Pure Agency MBS Overview Composite Performance Overview The Pure Agency MBS strategy seeks to maximize current income consistent with capital preservation Primary BenchmarkBloomberg US Mortgage Backed Securities IndexPortfolio Management Ian Anderson Portfolio Manager, Agency MBS Strategist, Mortgage & Structured Finance Read bio Barath Sankaran Portfolio Manager, Agency MBS, Mortgage & Structured Finance Read bio Strategy Highlights Benchmark-aware strategy targeting the full investment universe of agency mortgage-backed securities (Agency MBS); all securities must have an explicit or effective guarantee from the US Government* Invests in fixed-rate and adjustable rate agency mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC) Investment style combines a top-down approach to inter-sector allocation decisions and an active bottom-up security selection framework Subject to client approval, portfolios may utilize mortgage-derivative collateralized mortgage obligations (CMOs), such as IOs and POs and interest rate hedging strategies Strategy Facts as of 9/30/2024Strategy Inception11/12/2012Strategy Assets$13.7 billionComposite Assets$7.0 billionNumber of Composite Accounts13Fact Sheet The Composite includes all discretionary accounts with market values greater than $10 million managed by Loomis Sayles with guidelines that allow for investing in fixed-rate agency mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC), and that allow for interest rate derivatives as well as CMO mortgage derivatives such as IOs and POs in the Agency MBS universe. Portfolios seek a high level of current income consistent with capital preservation. The Composite inception date is June 1, 2013. The Composite was created in 2013. Performance Primary Benchmark: Bloomberg US Mortgage Backed Securities Index Quarter-End Performance as of 9/30/2024CumulativeGrossNetIndex3 month5.75%5.68%5.53% Year-to-date5.62%5.39%4.50%Trailing Performance as of 9/30/2024Annualized Total ReturnGrossNetIndex1 year13.14%12.82%12.32% 3 years-1.03%-1.28%-1.20% 5 years0.40%0.17%0.04% 10 years2.00%1.78%1.41% Since Inception 6/1/20132.22%2.00%1.58% Period PerformanceYearGrossNetIndex20235.25%4.95%5.05% 2022-12.39%-12.56%-11.81% 2021-0.29%-0.49%-1.04% 20204.28%4.06%3.87% 20197.49%7.27%6.35% 20182.02%1.81%0.99% 20173.31%3.09%2.47% 20162.08%1.86%1.67% 20152.33%2.10%1.51% 20147.35%7.16%6.08% 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