Core Securitized Overview Composite Performance Overview The Core Securitized strategy seeks high level of current income consistent with capital preservation through diversified exposure to Agency MBS, CMBS and ABS Primary BenchmarkBloomberg US Securitized Bond IndexPortfolio Management Alessandro Pagani Portfolio Manager Read bio Ian Anderson Portfolio Manager, Agency MBS Strategist, Mortgage & Structured Finance Read bio Barath Sankaran Portfolio Manager, Agency MBS, Mortgage & Structured Finance Read bio Jennifer Thomas Portfolio Manager, Mortgage & Structured Finance Read bio Steve LaPlante Portfolio Manager Read bio Strategy Highlights Benchmark aware; combines top-down strategies with bottom-up security selection Primarily invests in securitized assets, such as mortgage and other asset-backed securities May only buy securities rated investment grade by at least one of the three major rating agencies (Moody’s, Fitch, S&P) at the time of purchase No limit to out-of-benchmark allocations Strategy Facts as of 9/30/2024Strategy Inception3/2/2006Strategy Assets$1.8 billionComposite Assets$1.8 billionNumber of Composite Accounts2Fact Sheet The Composite includes all discretionary accounts with market values greater than $25 million managed by Loomis Sayles with guidelines that allow for investing in securities that must be rated investment grade at time of purchase and with 80% of the portfolio typically invested in securitized assets, such as mortgage- and other asset-backed securities. The Composite seeks a high level of current income consistent with capital preservation through diversified exposure to Agency MBS, CMBS and ABS. The Composite inception date is May 1, 2006. The Composite was created in 2007. Performance Primary Benchmark: Bloomberg US Securitized Bond Index Quarter-End Performance as of 9/30/2024CumulativeGrossNetIndex3 month5.44%5.35%5.44% Year-to-date6.01%5.74%4.61%Trailing Performance as of 9/30/2024Annualized Total ReturnGrossNetIndex1 year13.56%13.18%12.22% 3 years-0.21%-0.52%-1.11% 5 years1.09%0.80%0.15% 10 years2.43%2.16%1.49% Since Inception 5/1/20064.44%4.16%3.10% Period PerformanceYearGrossNetIndex20236.85%6.49%5.08% 2022-11.67%-11.90%-11.67% 20210.61%0.35%-1.04% 20204.56%4.29%4.18% 20196.71%6.44%6.44% 20182.47%2.21%0.99% 20173.41%3.15%2.51% 20163.07%2.80%1.78% 20151.97%1.71%1.47% 20146.45%6.17%5.88% Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Current performance may be lower or higher than quoted. Returns are shown in US dollars and are annualized for one and multi-year periods. Gross returns are net of trading costs. Net returns are gross returns less effective management fees.There is no guarantee that the investment objective will be realized or that the strategy will generate positive or excess return. Monthly Characteristics Monthly as of -1/-1/-1 Currency Distribution @ERROR% Duration Distribution @ERROR% Sector Distribution (Fixed) * 0.0% Country Distribution @ERROR% Maturity Distribution @ERROR% Credit Quality @ERROR% Portfolio composition statistics are from the adviser’s internal system and may not match the fund’s regulatory documents. Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody’s, S&P or Fitch; ratings are subject to change. The fund’s shares are not rated by any rating agency and no credit rating for fund shares is implied. Bond credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities. Due to rounding, Sector, Currency, Country, Duration, Maturity and Quality distribution totals may not equal 100%. Quarterly Characteristics Quarterly as of -1/-1/-1 Currency DistributionFundIndex @ERROR%0.0% Duration DistributionFundIndex @ERROR%@ERROR% Sector Distribution (Fixed) *FundIndex 0.0%0.0% 0.0%0.0% Country DistributionFundIndex @ERROR%0.0% Maturity DistributionFundIndex @ERROR%@ERROR% Credit QualityFundIndex@ERROR%0.0% Portfolio composition statistics are from the adviser’s internal system and may not match the fund’s regulatory documents. Credit Quality reflects the highest credit rating assigned to individual holdings of the fund among Moody’s, S&P or Fitch; ratings are subject to change. The fund’s shares are not rated by any rating agency and no credit rating for fund shares is implied. Bond credit ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest).Cash & Equivalents reflects unsettled trades, fees and derivatives. Negative Cash & Equivalents reflect the market value of future trade commitments for the fund. ABS/RMBS: Asset-Backed Securities/Residential Mortgage-Backed Securities. Agency MBS: Agency Mortgage-Backed Securities. CMBS: Commercial Mortgage-Backed Securities. Due to rounding, Sector, Currency, Country, Duration, Maturity and Quality distribution totals may not equal 100%. Holdings Top Ten Holdingsas of 9/30/2024% Assets @ERROR% Top 10 holdings may not be representative of current or future holdings and will evolve over time. x < Page: / > Download PDF