2019) I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. 0.50% p.a. NATIXIS AM Funds - Natixis Conservative Risk Parity I/A (EUR) 0.60% p.a. 0.10% p.a. 0. 70% p.a. 0.40% p.a. I/D (EUR) 0.60% p.a. 0.10% p.a. 0. 70% p.a. 0.40% p.a. R/A (EUR) 1.20% p.a. 0.20% p.a. 1.40% p.a. 0.40% p.a. R/D (EUR) 1.20% p.a. 0.20% p.a. 1.40% p.a. 0.40% p.a. RE/A (EUR) 1.80% p.a. 0.20% p.a. 2.00% p.a. 0.40% p.a. RE/D (EUR) 1.80% p.a. 0.20% p.a. 2.00% p.a. 0.40% p.a. NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund M/A (EUR) 0.15% p.a. 0.10% p.a. 0.25% p.a. - I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - R/A (EUR) 1.00% p.a. 0.20% p.a. 1.20% p.a. - R/A (H-USD) 1.00% p.a. 0.20% p.a. 1.20% p.a. - RE/A (EUR) 1.50% p.a. 0.20% p.a. 1.70% p.a. - RE/D (EUR) 1.50% p.a. 0.20% p.a. 1.70% p.a. - NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund M/A (EUR) 0.15% p.a. 0.10% p.a. 0.25% p.a. - SI/A NPF (EUR) 0.60% p.a. 0.10% p.a. 0.70% p.a. - I/A (EUR) 0.70% p.a. 0.10% p.a. 0.80% p.a. - I/D (EUR) 0.70% p.a. 0.10% p.a. 0.80% p.a. - R/A (EUR) 1.40% p.a. 0.20% p.a. 1.60% p.a. - NATIXIS AM Funds - Seeyond Equity Factor Investing Europe SI/A (EUR) 0.30% p.a. 0.10% p.a. 0.40% p.a. - I/A (EUR) 0.60% p.a. 0.10% p.a. 0.70% p.a. - NATIXIS AM Funds - Seeyond Europe Market Neutral SI/A (EUR) 0.30% p.a. 0.10% p.a. 0.40% p.a. - SI/A (H-USD) 0.30% p.a. 0.10% p.a. 0.40% p.a. - I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - I/D (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. -

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NATIXIS AM Funds - Seeyond Europe Minvol SI/D (EUR) 0.35% p.a. 0.10% p.a. 0.45% p.a. - SI/A (EUR 0.35% p.a. 0.10% p.a. 0.45% p.a. - N1/A (EUR) 0.65% p.a 0.10% p.a. 0.75% p.a. - I/A (EUR) 0.65% p.a 0.10% p.a. 0.75% p.a. - I/D (EUR) 0.65% p.a 0.10% p.a. 0.75% p.a. - N/A (EUR) 0.65% p.a 0.20% p.a. 0.85% p.a. - R/A (EUR) 1.60% p.a. 0.20% p.a. 1.80% p.a. - R/A (H-USD) 1.60% p.a. 0.20% p.a. 1.80% p.a. - R/D (EUR) 1.60% p.a. 0.20% p.a. 1.80% p.a. - RE/A (EUR) 2.30% p.a. 0.20% p.a. 2.50% p.a. -

NATIXIS AM Funds - Seeyond US Minvol SI/A (USD) 0.35% p.a. 0.10% p.a. 0.45% p.a. - I/A (USD) 0.65% p.a. 0.10% p.a. 0.75% p.a. - NATIXIS AM Funds - Seeyond Global Minvol M/D (EUR) 0.30% p.a. 0.10% p.a. 0.40% p.a. - SI/A (EUR) 0.35% p.a. 0.10% p.a. 0.45% p.a. - N1/A (EUR) 0.65% p.a. 0.10% p.a. 0.75% p.a. - I/A (EUR) 0.65% p.a. 0.10% p.a. 0.75% p.a. - I/A (H-USD) 0.65% p.a. 0.10% p.a. 0.75% p.a. - I/D (EUR) 0.65% p.a. 0.10% p.a. 0.75% p.a. - N/A (EUR) 0.65% p.a 0.20% p.a. 0.85% p.a. - R/A (EUR) 1.60% p.a. 0.20% p.a. 1.80% p.a. - R/D (EUR) 1.60% p.a. 0.20% p.a. 1.80% p.a. - R/A (H-USD) 1.60% p.a. 0.20% p.a. 1.80% p.a. - RE/A (EUR) 2.30% p.a. 0.20% p.a. 2.50% p.a. - RE/D (EUR) 2.30% p.a. 0.20% p.a. 2.50% p.a. - NATIXIS AM Funds - Seeyond Equity Volatility Strategies I/A (EUR) 0.50% p.a. 0.10% p.a. 0.60% p.a. - R/A (EUR) 1.00% p.a. 0.20% p.a. 1.20% p.a. - R/A (H-USD) 1.00% p.a. 0.20% p.a. 1.20% p.a. - R/A (H-SGD) 1.00% p.a. 0.20% p.a. 1.20% p.a. - NATIXIS AM Funds - Ostrum Global Emerging - Bonds SI/A (H-EUR) 0.40% p.a. 0.10% p.a. 0.50% p.a. SI/A (EUR) 0.40% p.a. 0.10% p.a. 0.50% p.a. - I/A (USD) 0.70% p.a. 0.10% p.a. 0.80% p.a. - I/A (H-EUR) 0.70% p.a. 0.10% p.a. 0.80% p.a. - I/A (EUR) 0.70% p.a. 0.10% p.a. 0.80% p.a. - N/A (H-EUR) 0.70% p.a 0.20% p.a. 0.90% p.a. - R/A (USD) 1.10% p.a. 0.20% p.a. 1.30% p.a. - R/A (EUR) 1.10% p.a. 0.20% p.a. 1.30% p.a. - R/A (H-EUR) 1.10% p.a. 0.20% p.a. 1.30% p.a. - NATIXIS AM Funds - Ostrum Global Emerging Equity M/A (EUR) 0.80% p.a. 0.10% p.a. 0.90% p.a. - I/A (EUR) 0.90% p.a. 0.10% p.a. 1.00% p.a. - R/A (EUR) 1.50% p.a. 0.20% p.a. 1.70% p.a. -

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Other notes to the financial statements (continued)

3. Management fees and Administration fees (continued):

A detail of the depositary fees charged to the sub-funds during the financial year which are included in the All-in fee is provided below:

Sub-funds Currency Depositary fees NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months EUR 60,724.70 NATIXIS AM Funds - Ostrum Euro Short Term Credit EUR 831,296.38 NATIXIS AM Funds - Ostrum Euro Credit EUR 116,642.75 NATIXIS AM Funds - Ostrum Euro Inflation EUR 36,485.17 NATIXIS AM Funds - Ostrum Euro Aggregate EUR 229,313.40 NATIXIS AM Funds - Ostrum Global Aggregate USD 25,818.46 NATIXIS AM Funds - Ostrum Credit Opportunities EUR 1,282.12 NATIXIS AM Funds - Ostrum Global Convertible Bonds USD 44,974.05 NATIXIS AM Funds - Ostrum Multi Asset Global Income USD 153,169.12 NATIXIS AM Funds - Ostrum Euro Value Equity EUR 8,776.90 NATIXIS AM Funds - Natixis Conservative Risk Parity EUR 82,967.18 NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund EUR 335,210.56 NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund EUR 269,079.95 NATIXIS AM Funds - Seeyond Equity Factor Investing Europe EUR (116,309.22) NATIXIS AM Funds - Seeyond Europe Market Neutral EUR (34,691.96) NATIXIS AM Funds - Seeyond Europe Minvol EUR 482,267.29 NATIXIS AM Funds - Seeyond US Minvol USD (48.90) NATIXIS AM Funds - Seeyond Global Minvol EUR 309,097.65 NATIXIS AM Funds - Seeyond Equity Volatility Strategies EUR 6,551.85 NATIXIS AM Funds - Ostrum Global Emerging Bonds USD 95,034.88 NATIXIS AM Funds - Ostrum Global Emerging Equity EUR 164,609.92

4. Performance fee:

The Management Company is entitled to receive a performance fee applicable to certain share classes of certain sub-funds as disclosed in the SICAV’s prospectus. The performance fee is based on a comparison of the Value Asset and the Reference Asset.

The Value Asset is defined as the portion of the net assets corresponding to each share class, valued in accordance with the rules applicable to the assets and taking into account the All-in fee corresponding to the said share class.

The Reference Asset is defined as the portion of the net assets corresponding to each share class, adjusted to take into account the subscription/redemption amounts applicable to the said share class at each valuation, and valued in accordance with the performance of the Reference Rate of the said share class.

Except for sub-funds Ostrum Euro Bonds Opportunities 12 Months and Ostrum Euro Value Equity, sub-funds are subject to a yearly High Water Mark. At the beginning of each Observation Period, the Reference Asset used is the highest on the beginning of the first observation period and all the Valued Asset as recorded on the last full bank Business Day of the preceding Observation Periods since the inception of the Sub-Fund. This Reference Asset is adjusted to take into account the subscriptions/redemptions amounts occurring between the date of recording of the Reference Rate and the start of the new Observation Period.

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Other notes to the financial statements (continued)

4. Performance fee (continued): The Reference rate is a percentage of the performance above the reference index as described hereafter: Sub-funds Reference index NATIXIS AM Funds - Ostrum Euro 20% of the performance above the daily capitalized EONIA: Bonds Opportunities 12 Months - + 0.90% for the SI share classes; - + 0.75% for the N1 share classes; - + 0.75% for the I share classes; - + 0.65% for the N share classes; - + 0.50% for the R share classes; - + 0.30% for the RE share classes. or 20% of the performance above the Reference index daily capitalized EONIA adjusted to the difference between the share class currency interest rate (LIBOR 1 month) and the Euro zone interest rate (Euribor 1 month): - + 0.90% for the SI H share classes; - + 0.75% for the I H share classes; - + 0.65% for the N H share classes. NATIXIS AM Funds - Ostrum Credit 20% of the performance above the daily capitalized EONIA: Opportunities - +3.20% for the SI share classes; - +3.00% for the I share classes; - +2.90% for the N share classes; - +2.60% for the R share classes; - +2.30% for the RE share classes. or 20% of the performance above the Reference index daily capitalized EONIA adjusted to the difference between the share class currency interest rate (LIBOR 1 month) and the Euro zone interest rate (Euribor 1 month): - +3.20% for the SI H share classes; - +3.00% for the I H share classes; - +2.90% for the N H share classes; - +2.60% for the R H share classes; - +2.30% for the RE H share classes.

NATIXIS AM Funds - Ostrum Global 20% of the performance above the reference Thomson Reuters Convertible Global Convertible Bonds Focus USD Hedged Index. The performance fee applies to all existing share classes of the sub-fund. NATIXIS AM Funds - H2O Lux 25% of the performance above the daily capitalized EONIA: Multibonds (closed on May 28, 2020) - + 2.90% for the I share classes; - + 2.80% for the N share classes; - + 2.50% for the R share classes. NATIXIS AM Funds - H2O Lux 20% of the performance above the daily capitalized EONIA for I, N and R share Allegro (closed on May 28, 2020) classes. NATIXIS AM Funds - Ostrum Euro 20% of the performance above the reference index MSCI EMU Dividend Net Value Equity Reinvested. The performance fee applies to all existing share classes of the sub-fund except for the M/D(EUR) share class. NATIXIS AM Funds - Seeyond 20% of the performance above the daily capitalized EONIA: Multi Asset Conservative Growth - +3.60% for the I share classes; Fund - +3.50% for the N share classes; - +3.00% for the R share classes; - +2.50% for the RE share classes; - +2.50% for the CW share classes. For hedged share classes, 20% of the performance above the Reference Index the capitalized EONIA adjusted to the difference between the share class currency interest rate (LIBOR 1 month) and the Euro zone interest rate (Euribor 1 month): - +3.60% for the I H share classes; - +3.50% for the N H share classes; - +3.00% for the R H share classes; - +2.50% for the RE H share classes; - +2.50% for the CW H share classes. NATIXIS AM Funds - Seeyond 20% of the performance above the daily capitalized EONIA: Multi Asset Diversified Growth Fund - +6.20% for the SI share classes; - +6.00% for the I share classes; - +5.90% for the N share classes; - +5.20% for the R share classes;

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Other notes to the financial statements (continued)

4. Performance fee (continued):

Sub-funds Reference index - +4.50% for the RE share classes; - +4.50% for the CW share classes. For hedged share classes, 20% of the performance above the Reference Index the capitalized EONIA adjusted to the difference between the share class currency interest rate (LIBOR 1 month) and the Euro zone interest rate (Euribor 1 month): - +6.20% for the SI share classes; - +6.00% for the I H share classes; - +5.90% for the N H share classes; - +5.20% for the R H share classes; - +4.50% for the RE H share classes; - +4.50% for the CW H share classes. NATIXIS AM Funds - Seeyond 20% of the performance above the daily capitalized EONIA: Europe Market Neutral - +1.20% for the SI and SIH share classes; - +1.00% for the I and IH share classes; - +0.90% for the N and NH share classes; - +0.40% for the R and RH share classes; - reference index for the RE and REH share classes. NATIXIS AM Funds - Seeyond 20% of the performance above the following reference rate: Equity Volatility Strategies - +7.40% for the I and IH share classes; - +6.80% for the R and RH share classes; - +6.00% for the RE and RE H share classes.

In case of redemption, the due share of performance fee corresponding to the number of shares which have been redeemed is definitively payable to the Management Company.

5. Taxe d’abonnement:

The SICAV is not subject to any Luxembourg stamp tax or other duty payable on the issuance of shares. The SICAV is subject to the Luxembourg “taxe d’abonnement” at the following rates: - 0.01% per year of each sub-fund’s net asset value with respect to class I shares, class M shares, class Q shares and class SI shares; and - 0.05% per year of each Sub-Fund’s net asset value with respect to class R Shares, class RE Shares, class CW Shares, class N1 Shares, and class N Shares. That tax is calculated and payable quarterly. The value of assets represented by investments in other Luxembourg UCIs which have already been subject to the “taxe d’abonnement” is exempted.

6. Dividends paid:

During the year ended June 30, 2020, the following sub-funds distributed a dividend :

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6. Dividends paid (continued):

• with ex-date as at December 20, 2019 and payment date as at December 26, 2019

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Income I/D (H-EUR) 0.2603 EUR

• with ex-date as at July 19, 2019 and payment date as at July 24, 2019 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Euro Short Term Credit I/D (EUR) 37.9903 EUR SI/D (EUR) 0.4254 EUR Natixis AM Funds - Ostrum Euro Credit M/D (EUR) 202.3360 EUR Natixis AM Funds - Ostrum Euro Aggregate I/D (EUR) 412.5711 EUR R/D (EUR) 0.2914 EUR RE/D (EUR) 0.0563 EUR SI/D (EUR) 0.4125 EUR Natixis AM Funds - Ostrum Euro Value Equity M/D (EUR) 1,437.7966 EUR I/D (EUR) 262.7327 EUR Natixis AM Funds - Natixis Conservative Risk Parity I/D (EUR) 110.386 EUR R/D (EUR) 0.9576 EUR RE/D (EUR) 0.5177 EUR Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.2252 EUR R/D (EUR) 2.2446 EUR Natixis AM Funds - Seeyond Europe Market Neutral I/D (EUR) 2.2329 EUR Natixis AM Funds - Seeyond Europe Minvol SI/D (EUR) 2,075.3874 EUR I/D (EUR) 1,730.6250 EUR R/D (EUR) 1.7749 EUR Natixis AM Funds - Seeyond Global Minvol I/D (EUR) 2.1753 EUR M/D (EUR) 341.3421 EUR R/D (EUR) 0.8425 EUR Natixis AM Funds - H2O Lux Multibonds R/D (EUR) 14.3823 EUR

• with ex-date as at August 21, 2019 and payment date as at August 27, 2019 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.2252 EUR

• with ex-date as at September 19, 2019 and payment date as at September 24, 2019 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.2191 EUR

• with ex-date as at October 18, 2019 and payment date as at October 23, 2019 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.2584 EUR Natixis AM Funds - Ostrum Euro Credit R/D(EUR) 0.1039 EUR Natixis AM Funds - Ostrum Euro Short Term Credit I/D(EUR) 42.2816 EUR SI/(EUR) 0.4691 EUR Natixis AM Funds - Ostrum Euro Aggregate ID (EUR) 457.8621 EUR R (EUR) 0.3339 EUR RE (EUR) 0.081 EUR SI (EUR) 0.4514 EUR Natixis AM Funds – Natixis Conservative Risk Party I/D (EUR) 138.3943 EUR R/D (EUR) 1.2003 EUR RE/D (EUR) 0.6501 EUR

• with ex-date as at November 21, 2019 and payment date as at November 26, 2019 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.2612 EUR

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6. Dividends paid (continued):

• with ex-date as at January 17, 2020 and payment date as at January 22, 2020 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Euro Short Term Credit I/D (EUR) 46.7297 EUR SI/D (EUR) 0.4641 EUR R/D (EUR) 0.2285 EUR Natixis AM Funds - Ostrum Euro Credit R/D (EUR) 0.1678 EUR Natixis AM Funds - Ostrum Euro Aggregate I/D (EUR) 423.3982 EUR R/D (EUR) 0.3005 EUR RE/D (EUR) 0.0600 EUR SI/D (EUR) 0.4227 EUR Natixis AM Funds - Natixis Conservative Risk Parity I/D (EUR) 109.3562 EUR R/D (EUR) 0.7107 EUR RE/D (EUR) 0.3894 EUR

• with ex-date as at January 21, 2020 and payment date as at January 28, 2020 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.2612 EUR

• with ex-date as at February 20, 2020 and payment date as at February 26, 2020 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.26 EUR

• with ex-date as at March 20, 2020 and payment date as at March 26, 2020 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.1745 EUR

• with ex-date as at April 22, 2020 and payment date as at April 28, 2020 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.1599 EUR Natixis AM Funds - Ostrum Euro Credit R/D (EUR) 0.0967 EUR Natixis AM Funds - Ostrum Euro Short Term Credit I/D (EUR) 34.974 EUR R/D (EUR) 0.2521 EUR SI/D (EUR) 0.3934 EUR Natixis AM Funds - Ostrum Euro Aggregate I/D (EUR) 297.1776 EUR R/D (EUR) 0.1688 EUR SI/D (EUR) 0.3192 EUR Natixis AM Funds - Natixis Conservative Risk Party I/D (EUR 77.5397 EUR R/D (EUR) 0.6731 EUR RE/D (EUR) 0.3664 EUR

• with ex-date as at May 15, 2020 and payment date as at May 25, 2020

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.1591 EUR

• with ex-date as at June 19, 2020 and payment date as at June 25, 2020 :

Sub-funds Class of shares Dividend per share Currency Natixis AM Funds - Ostrum Multi Asset Global Income I/D (H-EUR) 0.1731 EUR

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Other notes to the financial statements (continued)

7. Credit Default Swaps:

As at June 30, 2020, the open positions on Credit Default Swaps (CDS) are as follows:

NATIXIS AM Funds - Ostrum Euro Short Term Credit

CDS on securities

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) LVMH MOET HENNESSY LOUIS SGR SOCIETE VUITTON SELL EUR 10,000,000 20/06/22 GENERALE PARIS 168,242.00 SGR SOCIETE VODAFONE AG SELL EUR 4,000,000 20/12/22 GENERALE PARIS 56,378.00 BNP-PARIBAS SA VODAFONE AG SELL EUR 8,000,000 20/12/22 PARIS 112,756.00 BNP-PARIBAS SA CASINO GUICHARD PERRACHON SELL EUR 10,000,000 20/12/20 PARIS -191.502.00 LVMH MOET HENNESSY LOUIS BARCLAYS BANK VUITTON SELL EUR 10,000,000 20/12/22 IRELAND PLC 203,416.00 BARCLAYS BANK AUCHAN SA BUY EUR 5,000,000 20/12/22 IRELAND PLC 22,239.00 371,529.00

CDS on index

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) JP MORGAN AG ITRAXX SUB FIN S32 V1 MKT BUY EUR 20,000,000 20/12/24 FRANKFURT 492,264.00 JP MORGAN AG ITRAXX SUB FIN S32 V1 MKT BUY EUR 30,000,000 20/12/24 FRANKFURT 738,396.00 BNP-PARIBAS SA ITRAXX XOVER S32 V1 MKT BUY EUR 10,000,000 20/12/24 PARIS -491,785.00 BNP-PARIBAS SA ITRAXX SUB FIN S32 V1 MKT BUY EUR 30,000,000 20/12/24 PARIS 738,396.00 JP MORGAN AG ITRAXX SUB FIN S32 V1 MKT BUY EUR 10,000,000 20/06/25 FRANKFURT 332,359.00 1,809,630.00

Collateral positions as at June 30, 2020, if any, are detailed in Note 14.

NATIXIS AM Funds - Ostrum Euro Credit

CDS on securities

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) JP MORGAN AG KERING 1.25 16-2 SELL EUR 2,000,000 20/06/24 FRANKFURT 59,710.00 BARCLAYS BANK GLENCORE FIN EUR 6.27 SELL EUR 200,000 20/09/20 IRELAND PLC -93.00 59,617.00

CDS on index

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) BOFA SECURITIES ITRAXX EUROPE S33 V1 MKT BUY EUR 10,000,000 20/06/25 EUROPE SA FIC -156,708.00 JP MORGAN AG ITRAXX SUB FINANCIALS S32 V1 MKT BUY EUR 5,000,000 20/12/24 FRANKFURT 123,066.00 -33,642.00

Collateral positions as at June 30, 2020, if any, are detailed in Note 14.

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Other notes to the financial statements (continued)

7. Credit Default Swaps (continued)

NATIXIS AM Funds - Ostrum Euro Aggregate

CDS on index

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) BNP-PARIBAS SA ITRAXX XOVER S33 V1 MKT BUY EUR 5,000,000 20/06/25 PARIS -231,378.67 JP MORGAN AG ITRAXX EUROPE S33 V1 MKT BUY EUR 8,000,000 20/06/25 FRANKFURT -125,367.00 JP MORGAN AG ITRAXX EUROPE S33 V1 MKT BUY EUR 8,000,000 20/06/25 FRANKFURT -125,367.00 ITRAXX SUB FINANCIALS S33 V1 JP MORGAN AG MKT BUY EUR 4,000,000 20/06/25 FRANKFURT 132,944.00 JP MORGAN AG ITRAXX EUROPE S33 V1 MKT BUY EUR 8,000,000 20/06/25 FRANKFURT -125,367.00 JP MORGAN AG CDX EM S32 V3 MKT BUY USD 9,300,000 20/12/24 FRANKFURT 303,969.19 -170,566.48

Collateral positions as at June 30, 2020, if any, are detailed in Note 14.

NATIXIS AM Funds - Ostrum Global Aggregate

CDS on index

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in USD) JP MORGAN AG CDX EM S32 V3 MKT BUY USD 1,860,000 20/12/24 FRANKFURT 68,281.00 BOFA SECURITIES CDX EM S32 V3 MKT BUY USD 930,000 20/12/24 EUROPE SA FIC 34,140.50 102,421.50

Collateral positions as at June 30, 2020, if any, are detailed in Note 14.

NATIXIS AM Funds - Ostrum Credit Opportunities

CDS on index

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) BNP-PARIBAS SA ITRAXX XOVER S32 V1 MKT SELL EUR 5,000,000 20/12/24 PARIS 245,893.00 BNP-PARIBAS SA ITRAXX XOVER S32 V1 MKT SELL EUR 3,000,000 20/12/24 PARIS 147,536.00 JP MORGAN AG ITRAXX EUROPE SERIE 32 V1 BUY EUR 20,000 000 20/12/24 FRANKFURT -322,820.00 JP MORGAN AG ITRAXX EUROPE SERIE 28 V2 SELL EUR 12,500,000 20/12/20 FRANKFURT 51,583.00 BNP-PARIBAS SA CDX NA IG SERIE 34 V1 SELL USD 2,000,000 20/06/25 PARIS 18,642.21 JP MORGAN AG ITRAXX EUROPE SERIE 33 V1 BUY EUR 2,000,000 20/06/25 FRANKFURT -31,341.60 109,492.61

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Other notes to the financial statements (continued)

7. Credit Default Swaps (continued)

CDS on securities

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in EUR) SGR SOCIETE MICHELIN LUX 2.75 12-1 BUY EUR 2,000,000 20/12/22 GENERALE PARIS -36,875.00 SGR SOCIETE VALEO EMTN 3.25 14-2 SELL EUR 2,000,000 20/12/22 GENERALE PARIS -15,309.50 SGR SOCIETE SSE REGS 5.875 99-2 BUY EUR 1,000,000 20/12/23 GENERALE PARIS -20,300.00 GOLDMAN SACHS KONINKLIJKE KPN NV 5.625 BUY EUR 1,000,000 20/12/23 INTERN. -15,452.00 BNP-PARIBAS SA TDC 3.75 12-2 BUY EUR 1,000,000 20/06/24 PARIS 18,713.00 BNP-PARIBAS SA MARKS AND SPENC.EMTN 6.125 09-1 BUY EUR 1,000,000 20/12/23 PARIS 62,116.00 BNP-PARIBAS SA BRITISH TELECOMMUNICATIONS 5.75 BUY EUR 1,000,000 20/12/23 PARIS -7,444.00 BNP-PARIBAS SA ASTRAZENECA PLC 0.25 16-2 BUY EUR 1,000,000 20/12/23 PARIS -30,054.00 BARCLAYS BANK HCA 8.00 11-1 BUY USD 1,000,000 20/06/21 IRELAND PLC -35,894.58 BARCLAYS BANK HEIDELBERGCEMENT FIN 5.625 07-1 SELL EUR 1,000,000 20/12/20 IRELAND PLC 22,730.00 BARCLAYS BANK GOODYEAR T & RUBBER 7.00 98-2 BUY USD 1,500,000 20/12/21 IRELAND PLC -53,213.73 BARCLAYS BANK FINMECCANICA FINANCE 5.75 03-1 SELL EUR 1,000,000 20/12/20 IRELAND PLC 21,936.00

AREVA – SOCIETE DES PARTICIPATIO BNP-PARIBAS SA 4.875 09-2 BUY EUR 1,000,000 20/06/21 PARIS -45,659.00 JP MORGAN AG BAE SYSTEMS REGS 4.125 12-2 BUY EUR 1,000,000 20/12/23 FRANKFURT -18,977.00 JP MORGAN AG ACCOR SA 2.625 14-2 BUY EUR 1,000,000 20/12/23 FRANKFURT 32,986.00 JP MORGAN AG PEARSON FUNDING 1.375 15-2 BUY EUR 1,000,000 20/12/23 FRANKFURT -9,143.00 JP MORGAN AG JAGUAR LAND ROVER 5.00 14-2 SELL EUR 1,000,000 20/12/23 FRANKFURT -95,572.00 JP MORGAN AG JAGUAR LAND ROVER 5.00 14-2 BUY EUR 2,000,000 20/12/20 FRANKFURT 913.00 BARCLAYS BANK TENET HEALTHCARE 6.875 02-3 SELL USD 500,000 20/06/21 IRELAND PLC 10,694.92 BOFA SECURITIES BOEING CO 1.875 14-2 BUY EUR 1,000,000 20/06/25 EUROPE SA FIC -22,027.00 JP MORGAN AG ALLY FINANCIAL 4.125 15-2 BUY USD 1,000,000 20/06/25 FRANKFURT -150,500.82 GOLDMAN SACHS SEAT PAGINE GIALLE SPA 2.75 17-23 BUY USD 1,000,000 20/06/25 INTERN. 29,220.50 JP MORGAN AG UNIBAIL-RODAMCO 2.375 13-2 SELL EUR 1,000,000 20/06/25 FRANKFURT -59,575.00 BNP-PARIBAS SA FORD MOTOR CO 6.50 98-1 SELL USD 1,000,000 20/12/21 PARIS 15,345.68 BARCLAYS BANK CASINO GUICHARD FL.R 12-1 SELL EUR 1,000,000 20/12/21 IRELAND PLC -66,764.00 -468,105.53

Collateral positions as at June 30, 2020, if any, are detailed in Note 14.

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Other notes to the financial statements (continued)

7. Credit Default Swaps (continued)

NATIXIS AM Funds - Ostrum Multi Asset Global Income

CDS on index

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in USD) BNP-PARIBAS SA CDX NA IG SERIE 34 V1 SELL USD 16,000,000 20/06/23 PARIS 167,505.00 BNP-PARIBAS SA CDX NA IG SERIE 34 V1 BUY USD 10,000,000 20/06/25 PARIS -104,690.00 BNP-PARIBAS SA CDX NA IG SERIE 34 V1 BUY USD 1,000 000 20/06/25 PARIS -10,469.00 52,346.00

CDS on securities

Descriptions/ Protection Currency Notional Maturity Counterparty Unrealised underlying Buyer/ result Seller (in USD) UNITED MEXICAN STATES 4.15 17-27 JP MORGAN AG 28/03S BUY USD 1,000,000 20/06/23 FRANKFURT 3,146.00 3,146.00

Collateral positions as at June 30, 2020, if any, are detailed in Note 14.

8. Cross Currency Interest Rate Swaps and Inflation Swap

As at June 30, 2020, the open positions on Cross Currency Interest Rate Swaps (CIRS) are as follows:

NATIXIS AM Funds - Ostrum Euro Short Term Credit

Maturity Unrealised FLOW RECEIVED FLOW PAID Counterparty date result Rate (in EUR) Currency Currency Notional received Notional Rate paid BNP-PARIBAS 02/10/20 EUR 4,674,644.73 0.2525 CHF 5,000,000.00 1.125 SA PARIS -37,802.90 BNP-PARIBAS 02/10/20 EUR 4,675,081.81 0.2575 CHF 5,000,000.00 1.125 SA PARIS -37,305.00 BNP-PARIBAS 09/10/20 EUR 1,372,911.63 0.355 CHF 1,500,000.00 1.125 SA PARIS -40,794.03 BNP-PARIBAS 02/09/20 EUR 2,715,887.14 0.278 CHF 3,000,000.00 0.625 SA PARIS -106,494,.85 BNP-PARIBAS 15/10/20 EUR 4,692,634.15 0.245 CHF 5,000,000.00 1.25 SA PARIS -23,425.58 BNP-PARIBAS 21/05/21 EUR 11,398,609.37 1.03 GBP 10,000,000.00 10 SA PARIS -399,769.06 JP MORGAN AG 08/08/23 EUR 4,148,344.81 1.545 USD 5,000,000.00 6.5 FRANKFURT -874,344.47 JP MORGAN AG 02/09/20 EUR 3,635,041.80 0.2725 CHF 4,000,000.00 0.625 FRANKFURT -128,150.78 JP MORGAN AG 17/07/20 EUR 3,398,278.21 0.27 CHF 3,750,000.00 1.25 FRANKFURT -127,381.62 JP MORGAN AG 03/07/20 EUR 1,407,356.24 0.653 CHF 1,630,000.00 2.5 FRANKFURT -124,318.98 JP MORGAN AG 03/07/20 EUR 2,158,521.84 0.633 CHF 2,500,000.00 2.5 FRANKFURT -190,676.90 JP MORGAN AG 12/09/23 EUR 7,212,600.41 0.14 USD 8,000,000.00 4 FRANKFURT -578,911.57 -2,669,375.74

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Other notes to the financial statements (continued)

8. Cross Currency Interest Rate Swaps and Inflation Swap (continued)

NATIXIS AM Funds - Ostrum Euro Credit

Maturity Unrealised FLOW RECEIVED FLOW PAID Counterparty date result Rate (in EUR) Currency Currency Notional received Notional Rate paid SGR SOCIETE GENERALE 04/01/24 EUR 1,695,873.38 1.405 GBP 1,500,000.00 8.625 PARIS -323,067.73 JP MORGAN AG 14/08/24 EUR 1,815,840.00 1.085 GBP 1,600,000.00 5.625 FRANKFURT -213,026.46 -536,094.19

9. Securities lending:

As at June 30, 2020, the following sub-funds entered into securities lending transactions:

NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 3,039,975.00 Natixis Asset Management Finance 3,030,000.00 3,030,000.00

NATIXIS AM Funds - Ostrum Euro Short Term Credit:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 8,420,755.50 Natixis Asset Management Finance 7,474,929.60 7,474,929.60

NATIXIS AM Funds - Ostrum Euro Credit

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 5,251,580.38 Natixis Asset Management Finance 5,193,192.61 5,193,192.61

NATIXIS AM Funds - Ostrum Euro Aggregate:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 100,806,948.97 Natixis Asset Management Finance 94,958,439.38 94,958,439.38

NATIXIS AM Funds - Ostrum Global Aggregate:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 1,359,085.98 Natixis Asset Management Finance 1,270,504.30 1,270,504.30

NATIXIS AM Funds - Ostrum Global Convertible Bonds:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 648,498.29 Natixis Asset Management Finance 642,213.51 642,213.51

NATIXIS AM Funds - Ostrum Euro Value Equity:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 2,381,121.69 Natixis Asset Management Finance 1,761,523.02 1,761,523.02

NATIXIS AM Funds - Seeyond Equity Factor Investing Europe:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 21,932.50 Natixis Asset Management Finance 2,145.00 2,145.00

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Other notes to the financial statements (continued)

9. Securities lending (continued):

NATIXIS AM Funds - Seeyond Europe Minvol:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 39,783,791.21 Natixis Asset Management Finance 37,745,835.33 37,745,835.33

NATIXIS AM Funds - Seeyond Global Minvol:

Market value of securities on loan Counterparty Collateral received in cash (in EUR) (in EUR) 12,787,051.80 Natixis Asset Management Finance 14,052,807.34 14,052,807.34 The cash received as collateral as at June 30, 2020 was not reinvested.

Income generated by securities lending:

Sub-funds Currency Total gross Direct-indirect Total net amount on amount cost on securities securities lending income on securities lending income lending income NATIXIS AM Funds - Ostrum Euro Bonds Opportunities EUR 378.75 151.50 227.25 12 Months NATIXIS AM Funds - Ostrum Euro Short Term Credit EUR 31,027.98 12,411.19 18,616.79 NATIXIS AM Funds - Ostrum Euro Credit EUR 9,032.02 3,612.81 5,419.21 NATIXIS AM Funds - Ostrum Euro Aggregate EUR 170,541.62 68,216.65 102,324.97 NATIXIS AM Funds - Ostrum Global Aggregate EUR 50.47 20.19 30.28 NATIXIS AM Funds - Ostrum Global Convertible Bonds USD 20,572.05 8,228.82 12,343.23 NATIXIS AM Funds - Ostrum Euro Value Equity EUR 11,576.78 4,630.71 6,946.07 NATIXIS AM Funds - Seeyond Equity Factor Investing EUR 7,442.98 2,977.19 4,465.79 Europe NATIXIS AM Funds - Seeyond Europe Minvol EUR 472,409.03 188,963.61 283,445.42 NATIXIS AM Funds - Seeyond Global Minvol EUR 154,769.45 61,907.78 92,861.67 NATIXIS AM Funds - Ostrum Global Emerging Equity EUR 5,187.67 2,075.07 3,112.60

10. Repurchase transactions:

During the year ended June 30, 2020, the below sub-funds entered into repurchase transactions.

The amounts received as collateral in the context of such transactions (amounts borrowed) were recorded in the caption cash at bank and liquidities and in the caption as payable for repurchase transactions in the statement of net assets.

NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months:

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying (in EUR) securities as at 30/06/20 (in EUR) ITALY 4.75 11-21 01/09S EUR 10,719,000.00 01/09/21 10,567,050.00 NAM Finance 10,719,000.00 10,567,050.00

Cash collateral paid as at June 30, 2020, if any, in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount paid Natixis Asset Management Finance EUR 4,200.00 4,200.00

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Other notes to the financial statements (continued)

NATIXIS AM Funds - Ostrum Euro Short Term Credit:

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying (in EUR) securities as at 30/06/20 (in EUR) ASSICURAZ GENERALI FL.R 12-42 10/07A EUR 1,267,000.00 10/07/42 1,174,465.00 NAM Finance BANCO BILBAO VIZCAYA A 1.00 20-30 16/01A EUR 475,500.00 16/01/30 470,687.50 NAM Finance BANCO SANTANDER 1.3750 20-26 05/01A EUR 305,130.00 05/01/26 305,604.00 NAM Finance BANCO SANTANDER 1.3750 20-26 05/01A EUR 1,016,800.00 05/01/26 1,018,680.00 NAM Finance BCO BILBAO VIZCAYA 0.75 17-22 11/09A EUR 7,044,800.00 11/09/22 7,032,865.00 NAM Finance BMW FINANCE NV 0.00 19-23 24/03A EUR 4,279,360.00 24/03/23 4,263,708.00 NAM Finance CAIXABANK SA 1.75 18-23 24/10A EUR 1,732,640.00 24/10/23 1,733,354.00 NAM Finance CREDIT AGRICOLE SA FL.R 20-30 05/06A EUR 803,920.00 05/06/30 804,808.00 NAM Finance CREDIT SUISSE FL.R 13-25 18/09A EUR 480,800.00 18/09/25 503,940.00 NAM Finance CRITERIA CAIXA SA 1.5 17-23 10/05A EUR 1,040,500.00 10/05/23 1,020,810.00 NAM Finance DAIMLER INTL FI 0.2500 19-23 06/11A EUR 552,005.00 06/11/23 551,182.93 NAM Finance EDF FL.R 18-99 04/10A EUR 1,566,000.00 01/01/99 1,545,360.00 NAM Finance FCE BANK PLC 1.528 15-20 09/11 EUR 986,000.00 09/11/20 994,665.00 NAM Finance GOLDMAN SACHS GROUP FL.R 17-22 09/09Q EUR 6,365,440.00 09/09/22 6,367,712.00 NAM Finance INFINEON TECHNO 0.7500 20-23 24/06A EUR 2,513,250.00 24/06/23 2,511,912.50 NAM Finance INTESA SANPAOLO SUB 7.00 16-XX 19/01S EUR 1,960,000.00 19/01/49 1,996,610.00 NAM Finance INTESA SANPAOLO SUB 7.00 16-XX 19/01S EUR 1,236,000.00 19/01/49 1,197,966.00 NAM Finance INTL CONSOLIDAT 0.5000 19-23 04/07A EUR 1,359,000.00 04/07/23 1,446,768.00 NAM Finance LVMH MOET HENNE FL.R 20-22 11/02Q EUR 495,000.00 11/02/22 499,455.00 NAM Finance NATWEST MARKETS FL.R 18-21 27/09Q EUR 2,076,900.00 27/09/21 2,110,804.50 NAM Finance REPSOL INTL FINANCE FL.R 15-49 29/12A EUR 1,274,910.00 29/12/49 1,313,936.00 NAM Finance SANTANDER CONS BK 0.125 19-24 11/09A EUR 2,416,000.00 11/09/24 2,428,300.00 NAM Finance SANTANDER ISSUANCES 2.50 15-25 18/03A EUR 524,000.00 18/03/25 522,405.00 NAM Finance SOCIETE GENERALE SA 1.25 19-24 15/02A EUR 3,044,400.00 15/02/24 3,042,000.00 NAM Finance TELEFONICA EUROPA SUB 3.75 16-XX 15/09A EUR 1,006,700.00 15/09/49 1,005,490.00 NAM Finance UNIBAIL RODAMCO FL.R 18-XX XX/XXA EUR 874,600.00 31/12/49 877,885.00 NAM Finance UNICREDIT SPA EMTN FL.R 13-25 28/10A EUR 1,721,930.00 28/10/25 1,721,879.00 NAM Finance VALEO SA 0.375 17-22 12/09A EUR 180,520.00 12/09/22 194,010.00 NAM Finance VALEO SA 0.375 17-22 12/09A EUR 901,900.00 12/09/22 970,050.00 NAM Finance VALEO SA 0.375 17-22 12/09A EUR 880,020.00 12/09/22 873,045.00 NAM Finance ZF EUROPE FINANCE BV 1.250 16-23 23/10A EUR 910,000.00 23/10/23 950,170.00 NAM Finance ZF EUROPE FINANCE BV 1.250 16-23 23/10A EUR 885,400.00 23/10/23 950,170.00 NAM Finance ZF EUROPE FINANCE BV 1.250 16-23 23/10A EUR 1,144,800.00 23/10/23 1,140,204.00 NAM Finance 53,321,225.00 53,540,901.43

Cash collateral paid as at June 30, 2020, if any, in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount paid Natixis Asset Management Finance EUR 615,000.00 615,000.00

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Other notes to the financial statements (continued)

10. Repurchase transactions (continued):

NATIXIS AM Funds - Ostrum Euro Credit:

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying securities (in EUR) as at 30/06/20 (in EUR) ARKEMA S 0.75 19-29 03/12A EUR 666,099.00 03/12/29 679,819.00 NAM Finance ARKEMA S 0.75 19-29 03/12A EUR 188,000.00 03/12/29 194,234.00 NAM Finance BOUYGUES SA 1.1250 20-28 24/07A EUR 829,360.00 24/07/28 832,720.00 NAM Finance BPCE SA 0.6250 20-25 28/04A EUR 1, 004,500.00 28/04/25 1,016,120.00 NAM Finance COMCAST CORP 0.25 20-27 20/05A EUR 492,833.70 20/05/27 492,643.32 NAM Finance CREDEM 1.50 19-25 25/10A EUR 980,000.00 25/10/25 975,415.00 NAM Finance DANONE SA 0.3950 20-29 10/06A EUR 608,700.00 10/06/29 605,289.00 NAM Finance ENI SPA 1.0000 19-34 11/10A EUR 1,070,587.10 11/10/34 1,191,452.30 NAM Finance ITALGAS SPA 0.2500 20-25 24/06A EUR 496,340.70 24/06/25 497,275.07 NAM Finance KONINKIJKE 1.125 18-26 19/03A EUR 926,440.00 19/03/26 987,510.75 NAM Finance KUTXABANK SA 0.50 19-24 25/09A EUR 476,500.00 25/09/24 478,417.50 NAM Finance MARSH MCLENNAN COS 1.349 19-26 21/09A EUR 1,991,487.60 21/09/26 1,992,751.77 NAM Finance METROPOLITAN LIFE GL 0.375 19-24 09/04A EUR 490,400.00 09/04/24 503,245.00 NAM Finance METROPOLITAN LIFE GL 0.375 19-24 09/04A EUR 1,207,080.00 09/04/24 1,207,788.00 NAM Finance PROCTER & GAMBLE 1.875 18-38 30/10A EUR 199,587.50 30/10/38 211,470.00 NAM Finance RCI BANQUE SA 1.1250 20-27 15/01A EUR 199,908.50 15/01/27 196,830.97 NAM Finance RELX FINANCE BV 1.375 16-26 12/05A EUR 525,097.70 12/05/26 524,780.83 NAM Finance SUEZ 1.2500 20-27 02/04A EUR 946,620.00 02/04/27 945,765.00 NAM Finance TELSTRA CORP LT 1.0000 20-30 23/04A EUR 822,650.40 23/04/30 824,016.69 NAM Finance BELFIUS BANK SA 0.182 20-25 14/01A EUR (2,774,665.00) 11,347,537.20 14,357,544.20

Cash collateral paid as at June 30, 2020 in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount paid Natixis Asset Management Finance EUR 274,000.00 274,000.00

NATIXIS AM Funds - Ostrum Euro Inflation :

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying securities (in EUR) as at 30/06/20 (in EUR) KINGDOM OF SPAIN 0.7 17-33 30/11A EUR 199,872.60 30/11/33 212,376.90 NAM Finance 199,872.60 212,376.90

Cash collateral paid as at June 30, 2020 in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount paid Natixis Asset Management Finance EUR 23,000.00 23,000.00

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Other notes to the financial statements (continued)

10. Repurchase transactions (continued):

NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund :

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying securities (in EUR) as at 30/06/20 (in EUR) FRANCE 0.50 15-25 25/05A EUR 5,236,500.00 25/05/25 5,257,800.00 NAM Finance GERMANY 1.00 14-24 EUR 3,355,130.00 15/08/24 3,323,975.00 NAM Finance GERMANY 3.25 10-42 04/07A EUR 4,367,000.00 04/07/42 4,412,262.50 NAM Finance 12,958,630.00 12,994,037.50

Cash collateral paid as at June 30, 2020 in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount Collateral amount paid received Natixis Asset Management Finance EUR 270,000.00 270,000.00 270,000.00 270,000.00

NATIXIS AM Funds - Ostrum Euro Aggregate:

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying (in EUR) securities as at 30/06/20 (in EUR) ARKEMA S 0.75 19-29 03/12A EUR 552,000.00 04/01/49 582,702.00 NAM Finance ARKEMA S 0.75 19-29 03/12A EUR 846,000.00 04/01/49 874,053.00 NAM Finance AUSTRIA 1.50 16-47 20/02A EUR 1,813,840.00 04/01/49 1,848,259.00 NAM Finance AUSTRIA 1.50 16-47 20/02A EUR 4,698,134.60 04/01/49 4,751,345.82 NAM Finance BANCO SANTANDER TOTTA 1.25 17-27 NAM Finance 26/09A EUR 664,980.00 04/01/49 662,808.00 BANQUE EUROP INV 0.05 19-34 19/34A EUR 1,274,980.00 04/01/49 1,321,601.33 NAM Finance BANQUE EUROP INV 0.05 19-34 19/34A EUR 1,611,520.00 04/01/49 1,625,336.00 NAM Finance BNP PARIBAS FORTIS SA 0.875 18-28 NAM Finance 22/03A EUR 1,286,640.00 04/01/49 1,300,800.00 BP CAPITAL MARKFL.R 20-XX XX/XXA EUR 702,000.00 04/01/49 705,885.57 NAM Finance BPCE SFH - SOCI 0.1250 20-25 31/03A EUR 500,000.00 04/01/49 510,930.00 NAM Finance BPCE SFH - SOCI 0.1250 20-25 31/03A EUR 3,048,300.00 04/01/49 3,065,580.00 NAM Finance EDP FINANCE BV 1.625 18-26 26/01A EUR 199,148.40 04/01/49 198,521.42 NAM Finance EFSF 1.80 17-48 10/07A EUR 736,750.00 04/01/49 709,475.00 NAM Finance ELIA TRANSMISSION BEL 0.875 20-30 NAM Finance 28/04A EUR 204,900.00 01/07/20 204,646.00 ENEL S.P.A FL.R 19-80 24/05A EUR 487,757.60 04/01/49 490,959.81 NAM Finance ENI SPA 3.625 14-29 29/01A EUR 1,104,390.00 04/01/49 1,108,701.00 NAM Finance ERSTE GROUP BANK AG 0.875 20 27 NAM Finance 13/05A EUR 1,234,920.00 04/01/49 1,236,018.00 EURO STABILITY 0.7500 18-28 05/09A EUR 765,871.09 04/01/49 763,967.09 NAM Finance EUROP.INVEST.BK 1.00 16-32 14/04A EUR 1,006,110.00 04/01/49 1,029,033.00 NAM Finance EUROPEAN FINANCIAL 0.7 20-50 NAM Finance 20/01A EUR 2,974,160.00 04/01/49 3,162,348.00 FRANCE 1.75 17-39 25/06A EUR 1,015,200.00 04/01/49 1,020,372.00 NAM Finance INTESA SAN PAOLO 3.25 14-26 10/02A EUR 1,895,840.00 04/01/49 1,914,448.00 NAM Finance INTL BK RECON&DEVELOP 0.5 19-35 NAM Finance 21/06A EUR 1,940,090.00 04/01/49 2,023,044.00 MITSUBISHI 0.848 19-29 19/07A EUR 936,100.00 04/01/49 1,001,840.00 NAM Finance PORTUGAL 2.875 15-25 15/10A EUR 402,820.40 04/01/49 406,228.71 NAM Finance PORTUGAL 3.875 14-30 15/02A EUR 11,734,450.00 04/01/49 12,050,402.00 NAM Finance RELX FINANCE BV 1.375 16-26 12/05A EUR 527,202.30 04/01/49 526,884.16 NAM Finance SAP SE 0.375 20-29 18/05A EUR 1,007,500.00 03/07/20 1,003,130.00 NAM Finance SNCF RESEAU 2.00 18-48 05/02A EUR 634,500.00 04/01/49 632,230.00 NAM Finance SPAIN 1.95 16-26 30/04A EUR 3,386,628.50 04/01/49 3,348,470.78 NAM Finance TELIA COMPANY AB FL.R 20-81 NAM Finance 11/05A EUR 670,950.00 03/07/20 661,986.50 TORONTO-DOMINION B 0.50 17-24 NAM Finance 03/04A EUR 516,900.00 04/01/49 514,635.00 UBI BANCA 1.25 14-25 07/02A EUR 1,072,800.00 04/01/49 1,063,595.00 NAM Finance 51,453,382.89 52,320,236.19

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10. Repurchase transactions (continued):

Cash collateral paid as at June 30, 2020 in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount paid Natixis Asset Management Finance EUR 1,137,000.00 1,137,000.00

NATIXIS AM Funds – Seeyond Multi Asset Conservative Growth Fund :

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying securities (in EUR) as at 30/06/20 (in EUR) FRANCE 0.50 15-25 25/05A EUR 6,597,990.00 25/05/25 6,624,828.00 NAM Finance GERMANY 3.25 10-42 04/07A EUR 12,074,300.00 04/07/42 12,354,335.00 NAM Finance GERMANY 3.25 10-42 04/07A EUR 6,812,520.00 04/07/42 6,883,129.50 NAM Finance 25,484,810.00 25,862,292.50

Cash collateral paid as at June 30, 2020 in the context of the above Repurchase agreements contracts is as follows:

Counterparty Currency Collateral amount paid Natixis Asset Management Finance EUR 768,000.00 768,000.00

NATIXIS AM Funds - Ostrum Global Convertible Bonds:

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying (in USD) securities as at 30/06/20 (in USD) ATOS SE CV 0.0 19-24 06/11U USD 808,668.00 06/11/24 893,729.77 NAM Finance KORIAN SA FL.R 17-22 06/12S USD 562,358.33 06/12/22 591,118.61 NAM Finance RAG-STIFTUNG 0.0 18-24 02/10U USD 541,358.30 02/10/24 535,192.21 NAM Finance 1,912,384.63 2,020,040.59

The gross income on the repurchase transactions corresponds to interest received in relation with the investment of the amounts borrowed in the context of the repurchase transactions activity. The interest is booked in the statement of operations and changes in net assets under the captions “Bank interest on cash account”, “Income on repurchase transactions”, “Income on reverse repurchase transactions, net” or “Net interest on bonds” depending on the nature of the investment.

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Other notes to the financial statements (continued)

10. Repurchase transactions (continued):

Income generated by repurchase transactions

Sub-funds Currency Total gross Direct-indirect cost Total net amount amount NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 EUR 43,908.77 17,563.51 26,345.26 Months NATIXIS AM Funds - Ostrum Euro Short Term Credit EUR 759,547.85 303,819.14 455,728.71 NATIXIS AM Funds - Ostrum Euro Credit EUR 214,853.97 85,941.59 128,912.38 NATIXIS AM Funds - Ostrum Euro Inflation EUR 30,029.47 12,011.79 18,017.68 NATIXIS AM Funds - Ostrum Euro Aggregate EUR 890,193.73 356,077.49 534,116.24 NATIXIS AM Funds - Ostrum Global Aggregate USD 7,873.50 3,149.40 4,724.10 NATIXIS AM Funds - Ostrum Credit Opportunities EUR 117.72 47.09 70.63 NATIXIS AM Funds - Ostrum Global Convertible Bonds USD 33,470.88 13,388.35 20,082.53 NATIXIS AM Funds - Ostrum Euro Value Equity EUR 4,591.20 1,836.48 2,754.72 NATIXIS AM Funds - Seeyond Multi Asset Conservative 98,003.60 39,201.44 58,802.16 EUR Growth Fund NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth 63,419.85 25,367.94 38,051.91 EUR Fund NATIXIS AM Funds - Seeyond Equity Factor Investing Europe EUR 1,710.88 684.35 1,026.53 NATIXIS AM Funds - Seeyond Europe Minvol EUR 222,927.40 89,170.96 133,756.44 NATIXIS AM Funds - Seeyond Global Minvol USD 65,928.00 26,371.20 39,556.80

11. Reverse repurchase transactions:

NATIXIS AM Funds - Ostrum Euro Credit:

Denomination of Currency Amounts Maturity Market value of Counterparty underlying securities borrowed date underlying (in EUR) securities as at 30/06/20 (in EUR) BELFIUS BANK SA 0.182 20-25 14/01A EUR 0.00 14/01/25 2,774,655.00 NAM Finance 0.00 2,774,655.00

Income generated by reverse repurchase transactions **

Sub-funds Currency Total gross Direct-indirect cost Total net amount amount NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 EUR -17,470.05 -6,988.02 -10,482.03 Months NATIXIS AM Funds - Ostrum Euro Short Term Credit EUR -10,143.20 -4,057.28 -6,085.92 NATIXIS AM Funds - Ostrum Euro Credit EUR -58,791.13 -23,516.45 -35,274.68 NATIXIS AM Funds - Ostrum Euro Inflation EUR -266.20 -106.48 -159.72 NATIXIS AM Funds - Ostrum Euro Aggregate EUR -814,404.73 -325,761.89 -488,642.84 NATIXIS AM Funds - Ostrum Global Aggregate USD -3,456.63 -1,382.65 -2,073.98 NATIXIS AM Funds - Ostrum Euro Value Equity EUR -4,270.68 -1,708.27 -2,562.41 NATIXIS AM Funds - Seeyond Equity Factor Investing Europe EUR -5,869.65 -2,347.86 -3,521.79 NATIXIS AM Funds - Seeyond Europe Minvol EUR -116,357.18 -46,542.87 -69,814.31 NATIXIS AM Funds - Seeyond Global Minvol USD -16,245.25 -6,498.10 -9,747.15 ** Eonia negative rate

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12. Collateral

Collateral on OTC derivatives :

As at June 30, 2020, the collateral received or paid which is composed of collateral held or paid in order to reduce exposure on OTC derivatives is detailed as follows:

Sub-funds Counterparty Currency Type Collateral Collateral received paid NATIXIS AM Funds - Seeyond Multi Société Générale EUR Cash 1,410,000.00 Asset Diversified Growth Fund CACIB EUR Cash 3,615,000.00

State Street Bank EUR Cash 1,220,000.00

NATIXIS AM Funds - Ostrum Global J.P. Morgan USD Cash 260,000.00 Convertible Bonds NATIXIS AM Funds - Ostrum Global Chase USD Cash 40,000.00 Aggregate Bofa USD Cash 60,000.00

NATIXIS AM Funds - Ostrum Euro Société Générale EUR Cash 500,000.00 Credit Chase EUR Cash 170,000.00

NATIXIS AM Funds - Ostrum Euro J.P. Morgan EUR Cash 510,000.00 Short Term Credit BNP France EUR Cash 438,000.00

Société Générale EUR Cash 378,000.00

Barclays EUR Cash 113,000.00

NATIXIS AM Funds - Ostrum Euro Caceis Lux EUR Cash 1,000,000.00 Aggregate BNP France EUR Cash 220,000.00

Barclays EUR Cash 2,132,000.00

NATIXIS AM Funds - Ostrum Credit BNP France EUR Cash 450,000.00 Opportunities Barclays EUR Cash 380,000.00

J.P. Morgan EUR Cash 510,000.00

Société Générale EUR Cash 120,000.00

NATIXIS AM Funds - Seeyond Multi Société Générale EUR Cash 1,870,000.00 Asset Conservative Growth Fund Crédit Agricole EUR Cash 2,982,000.00

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13. Changes in the composition of the portfolio

The details of the changes in portfolio composition during the year under review are held at the disposal of shareholders at the registered office of the SICAV and are available upon request free of charge.

14. Subsequents events

The investment manager of Ostrum Global Emerging Equity, Ostrum Euro Value Equity and Ostrum Global Convertible Bonds (i.e. Ostrum Asset Management) will be replaced by DNCA Finance. As a result, the Sub-Funds will be renamed DNCA Global Emerging Equity, DNCA Euro Value Equity and DNCA Global Convertible Bonds respectively (effective as of September 30th, 2020).

The shareholding structure of Ostrum Asset Management will change as it will be owned by both Natixis Investment Managers (with a majority 55% stake) and La Banque Postale (effective as of November 1st, 2020).

The sub-fund Seeyond Equity Volatility Strategies has been renamed into Seeyond Volatility Strategy following a Circular resolution of the Board of Directors of the Fund effective as of August 10, 2020.

15. Covid-19 pandemic

Since January 2020, global financial markets have experienced significant volatility and uncertainty resulting from the spread of a novel coronavirus known as COVID-19. The worldwide outbreak of COVID19 has resulted in travel and border restrictions, quarantines within various countries globally lower consumer demand, and general worldwide business and financial markets uncertainty. At the present time, it is not possible to assess the full impact of these effects of COVID-19, but it is likely that they may continue to affect the global economy and its individual market participants for some time to come, and are likely to impact a fund’s performance.

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Unaudited information

Global risk exposure

The “Commitment approach” :

The global risk exposure of the following sub-funds is managed through the use of the Commitment approach method as described in the Prospectus of the SICAV:

- NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months - NATIXIS AM Funds - Ostrum Euro Short Term Credit - NATIXIS AM Funds - Ostrum Euro Credit - NATIXIS AM Funds - Ostrum Euro Inflation - NATIXIS AM Funds - Ostrum Euro Aggregate - NATIXIS AM Funds - Ostrum Global Convertible Bonds - NATIXIS AM Funds - H2O Lux Multibonds (closed on May 28, 2020) - NATIXIS AM Funds - H2O Lux Allegro (closed on May 28, 2020) - NATIXIS AM Funds - Ostrum Euro Value Equity - NATIXIS AM Funds - Ostrum Food & Consumer Equities (closed on October 30, 2019) - NATIXIS AM Funds - Natixis Conservative Risk Parity - NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund - NATIXIS AM Funds - Seeyond Equity Factor Investing Europe - NATIXIS AM Funds - Seeyond Europe Market Neutral - NATIXIS AM Funds - Seeyond Europe Minvol - NATIXIS AM Funds - Seeyond US Minvol - NATIXIS AM Funds - Seeyond Global Minvol - NATIXIS AM Funds - Ostrum Global Emerging Equity

The “Absolute VaR approach”:

The following sub-funds use the Absolute Value at Risk (VaR) approach in order to monitor and measure the global exposure.

NATIXIS AM Funds - Ostrum Credit Opportunities:

The limit is set at 4.00%.

The utilisation of the VaR limits during the financial period was as follows:

- Lowest utilisation: 0.53% - Highest utilisation: 4.47% - Average utilisation: 1.69%

The VaR figures have been calculated based on the following input data:

- Model used: MC - Confidence level: 99% - Holding period: 1 month (20 business days) - Length of data history: 1Y

The leverage of the sub-fund is the sum of the notionals of the derivatives used and amounted to 501.30%.

NATIXIS AM Funds - Ostrum Multi Asset Global Income

The limit is set at 20%.

The utilisation of the VaR limits during the financial period was as follows:

- Lowest utilisation: 0.71% - Highest utilisation: 9.91% - Average utilisation: 1.84%

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Global risk exposure (continued)

The VaR figures have been calculated based on the following input data:

- Model used: MC - Confidence level: 99% - Holding period: 1 month (20 business days) - Length of data history: 1Y

The leverage of the sub-fund is the sum of the notionals of the derivatives used and amounted to 101.53%

NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund

The limit is set at 20%.

The utilisation of the VaR limits during the financial period was as follows:

- Lowest utilisation: 1.60% - Highest utilisation: 5.20% - Average utilisation: 3.10%

The VaR figures have been calculated based on the following input data:

- Model used: MC - Confidence level: 99% - Holding period: 1 month (20 business days) - Length of data history: 1Y

The leverage of the sub-fund is the sum of the notionals of the derivatives used and amounted to 309.00%.

NATIXIS AM Funds - Seeyond Equity Volatility Strategies:

The limit is set at 20%.

The utilisation of the VaR limits during the financial period was as follows:

- Lowest utilisation: 1.29% - Highest utilisation: 17.25% - Average utilisation: 7.27%

The VaR figures have been calculated based on the following input data:

- Model used: MC - Confidence level: 99% - Holding period: 1 month (5 business days) - Length of data history: 1Y

This monitoring is equivalent to monitoring a 20% limit, confidence level 99%, and holding period 1 month (20 business days).

The leverage of the sub-fund is the sum of the notionals of the derivatives used and amounted to 615.25%.

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Global risk exposure (continued)

The “Relative VaR approach”:

The sub-fund NATIXIS AM Funds - Ostrum Global Aggregate uses the Relative Value at Risk (VaR) approach in order to monitor and measure the global exposure. The calculation of the Relative VaR of the sub-fund is based on a reference portfolio which is constituted by the reference index, i.e. the JP Morgan EMBI Global Diversified index.

The utilisation of the VaR limits during the financial period was as follows:

- Lowest utilisation: 0.66 - Highest utilisation: 1.29 - Average utilisation: 0.99

The VaR figures have been calculated based on the following input data:

- Model used: MC - Confidence level: 99% - Holding period: 1 month - Length of data history: 1Y

The leverage of the sub-fund is based on the sum of the notionals of the derivatives used and amounted to 114.46%.

The sub-fund NATIXIS AM Funds - Ostrum Global Emerging Bonds uses the Relative Value at Risk (VaR) approach in order to monitor and measure the global exposure. The calculation of the Relative VaR of the sub-fund is based on a reference portfolio which is constituted by the reference index, i.e. the JP Morgan EMBI Global Diversified index.

The utilisation of the VaR limits during the financial period was as follows:

- - Lowest utilisation: 0.86 - - Highest utilisation: 1.77 - - Average utilisation: 1.19

The VaR figures have been calculated based on the following input data:

- - Model used: MC - - Confidence level: 99% - - Holding period: 1 month - - Length of data history: 1Y

The leverage of the sub-fund is based on the sum of the notionals of the derivatives used and amounted to 0.92%.

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NATIXIS INVESTMENT MANAGERS INTERNATIONAL (FORMERLY OSTRUM ASSET MANAGEMENT, FORMERLY NATIXIS AM) REMUNERATION POLICY APPENDIX TO THE MANAGEMENT REPORT

General principles of the remuneration policy

The remuneration policy is a strategic element of Natixis Investment Managers International's policy. As a tool for mobilising and encouraging associates, it ensures, in strict compliance with great financial equilibrium and regulations, that it is competitive and attractive in light of market practice. It is designed to avoid creating incentives that could give rise to conflicts of interest between the associates and clients of Natixis Investment Managers International. The remuneration policy includes all components of remuneration. It distinguishes between fixed remuneration, based on an assessment of the skills required for the role in question and determined according to market standards, and variable remuneration, which is related to the assessment of defined individual or collective performance criteria. This assessment of performance is based on quantitative and qualitative annual and multi-year performance criteria. One of its fundamental principles is to align the interests of investors, associates and Natixis Investment Managers International. It applies to all Natixis Investment Managers International staff. The remuneration policy is reviewed and approved each year to incorporate any regulatory and contextual changes, and to ensure consistency with Natixis' remuneration policy. As part of the monitoring and assessment of the remuneration policy, the RCCI (Head of Compliance and Internal Control) of Natixis Investment Managers International validates the policy prior to its implementation. It is subject to an annual internal audit. Information on the remuneration policy’s general principles is provided annually to members of the workers’ committee, the board of directors and all staff.

a. Definition of performance

Each associate’s contribution and performance level are assessed with regard to his/her role, duties and level of responsibility within the company. Within this context, the remuneration policy distinguishes between several categories of staff: - The executive committee, which is assessed on its contribution to establishing and implementing the company strategy and on its capacity to boost performance for products and services as well as the financial results. For this category, performance is appraised annually.

- The support functions are assessed on their capacity to respond to the company’s strategic challenges. Individual performance is appraised annually. - Assessment of the performance of the control functions is based on the appraisal of qualitative criteria defined every year in order not to compromise their independence or create conflicts of interest. - The performance of the portfolio management functions is assessed on the basis of two quantitative criteria: the information ratio or the Sharpe ratio (for absolute return portfolios) and the competitive ranking, plus one or more qualitative criteria. The quantitative criteria reflect the challenges of developing portfolio management performance sought by investors, without allowing excessive risk taking that may have an impact on the risk profile of Natixis Investment Managers International and/or managed products. These quantitative criteria are calculated over a period of one and three years in order to reflect the company’s search for long-term performance and to limit the weighting of one-off performance. Performance assessment systematically includes qualitative criteria. They involve contributing to the reliability of a process, participating in a cross-disciplinary project, contributing to developing new expertise, contributing to improvements in operational efficiency and any other subjects defined in the implementation of the strategic objectives of Natixis Investment Managers International. These qualitative objectives are defined and communicated at the start of every year. They incorporate compliance with the Natixis Investment Managers International risk and compliance rules.

b. Remuneration components

i. Fixed remuneration

Fixed remuneration rewards the skills and expertise expected in a given role.

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ii. Variable remuneration

Variable remuneration rewards annual, collective or individual performance. The collective variable remuneration of Natixis Investment Managers International consists of a profitsharing and incentive scheme, linked with an associates savings plan and a group retirement savings plan (PERCO), thus enabling associates to benefit from a matching contributions scheme. These collective variable remunerations have no incentive impact on the management of Natixis Investment Managers International’s risks and/or products managed, and do not fall within the scope of the AIFM or UCITS V directives. Individual variable remuneration is awarded on a discretionary basis depending on the assessment of an individual's performance and the way in which objectives have been reached. The variable remuneration awarded to associates is impacted if they adopt a non-compliant level of risk-taking or if they do not adhere to internal procedures during the year under review. Regulated persons and front office associates are subject to specific obligations regarding compliance with risk and compliance rules. Failure to comply with these obligations may result in a partial or total reduction in the allocation of individual variable remuneration. In the event of a significant loss or decrease in its profits, Natixis Investment Managers International may also consider that the budget allocated to individual remuneration and, if applicable, the payments in the process of being acquired, may not be distributed or reduced for one or more years. There is no contractual guarantee for variable remuneration, except, in some cases, for variable remuneration awarded for a first year of service as part of an external recruitment. Schemes such as "golden parachutes" are prohibited. Payments related to the early termination of the employment contract are determined according to legal provisions (legal and contractual indemnities) and the performance of the beneficiary, his/her area of business and the entire company.

iii. Loyalty mechanism for key associates

Natixis Investment Managers International wants to guarantee its investors stability by retaining the most talented associates and those identified as key for their commitment or contribution to results. To this end, a deferred remuneration scheme has been incorporated within the remuneration policies. This scheme allows the allocation of an additional amount of variable remuneration, in the form of cash indexed to the performance of an equally-weighted basket of products managed by Ostrum Asset Management. It is acquired in equal instalments over a minimum period of three years and thus enables associates to be linked with the performance of Natixis Investment Managers International. It is subject to conditions regarding presence (i.e., not on leave) and an absence of unusual behaviour that may have an impact on the risk level of Natixis Investment Managers International and/or managed products. Instalments acquired may need to be refunded in order to guarantee risk adjustment after the event. Amounts are awarded with regard to the performance assessment and an individual professional commitment over the year in question.

2. Implementation of the scheme applicable to regulated persons For 2018, and notwithstanding the scheme described below, Natixis Investment Managers International will apply the rules applicable to the French branch of the Luxembourg management company Natixis Investment Managers S.A. for associates employed by this branch.

a. Identification of regulated persons

At the start of the year, in accordance with the regulatory provisions, the Human Resources Department and the RCCI (Head of Compliance and Internal Control) formally determine which Natixis Investment Managers International associates constitute regulated persons. Associates are identified as regulated persons on the basis of their work activities, when they are involved in investment processes and/or when individually, through their decisions, they can have a significant impact on the risk profile of Natixis Investment Managers International and/or managed products, or because of their total level of remuneration. With a view to coherence and harmonisation, Natixis Investment Managers International has decided to implement the scheme applicable to regulated persons over the entire scope of managed products (mandates, UCITS and AIF). The following are systematically included in the scope of regulated persons: members of the executive committee, the management functions of support or administrative activities (financial and operations directors) and the control management functions (heads of risk, compliance and controls). Page 203

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The scope of all regulated persons is validated by the General Management and recorded by the Human Resources Department. The associates in question are informed of their status. The scope of regulated persons of Natixis Investment Managers International is presented to the Natixis Remuneration Committee. The scope of regulated persons may be reviewed during the year in the event of recruitment or mobility of an associate, or the initiation of new activities or a new management process.

b. Mechanism applicable to variable remuneration awarded to regulated persons

The variable remuneration of regulated persons is subject to deferral conditions. Half of it is granted in cash and half in the form of a financial instrument equivalent. The triggering threshold for deferred remuneration is set annually within the limits authorised by the French Financial Markets Authority (AMF). It will be subject to change, downwards only, according to regulatory directives or changes in HR policies. In this case, the new threshold set will be approved by the Executive Committee of Natixis Investment Managers International and the Natixis Remuneration Committee. For the highest remunerations within Natixis Investment Managers International, the deferred proportion in the form of a financial instrument equivalent may reach 60%. To ensure alignment between associates and investors, the portion of deferred variable remuneration is allocated in the form of cash indexed to the performance of a basket of products managed by Ostrum Asset Management. It is acquired with a minimum maturity of three annual deferral periods, subject to conditions concerning presence (i.e., not on leave) and unusual behaviour that may have an impact on the level of risk of Natixis Investment Managers International and/or managed products. These acquisitions are also subject to obligations regarding compliance with risk and compliance rules. Failure to comply with these obligations may result in a partial or total reduction of the amounts acquired. Instalments acquired may also be refunded in order to guarantee risk adjustment after the event. Associates with deferred variable remuneration are prohibited from using individual hedging or insurance strategies over the entire acquisition period.

3. Governance The general and specific principles of the remuneration policy are defined and formalised by the Human Resources Department and submitted for validation to the RCCI (Head of Compliance and Internal Control) of Natixis Investment Managers International. They are validated and approved successively by the members of the Executive Committee of Natixis Investment Managers International, the General Management of Natixis Investment Managers and of Natixis. The general and specific principles of the remuneration policy are communicated internally to all associates through HR Department publications such as the intranet and to members of the workers’ committee through an annual information meeting. The general and specific principles, the scope of implementation and a summary of remuneration data regarding regulated persons, as well as the annual remuneration package for executives, are provided annually to the Board of Directors of Natixis Investment Managers International. The remuneration of the managing director is determined by the General Management of Natixis Investment Managers and of Natixis and is presented to the Natixis Remuneration Committee for approval by the Natixis Board of Directors. When Natixis Investment Managers International delegates the financial management of one of the portfolios of which it is a management company to another management company, it ensures this delegated company complies with the regulations in force.

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SEEYOND REMUNERATION POLICY

This SEEYOND remuneration policy consists of general principles applicable to all employees (see point I), specific principles applicable to employees identified by AIFM and UCITS V (see point II) and a governance mechanism applicable to all employees (see point III). It falls within the framework of the remuneration policy defined by NATIXIS and is established in compliance with the provisions relating to remuneration stipulated in the following regulatory texts, as well as the guidelines of the European Securities and Markets Authority (ESMA) and the positions of the French Financial Markets Authority (AMF - Autorité des Marchés Financiers) resulting therefrom: - Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers, transposed into the French Monetary and Financial Code by Order No. 2013-676 of 27 July 2013 ("AIFM Directive"). - Directive 2014/91/EU of the European Parliament and of the Council of 23 July 2014 on Undertakings for Collective Investment in Transferable Securities, transposed into the French Monetary and Financial Code by Order No. 2016-312 of 17 March 2016 ("UCITS V Directive"). - Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on Markets In Financial Instruments, transposed into the French Monetary and Financial Code by Order No. 2016-827 of 23 June 2016, supplemented by the Delegated Regulation 2017/565/EU of 25 April 2016 ("MIFII Directive").

1 GENERAL PRINCIPLES OF REMUNERATION POLICY

The remuneration policy is a strategic aspect of the SEEYOND policy. As a tool to enhance employee motivation and commitment, it aims to be competitive and attractive in relation to market practices while fully complying with key financial indicators and regulations.

The SEEYOND remuneration policy, which applies to all employees, incorporates the alignment of the interests of its employees with those of investors into its fundamental principles: - It is consistent and promotes sound and efficient risk management and does not encourage risk-taking, which would be incompatible with the risk profiles, regulations or documents constituting the products managed. - It is in line with the economic strategy, objectives, values and interests of the Management Company and the products it manages, as well as those of investors, and includes measures aimed at preventing conflicts of interest.

The remuneration policy covers all components of remuneration, which include fixed remuneration and, where applicable, variable remuneration.

Fixed remuneration rewards skills, professional experience and level of responsibility. It takes into account market conditions.

Variable remuneration depends on the assessment of collective performance — measured for the Management Company and the products managed — and individual performance. It considers quantitative and qualitative elements, which may be established on an annual or multi-year basis.

9 Definition of performance

The objective and transparent assessment of annual and multi-year performance based on predefined objectives is a prerequisite for applying the SEEYOND remuneration policy. It ensures the fair and selective treatment of employees. This evaluation is shared between the employee and their manager during an individual appraisal interview.

The contribution and performance level of each employee are evaluated with regard to their duties, assignments and level of responsibility in the Management Company. In this context, the remuneration policy distinguishes several categories of staff: - The Executive Committee is evaluated on its contribution to the definition and implementation of the Management Company' strategy and on its ability to increase performance in terms of product and service offerings and the risk- adjusted financial performance for its scope of supervision. For this category of staff, performance is assessed annually through quantitative indicators, such as changes in SEEYOND's financial results and supervised activities, as well as qualitative elements, such as the quality of management and/or responsibility/contribution to cross-functional projects.

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- Support functions are assessed on their ability to assist with the strategic challenges of the Management Company. Individual performance is assessed annually depending on the quality of recurring business activity and/or the degree of participation in cross-functional projects or strategic/regulatory plans.

- Assessment of the performance of control functions is based on the evaluation of qualitative criteria only, such as participation in cross-functional projects or in strategic/regulatory plans, defined annually, so as to avoid compromising their independence or creating conflicts of interest with the activities they control.

- The performance of management functions is assessed according to quantitative criteria, supplemented by one or several qualitative criteria. Quantitative criteria reflect the development issues of the management performance sought by investors without causing excessive risk-taking, which may have an impact on the risk profile of SEEYOND and/or the products managed. These quantitative criteria are calculated over a predefined period in line with the risk-adjusted performance horizon of the funds managed and the Management Company.

For all categories of staff, the performance assessment incorporates qualitative criteria. These qualitative criteria always include compliance with regulations and internal procedures in terms of risk management and SEEYOND compliance. They may also relate to the quality of the relationship with clients, including the level of expertise and advice provided, the contribution to the reliability of a process, the participation in a cross-functional project, the contribution to the development of new expertise, the participation in the development of operational efficiency or any other subjects defined as a variation of SEEYOND's strategic objectives.

For every category of staff, all quantitative and qualitative objectives are defined and communicated individually at the start of the year, in line with SEEYOND's strategic objectives.

2. REMUNERATION COMPONENTS

9 Fixed remuneration

SEEYOND strives to maintain a level of fixed remuneration that is sufficient to compensate the professional activity of employees.

Fixed remuneration rewards the skills, professional experience and level of responsibility expected of an employee when performing their duties.

The positioning of fixed remuneration is reviewed periodically to ensure its consistency with regard to geographical and professional market practices.

The revaluation of fixed salaries is analysed once a year as part of the annual remuneration review. Outside these periods, only cases of promotion, professional mobility or exceptional individual situations can give rise to a revaluation.

9 Variable remuneration

Variable remuneration packages are defined based on SEEYOND's annual results, as well as on qualitative information, such as the practices of competitors, the general market conditions in which the results were obtained and factors that may have temporarily influenced the performance of the business.

Variable remuneration, which can be allocated if applicable, compensates an annual performance, both collective and/or individual.

SEEYOND's collective variable remuneration consists of a profit-sharing and incentive scheme, associated with a company savings plan (PEE - Plan d’Epargne d’Entreprise) and a company collective retirement savings plan (PERCO - Plan d’Epargne Retraite Collectif). Employees can benefit from a matching scheme under these plans.

This collective variable remuneration has no incentive effect on the management of SEEYOND's risks and/or the products managed and is beyond the scope of application of the AIFM or UCITS V Directives.

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performance and the way in which performance is achieved. Variable remuneration awarded to employees is affected by inappropriate risk and compliance management or non-compliance with regulations and internal procedures over the year considered (see I-1. above).

The identified employees are subject to specific obligations in terms of adherence to the rules on risks and compliance. A breach of these obligations may result in the partial reduction or removal of the individual variable remuneration awarded.

In the event of a significant loss or decline in its results, SEEYOND can also decide to reduce or entirely cancel the amounts allocated to individual variable remuneration, as well as if applicable, any maturities in the process of being acquired by way of variable remuneration that have already been awarded and deferred.

There are no contractual guarantees for variable remuneration, with the occasional exception of variable remuneration awarded for the first year of work within the framework of external recruitment.

"Golden parachute" agreements are forbidden. Payments related to the early termination of an employment contract are defined in accordance with legal provisions (legal and contractual indemnities) and the performance of the beneficiary, their membership activity and the performance of the entire Management Company over the period. They are designed to avoid rewarding failure.

Variable remuneration is not paid through instruments or methods that facilitate circumvention of the requirements established in the regulations.

9 Balance between fixed and variable remuneration

SEEYOND ensures that there is an appropriate balance between the fixed and variable components of the total remuneration received and that the fixed component represents a sufficiently high proportion of the total remuneration so that a fully flexible policy can be exercised with regard to variable components of remuneration, including the possibility of paying no variable component. All individual situations for which variable remuneration represents fixed remuneration more than once and which can be explained by market practice and/or an exceptional level of responsibility, performance and behaviour, are documented by the Human Resources Department as part of the annual remuneration review.

I- 3. Breakdown of the scheme applicable to the employees identified by AIFM and/or UCITS V

II-1. Identified employees

In accordance with regulatory provisions, identified employees of SEEYOND consist of the categories of staff that include general management, risk-takers and individuals exercising a control function, as well as any employee who, in view of their total remuneration, is placed in the same remuneration bracket as general management and risk-takers, whose professional activities have a significant impact on the risk profile of the Management Company and/or the products managed by it. These individuals are identified according to their professional activity, their level of responsibility or their level of total remuneration.

To maintain consistency and alignment, SEEYOND has decided to implement the system applicable to identified employees across the full scope of products managed (mandates, UCITSs and AIFMs).

The following employee categories are identified: - Members of the management body. - Staff members responsible for portfolio management. - Managers of control functions (risks, compliance and internal control). - Those responsible for support or administrative activities. - Other risk-takers. - Employees who, in view of their total remuneration, are in the same remuneration bracket as general management and risk-takers.

Each year, before the annual remuneration review, the Human Resources Department determines and formalises the identification methodology and scope of SEEYOND's identified employees, in collaboration with the Internal Control and Risk Department. . Page 207

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The scope of all the identified employees is then validated by SEEYOND's General Management team, then presented to the NATIXIS Remuneration Committee.

The entire identification process is documented and archived by the Human Resources Department. The employees concerned are also informed of their status.

9 Scheme applicable to variable remuneration allocated to identified employees

In accordance with regulations and in order to ensure alignment between employees and investors and the Management Company, as soon as it exceeds a certain threshold, the variable remuneration of identified employees is partly deferred and partly awarded in the form of a financial instrument over a period of at least three years, acquired pro rata temporis.

The proportion of variable remuneration, which is deferred over three years, increases with the amount of variable remuneration awarded and can reach 60% for the highest SEEYOND remunerations. Currently, application methods for the deferred payment are as follows: - Between €200,000 and €499,000: 50% deferred - From €500,000: 60% deferred

The thresholds for triggering deferred variable remuneration are subject to change depending on regulations or changes to internal policies. In this case, the new thresholds defined are subject to approval by the SEEYOND Executive Committee and the NATIXIS Remuneration Committee.

In addition, at least 50% of the variable remuneration is paid by a financial instrument in the form of cash indexed on changes in SEEYOND's consolidated financial performance as measured by its Pre-Tax Income (RCAI - Résultat Courant Avant Impôt), recorded each year over a period of at least three years.

Vesting of the proportion of the variable remuneration, which is deferred, is subject to conditions of continued employment, to the Management Company's financial performance and to the absence of conduct inconsistent with the Management Company's standards that could have an impact on the SEEYOND risk level and/or the products managed.

This vesting is also subject to obligations in terms of adherence to the rules on risks and compliance. Failure to comply with these obligations may result in a partial or total decrease in the vesting. It may also be subject to a full or partial repayment commitment in order to ensure ex-post risk adjustment.

Employees benefiting from deferred variable remuneration are prohibited from using individual hedging or insurance strategies over the entire vesting period.

The terms and conditions for determining, valuing, awarding, vesting and paying deferred variable remuneration as an equivalent financial instrument are detailed in the SEEYOND Long-Term Incentive Plan (LTIP).

II- Governance

The general and specific principles of the remuneration policy are defined and documented by the SEEYOND Human Resources Department.

The Compliance Department, the Internal Control Department and the Risk Department of SEEYOND have an active role in the development, continuous monitoring and evaluation of the remuneration policy. They are, therefore, involved in determining the overall strategy applicable to the Management Company to promote the development of effective risk management. As such, they are involved in determining the scope of identified employees. They are also responsible for assessing the impact of the variable remuneration structure on the risk profile of managers.

The SEEYOND remuneration policy is approved by the SEEYOND Board of Directors.

The general and specific principles, methods of application and figures summarising the remuneration policy, including identified employees, are then approved by the members of the SEEYOND Executive Committee, NATIXIS IM General Management and NATIXIS General Management.

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SEEYOND, which does not have a Remuneration Committee but belongs to the NATIXIS Group, reports to the NATIXIS Remuneration Committee. The NATIXIS Remuneration Committee was established and acts in accordance with regulations1: - Both in its composition: independence and expertise of its members; - And in the exercise of its duties which, in management companies, more specifically includes the following roles: o Recommendation and assistance to the Board of Directors in the development and implementation of the Management Company's remuneration policy; o Assistance to the Board of Directors in overseeing the development and operation of the Management Company's remuneration system; o Particular attention is paid to the assessment of the mechanisms adopted to ensure that the remuneration system considers all the categories of risks, liquidity and levels of assets under management in an appropriate manner and to ensure compatibility of the remuneration policy with the economic strategy, objectives, values and interests of the Management Company and the products managed, as well as with those of investors.

In this context, the general and specific principles, compliance of SEEYOND's remuneration policy with applicable regulations, application methods and summary figures of its remuneration policy, including the identified employees and the highest remunerations, are submitted to the NATIXIS Remuneration Committee for review, then approved by its Board of Directors.

The remuneration of the Chief Executive Officer of SEEYOND is determined by the General Management of NATIXIS IM and NATIXIS, then presented to the NATIXIS Remuneration Committee before being approved by its Board of Directors.

The remuneration of SEEYOND's Risk and Compliance Directors is reviewed, within the framework of independent reviews performed by the risk and compliance departments, by the Risk and Compliance Directors of NATIXIS IM. They are then submitted to the NATIXIS Remuneration Committee.

The general and specific principles of the remuneration policy are communicated internally to all employees and members of the Works Council.

This entire review, validation and communication process takes place every year. It includes any regulatory and contextual changes and is consistent with the NATIXIS remuneration policy.

Finally, the entire SEEYOND remuneration policy is subject to an annual centralised and independent review by the Internal Audit Department of NATIXIS IM.

When SEEYOND delegates the financial management of one of the portfolios for which it is the Management Company to another management company, it ensures that the delegated company complies with the regulations in force.

The total amount of remuneration for the financial year, broken down into fixed and variable remuneration, paid by the Management Company to its staff, and the number of beneficiaries, is as follows:

Fixed remuneration in 2019*: €2,228,236 Variable remuneration awarded for 2019: €2,486,480 Employees concerned: 25

*Theoretical fixed remuneration for Full-Time Equivalent (FTE) as of 31 December 2019

The aggregate amount of remuneration, broken down between the senior executives and members of staff of the Management Company whose activities have a significant impact on the risk profile of the Management Company and/or its portfolios:

Total remuneration awarded for 2019: €3,185,190 of which, - Senior executives: €2,168,310 - Members of staff: €1,016,880

1: For more details on the composition and role of the NATIXIS Remuneration Committee, see the company's Reference Document. Page 209

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OSTRUM ASIA REMUNERATION POLICY

1.1 Introduction

Ostrum Asset Management Asia Limited’s (Ostrum Asia) remuneration policy is comprised of

(i) general principles applicable to all employees defined in point 1.2, (ii) specific principles applicable to the population regulated by AIFM and UCITS V defined in point 1.3; and (iii) governance arrangements applicable to all employees defined in point 1.4.

It falls within the principles defined by Natixis.

1.2 General principles of the remuneration policy

The remuneration policy is a strategic component of Ostrum Asia's policy. It is designed as an incentive and commitment tool for employees. It aims to be competitive and attractive in terms of market practices whilst in strict compliance with major financial balances and regulations. It is defined in a manner as to avoid implementing incentives, which may create conflicts of interest between employees and Ostrum Asia's customers.

The remuneration policy encompasses all remuneration components. It differentiates between the fixed remuneration based on the assessment of skills required for the position and set based on market standards, and variable remuneration linked to the assessment of defined individual or collective performance criteria.

This performance assessment is based on annual and long-term, quantitative and qualitative performance criteria. Its main principles ensure that the interests of investors, employees and Ostrum Asia are aligned. It applies to all Ostrum Asia employees.

The remuneration policy of Ostrum Asia is reviewed and approved by HR of Ostrum Asset Management, Paris (Ostrum AM) annually to incorporate any changes made by Ostrum Asset Management in their remuneration policy.

Information on the main principles of the remuneration policy is provided to the Board of Directors and all employees on an annual basis.

a. Definition of performance

The objective and transparent assessment of annual and long-term performance is the prerequisite for applying Ostrum Asia's remuneration policy. It ensures that the company treats employees fairly and selectively. This assessment is shared by the employee and his manager during an individual assessment meeting.

Each employee's contribution and performance level is assessed based on his position, duties and level of responsibility. In this scope, the remuneration policy distinguishes between several categories of employees:

- The Senior Management is assessed based on its contribution to defining and implementing the company's strategy and its capacity to develop performance of the product and service offering and financial results. For this category, performance is assessed annually based on the performance of supervised activities via quantitative indicators, changes to the economic results of Ostrum Asia and the supervised activities in addition to the contribution to global performance translated by achieving qualitative objectives relating for instance to management or responsibility/contribution to transversal projects.

- Support functions are assessed based on their capacity to assist the company's strategic challenges. Individual performance is translated annually by the achievement of qualitative objectives such as the quality of ongoing activities or participation in transversal projects or strategic/regulatory projects. These objectives are defined and communicated at the beginning of each year in line with Ostrum Asia's strategic objectives.

- Performance assessment of support functions is solely based on the assessment of qualitative criteria such as participation in transversal projects or strategic/regulatory projects, defined annually, in order to avoid compromising their independence or creating a conflict of interest.

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- Performance of management functions is assessed based on two quantitative criteria: the information ratio or Sharpe ratio (for risk-free portfolios) and competition rankings, supplemented by one or more qualitative criteria.

Quantitative criteria reflect the development challenges of management performance sought by investors without nevertheless authorising excessive risk-taking which may have an impact on the risk profile of Ostrum Asia and/or products under management.

Such quantitative criteria are calculated over a one and three-year period to achieve the company's long-term performance goal and to limit the weight of sporadic performance.

Performance assessment systematically includes qualitative criteria. They relate to the contribution to making a process reliable, participation in a transversal project, contribution to the development of new skills, contribution to the development of operational efficiency or other subjects defined in line with Ostrum AM's strategic objectives.

Such qualitative objectives are defined and communicated at the beginning of each year.

In addition, such qualitative criteria include compliance with Ostrum Asia's risk and compliance rules.

b. Remuneration components

i. Fixed remuneration

Ostrum Asia seeks to maintain a satisfactory level of fixed remuneration to compensate employees' work in order to guarantee a balanced proportion between fixed remuneration and variable remuneration.

Fixed remuneration compensates the expected skills and expertise in a position.

The positioning of fixed remuneration is studied periodically in order to ensure that it is in line with geographical and professional market practices.

Increases in fixed remuneration and awarding of variable remuneration are reviewed once a year in the scope of the annual pay review. Outside of these periods, increases are only awarded in the event of promotion, professional mobility or an exceptional individual situation.

ii. Variable remuneration

Variable remuneration budgets are defined based on Ostrum Asia's annual results as well as based on qualitative analysis, including competing companies' practices, general conditions of the market in which the results were obtained, factors which may have a temporary impact on the business line's performance.

Variable remuneration compensates annual, collective or individual performance.

Individual variable remuneration is awarded on a discretionary basis in view of the assessment of individual performance and the fulfilment of objectives. Variable remuneration awarded to employees is affected by non-compliant risk-taking levels or non-compliance with internal procedures in the given year.

The regulated population and front office employees are subject to specific obligations on respecting risk and compliance rules. Non-compliance with these obligations may result in a partial or total reduction in the amount of the individual variable remuneration awarded.

In the event of a loss or a considerable drop in results, Ostrum Asia may also consider that the budget awarded for individual remuneration and, where applicable, vesting payments may not be distributed or may be reduced for one or more years.

No contractual guarantee applies to variable remuneration, except for variable remuneration occasionally awarded during the first year of employment in the scope of an external recruitment.

Golden parachutes are not allowed. Payments linked to early termination of an employment contract are defined based on legal provisions (legal and contractual indemnities) and the beneficiary's performance, his business line's performance and the whole company's performance.

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iii. Key employee retention measures

Ostrum Asia wishes to guarantee investors with regard to the stability of its most talented employees or identified key employees in view of their commitment or contribution to the results.

To this end, deferred remuneration was added to the remuneration policies.

This measure enables additional variable remuneration to be awarded in cash indexed based on the performance of an equally weighted basket of products under management by Ostrum AM. It is vested by equal tranches over a minimum period of three years and accordingly enables employees to have an interest in Ostrum AM's performance. It is subject to conditions relating to presence, absence and exceptional conduct which may have an impact on risk levels of Ostrum AM and/or the products under management. The vesting of these tranches may be refunded in order to guarantee future risk adjustments.

The amounts are awarded based on the performance assessment and an individual professional commitment in a given year.

1.3 Adaptation of the applicable measures to the regulated population

a. Identification of the regulated population

In accordance with regulatory provisions, the HR Director of Ostrum Asset Management, Paris and the Chief Executive Officer determine and formalise the scope of the regulated population at Ostrum Asia at the beginning of the year.

Employees are identified based on their professional activities when they are involved in the investment process and/or employees who may in an individual capacity have a considerable impact as a result of their decisions on the risk profile of Ostrum Asia and/or products under management, or as a result of the level of their total remuneration.

With a view to promoting coherence and harmonisation, Ostrum Asia has decided to implement the applicable arrangements to the regulated population over the entire scope of the products under management (mandates, UCITS and AIF).

Members of the Executive Committee are systematically included in the scope of the regulated population, as well as management functions of support or administrative activities (financial and operations directors) and management functions of control activities (risk, compliance and control directors).

The scope of the entire regulated populated is approved by the senior management and kept on file by the HR Department. The relevant employees are informed regarding their status.

The scope of the regulated population at Ostrum Asia is presented to Natixis' Remuneration Committee.

The scope of the regulated population may be reviewed during the course of a year in the event of recruitment or mobility of an employee, or the launch of new activities or new management processes.

b. Arrangements applicable to variable remuneration awarded to the regulated population

The variable remuneration of the regulated population is subject to deferred conditions and is awarded 50% in cash and 50% in the equivalent form to a financial instrument.

The threshold for triggering deferred remuneration is fixed at €200k or equivalent currency with effect from 2018. It will be subject to change based on regulatory directives or amendments to HR policies. In this case, the new threshold is defined and approved by the Ostrum AM's Executive Committee and Natixis' Remuneration Committee. For the top remunerations at Ostrum Asia, the deferred proportion in an equivalent form to a financial instrument may reach 60%.

In order to ensure that the interests of employees and investors are aligned, the share of the deferred variable remuneration is awarded in cash indexed based on the performance of a basket of products managed by Ostrum AM. It is vested on expiry of at least three annual periods of deferral subject to conditions relating to presence and exceptional conduct which may have an impact on risk levels of Ostrum AM and/or the products under management.

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Such vesting is also subject to obligations relating to compliance with risk and compliance rules. Non-compliance with these obligations may result in a partial or total reduction in the amount of such vesting. Such vesting may also be refunded in order to guarantee future risk adjustments.

Employees benefiting from deferred variable remuneration are not allowed to use individual hedging or insurance strategies over the entire vesting period.

1.4 Governance

The general and specific principles of the remuneration policy are defined and formalised by the HR Department and then submitted for approval to Chief Executive Officer of Ostrum Asia.

They are successively confirmed and approved by the members of Ostrum AM's Executive Committee, the senior management at Natixis IM and Natixis.

The general and specific principles of the remuneration policy are communicated internally to all employees by the HR Department's publications such as the internet.

The general and specific principles, implementation arrangements and summarised figures of the remuneration policy including the regulated population and the annual remuneration budget for the directors are provided annually to Ostrum Asia's Board of Directors.

The Chief Executive Officer's remuneration is set by the senior management at Ostrum Asset Management, Natixis IM and Natixis and is presented to Natixis' Remuneration Committee for approval by Natixis' Board of Directors.

When Ostrum Asia delegates the financial management of one of its portfolios for which it acts as management company to another management company, it ensures that the delegated company complies with applicable regulations.

OSTRUM AM REMUNERATION POLICY

1. SCOPE OF APPLICATION

This OSTRUM AM remuneration policy consists of general principles applicable to all employees (see point I), specific principles applicable to employees identified by AIFM and UCITS V (see point II) and a governance mechanism applicable to all employees (see point III). It falls within the framework of the remuneration policy defined by NATIXIS and is established in compliance with the provisions relating to remuneration stipulated in the following regulatory texts, as well as the guidelines of the European Securities and Markets Authority (ESMA) and the positions of the French Financial Markets Authority (AMF - Autorité des Marchés Financiers) resulting therefrom: - Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers, transposed into the French Monetary and Financial Code by Order No. 2013-676 of 27 July 2013 ("AIFM Directive"); - Directive 2014/91/EU of the European Parliament and of the Council of 23 July 2014 on Undertakings for Collective Investment in Transferable Securities, transposed into the French Monetary and Financial Code by Order No. 2016-312 of 17 March 2016 ("UCITS V Directive"); - Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on Markets In Financial Instruments, transposed into the French Monetary and Financial Code by Order No. 2016827 of 23 June 2016, supplemented by the Delegated Regulation 2017/565/EU of 25 April 2016 ("MIFII Directive"). - 2. DETAILED DESCRIPTION OF THE PROCEDURE

I GENERAL PRINCIPLES OF THE REMUNERATION POLICY

The remuneration policy is a strategic aspect of OSTRUM AM's policy. As a tool to enhance employee motivation and commitment, it aims to be competitive and attractive in relation to market practices while fully complying with key financial indicators and regulations.

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The OSTRUM AM remuneration policy, which applies to all employees, incorporates the alignment of the interests of its employees with that of investors into its fundamental principles: - It is consistent and promotes sound and efficient risk management and does not encourage risk-taking, which would be incompatible with the risk profiles, regulations or documents constituting the products managed. - It is in line with the economic strategy, objectives, values and interests of the Management Company and the products it manages, or those of investors, and includes measures aimed at preventing conflicts of interest The remuneration policy covers all components of remuneration, which include fixed remuneration and, where applicable, variable remuneration.

Fixed remuneration rewards skills, professional experience and level of responsibility. It takes into account market conditions.

I-1. Definition of performance

The objective and transparent evaluation of annual and multi-year performance based on predefined objectives is the prerequisite for application of OSTRUM AM's remuneration policy. It ensures the fair and selective treatment of employees. This evaluation is shared between the employee and their manager during an individual appraisal interview.

- The Executive Committee is evaluated on its contribution to the definition and implementation of the Management Company's strategy and on its ability to increase performance in terms of product and service offerings and the risk-adjusted financial performance for its scope of supervision. For this category of staff, performance is assessed annually through quantitative indicators, such as changes in OSTRUM AM's financial results and supervised activities, as well as qualitative elements, such as the quality of management and/or responsibility/contribution to cross-functional projects.

- The performance of management functions is assessed according to quantitative criteria, supplemented by one or several qualitative criteria. Quantitative criteria reflect the development issues of the management performance sought by investors without causing excessive risk-taking, which may have an impact on the risk profile of OSTRUM AM and/or the products managed. These quantitative criteria are calculated over a predefined period in line with the risk- adjusted performance horizon of the funds managed and the Management Company.

For all categories of staff, the performance assessment incorporates qualitative criteria. These qualitative criteria always incorporate adherence to internal regulations and procedures with regard to OSTRUM AM risk management and compliance. They may also relate to the quality of the relationship with clients, including the level of expertise and advice provided, the contribution to the reliability of a process, the participation in a cross-functional project, the contribution to the development of new expertise, the participation in the development of operational efficiency or any other subjects defined as a variation of OSTRUM AM's strategic objectives.

For each category of staff, all quantitative and qualitative objectives are defined and communicated individually at the start of the year, defined by the strategic objectives set out by OSTRUM AM.

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I-2. Remuneration components

I-2.1. Fixed remuneration

OSTRUM AM strives to maintain a level of fixed remuneration that is sufficient to compensate the professional activity of employees.

Fixed remuneration rewards the skills, professional experience and level of responsibility expected of an employee when performing their duties.

The positioning of fixed remuneration is reviewed periodically to ensure its consistency with regard to geographical and professional market practices.

I-2.2. Variable remuneration

Variable remuneration packages are defined based on OSTRUM AM's annual results, as well as on qualitative information, such as the practices of competitors, the general market conditions in which the results were obtained and factors that may have temporarily influenced the performance of the business.

Variable remuneration, which can be allocated if applicable, compensates an annual performance, both collective and/or individual.

The collective variable remuneration of OSTRUM AM consists of a profit-sharing and incentive scheme, associated with a company savings plan (PEE - Plan d’Epargne d’Entreprise) and a company collective retirement savings plan (PERCO - Plan d’Epargne Retraite Collectif). Employees can benefit from a matching scheme under these plans.

This collective variable remuneration has no incentive effect on OSTRUM AM's risk management and/or the products managed and is not covered by the AIFM or UCITS V Directives.

In compliance with the overall variable remuneration packages, individual variable remuneration is allocated as part of the annual remuneration review in a discretionary manner, objectified with regard to the assessment of individual performance and the way in which performance is achieved. Variable remuneration awarded to employees is affected by inappropriate risk and compliance management or non-compliance with regulations and internal procedures over the year considered (see I-1. above).

In the event of a significant loss or decline in its results, OSTRUM AM may also decide to reduce or entirely cancel the amounts allocated to individual variable remuneration, as well as if applicable, any maturities being acquired by way of variable remuneration that have already been awarded and deferred.

There are no contractual guarantees for variable remuneration, with the occasional exception of variable remuneration awarded for the first year of work within the framework of external recruitment.

Variable remuneration is not paid through instruments or methods that facilitate circumvention of the requirements established in the regulations

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I-2.3. Key employee retention scheme

OSTRUM AM wants to ensure that its investors benefit from the continuity of service of its most talented employees and those identified as key in terms of their commitment or contribution to results.

In order to achieve this, a deferred remuneration system has been incorporated into its remuneration policies.

Beyond a certain variable threshold, this system leads to a proportion of variable remuneration being awarded in the form of cash indexed to the performance of an equally weighted portfolio of products managed by OSTRUM AM. The proportion of variable remuneration thus deferred is vested in equal tranches over a period of at least three years and links employees to the performance of OSTRUM AM. This scheme is subject to conditions of continued employment and the absence of conduct inconsistent with the Management Company's standards, which may affect the level of risk of OSTRUM AM and the products managed. Vesting of these tranches may be subject to a repayment commitment, either in full or in part, in order to ensure ex-post risk adjustment.

I-2.4. Balance between fixed and variable remuneration

OSTRUM AM ensures that there is an appropriate balance between the fixed and variable components of the total remuneration received and that the fixed component represents a sufficiently high proportion of the total remuneration so that a fully flexible policy can be exercised with regard to variable components of remuneration, including the possibility of paying no variable component. All individual situations for which variable remuneration represents fixed remuneration more than once and which can be explained by market practice and/or an exceptional level of responsibility, performance and behaviour, are documented by the Human Resources Department as part of the annual remuneration review.

Page 216

C2 - Internal Natixis Bonds MONTHLY REPORT 30/06/2020 Ostrum Euro Short Term Credit I (EUR) Bond pocket n CARBON INTENSITY Average carbon intensity (Scope 1 & 2)

Fund Index Coverage rate (Fund / Index) 89% / 88% Exposure of the portfolio and its index to carbon intensity companies, expressed in tonnes of CO2/Millions of dollars in revenue. Recommended action by TCFD (1). n MAIN CONTRIBUTORS TO PORTFOLIO AVERAGE CARBON INTENSITY (SCOPE1 & 2) Enterprises (2) Contribution to fund carbon Carbon Intensity (tCO2 / Millions Carbon emissions (tCO2) (4) intensity (%) (3) of dollars in turnover) HEIDELBERGCEMENT FINANCE LUXEMBOURG SA 11% 3,921 83,633,412 BHP BILLITON FINANCE LTD 9% 380 16,587,000 CEZ A.S. 8% 3,572 30,304,493 ENGIE 7% 968 69,202,007 ARCELORMITTAL 6% 2,512 190,962,146 TOTAL SA 5% 212 44,451,589 ORIGIN ENERGY FINANCE LTD 5% 1,790 20,255,470 EDP-ENERGIAS DE PORTUGAL S.A. 3% 1,057 19,056,216 ENI S.P.A. 2% 492 44,029,180 ALBEMARLE CORP. 2% 284 959,676 Source: Trucost The carbon intensity corresponds to the volume of CO2 emitted for a million dollars of turnover achieved. To calculate this intensity, we take into account not only the direct emissions related to the company’s operations(Scope 1) but also those related to the provision of the necessary energy (Scope 2). Carbon intensity of a company (tonnes of CO2 / Millions of dollars in turnover) = (Scope 1 + Scope 2) / Millions of dollars in turnover. Scope 1: Greenhouse gas emissions from the combustion of fossil fuels and production processes owned or controlled by the company. Scope 2: Indirect gas emissions related to the company’s energy consumption. Average carbon intensity of the fund is the sum of the corporate carbon intensities weighted by portfolio weights.

1. The TCFD is the Financial Information Reporting Working Group established by the Financial Stability Board. The Financial Stability Board, or FSB , is an international economic grouping created at the G20 meeting in London in April 2009. 2. The calculation of the average carbon intensity of the portfolio only takes into account the securities of private issuers held in our internal funds. 3. Represents the company’s % contribution to the average carbon intensity of the portfolio. 4. Represents the number of tonnes of CO2 emitted by the company on Scope 1 and Scope 2. Bonds MONTHLY REPORT 30/06/2020 Ostrum Euro Aggregate I (EUR) Bond pocket n CARBON INTENSITY Average carbon intensity (Scope 1 & 2)

Fund Index Coverage rate (Fund / Index) 83% / 76% Exposure of the portfolio and its index to carbon intensity companies, expressed in tonnes of CO2/Millions of dollars in revenue. Recommended action by TCFD (1). n MAIN CONTRIBUTORS TO PORTFOLIO AVERAGE CARBON INTENSITY (SCOPE1 & 2) Enterprises (2) Contribution to fund carbon Carbon Intensity (tCO2 / Millions Carbon emissions (tCO2) (4) intensity (%) (3) of dollars in turnover) DIGITAL DUTCH FINCO BV 8% 918 2,796,884 ENGIE 6% 968 69,202,007 EDP FINANCE B.V. 5% 1,057 19,056,216 ENEL SPA 4% 1,123 96,891,101 ENEL FINANCE INTERNATIONAL NV 4% 1,123 96,891,101 VEOLIA ENVIRONNEMENT 4% 1,141 34,903,276 TOTAL SA 4% 212 44,451,589 IBERDROLA INTERNATIONAL B.V. 3% 655 27,112,909 IMERYS SA 3% 615 3,331,497 SNCF MOBILITES 3% 124 4,337,367 Source: Trucost The carbon intensity corresponds to the volume of CO2 emitted for a million dollars of turnover achieved. To calculate this intensity, we take into account not only the direct emissions related to the company’s operations(Scope 1) but also those related to the provision of the necessary energy (Scope 2). Carbon intensity of a company (tonnes of CO2 / Millions of dollars in turnover) = (Scope 1 + Scope 2) / Millions of dollars in turnover. Scope 1: Greenhouse gas emissions from the combustion of fossil fuels and production processes owned or controlled by the company. Scope 2: Indirect gas emissions related to the company’s energy consumption. Average carbon intensity of the fund is the sum of the corporate carbon intensities weighted by portfolio weights.

CARBON EMISSIONS (MTC02e) CARBON INTENSITY (TC02e/USD Mln Sales)

– PORTFOLIO LEVEL – PORTFOLIO LEVEL

Carbon emissions cover scope 1 and scope 2 emissions of the various Carbon intensity is a relative metric used to compare company emissions types of greenhouse gases, expressed in Million tons of carbon dioxide across industries. It is the ratio of ‘carbon emissions’ divided by ‘total equivalent (MTCO2e). Scope 1 covers the direct emissions associated with revenue’; the figure is expressed in tons of carbon dioxide equivalent per the energy that a company produces for its own use. Scope 2 covers the million USD of total revenue. At a portfolio level it is the weighted average indirect emissions associated with the energy that a company purchases companies’ Carbon Intensity of the portfolio). Source: Sustainalytics from third party providers. At a portfolio level it is the weighted average companies’ Total carbon Emission of the portfolio). Source: Sustainalytics

C2 - Inter nal Natixis NATIXIS AM Funds

Unaudited information (continued)

SFTR (Securities Financing Transactions and of Reuse Regulation)

SECURITIES LENDING Ostrum Euro Ostrum Euro Ostrum Euro Ostrum Euro Ostrum Global TRANSACTIONS Bonds Short Term Credit Credit Aggregate Aggregate Opportunities 12 Months Assets used In EUR In EUR In EUR In EUR In EUR In absolute terms 3,039,975.00 8,420,755.50 5,251,580.38 100,806,948.97 1,359,085.98 As a % of lendable assets 4.49% 0.54% 2.91% 11.22% 2.74% As a % of total net asset 4.10% 0.53% 2.90% 10.94% 2.53% value

Transactions classified according to residual In EUR In EUR In EUR In EUR In EUR maturities Less than 1 day - - - - - From 1 day to 1 week - - - - - From 1 week to 1 month - - - - - From 1 month to 3 months - - - - - From 3 months to 1 year - - - - - Above 1 year - - - - - Open maturity 3,039,975.00 8,420,755.50 5,251,580.38 100,495,657.09 1,359,085.98

Collateral received In EUR In EUR In EUR In EUR In EUR Type: Cash 3,030,000.00 7,474,929.60 5,193,192.61 94,958,439.38 1,270,504.30

Quality (Bond collateral - - - - - issuers rating):

Currency: EUR 3,030,000.00 7,474,929.60 5,193,192.61 96,095,439.38 1,270,504.30

Classification according to

residual maturities: Less than 1 day - - - - - From 1 day to 1 week - - - - - From 1 week to 1 month - - - - - From 1 month to 3 months - - - - - From 3 months to 1 year - - - - - Above 1 year - - - - - Open maturity 3,030,000.00 7,474,929.60 5,193,192.61 96,095,439.38 1,270,504.30

Revenue components In EUR In EUR In EUR In EUR In EUR Revenue component of the

fund: In absolute amount 227.50 18,616.79 5,419.21 102,324.97 30.28 In % of gross revenue 60% 60% 60% 60% 60% Revenue component of third

parties* In absolute amount 151.50 12,414.19 3,612.81 68,216.65 20.19 In % of gross revenue 40% 40% 40% 40% 40%

*Third party is Natixis Asset Management Finance, a related party of the Management Company

Page 220 NATIXIS AM Funds

Unaudited information (continued)

SFTR (Securities Financing Transactions and of Reuse Regulation)

SECURITIES LENDING Ostrum Ostrum Euro Seeyond Seeyond Seeyond Global TRANSACTIONS Global Value Equity Factor Europe Minvol Minvol Convertible Equity Investing Bonds Europe Assets used In EUR In EUR In EUR In EUR In EUR In absolute terms 648,498.29 2,381,121.69 21,932.50 39,783,791.21 12,787,051.80 As a % of lendable assets 0.76% 7.17% 0.27% 3.69% 2.92% As a % of total net asset value 0.76% 7.07% 0.26% 3.67% 2.91%

Transactions classified according to In EUR In EUR In EUR In EUR In EUR residual maturities Less than 1 day - - - - - From 1 day to 1 week - - - - - From 1 week to 1 month - - - - - From 1 month to 3 months - - - - - From 3 months to 1 year - - - - - Above 1 year - - - - - Open maturity 648,498.29 2,381,121.69 21,932.50 39,783,791.21 12,787,051.80

Collateral received In EUR In EUR In EUR In EUR In EUR Type: Cash 642,213.51 1,761,523.02 2,145.00 37,745,835.33 14,052,807.34

Quality (Bond collateral issuers rating): - - - - -

Currency: EUR 642,213.51 1,761,523.02 2,145.00 38,188,082.61 15,140,157.32

Classification according to residual

maturities: Less than 1 day - - - - - From 1 day to 1 week - - - - - From 1 week to 1 month - - - - - From 1 month to 3 months - - - - - From 3 months to 1 year - - - - - Above 1 year - - - - - Open maturity 642,213.51 1,761,523.02 2,145.00 38,188,082.61 15,140,157.32

Revenue components In EUR In EUR In EUR In EUR In EUR Revenue component of the fund: In absolute amount 12,343.23 6,946.07 4,465.79 283,445.42 92,861.67 In % of gross revenue 60% 60% 60% 60% 60% Revenue component of third parties* In absolute amount 8,228.82 4,630.71 2,977.19 188,963.61 61,907.78 In % of gross revenue 40% 40% 40% 40% 40%

Page 221 NATIXIS AM Funds

Unaudited information (continued)

SECURITIES LENDING Ostrum Global TRANSACTIONS Emerging Equity Assets used In EUR In absolute terms - As a % of lendable assets - As a % of total net asset value -

Transactions classified according to In EUR residual maturities Less than 1 day - From 1 day to 1 week - From 1 week to 1 month - From 1 month to 3 months - From 3 months to 1 year - Above 1 year - Open maturity -

Collateral received In EUR Type: Cash -

Quality (Bond collateral issuers rating): -

Currency: EUR -

Classification according to residual maturities: Less than 1 day - From 1 day to 1 week - From 1 week to 1 month - From 1 month to 3 months - From 3 months to 1 year - Above 1 year - Open maturity -

Revenue components In EUR Revenue component of the fund: In absolute amount 3,112.60 In % of gross revenue 60% Revenue component of third parties* In absolute amount 2,075.07 In % of gross revenue 40%

*Third party is Natixis Asset Management Finance, a related party of the Management Company

Each sub-fund has Natixis Asset Management Finance as sole counterparty for securities lending positions. All transactions are bilateral transactions. There is no reuse of collateral cash.

Page 222 NATIXIS AM Funds

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SFTR (Securities Financing Transactions and of Reuse Regulation)

REPURCHASE Ostrum Euro Bonds Ostrum Euro Short Ostrum Euro Ostrum Euro Seeyond Multi AGREEMENT Opportunities 12 Term Credit Credit Inflation Asset Diversified TRANSACTIONS Months Growth Fund Assets used In EUR In EUR In EUR In EUR In EUR In absolute terms 10,719,000.00 53,321,225.00 11,347,537.20 199,872.60 12,958,630.00 As a % of total net % % % % % asset value

Transactions classified In EUR In EUR In EUR In EUR In EUR according to residual maturities Less than 1 day - - - - - From 1 day to 1 week - - - - - From 1 week to 1 - - - - - month From 1 month to 3 - - - - - months From 3 months to 1 - - - - - year Above 1 year - - - - - Open maturity 10,719,000.00 53,321,225.00 14,122,192.20 199,872.60 12,958,630.00

Collateral received In EUR In EUR In EUR In EUR In EUR Type: Cash (borrowed at the - - - - 270,000.00 beginning of the transaction)

Currency: EUR - - - - 270,000.00

Collateral paid In EUR In EUR In EUR In EUR In EUR Type: Cash (borrowed at the 4,200.00 615,000.00 274,000.00 23,000.00 270,000.00 beginning of the transaction)

Currency: EUR 4,200.00 615,000.00 274,000.00 23,000.00 270,000.00

Revenue components In EUR In EUR In EUR In EUR In EUR Revenue component of

the fund: In absolute amount 26,345.26 455,728.71 128,912.38 18,017.68 38,051.91 In % of gross revenue 60% 60% 60% 60% 60% Revenue component of

third parties* In absolute amount 17,563.51 303,819.14 85,941.59 12,011.79 25,367.94 In % of gross revenue 40% 40% 40% 40% 40%

*Third party is Natixis Asset Management Finance, a related party of the Management Company

There is no reuse of collateral cash.

Page 223 NATIXIS AM Funds

Unaudited information (continued)

SFTR (Securities Financing Transactions and of Reuse Regulation)

REPURCHASE Ostrum Euro Seeyond Multi Ostrum Global AGREEMENT Aggregate Asset Convertible Bonds TRANSACTIONS Conservative Growth Fund Assets used In EUR In EUR In USD In absolute terms 51,453,382.89 25,484,810.00 1,912,384.63 As a % of total net % % % asset value

Transactions classified In EUR In EUR In USD according to residual maturities Less than 1 day - - - From 1 day to 1 week - - - From 1 week to 1 - - - month From 1 month to 3 - - - months From 3 months to 1 - - - year Above 1 year - - - Open maturity 51,453,382.89 25,484,810.00 1,912,384.63

Collateral received In EUR In EUR In USD Type: Cash (borrowed at the - - - beginning of the transaction)

Currency: USD - - -

Collateral paid In EUR In EUR In USD Type: Cash (borrowed at the 1,137,000.00 768,000.00 - beginning of the transaction)

Currency: USD 1,137,000.00 768,000.00 -

Revenue components In EUR In EUR In USD Revenue component of

the fund: In absolute amount 534,116.24 58,802.16 20,082.53 In % of gross revenue 60% 60% 60% Revenue component of

third parties* In absolute amount 356,077.49 39,201.44 13,388.35 In % of gross revenue 40% 40% 40%

*Third party is Natixis Asset Management Finance, a related party of the Management Company

Page 224 NATIXIS AM Funds

Unaudited information (continued)

There is no open positions on Repurchase Agreement for the below sub-funds as at reporting date.

REPURCHASE Ostrum Ostrum Ostrum Seeyond Seeyond Seeyond AGREEMENT Global Credit Euro Equity Europe Global TRANSACTIONS Aggregate Opportunities Value Factor Minvol Minvol Equity Investing Europe Revenue components In USD In EUR In EUR In EUR In EUR In EUR Revenue component

of the fund: In absolute amount 4,724.10 70.63 2,754.72 1,026.53 133,756.44 39,556.80 In % of gross revenue 60% 60% 60% 60% 60% 60% Revenue component

of third parties* In absolute amount 3,149.40 47.09 1,836.48 684.35 89,170.96 26,371.20 In % of gross revenue 40% 40% 40% 40% 40% 40%

There is no open positions on Reverse Repurchase Agreement for the below sub-funds as at reporting date.

REVERSE REPURCHASE Ostrum Euro Ostrum Euro Ostrum Euro Ostrum Euro Ostrum Euro AGREEMENT Bonds Short Term Credit Inflation Aggregate TRANSACTIONS Opportunities Credit 12 Months Expenditure components: In EUR In EUR In EUR In EUR In EUR Expenditure of the fund: In absolute amount 10,482.03 6,085.92 35,274.68 159.72 488,642.84 In % of gross expenditure 100% 100% 100% 100% 100%

REVERSE REPURCHASE Ostrum Ostrum Euro Seeyond Seeyond Seeyond AGREEMENT Global Value Equity Europe Global Minvol TRANSACTIONS Aggregate Equity Factor Minvol Investing Europe Expenditure components: In USD In EUR In EUR In EUR In EUR Expenditure of the fund: In absolute amount 2,073.98 2,562.41 3,521.79 69,814.31 9,747.15 In % of gross expenditure 100% 100% 100% 100% 100%

Each sub-fund has Caceis Bank, Luxembourg Branch as sole counterparty for reverse repurchase agreements. All transactions are bilateral transactions. There is no reuse of collateral cash.

Page 225 ADDITIONAL INFORMATION FOR INVESTORS IN THE FEDERAL REPUBLIC OF GERMANY

For the following sub-funds of Natixis AM Funds no notification for distribution in the Federal Republic of Germany was submitted and shares in these sub-funds may NOT be offered to investors within the scope of the German Investment Code (KAGB). As a consequence, the following sub-funds are NOT available to investors in Germany:

H2O LUX MULTIBONDS H2O LUX ALLEGRO OSTRUM FOOD & CONSUMER EQUITIES OSTRUM GLOBAL AGGREGATE OSTRUM MULTI ASSET GLOBAL INCOME SEEYOND EQUITY FACTOR INVESTING EUROPE SEEYOND US MINVOL

The function of the Paying and Information Agent in the Federal Republic of Germany is performed by:

CACEIS Bank, Germany Branch Lilienthalallee 34 - 36, D-80939 Munich, Germany

(hereinafter: German Paying and Information Agent)

Applications for the redemptions and conversion of shares may be sent to the German Paying and Information Agent.

All payments to investors, including redemption proceeds and potential distributions may, upon request, be obtained upon request through the German Paying and Information Agent.

The following documents may be obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent: • the Prospectus, • the Key Investor Information Document, • the Articles of Association, • the current Annual and Semi-annual Reports, • the Agreement between the Fund and the Management Company, • the Agreement between the Management Company and the Investment Manager, • the Agreement between the Fund Administrator, the Management Company and CACEIS Bank, Luxembourg Branch, • the Custody Agreement between the Fund and CACEIS Bank, Luxembourg Branch, • the Luxembourg law of 17 December 2010 on undertakings for collective investments, as amended from time to time.

The issue and redemption prices, the net asset value as well as any notices to investors are also available from the Paying and Information Agent CACEIS Bank, Germany Branch. In addition, the issue and redemption prices are published on www.fundinfo.com and any notices to investors in the Federal Gazette (“www.bundesanzeiger.de”). In addition, communications to investors in the Federal Republic of Germany will be by means of a durable medium (section 167 of the Investment Code) in the following cases: • suspension of the redemption of the units, • termination of the management of the fund or its liquidation, • any amendments to the company rules which are inconstant with the previous investment principles, which affect material investor rights or which relate to remuneration and reimbursement of expenses that may be paid or made out of the asset pool, • merger of the fund with one or more other funds and • the change of the fund into a feeder fund or the modification of a master fund.