Loomis Sayles Absolute Strategies Bond Fund Product Overview with Matt Eagan 1 June 2011 Natixis International Funds (Lux) I This material is provided for information only to Professional or Qualified Investors. It must not be distributed to Retail Investors.
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Loomis Sayles Absolute Strategies Bond FundProduct Overview with Matt Eagan
1 June 2011
Natixis International Funds (Lux) I
This material is provided for information only to Professional or Qualified Investors. It must not be distributed to Retail Investors.
2
Natixis Global Asset Management Overview
1 As of 31 March 2011. 2 Source: Cerulli Associates, Global Markets 2010 – June 2010, based on total assets under management as of 31 December 2009. 3 Source: IPE Survey, Listing of asset managers active in the European marketplace - June 2010, based on total assets under management as of 31 December 2009. 4 Divisions of Natixis Asset Management Advisors. 5 Natixis Caspian Private Equity is a joint venture between Natixis Global Asset Management, Natixis Private Equity and Caspian Capital Management.
• Each of our affiliates manages their clients’ assets independently
• USD 753 billion (EUR 530 billion) under management1
– 15th largest asset management company worldwide2
– 11th largest asset management company in Europe3
• Diversified product line and client base
• 2,932 employees worldwide– Local representation in key markets
U.S.
Europe and Asia
Natixis Caspian Private Equity5
Hansberger Global
Investors
Aurora Investment
Management
Vaughan Nelson
Investment Management
Managed Portfolio Advisors4
Gateway Investment
Advisers
AlphaSimplex Group
Snyder Capital Management
Loomis, Sayles & Company
Capital Growth Management
AEW Capital Management
Reich & Tang Asset
Management
Harris Associates
Caspian Capital
Management
Active Investment Advisors4
Natixis Multimanager
Natixis Asset Management
AEW Europe
Absolute Asia Asset
Management
Asset management affiliates by domicile
Global, affiliate-based organization
H2O Asset Management
Ossiam
3
Loomis, Sayles & Company, L.P.Overview
• Loomis Sayles has served the needs of institutional and individual investors for more than 80 years.
• As an actively managed, multi-style investment manager, the firm offers both traditional and highly specialized asset classes.
• Employing an opportunistic approach, balanced with disciplined, bottom-up research and quantitative risk analysis, the investment teams strive to produce above-average returns across asset classes and categories.
• Headquarters: Boston
• Founded: 1926
• Assets Under Management: US$ 156 billion/€ 110 billion (as of 31/3/2011)
4
• Expertise in all sectors of the fixed income market
• 20 fixed income portfolio managers with an average of 26 years experience
• 22 senior fundamental credit analysts with an average of 20 years experienceand 16 credit research analysts and associates
• 5 securitized asset analysts with an average of 11 years experience
• 6 global sovereign analysts/strategists with an average of 20 years experience
• 10 quantitative analysts with an average of 9 years experience
• 37 specialized bond traders and compliance specialists with an average of 15 years of experience
Fixed Income
As of 31 March 2011; Years experience indicates industry experience.
Performance-driven bond manager offering a broad range of fixed income strategies
5
USD 140 Billion as of 31 March 2011
As of 31 March 2011
Loomis Sayles Fixed Income AUM
Sovereigns
12%
Non-US
Corporates
17%
US High Yield
Corporates
17%
US Investment
Grade
Corporates
27%
Other
2%
Short Term
Investments
3%Convertible/
Preferreds
6%
US Governments
7%
Securitized
7%
Bank Loans
2%
ASSETS ($ billions)
US Investment Grade Corporates 38
US High Yield Corporates 24
Non-US Corporates 23
Sovereigns 17
US Governments 10
Securitized 9
Convertible/Preferreds 8
Short Term Investments 4
Other 4
Bank Loans 3
6
Research: Coverage Spans the Globe
We follow and rate
• 81 countries– 23 developed markets– 58 emerging markets*
• 1058 corporate credits and 242 bank loans (includes 144a and other non-index eligible issuers)
Industry coverage conducted on a global basis, across quality spectrum and includes:• 96% of investment grade issuers in the Barclays Capital Corporate Index• 86% of investment grade issuers in the Barclays Capital Global Aggregate Credit Index • 87% of high yield issuers in the Barclays Capital High Yield Index• Ability to provide an in-depth credit analysis of all sectors in the Barclays Securitized Index including
commercial real estate, residential real estate, and asset-backed-related
As of 1 January 2011. *Emerging market countries include any country determined by Loomis Sayles to have an emerging market economy, taking into account a number of factors, which may include whether the country has a low-to-middle-income economy according to the International Bank for Reconstruction and Development (the World Bank), the country's foreign currency debt rating, its location and neighboring countries, its political and economic stability and the development of its financial and capital markets. These countries include those located in Latin America, Asia, Africa, the former Soviet Union, the Middle East and the developing countries of Europe, primarily Eastern Europe. A complete list of emerging market countries, as defined by Loomis Sayles, is available upon request.
Coverage percentages above are based on market value of issuers covered. Covered issuers include those under coverage (followed closely and rated by Loomis Sayles research department) and under shadow coverage (followed by Loomis Sayles research department but not rated).
7
Research: The Cornerstone of Our Business
Credit researchDirector
– 28 years experience
22 senior credit analysts – 20 years average experience
8 credit analysts – 7 years average experience
8 research associates
Product specific research
15 equity product analysts/associate– 12 years average experience
9 fixed income product analysts/associate – 10 years average experience
Securitized asset researchSenior Strategist
– 14 years experience
5 securitized asset analysts– 11 years average experience
Quantitative research & risk analysisDirector
– 24 years experience
14 quantitative research analysts – 5 PhDs– 11 years average experience
Sovereign research
6 global sovereign analysts/strategist – 20 years average experience
Macro strategyDirector – CFA
- 31 years experience
Senior Global Macro Strategist
- 16 years experience
Chief Economist
- 31 years experience
Manager, Strategy Analytics
- 17 years experience
4 analysts/associate
- 7 years average experience
Equity research2 Co-Directors
– 33 years average experience
15 global sector analysts – 17 years average experience
4 junior analysts/research associate
Purpose: supports Loomis Sayles’ strength — security selection• $57 million research budget for 2011• Proprietary, one of the oldest proprietary rating systems in the country• Industry coverage conducted on a global basis, across quality spectrum• Career analysts compensated for their effectiveness• Career analysts integrated into sector teams
As of 31 March 2011; Years experience indicates industry experience.
8
Loomis Sayles Fixed Income Research TeamSenior Credit Analysts – Coverage by sector / industry
Ken HeffnerChemicals
Energy
Ken HeffnerChemicals
Energy
Paula ReitersRetailersTextile
Pharmaceuticals
Paula ReitersRetailersTextile
Pharmaceuticals
Janet SungInsuranceFinance
Janet SungInsuranceFinance
Beth SchroederBanking
Brokerage
Beth SchroederBanking
Brokerage
Mark RavanesiPaper
PackagingMetals & Mining
Mark RavanesiPaper
PackagingMetals & Mining
Jim BarrREITs
Airlines (EETCs)Transportation Services
Diversified MfgIndustrial Other
Jim BarrREITs
Airlines (EETCs)Transportation Services
Diversified MfgIndustrial Other
Paul HansonRestaurants
Consumer Cyclical Services
Consumer ProductsSupermarkets and
Drugstores
Paul HansonRestaurants
Consumer Cyclical Services
Consumer ProductsSupermarkets and
Drugstores
Diana MonteithBiotechnologyConvertibles
Distressed/SpecialSituations
Diana MonteithBiotechnologyConvertibles
Distressed/SpecialSituations
Matt WelchTechnology
Emerging Markets
Matt WelchTechnology
Emerging Markets
Steve BocamazoEnvironmental ServicesAerospace & Defense
AutomotiveConstruction Machinery
RailroadsTobacco
Steve BocamazoEnvironmental ServicesAerospace & Defense
AutomotiveConstruction Machinery
RailroadsTobacco
Elisabeth ColleranTelecom
Emerging Markets
Elisabeth ColleranTelecom
Emerging Markets
Carol GentileEntertainmentMedia-Cable
Media-NonCable
Carol GentileEntertainmentMedia-Cable
Media-NonCable
Mark LaRochelleNewspapers
Food and Beverage
Mark LaRochelleNewspapers
Food and Beverage
Shannon O’MaraBuilding Materials
ElectricHome Construction
PipelinesNatural Gas
Shannon O’MaraBuilding Materials
ElectricHome Construction
PipelinesNatural Gas
Joanne McIntoshGamingElectricLodgingPipelines
Natural Gas
Joanne McIntoshGamingElectricLodgingPipelines
Natural Gas
Chris KellerEuropean Credits
Chris KellerEuropean Credits
Ryan MacKayHealth CareTechnology
Health Insurance
Ryan MacKayHealth CareTechnology
Health Insurance
Ed ThauteEuropean Credits
Global Banks
Ed ThauteEuropean Credits
Global Banks
Ryan McGrailEnergy
MLP
Ryan McGrailEnergy
MLP
Charles KishpaughMunicipal Credits
Charles KishpaughMunicipal Credits
Joy MolackMunicipal Credits
GSEs
Joy MolackMunicipal Credits
GSEs
As of 31 March 2011
9
*There is no guarantee that any investment or return objective will be realized or that the strategy will be able to generate any positive or excess return. (Return objective is based on risk volatility of the strategy.)** As a % of capital, excluding the use of futures and related options.
Absolute Strategies BondProduct overview
Seeks consistent returns through all market environments• Return Objective*: Greater of 3-month US LIBOR plus 200-400 basis points or 6%
over a market cycle
Targets yield curve, credit spread, and currency opportunities
Utilizes a disciplined risk management process that targets absolute volatility and seeks to mitigate downside tail risk
• Risk Objective: Annualized standard deviation of 400 to 600 basis points
Employs long and short investment strategies• Total long or short exposure will not exceed 100% short and 100% long on a
notional basis**
10
Why Loomis Sayles?
• Experience investing with an absolute return frame of reference
• Experienced global macro investor in the multi-sector space
• Idea generation from recognized fundamental & quantitative research and trading capabilities
• Extensive coverage of cash and derivative markets
• Sophisticated portfolio management tools and compliance infrastructure
• Significant quantitative research capability
Why Absolute Strategies?
• Pursues absolute returns
• Expansive market opportunities
• Diversity of alpha sources
• Utilizes long and short capabilities
• Seeks to actively manage systemic risk
• Low correlation with most traditionalasset categories
Absolute Strategies BondProduct overview (conti)
11
Highly experienced, seasoned team
Matthew Eagan, CFA 21 years in the industry
Kevin Kearns25 years in the industry
Todd Vandam, CFA17 years in the industry
Matthew Eagan, CFA 21 years in the industry
Kevin Kearns25 years in the industry
Todd Vandam, CFA17 years in the industry
Portfolio management
Key support
Portfolio Analysis & Research
A. DiCensoK. HeffnerM. Murphy
L. SarloT. Stolberg
Portfolio Analysis & Research
A. DiCensoK. HeffnerM. Murphy
L. SarloT. Stolberg
Sector Teams
U.S. GovernmentSecuritized AssetsInvestment Grade/
Global CreditHigh Yield/Bank Loans
ConvertiblesEmerging Markets
Developed Non-U.S. Markets
U.S. GovernmentSecuritized AssetsInvestment Grade/
Global CreditHigh Yield/Bank Loans
ConvertiblesEmerging Markets
Developed Non-U.S. Markets
Firmwide resources
Product ManagerRoger Ackerman
Product ManagerRoger Ackerman
Risk AnalysisKarl Davis
Risk AnalysisKarl Davis
Quantitative ResearchRisk Analysis
Director10 Fixed Analysts4 Equity Analysts
Quantitative ResearchRisk Analysis
Director10 Fixed Analysts4 Equity Analysts
Equity Research2 Co-Directors
15 Sector Analysts4 Jr. Analysts/Research
Associate
Equity Research2 Co-Directors
15 Sector Analysts4 Jr. Analysts/Research
Associate
Fixed Income TradingDirector
22 Traders14 Portfolio SpecialistsTrading Risk Manager
Fixed Income TradingDirector
22 Traders14 Portfolio SpecialistsTrading Risk Manager
Securitized Asset Research
Senior Strategist5 Analysts
Securitized Asset Research
Senior Strategist5 Analysts
Sovereign Analysis6 Analysts/Strategist-Non U.S.
Sovereign Analysis6 Analysts/Strategist-Non U.S.
Credit Research22 Senior Analysts
8 Analysts8 Research Associates
Credit Research22 Senior Analysts
8 Analysts8 Research Associates
As of 31 March 2011
MacroMacro StrategyUS Yield Curve
Global Asset Allocation
MacroMacro StrategyUS Yield Curve
Global Asset Allocation
Macro StrategyDirector
Sr Global Macro StrategistChief Economist
Manager, Strategy Analytics4 Analysts Associate
Macro StrategyDirector
Sr Global Macro StrategistChief Economist
Manager, Strategy Analytics4 Analysts Associate
12
Traders
Real-time market
information
Portfolio Managers
Macro analysis and portfolio strategy
Fixed Income Research
Fundamental analysis of individual
issues
• Answer the questions: Does your sector represent investment value? What are the most attractive securities in your sector?
• Develop top-down valuation frameworks using proprietary and non-proprietary analytics
• Draw upon combined expertise of portfolio managers, research analysts and traders
• Ongoing assessment of recommendations
Macro Strategy
US Yield Curve
Global Asset
Allocation
Macro
DevelopedNon-US Markets
Inv Grade/Global Credit
High Yield/ Bank Loans
Convertibles
Emerging Markets
Securitized Assets
US Government
Sector teamsSeek to assess value for each sector and identify best opportunities
13
Investment universe
Instrument / Security Type
Asset ClassGeography
US
InvestmentGrade Credit
Securitized (MBS/ABS)
High Yield Credit
Cash Bonds
Credit Derivatives
Interest Rate/ Currency
Derivatives
Structured Securities
Equity/ Equity Options
Bank Loans
Govt/Agency
Leveraged Loans
Convertible/ Preferred
Local Currency
Non-US Developed
Emerging Markets
14
Investment process
• Integrate global macro & relative value sector analysis and our best bottom up investment strategies to generate what we view as the highest potential to meet the risk / return objective*
• Portfolio construction & optimization is integrated with risk analysis & management
*There is no guarantee that the strategy will be able to achieve any specific return.
15
Themes and portfolio strategies
Information from several specialized research teams used to formulate investment framework
• Macro/Global Economic outlook
• Establish portfolio strategy
• Identify global investment opportunities
US Inv Grade Credit
US Government
Commodities
High Yield/ Converts
Emerging Markets
Developed Non-US Markets
Bank Loans
Currencies
Equities
Securitized
OUR BEST OPPORTUNITIES• 3- & 12-month return forecasts• Baseline, bull & bear scenarios• Potential risks• Sector Team’s Top investment
ideas
Assess top down risk/return opportunities
• Global Asset Allocation Team
• Relative value sector analysis
• Compare returns & risk ratings to find our best cross-asset class ideas
16
Research
• Fundamental Research• Propriety Rating System
Portfolio managers gain insight into individual credits using the broader Loomis Sayles research effort
• Value of Sector• Subsector/Industry
Preference• Preferred Securities
• Liquidity Scoring• Issuer Volatility• Specific Bond Volatility• Relative Value Return Analysis
Sector TeamTrading and Quantitative Research Risk Analysis
(QRRA)
Our best bottom-up ideas
17
Investment Team generates potential Alpha drivers:
• Duration View• Term Structure Trades• Flattners/Steepners
• Long/Short Currency• Term Structure Trades
Generating alpha drivers
Credit CurrencyCurve
• Directional Long or Short• Basis/Pair Trades• Yield-to-Call
18
Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio.
Scenario analysis examines hypothetical impacts to the portfolio using past known market events.
Contribution to risk measures estimated volatility by trading strategy by factor risks and issue specific risks
example
Allocation, construction & optimization
19
Measure
Calculate
Validate
Manage
Contribution to risk of each security’s beta relative to an Index (or other instrument) on a short and long term basis. Total Portfolio risk is decomposed into contributing factors of spread, term structure, and currency.
Approximations of Total Portfolio beta relative to key risk factors are calculated. For example, the portfolio's beta to the high yield market is used as a proxy for measuring sensitivity to credit risk.
Scenario analysis and stress tests are conducted in an attempt to validate the measured systemic risk level in the portfolio.
Systemic risk factors may be adjusted by modifying sector allocations or by using derivatives instruments, depending upon market conditions.
Process of risk management
20
• Gross long/gross short exposure
• Sector and industry exposure
• Country and currency exposure
• Interest rate exposure (duration)
• Exposure by quality rating
• Exposure to individual issuers
• Credit spread risk analysis
• Interest rate curve analysis
• Volatility/correlation analysis
• Historical simulation/covariance analysis
• Scenario testing and stress testing
Analyze downside risks in seeking to achieve absolute returns in both up and down markets
Seek to manage these risks through use of derivatives and/or cash instruments
Nominal Volatility/risk-based
Types of Risk Measurements
Objective of risk management
21
Total Ex-Ante Vol History
0.00
2.00
4.00
6.00
8.00
10.00
12.00
22-S
ep-0
829
-Sep
-08
6-O
ct-0
813
-Oct
-08
20-O
ct-0
827
-Oct
-08
3-Nov
-08
10-N
ov-0
817
-Nov
-08
24-N
ov-0
82-
Dec
-08
9-Dec
-08
16-D
ec-0
823
-Dec
-08
2-Ja
n-09
9-Ja
n-09
16-J
an-0
926
-Jan
-09
2-Fe
b-09
9-Fe
b-09
17-F
eb-0
924
-Feb
-09
3-M
ar-0
910
-Mar
-09
17-M
ar-0
924
-Mar
-09
31-M
ar-0
97-
Apr-
0915
-Apr
-09
22-A
pr-0
929
-Apr
-09
6-M
ay-0
913
-May
-09
20-M
ay-0
928
-May
-09
4-Ju
n-09
11-J
un-0
918
-Jun
-09
25-J
un-0
92-
Jul-
0910
-Jul
-09
17-J
ul-0
924
-Jul
-09
31-J
ul-0
923
-Sep
-09
30-S
ep-0
97-
Oct
-09
14-O
ct-0
921
-Oct
-09
Factor Specific
Total
Historical Ex-Ante Beta To USD 5-10
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
22-S
ep-0
8
3-O
ct-0
8
16-O
ct-0
8
29-O
ct-0
8
11-N
ov-
08
24-N
ov-
08
8-Dec-
08
19-D
ec-
08
6-Ja
n-0
9
20-J
an-0
9
2-Fe
b-0
9
13-F
eb-0
9
27-F
eb-0
9
12-M
ar-0
9
25-M
ar-0
9
7-Apr-
09
21-A
pr-
09
4-M
ay-0
9
15-M
ay-0
9
29-M
ay-0
9
11-J
un-0
9
24-J
un-0
9
8-Ju
l-09
21-J
ul-
09
10-S
ep-0
9
30-S
ep-0
9
13-O
ct-0
9
20-N
ov-
09
Partial
Total
Historical Ex-Ante Beta To HY CDX
-0.60
-0.40
-0.20
0.00
0.20
0.40
0.60
0.80
22-S
ep-0
8
3-O
ct-0
8
16-O
ct-0
8
29-O
ct-0
8
11-N
ov-0
8
24-N
ov-0
8
8-Dec
-08
19-D
ec-0
8
6-Ja
n-09
20-J
an-0
9
2-Fe
b-09
13-F
eb-0
9
27-F
eb-0
9
12-M
ar-0
9
25-M
ar-0
9
7-Ap
r-09
21-A
pr-0
9
4-M
ay-0
9
15-M
ay-0
9
29-M
ay-0
9
11-J
un-0
9
24-J
un-0
9
8-Ju
l-09
21-J
ul-0
9
10-S
ep-0
9
30-S
ep-0
9
13-O
ct-0
9
20-N
ov-0
9
PartialTotalIT Beta
Beta analysis measures the strength of the relationship of the portfolio to interest rate changes or high yield corporate spread
Historical volatility view of total contribution to risk over time
Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio.
example
Risk management tools
22
1.48
1.18
0.920.85
0.770.73
0.69 0.680.62 0.61 0.59 0.58 0.57 0.55 0.55 0.53
0.47 0.46 0.44 0.42 0.41 0.40 0.37 0.37 0.36
-0.20
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1.60
TRADE_
1(D
IREC
TIO
N)
TRADE_
2(R
ISKM
GM
T)
TRADE_
3(B
ASI
STRA
DE)
TRADE_
4(D
IREC
TIO
N)
TRADE_
5(D
IREC
TIO
N)
TRADE_
6(Y
LDTO
CALL
)
TRADE_
7(D
IREC
TIO
N)
TRADE_
8(B
ASI
STRA
DE)
TRADE_
9(R
ISKM
GM
T)
TRADE_
10(B
ASI
STRA
DE)
TRADE_
11(C
APA
RBO
RP)
TRADE_
12(P
AIR
TRADE)
TRADE_
13(D
IREC
TIO
N)
TRADE_
14(B
ASI
STRA
DE)
TRADE_
15(B
ASI
STRA
DE)
TRADE_
16(P
AIR
TRADE)
TRADE_
17(B
ASI
STRA
DE)
TRADE_
18(D
IREC
TIO
N)
TRADE_
19(D
IREC
TIO
N)
TRADE_
20(P
AIR
TRADE)
TRADE_
21(B
ASI
STRA
DE)
TRADE_
22(B
ASI
STRA
DE)
TRADE_
23(D
IREC
TIO
N)
TRADE_
24(D
IREC
TIO
N)
TRADE_
25(Y
LDTO
CALL
)
0.79 0.16 0.21 0.18 0.26 0.19 0.18 0.10 -0.06 0.09 0.22 0.11 0.09 0.06 0.12 0.06 0.12 -0.06 0.17 0.04 0.15 0.17 -0.01 0.06 0.12
Factor Specific
Trade specific contribution to risk highlights particular trades and the corresponding contribution to MTD performance
Top 25 Trades Profit/ Loss MTD
-40,000
-20,000
0
20,000
40,000
60,000
80,000
100,000
120,000
TRADE_
1 (D
IREC
TIO
N)
TRADE_
2 (R
ISKM
GM
T)
TRADE_
3(B
ASI
STRADE)
TRADE_
4 (D
IREC
TIO
N)
TRADE_
5 (D
IREC
TIO
N)
TRADE_
6(Y
LDTO
CALL
)
TRADE_
7 (D
IREC
TIO
N)
TRADE_
8(B
ASI
STRADE)
TRADE_
9 (R
ISKM
GM
T)
TRADE_
10(B
ASI
STRADE)
TRADE_
11(C
APA
RBO
RP)
TRADE_
12(P
AIR
TRADE)
TRADE_
13(D
IREC
TIO
N)
TRADE_
14(B
ASI
STRADE)
TRADE_
15(B
ASI
STRADE)
TRADE_
16(P
AIR
TRADE)
TRADE_
17(B
ASI
STRADE)
TRADE_
18(D
IREC
TIO
N)
TRADE_
19(D
IREC
TIO
N)
TRADE_
20(P
AIR
TRADE)
TRADE_
21(B
ASI
STRADE)
TRADE_
22(B
ASI
STRADE)
TRADE_
23(D
IREC
TIO
N)
TRADE_
24(D
IREC
TIO
N)
TRADE_
25(Y
LDTO
CALL
)
Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio.
example
Risk management tools
23
“Heat map” graphically illustrates trade-specific sources of MTD and YTD return and risk
Security dashboard summarizes key data for each security
Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio.
example
Risk management tools
Loomis Sayles Absolute Strategies Bond Fund
Characteristics and Performance
25
Loomis Sayles Absolute Strategies Bond Fund I/A (USD)
28.00
26
Data source: Loomis Sayles. Due to active management, characteristics will evolve over time.
Strategy Net ExposureLong
PhysicalsLong
Derivatives Long TotalShort
PhysicalsShort
Derivatives Short Total
Currency 3.73% 0.00% 3.74% 3.74% 0.00% 0.00% 0.00%
Treasury/Agency 2.14% 2.14% 0.00% 2.14% 0.00% 0.00% 0.00%
Inv Grade Corporate Credit 27.03% 27.03% 0.00% 27.03% 0.00% 0.00% 0.00%
High Yield Corporate Credit 29.38% 33.41% 0.00% 33.41% 0.00% -4.02% -4.02%
Bank Loans 8.72% 8.72% 0.00% 8.72% 0.00% 0.00% 0.00%
Securitized 15.55% 15.55% 0.00% 15.55% 0.00% 0.00% 0.00%
Equity/Equity Derivatives -3.04% 1.87% 0.00% 1.87% 0.00% -4.91% -4.91%
Net 83.52% 88.71% 3.74% 92.45% 0.00% -8.93% -8.93%
Cash and equivalents 10.12% 10.12% 0.00% 10.12% 0.00% 0.00% 0.00%
Collateral 1.13% 1.13% 0.00% 1.13% 0.00% 0.00% 0.00%
Interest Rate Derivatives -10.60% 0.00% 98.47% 98.47% 0.00% -109.07% -109.07%
Overall Net 84.17% 99.96% 102.21% 202.17% 0.00% -118.00% -118.00%
Loomis Sayles Absolute Strategies Bond Fund Characteristics as of 31 March 2011
27
Physicals/CDS/CVT
QualityNet
Exposure Long Short
AAA 7.00% 7.00% 0.00%
AA 3.94% 3.94% 0.00%
A 7.95% 7.95% 0.00%
BAA 19.18% 19.18% 0.00%
BA 18.96% 18.96% 0.00%
B 17.38% 17.38% 0.00%
CAA & Lower 10.30% 10.30% 0.00%
NR 0.00% 0.00% 0.00%
Currency Net Exposure
USD 89.58%
CAD 4.00
MXN 2.49
RUB 1.15
ZAR 1.07
IDR 1.04
NZD 1.04
CNY 1.02
SGD 1.02
MYR 0.50
GBP 0.11
EUR 0.01
TRY -0.18
JPY -2.86
Characteristics
Effective Duration 2.85%
# of issues 94
Average Maturity 5.57 years
Data source: Loomis Sayles. Due to active management, characteristics will evolve over time.
Loomis Sayles Absolute Strategies Bond Fund Characteristics as of 31 March 2011
28
Reference InformationLoomis Sayles Absolute Strategies Bond Fund
3 month USD Libor is a widely-used benchmark for short-term interest rates based on the London Interbank Offered Rate; it is the rate of interest at which banks borrow funds from each other, in marketable size, over a period of 3 months. This Index is shown for comparative purposes only. Index Source: British Banker's Association.
Loomis, Sayles & Company, L.P., a subsidiary of Natixis Global Asset Management, is an investment adviser registered with the U.S. Securities and Exchange Commission (IARD No. 105377) and is authorized to provide investment management services in the U.S. The company conducts all investment management services in and from the U.S.
Distribution of this document may be restricted in certain countries. The Fund is not authorized for sale in all jurisdictions and its offering and sale may be limited by the local regulator to certain types of investors. Please ask your financial advisor if you have any questions. It is the responsibility of your financial advisor to ensure that the offering and sale of Fund shares complies with the relevant national law. The Fund may not be offered or sold in the U.S., to citizens or residents of the U.S., or in any other country or jurisdiction where it would be unlawful to offer or sell the Fund.
This material is distributed for information purposes only. It is not a prospectus and does not constitute an offering of shares. If you would like further information about this Fund, including charges, expenses, and risk considerations, contact your financial advisor for a free prospectus, simplified prospectus, copy of the Articles of Incorporation, the semi and annual reports, and/or other materials and translations that are relevant to your jurisdiction. For assistance locating a financial advisor in your jurisdiction please call +44 203 405 2154. If the Fund is registered in your jurisdiction, these documents are also available free of charge from the Natixis Global Associates offices (ga.natixis.com) and the paying agents/representatives listed below. Please read the prospectus carefully before investing.
Austria Erste Bank der österreichischen Sparkassen AG, Am Graben 21, 1010 Vienna. France CACEIS Bank, 1-3, Place Valhubert, 75013 Paris. Germany Rheinland-Pfalz Bank, Große Bleiche 54-56, D-55098 Mainz. Luxembourg Natixis Global Associates., 2-8 avenue Charles de Gaulle, L-1653 Luxembourg. Switzerland RBC Dexia Investor Services Bank S.A., Esch-sur-Alzette, Badenerstrasse 567, P.O. Box 101, CH-8066 Zurich.
Risks Investments in fixed income securities are subject to certain risks including interest-rate risk, credit risk, and inflation risk. In addition, mortgage-backed/asset-backed securities are subject to market value, liquidity and certain other risks. Lower rated debt securities have speculative characteristics because of the credit risk of their issuers and may be subject to greater price volatility and liquidity risks. Use of derivatives, including credit default swaps, involves special risks, including those associated with leverage, valuation, liquidity and counterparties. International investing involves additional risks, such as currency exchange rate fluctuations, political or regulatory developments, economic instability and lack of information transparency. These and other risks of the Fund are described in greater detail in the Prospectus.
Reference information
Share class TER, %Max sales charge, %
Minimum initial investment
S - Super institutional 0.80 3.00 USD/EUR 15 million, GBP 7 million
I – Institutional 1.20 3.00 USD/EUR 100,000, GBP 50,000
R – Retail 1.70 3.00 USD/EUR 1,000, GBP 500
Share class information
Share class USD EUR GBP
S - Super institutional A A, H-A A, H-A
I – Institutional A A A
R – Retail A A A
Share class availability by currency of quotation
A = Accumulating, H- = Hedged
Dealing frequency Daily
Cutoff time D, 13h30 Luxembourg time
Reference index 3 Month USD Libor
Fund inception 2 November 2010
Legal structure and domicile
Sub-fund of Natixis International Funds (Lux) I organized as an investment company with variable capital under the laws of the Grand Duchy of Luxembourg and authorized by the CSSF as a UCITS
Administrator / Custodian Brown Brothers Harriman (Luxembourg) S.C.A.
Auditor PricewaterhouseCoopers S.à.r.l. – Luxembourg
Management company Natixis Global Associates S.A.
Investment manager Loomis, Sayles & Company, L.P.
Portfolio manager Matthew Eagan, Kevin Kearns, Todd Vandam
RegistrationsAustria, Finland, Germany, Italy, Luxembourg, Netherlands, Norway, Spain, Sweden, Switzerland, U.K.
ISIN, Bloomberg code I/A(USD) – LU0556612868, LSASIAU LX
Appendix
30
Data source: Loomis Sayles. Please be advised that the information regarding the Absolute Strategies Bond Fund included on this page reflects that of a paper portfolio and not an actual portfolio. The simulated performance of a paper portfolio has inherent limitations. Material market and economic factors may affect investment decisions differently when the managers are investing actual client assets. The simulated results do not reflect the impact of actual portfolio trading which may impact the price and availability of securities. Simulated trades may be executed at different times than trades for actual accounts which will impact results. The simulated results do not reflect the deduction of fess and expenses which would lower investment results and assume the reinvestment of dividends and capital gains.
Description of the hypothetical paper portfolio
• The Paper Portfolio represents a hypothetical portfolio managed in the Absolute Strategies style. Trades are initiated by the portfolio managers and sent to trading to simulate execution into the portfolio.
• Inception is 31/5/09
• The Paper Portfolio is maintained on the Loomis Sayles Data Warehouse Software
• Pricing is daily
• Hypothetical account size at inception: USD 160 million
31
* Gross returns are net of trading costs. ** Net returns are gross returns less effective management fees charged for the time period Data source: Loomis Sayles. Please be advised that the information regarding the Absolute Strategies Bond Fund included on this page reflects that of a paper portfolio and not an actual portfolio. Inception of the Paper Portfolio is 5/31/09. The simulated performance of a paper portfolio has inherent limitations. Material market and economic factors may affect investment decisions differently when the managers are investing actual client assets. The simulated results do not reflect the impact of actual portfolio trading which may impact the price and availability of securities. Simulated trades may be executed at different times than trades for actual accounts which will impact results. The simulated results do not reflect the deduction of fess and expenses which would lower investment results and assume the reinvestment of dividends and capital gains.
Paper Portfolio Gross* Paper Portfolio Net**3mos US Dollar
LIBORBarclays Capital
Universal
6/09 3.60% 3.55% 0.05% 0.76%
7/09 3.41% 3.36% 0.04% 1.89%
8/09 2.79% 2.74% 0.03% 1.16%
9/09 0.95% 0.90% 0.02% 1.36%
10/09 1.44% 1.39% 0.02% 0.58%
11/09 0.16% 0.11% 0.02% 1.27%
12/09 1.54% 1.49% 0.02% -1.25%
1/10 2.59% 2.54% 0.02% 1.52%
2/10 0.42% 0.37% 0.02% 0.38%
3/10 1.69% 1.64% 0.02% 0.13%
4/10 1.45% 1.40% 0.02% 1.11%
5/10 -1.60% -1.65% 0.03% 0.45%
6/10 0.83% 0.78% 0.05% 1.55%
7/10 1.31% 1.26% 0.04% 1.29%
8/10 0.72% 0.67% 0.04% 1.25%
9/10 2.16% 2.11% 0.03% 0.32%
10/10 0.78% 0.73% 0.02% 0.51%
6/09-10/10 27.04% 25.98% 0.38% 10.54%
Paper portfolio performanceas of 31 October 2010
32
There is no guarantee the portfolio will achieve its investment objective.For a more detailed description of the risks, prospective investors should carefully review any offering documents related to the product.
Key Risks
• Credit Risk – the risk that the issuer or borrower will fail to make timely payments of interest and/or principal. This risk is heightened for lower rated fixed income securities or borrowers.
• Issuer Risk – the risk that the value of securities may decline due to a number of reasons relating to the issuer or the borrower or their industries or sectors. This risk is heightened for lower rated fixed income securities or borrowers.
• Liquidity Risk – the risk that the Fund may be unable to find a buyer for its investments when it seeks to sell them, which is heightened for high yield, mortgage-backed and asset-backed securities.
• Interest Rate Risk – the risk that the value of a debt obligation falls as interest rates rise.
• Derivatives Risk – the risk that the value of the Fund’s derivatives instruments will fall because of changes in the value of the underlying reference instrument, pricing difficulties or lack of correlation with the underlying investment.
• Counterparty Risk – the risk that the counterparty to a swap or other derivatives contract with default on its obligations.
• Prepayment Risk – the risk that debt securities may be prepaid, resulting in reinvestment of proceeds in securities with lower yields. The Fund may also incur a loss when there is a prepayment of securities purchased at a premium.
• Extension Risk – the risk that an unexpected rise in interest rates will extend the life of a mortgage or asset-backed security beyond the expected prepayment time, typically reducing the securities value.
• Management Risk – the risk that the investment manager’s investment techniques will be unsuccessful.
Additional Notes
This material has been provided for information purposes only to investment service providers or other Professional Clients, Qualified or Institutional Investors and, when required by local regulation, only at their
written request.
In the E.U. (outside of the UK) This material is provided by Natixis Global Associates S.A. or one of its branch offices listed below. Natixis Global Associates S.A. is a Luxembourg management company that is
authorized by the Commission de Surveillance du Secteur Financier and is incorporated under Luxembourg laws and registered under n. B 115843. Registered office of Natixis Global Associates S.A.: 51, avenue
J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg. France: Natixis Global Associates International (n.509 471 173 RCS Paris). Registered office: 21 quai d'Austerlitz, 75013 Paris. Italy: Natixis Global
Associates S.A. Succursale Italiana (Bank of Italy Register of Italian Asset Management Companies no 23458.3). Registered office: Via San Clemente, 1 - 20122, Milan, Italy. Germany: Natixis Global Associates
S.A., Zweigniederlassung Deutschland (Registration number: HRB 88541). Registered office: Im Trutz Frankfurt 55, Westend Carrée, 7. Floor, Frankfurt am Main 60322, Germany. Netherlands: Natixis Global
Associates S.A., Nederlands filiaal (Registration number 50774670). Registered office: Zuidplein 36 – 1077 XV Amsterdam, the Netherlands. Sweden: Natixis Global Associates S.A. (Luxembourg) Nordics Filial
(Registration number 516405-9601 - Swedish Companies Registration Office). Registered office: Kungsgatan 48 5tr, Stockholm 111 35, Sweden.
In Switzerland This material is provided to Qualified Investors by Natixis Global Associates Switzerland Sàrl. Address: Place de la Fusterie 12, 1204 Genève.
In the U.K. This material is provided by Natixis Global Associates UK Limited which is authorised and regulated by the UK Financial Services Authority (register no. 190258). This material is intended to be
communicated to and/or directed at persons (1) in the United Kingdom, and should not to be regarded as an offer to buy or sell, or the solicitation of any offer to buy or sell securities in any other jurisdiction than
the United Kingdom; and (2) who are authorised under the Financial Services and Markets Act 2000 (FSMA 2000); or are high net worth businesses with called up share capital or net assets of at least £5 million
or in the case of a trust assets of at least £10 million; or any other person to whom the material may otherwise lawfully be distributed in accordance with the FSMA 2000 (Financial Promotion) Order 2005 or the
FSMA 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order 2001 (the "Intended Recipients"). To the extent that this material is issued by Natixis Global Associates UK Limited, the fund,
services or opinions referred to in this material are only available to the Intended Recipients and this material must not be relied nor acted upon by any other persons. Registered Office: Natixis Global Associates
UK Limited, Cannon Bridge House, 25 Dowgate Hill, London, EC4R 2YA.
In the DIFC This material is provided in and from the DIFC financial district by Natixis Global Associates Middle East, a branch of Natixis Global Associates UK Limited, which is regulated by the DFSA. Related
financial products or services are only available to persons who have sufficient financial experience and understanding to participate in financial markets within the DIFC, and qualify as Professional Clients as
defined by the DFSA. Registered office: Office 603 - Level 6, Currency House Tower 2, PO Box 118257, DIFC, Dubai, United Arab Emirates.
The above referenced entities are business development units of Natixis Global Associates and subsidiaries of Natixis Global Asset Management, the holding company of a diverse line-up of specialised investment
management and distribution entities worldwide. The investment management and distribution subsidiaries of Natixis Global Asset Management conduct any regulated activities only in and from the jurisdictions
in which they are licensed or authorized. Their services and the products they manage are not available to all investors in all jurisdictions. It is the responsibility of each investment service provider to ensure that
the offering or sale of fund shares or third party investment services to its clients complies with the relevant national law.
Although Natixis Global Associates believes the information provided in this material to be reliable, it does not guarantee the accuracy, adequacy, or completeness of such information.
The provision of this material and/or reference to specific securities, sectors, or markets within this material does not constitute investment advice, or a recommendation or an offer to buy or to sell any security,
or an offer of services. Investors should consider the investment objectives, risks and expenses of any investment carefully before investing. The analyses, opinions, and certain of the investment themes and
processes referenced herein represent the views of the portfolio manager(s) as of the date indicated. These, as well as the portfolio holdings and characteristics shown, are subject to change. There can be no
assurance that developments will transpire as may be forecasted in this material.
This material may not be distributed, published, or reproduced, in whole or in part.
All amounts shown are expressed in USD unless otherwise indicated.
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