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Semiannual Report

June 30, 2023

 

Natixis Loomis Sayles Focused Growth ETF

Natixis Loomis Sayles Short Duration Income ETF

Natixis U.S. Equity Opportunities ETF

Natixis Vaughan Nelson Mid Cap ETF

Natixis Vaughan Nelson Select ETF

 

 

Table of Contents

Portfolio Review     1  
Portfolio of Investments     16  
Financial Statements     28  
Notes to Financial Statements     40  

 

LOGO


NATIXIS LOOMIS SAYLES FOCUSED GROWTH ETF

 

Manager   NYSE Arca: LSGR
Aziz V. Hamzaogullari, CFA®  
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund’s investment objective is long-term growth of capital.

 

 

Total Returns — June 30, 20233

 

     Life of Fund
(Inception
6/29/23)
               
     Expense Ratios4  
     Gross     Net  
NAV1     1.32     3.36     0.59
Market1     1.28                  
   
Comparative Performance        
Russell 1000® Growth Index2     1.48                  

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem or sell their shares.

 

1 

The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 6/29/23 represents the date trading of Fund shares commenced on the secondary market. 6/28/23 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 6/29/23. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

2 

Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.

 

3 

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4 

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

1  |


NATIXIS LOOMIS SAYLES SHORT DURATION INCOME ETF

 

Managers   NYSE Arca: LSST
Daniel Conklin, CFA®  
Christopher T. Harms  
Clifton V. Rowe, CFA®  
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund’s investment objective is current income consistent with preservation of capital.

 

 

Average Annual Total Returns — June 30, 20233

 

                          Life of Fund
(Inception
12/28/17)
               
                       Expense Ratios4  
     6 Months     1 Year     5 Year     Gross     Net  
NAV1     1.53     1.69     1.91     1.72     0.88     0.38
Market1     1.40       1.68       1.90       1.73                  
   
Comparative Performance              
Bloomberg U.S. Government/Credit 1-3 Year Bond Index2     1.13       0.52       1.13       1.05                  

 

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem or sell their shares.

 

1 

The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 12/28/17 represents the date trading of Fund shares commenced on the secondary market. 12/27/17 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 12/28/17. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

2 

Bloomberg U.S. Government/Credit 1-3 Year Bond Index is an unmanaged index which is a component of the U.S. Government/Credit Bond Index, which includes Treasury and agency securities (U.S. Government Bond Index) and publicly issued US corporate and foreign debentures and secured notes (U.S. Credit Bond Index). The bonds in the index are investment grade with a maturity between one and three years.

 

3 

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4 

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  2


NATIXIS U.S. EQUITY OPPORTUNITIES ETF

 

Managers   NYSE Arca: EQOP
Robert F. Bierig  
Michael J. Mangan, CFA®, CPA  
Michael A. Nicolas, CFA®  
William C. Nygren, CFA®  
Harris Associates L.P.  
 
Aziz V. Hamzaogullari, CFA®  
Loomis, Sayles & Company, L.P.  

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

Average Annual Total Returns — June 30, 20234

 

                   Life of Fund
(Inception
9/17/20)
               
                 Expense Ratios5  
     6 Months     1 Year     Gross     Net  
NAV1     23.74     29.75     12.85     2.54     0.85
Market1     23.78       29.74       12.85                  
   
Comparative Performance            
S&P 500® Index2     16.89       19.59       12.01        
Russell 1000® Index3     16.68       19.36       11.33                  

 

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem or sell their shares.

 

1 

The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 9/17/20 represents the date trading of Fund shares commenced on the secondary market. 9/16/20 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 9/17/20. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

2 

S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.

 

3 

Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.

 

4 

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

5 

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

3  |


NATIXIS VAUGHAN NELSON MID CAP ETF

 

Managers   NYSE Arca: VNMC
Dennis G. Alff, CFA®  
Chad D. Fargason, PhD  
Chris D. Wallis, CFA®, CPA  
Vaughan Nelson Investment Management, L.P.  

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20233

 

                   Life of Fund
(Inception
9/17/20)
               
                 Expense Ratios4  
     6 Months     1 Year     Gross     Net  
NAV1     5.45     10.19     11.70     2.76     0.85
Market1     5.48       10.15       11.69                  
   
Comparative Performance            
Russell Midcap® Value Index2     5.23       10.50       12.39                  

 

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem or sell their shares.

 

1 

The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 9/17/20 represents the date trading of Fund shares commenced on the secondary market. 9/16/20 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 9/17/20. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

2 

Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values.

 

3 

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4 

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

|  4


NATIXIS VAUGHAN NELSON SELECT ETF

 

Managers   NYSE Arca: VNSE
Chris D. Wallis, CFA®, CPA  
Scott J. Weber, CFA®  
Vaughan Nelson Investment Management, L.P.  

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20233

 

                   Life of Fund
(Inception
9/17/20)
               
                 Expense Ratios4  
     6 Months     1 Year     Gross     Net  
NAV1     16.14     18.06     15.46     2.57     0.80
Market1     16.18       18.05       15.46                  
   
Comparative Performance            
S&P 500® Index2     16.89       19.59       12.01                  

 

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit im.natixis.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem or sell their shares.

 

1 

The NAV return is based on the NAV of the Fund, and the market return is based on the market price per share of the Fund, which is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated. 9/17/20 represents the date trading of Fund shares commenced on the secondary market. 9/16/20 represents commencement of operations for accounting and financial reporting purposes only. NAV is used as a proxy for the opening market price on 9/17/20. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

2 

S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the US equities market.

 

3 

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

 

4 

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/26. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations.

 

5  |


ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively “Natixis Affiliates”) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

PROXY VOTING INFORMATION

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, by calling 800-458-7452; through the Funds’ website at im.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available from the Natixis Funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at im.natixis.com/funddocuments. A hard copy may be requested from the Fund at no charge by calling 800-225-5478.

CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.

 

|  6


UNDERSTANDING FUND EXPENSES

As a shareholder, you incur two types of costs: (1) transaction costs, which may include creation and redemption fees and brokerage charges, and (2) ongoing costs, including management fees and other fund expenses. These ongoing costs are described in more detail in the Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other funds.

The first line in the table shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2023 through June 30, 2023. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

The second line in the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as brokerage commissions on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

 

NATIXIS LOOMIS SAYLES FOCUSED GROWTH ETF    BEGINNING
ACCOUNT VALUE
1/1/20231
     ENDING
ACCOUNT VALUE
6/30/2023
     EXPENSES PAID
DURING PERIOD
1/1/2023 –  6/30/20231
 
Actual      $1,000.00        $1,013.20        $0.03 1 
Hypothetical (5% return before expenses)      $1,000.00        $1,000.24        $0.03

The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

1 

Fund commenced operations on June 28, 2023. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.59%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (2), divided by 365 (to reflect the partial period).

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.59%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (2), divided by 365 (to reflect the half-year period).

 

NATIXIS LOOMIS SAYLES SHORT DURATION INCOME ETF   

BEGINNING
ACCOUNT VALUE
1/1/2023

    

ENDING
ACCOUNT VALUE
6/30/2023

    

EXPENSES PAID
DURING PERIOD*
1/1/2023 – 6/30/2023

 

Actual

     $1,000.00        $1,015.30        $1.90  

Hypothetical (5% return before expenses)

     $1,000.00        $1,022.91        $1.91  

The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.38%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

NATIXIS U.S. EQUITY OPPORTUNITIES ETF   

BEGINNING
ACCOUNT VALUE
1/1/2023

    

ENDING
ACCOUNT VALUE
6/30/2023

    

EXPENSES PAID
DURING PERIOD*
1/1/2023 – 6/30/2023

 

Actual

     $1,000.00        $1,237.40        $4.72  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.58        $4.26  

The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

7  |


NATIXIS VAUGHAN NELSON MID CAP ETF   

BEGINNING
ACCOUNT VALUE
1/1/2023

    

ENDING
ACCOUNT VALUE
6/30/2023

    

EXPENSES PAID
DURING PERIOD*
1/1/2023 – 6/30/2023

 

Actual

     $1,000.00        $1,054.50        $4.33  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.58        $4.26  

The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

NATIXIS VAUGHAN NELSON SELECT ETF   

BEGINNING
ACCOUNT VALUE
1/1/2023

    

ENDING
ACCOUNT VALUE
6/30/2023

    

EXPENSES PAID
DURING PERIOD*
1/1/2023 – 6/30/2023

 

Actual

     $1,000.00        $1,161.40        $4.29  

Hypothetical (5% return before expenses)

     $1,000.00        $1,020.83        $4.01  

The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

*

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.80%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period).

 

|  8


BOARD APPROVAL OF THE INITIAL ADVISORY AND SUB-ADVISORY AGREEMENTS FOR THE NATIXIS LOOMIS SAYLES FOCUSED GROWTH ETF

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that both the full Board of Trustees of the Trust (the “Board”) and a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust (the “Independent Trustees”), voting separately, initially approve any new investment advisory and sub-advisory agreements for a registered investment company, including a newly formed fund such as the Natixis Loomis Sayles Focused Growth ETF (the “Fund”). The Trustees, including the Independent Trustees, unanimously approved, for an initial two-year term, the proposed investment advisory and sub-advisory agreements (together, the “Agreements”) for the Fund at a meeting held on June 7-8, 2023.

In connection with this review, Fund management and other representatives of the Fund’s adviser, Natixis Advisors, LLC (the “Adviser”), and the Fund’s sub-adviser, Loomis, Sayles & Company, L.P. (the “Subadviser”) provided to the Trustees materials including, among other items, information regarding (i) the Fund’s investment objective, strategies and risks, (ii) the proposed advisory and sub-advisory fees and other expenses to be charged to the Fund, including information comparing the Fund’s expenses to those of peer groups and categories of funds and information on fees charged to other funds advised by the Adviser and Subadviser and the proposed expense cap, (iii) the size, education and experience of the Adviser’s and Subadviser’s respective investment staffs and the investment strategies proposed to be used in managing the Fund, (iv) proposed arrangements for the distribution and trading of the Fund’s shares, (v) information about the Adviser’s and Subadviser’s historical performance, (vi) information about the unique attributes of the Fund as a semi-transparent, actively managed ETF as compared with traditional ETFs and the policies and procedures being implemented in respect of those attributes, and (vi) the general economic outlook with particular emphasis on the asset management industry.

The Trustees also considered the fact that they oversee other funds advised by the Adviser and Subadviser, including the other semi-transparent, actively managed ETFs in the fund complex, as well as information about the Adviser and Subadviser they had received in connection with their oversight of those other funds. Because the Fund is newly formed and had not commenced operations at the time of the Trustees’ review, certain information, including data relating to Fund performance, was not available, and therefore could not be considered by the Trustees. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser and the Subadviser. The Independent Trustees also met separately with independent legal counsel outside the presence of Adviser and Subadviser personnel.

In considering whether to initially approve the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services to be provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services to be provided by the Adviser, the Subadviser and the Adviser’s affiliates to the Fund, which include advisory and non-advisory services directed to the needs and operations of the Fund as a semi-transparent, actively managed ETF. The Trustees also considered the resources to be dedicated to the Fund by the Adviser, the Subadviser and the Adviser’s affiliates. The Trustees considered their experience with other funds advised or sub-advised by the Adviser and the Subadviser, including other semi-transparent, actively managed ETFs in the fund complex, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC (“Natixis Investment Managers”), whose affiliates provide investment advisory services to other funds in the same family of funds. In this regard, the Trustees considered not only the advisory and sub-advisory services proposed to be provided by the Adviser and the Subadviser to the Fund, but also the monitoring and oversight services proposed to be provided by the Adviser. They also considered the administrative and shareholder services proposed to be provided by the Adviser and its affiliates to the Fund. The Trustees also considered the unique services required to operate the Fund’s semi-transparent structure, including the additional systems, processes and portfolio management oversight structures needed to ensure proper creation and disclosure of the proxy portfolio for such funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the scope of the services to be provided to the Fund under the Agreements seemed consistent with the Fund’s operational requirements, and that the Adviser and the Subadviser had the capabilities, resources and personnel necessary to provide the advisory and sub-advisory services that would be required by the Fund. The Trustees determined that the nature, extent and quality of services proposed to be provided under the Agreements supported approval of the Agreements.

Investment performance of the Fund, the Adviser and the Subadviser. Because the Fund had not yet commenced operations, performance information for the Fund was not considered; however, the Board considered the performance of other funds and accounts managed by the Adviser and the Subadviser, including the other semi-transparent, actively managed ETFs in the fund complex.

The Trustees also considered the Adviser’s and the Subadviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser and Subadviser to Trustee concerns about performance and the willingness of the Adviser and Subadviser to take steps intended to improve performance.

 

9  |


After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that these relevant factors supported approval of the Agreements.

The costs of the services to be provided by the Adviser and the profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. Although the Fund had not yet commenced operations at the time of the Trustees’ review of the Agreements, the Trustees reviewed information comparing the proposed advisory and sub-advisory fees and estimated total expenses of the Fund with the fees and expenses of comparable funds identified by the Adviser, including information about how those funds were selected and information about differences in such fees. In evaluating the Fund’s proposed advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management services to be provided to the Fund, including the additional responsibilities of the Adviser and the Subadviser and their affiliates in managing a semi-transparent, actively managed ETF. The Trustees also noted that the Fund would have an expense cap in place. In addition, the Trustees considered information regarding the administrative fees to be paid by the Fund to the Adviser.

Because the Fund had not yet commenced operations, historical profitability information with respect to the Fund was not considered. However, the Trustees noted the information provided in court cases in which adviser profitability was an issue, the estimated expense level of the Fund, and that the Fund would be subject to an expense cap.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the advisory and sub-advisory fees and expenses proposed to be charged to the Fund were fair and reasonable, and that the anticipated costs of these services generally and the anticipated profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the approval of the Agreements.

Economies of scale. The Trustees considered the extent to which the Adviser and the Subadviser may realize economies of scale in the provision of services by the Adviser and the Subadviser, respectively, and whether those economies could be shared with the Fund through breakpoints in its investment advisory and sub-advisory fees or other means, such as an expense cap. The Trustees noted that the Fund will be subject to an expense cap. After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreements, that the extent to which economies of scale might be shared with the Fund supported the approval of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

 

The compliance-related resources the Adviser, the Subadviser and the Adviser’s affiliates would provide to the Fund.

 

 

The nature, quality, cost and extent of administrative and shareholder services to be performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

 

 

So-called “fallout benefits” to the Adviser and its affiliates, such as the engagement of the Adviser to provide administrative services to the Fund, the benefits to Natixis Investment Managers and the Adviser of being able to offer an additional semi-transparent ETF that focuses on the U.S. large growth category in the Natixis family of funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the Agreements should be approved.

 

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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and sub-advisory agreement (collectively, the “Agreements”), at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements at its June Board meeting.

In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers, as applicable (collectively, the “Advisers”), believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ advisory fees and sub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds, including, if applicable, the Fund’s corresponding mutual fund, and information about any applicable expense limitations and/or fee “breakpoints,” (iii) sales, redemption and trading data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers, including how profitability is determined for the Funds, and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution and trading of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay for research and other similar services, (iv) each Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting, liquidity and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the asset management industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. The information received by the Trustees generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, total return information for various periods, and performance rankings provided by a third-party data provider for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and if a Fund is identified as presenting possible performance concerns it may be subject to more frequent Board or Committee presentations and reviews. In addition, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.

The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2023. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds, which include advisory and non-advisory services directed to the needs and operations of each of the Funds as an ETF. The Trustees also considered the resources dedicated to the Funds by the Advisers and their affiliates. The Trustees noted that although the Funds are relatively new, the Advisers had extensive experience managing other types of funds and had made significant investments in the resources necessary for the management of ETFs, such as resources dedicated to the Funds’ creation and redemption processes. The Trustees also considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds. The Trustees considered that certain of the Funds use a semi-transparent structure, and the Trustees considered the unique services required to operate such a structure, including the additional systems, processes and portfolio management oversight structures needed to ensure proper creation and disclosure of the proxy portfolio for such Funds.

The Trustees considered not only the advisory and sub-advisory services provided by the Advisers to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also

 

11  |


considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements, such as recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. The Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third-party rating organization that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.

The Board noted that, through December 31, 2022, each Fund’s one- and three-year net asset value performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider, was as follows (where the best performance would be in the first percentile of its category):

 

      One-Year      Three-Year      Five-Year  
Natixis Loomis Sayles Short Duration Income ETF      8      25      20
Natixis U.S. Equity Opportunities ETF      87      N/A        N/A  
Natixis Vaughan Nelson Select ETF      51      N/A        N/A  
Natixis Vaughan Nelson Mid Cap ETF      42      N/A        N/A  

In the case of each Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for certain (though not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the longer-term performance (i.e., for the ten-year period) for the corresponding mutual fund version of one Fund was strong, suggesting that the Fund’s investment process could result in strong long-term performance; (3) that the historic performance (i.e., for the one-, three-, five- and ten-year periods) for the corresponding mutual fund version of another Fund was strong, suggesting that the Fund’s investment process could result in strong long-term performance; (4) that the Fund is relatively new and therefore has a limited performance history and (5) that the Fund had outperformed its relevant benchmark for the one-year period ended December 31, 2022. The Board also considered information about the Funds’ more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events.

The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.

The costs of the services provided and the profits realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided by an independent third party) of the Funds’ advisory fees and total expense levels to those of its category groups. In evaluating each Fund’s advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of the Funds, including the additional responsibilities of the Advisers in overseeing an ETF, and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees also considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that the Funds have expense limitations in place

 

|  12


and they considered the amounts waived or reimbursed by the Advisers for the Funds under their expense limitation agreements. The Trustees further noted that management had proposed to reduce the expense limitation of Natixis Loomis Sayles Short Duration Income ETF, effective as of July 1, 2023. The Trustees also noted that Natixis Loomis Sayles Short Duration Income ETF had a total advisory fee rate that was equal to the median of its peer group of funds. The Board also considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.

The Trustees noted that each of Natixis U.S. Equity Opportunities ETF, Natixis Vaughan Nelson Mid Cap ETF and Natixis Vaughan Nelson Select ETF (each a “Semi-Transparent ETF” and together, the “Semi-Transparent ETFs”) had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered factors that management believed justified the relatively higher advisory fee rates, including (1) that peer grouping for the Semi-Transparent ETFs was challenging given the lack of competitive products offered under the new semi-transparent structure, and management believes it is more appropriate to use the peer groupings for the corresponding mutual fund versions of the Semi-Transparent ETFs’ strategies; (2) that the advisory fee rate of Natixis U.S. Equity Opportunities ETF had been reduced last year effective July 1, 2022 and the comparison against the peer group did not reflect the full impact of that reduction; (3) that the advisory fee rate for the corresponding mutual fund version of the Natixis Vaughan Nelson Mid Cap ETF, which is the same as the advisory fee rate for the Natixis Vaughan Nelson Mid Cap ETF, was equal to its peer group, which management believes is competitive; (4) that the advisory fee rate for the corresponding mutual fund version of the Natixis Vaughan Nelson Select ETF, which is the same as the advisory fee rate for the Natixis Vaughan Nelson Select ETF, was 4 basis points higher than its peer group, which management believes is competitive; and (5) that management had developed additional systems, processes and portfolio management oversight structures to ensure proper issuance and disclosure of the proxy portfolio for each of the Semi-Transparent ETFs.

The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense limitations with respect to the Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available. The Board also noted the competitive nature of the global asset management industry.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory and sub-advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations, which reduced the total expenses borne by shareholders. With respect to economies of scale, the Trustees noted that Natixis Vaughan Nelson Mid Cap ETF has breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitation for Natixis Loomis Sayles Short Duration Income ETF. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business. They also considered that because of their relatively small size, the Funds did not have significant economies of scale.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

 

 

The effect of various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign central bank policies, and lingering effects of the Covid-19 crisis, as applicable, on the performance, asset levels and expense ratios of each Fund.

 

 

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds.

 

13  |


 

So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, as may be applicable, the ability to offer ETFs in the Natixis family of funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

 

 

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2024.

 

|  14


LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through June 30, 2023)

Effective December 1, 2018 (September 16, 2020 for Natixis U.S. Equity Opportunities ETF, Natixis Vaughan Nelson Mid Cap ETF and Natixis Vaughan Nelson Select ETF, and June 28, 2023 for Natixis Loomis Sayles Focused Growth ETF), the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.

The Rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser or sub-adviser of the Fund.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). None of the Funds has established an HLIM.

During the period from January 1, 2022 to December 31, 2022, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.

During the period January 1, 2023 through June 30, 2023, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any illiquid security violations.    

Annual Program Assessment and Conclusion

In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.

Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Programs, assessed their adequacy and effectiveness and described any material changes made to the Programs.

 

15  |


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Focused Growth ETF

 

Shares      Description    Value (†)  
  Common Stocks — 99.4% of Net Assets   
   Aerospace & Defense — 4.3%

 

  1,078      Boeing Co.(a)    $ 227,630  
     

 

 

 
   Automobiles — 7.5%

 

  1,533      Tesla, Inc.(a)      401,293  
     

 

 

 
   Beverages — 4.2%

 

  3,885      Monster Beverage Corp.(a)      223,154  
     

 

 

 
   Biotechnology — 6.6%

 

  172      Regeneron Pharmaceuticals, Inc.(a)      123,589  
  651      Vertex Pharmaceuticals, Inc.(a)      229,093  
     

 

 

 
        352,682  
     

 

 

 
   Broadline Retail — 8.4%

 

  3,444      Amazon.com, Inc.(a)      448,960  
     

 

 

 
   Capital Markets — 2.4%

 

  323      FactSet Research Systems, Inc.      129,410  
     

 

 

 
   Entertainment — 7.2%

 

  529      Netflix, Inc.(a)      233,019  
  1,659      Walt Disney Co.(a)      148,116  
     

 

 

 
        381,135  
     

 

 

 
   Financial Services — 4.4%

 

  976      Visa, Inc., Class A      231,780  
     

 

 

 
   Health Care Equipment & Supplies — 2.6%

 

  408      Intuitive Surgical, Inc.(a)      139,512  
     

 

 

 
   Hotels, Restaurants & Leisure — 2.4%

 

  1,269      Starbucks Corp.      125,707  
     

 

 

 
   Interactive Media & Services — 15.7%

 

  3,465      Alphabet, Inc., Class A(a)      414,760  
  1,470      Meta Platforms, Inc., Class A(a)      421,861  
     

 

 

 
        836,621  
     

 

 

 
   Life Sciences Tools & Services — 2.3%

 

  640      Illumina, Inc.(a)      119,994  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 9.0%

 

  1,133      NVIDIA Corp.      479,282  
     

 

 

 
   Software — 22.4%

 

  1,011      Autodesk, Inc.(a)      206,861  
  1,260      Microsoft Corp.      429,080  
  1,926      Oracle Corp.      229,367  
  930      Salesforce, Inc.(a)      196,472  
  578      Workday, Inc., Class A(a)      130,565  
     

 

 

 
        1,192,345  
     

 

 

 
   Total Common Stocks
(Identified Cost $5,225,826)
     5,289,505  
     

 

 

 
     
   Total Investments — 99.4%
(Identified Cost $5,225,826)
     5,289,505  
   Other assets less liabilities — 0.6%      29,363  
     

 

 

 
   Net Assets — 100.0%    $   5,318,868  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Non-income producing security.   

Industry Summary at June 30, 2023 (Unaudited)

 

Software

     22.4

Interactive Media & Services

     15.7  

Semiconductors & Semiconductor Equipment

     9.0  

Broadline Retail

     8.4  

Automobiles

     7.5  

Entertainment

     7.2  

Biotechnology

     6.6  

Financial Services

     4.4  

Aerospace & Defense

     4.3  

Beverages

     4.2  

Health Care Equipment & Supplies

     2.6  

Capital Markets

     2.4  

Hotels, Restaurants & Leisure

     2.4  

Life Sciences Tools & Services

     2.3  
  

 

 

 

Total Investments

     99.4  

Other assets less liabilities

     0.6  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  16


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF

 

Principal
Amount
     Description    Value (†)  
  Bonds and Notes — 99.2% of Net Assets   
   ABS Car Loan — 16.6%

 

$ 30,000      Ally Auto Receivables Trust, Series 2022-3, Class A3, 5.070%, 4/15/2027    $ 29,742  
  2,889      American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A      2,856  
  54,501      American Credit Acceptance Receivables Trust, Series 2021-3, Class C, 0.980%, 11/15/2027, 144A      53,512  
  20,000      American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A      20,334  
  37,347      American Credit Acceptance Receivables Trust, Series 2023-2, Class A, 5.890%, 10/13/2026, 144A      37,244  
  20,000      AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027      18,880  
  55,000      AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027      49,658  
  85,000      AmeriCredit Automobile Receivables Trust, Series 2022-1, Class B, 2.770%, 4/19/2027      79,911  
  105,000      AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028      104,074  
  108,345      Avid Automobile Receivables Trust, Series 2023-1, Class A, 6.630%, 7/15/2026, 144A      108,170  
  58,417      Canadian Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025, 144A      56,623  
  105,000      Capital One Prime Auto Receivables Trust, Series 2023-1, Class A3, 4.870%, 2/15/2028      103,737  
  75,000      CarMax Auto Owner Trust, Series 2023-1, Class A3, 4.750%, 10/15/2027      73,932  
  3,757      Carvana Auto Receivables Trust, Series 2020-P1, Class A3, 0.440%, 6/09/2025      3,743  
  19,016      Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028      18,245  
  104,476      Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027, 144A      103,537  
  120,000      Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027, 144A      118,906  
  6,113      CIG Auto Receivables Trust, Series 2021-1A, Class A, 0.690%, 4/14/2025, 144A      6,076  
  4,615      Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025      4,606  
  42,175      Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026      41,682  
  6,004      DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A      5,971  
  24,010      DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A      23,485  
  10,214      DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A      10,160  
  50,000      DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A      46,947  
  50,000      DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028, 144A      50,049  
  40,000      DT Auto Owner Trust, Series 2023-1A, Class B, 5.190%, 10/16/2028, 144A      39,270  
  60,000      DT Auto Owner Trust, Series 2023-2A, Class B, 5.410%, 2/15/2029, 144A      59,213  
  44,330      Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027, 144A      42,686  
  2,164      Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025      2,160  
  50,200      Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026      49,604  
  70,000      Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.860%, 12/15/2026      69,188  
   ABS Car Loan — continued

 

80,000      Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027    79,585  
  25,000      Exeter Automobile Receivables Trust, Series 2022-6A, Class B, 6.030%, 8/16/2027      24,934  
  30,000      Exeter Automobile Receivables Trust, Series 2023-3A, Class B, 6.110%, 9/15/2027      29,966  
  435      First Investors Auto Owner Trust, Series 2021-1A, Class A, 0.450%, 3/16/2026, 144A      434  
  90,000      First Investors Auto Owner Trust, Series 2022-1A, Class C, 3.130%, 5/15/2028, 144A      84,178  
  15,000      Flagship Credit Auto Trust, Series 2020-4, Class C, 1.280%, 2/16/2027, 144A      14,408  
  30,000      Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A      28,992  
  65,000      Flagship Credit Auto Trust, Series 2021-2, Class C, 1.270%, 6/15/2027, 144A      60,593  
  55,000      Flagship Credit Auto Trust, Series 2023-1, Class A3, 5.010%, 8/16/2027, 144A      54,103  
  160,000      Flagship Credit Auto Trust, Series 2023-2, Class C, 5.810%, 5/15/2029, 144A      157,173  
  75,000      Ford Credit Auto Lease Trust, Series 2023-A, Class A3, 4.940%, 3/15/2026      74,224  
  85,000      Ford Credit Auto Owner Trust, Series 2023-B, Class A3, 5.230%, 5/15/2028      84,647  
  26,488      Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025      25,827  
  55,683      Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026, 144A      54,901  
  120,000      GLS Auto Receivables Issuer Trust, Series 2023-1A, Class B, 6.190%, 6/15/2027, 144A      119,754  
  9,331      GM Financial Automobile Leasing Trust, Series 2021-2, Class A3, 0.340%, 5/20/2024      9,305  
  8,630      GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025      8,414  
  1,443      GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A2, 0.280%, 11/18/2024      1,440  
  45,000      GM Financial Consumer Automobile Receivables Trust, Series 2023-1, Class A3, 4.660%, 2/16/2028      44,411  
  13,624      Harley-Davidson Motorcycle Trust, Series 2021-A, Class A3, 0.370%, 4/15/2026      13,296  
  5,629      Harley-Davidson Motorcycle Trust, Series 2022-A, Class A2A, 2.450%, 5/15/2025      5,605  
  160,000      Harley-Davidson Motorcycle Trust, Series 2023-A, Class A3, 5.050%, 12/15/2027      158,698  
  11,561      Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024      11,503  
  12,130      Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025      11,842  
  40,323      Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A3, 0.400%, 11/15/2024      39,702  
  85,000      Nissan Auto Lease Trust, Series 2023-B, Class A3, 5.690%, 7/15/2026      85,100  
  70,000      Nissan Auto Lease Trust, Series 2023-A, Class A3, 4.910%, 1/15/2026      69,232  
  130,000      OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029, 144A      128,549  
  20,149      Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A      19,987  
  120,000      Prestige Auto Receivables Trust, Series 2023-1A, Class C, 5.650%, 2/15/2028, 144A      117,675  
  15,011      Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A      14,934  
  5,867      Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026      5,844  

 

See accompanying notes to financial statements.

 

17  |


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   ABS Car Loan — continued

 

$ 25,000      Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.090%, 5/15/2030    $ 24,346  
  10,818      Santander Retail Auto Lease Trust, Series 2022-A, Class A2, 0.970%, 3/20/2025, 144A      10,711  
  140,000      SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A3, 5.470%, 10/20/2028, 144A      139,721  
  86,788      Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026      83,533  
  79,522      Toyota Lease Owner Trust, Series 2021-B, Class A3, 0.420%, 10/21/2024, 144A      78,630  
  105,000      Toyota Lease Owner Trust, Series 2023-A, Class A3, 4.930%, 4/20/2026, 144A      103,777  
  21,350      United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A      21,290  
  55,000      United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027, 144A      54,456  
  2,321      Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A      2,318  
  852      Westlake Automobile Receivables Trust, Series 2021-2A, Class A2A, 0.320%, 4/15/2025, 144A      850  
  45,000      Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A      44,395  
  115,000      Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A      108,758  
  30,000      Westlake Automobile Receivables Trust, Series 2023-1A, Class C, 5.740%, 8/15/2028, 144A      29,604  
  47,691      World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026      45,886  
  95,510      World Omni Auto Receivables Trust, Series 2022-D, Class A2A, 5.510%, 3/16/2026      95,419  
  140,000      World Omni Auto Receivables Trust, Series 2023-A, Class A3, 4.830%, 5/15/2028      138,589  
  40,000      World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027      37,037  
     

 

 

 
        4,092,777  
     

 

 

 
   ABS Credit Card — 1.8%

 

  170,000      Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026      161,183  
  125,000      Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A      118,016  
  175,000      World Financial Network Credit Card Master Trust, Series 2023-A, Class A, 5.020%, 3/15/2030      173,531  
     

 

 

 
        452,730  
     

 

 

 
   ABS Other — 3.7%

 

  102,452      Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650%, 5/15/2035, 144A      101,632  
  65,187      Daimler Trucks Retail Trust, Series 2022-1, Class A2, 5.070%, 9/16/2024      64,963  
  100,000      FREED ABS Trust, Series 2022-4FP, Class B, 7.580%, 12/18/2029, 144A      100,597  
  180,000      HPEFS Equipment Trust, Series 2023-1A, Class A3, 5.410%, 2/22/2028, 144A      179,252  
  101,421      Marlette Funding Trust, Series 2023-2A, Class A, 6.040%, 6/15/2033, 144A      101,077  
  18,155      OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A      18,084  
  110,000      SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A      104,438  
  60,000      Verizon Master Trust, Series 2022-5, Class A1A, 3.720%, 7/20/2027      58,992  
  175,000      Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038, 144A      174,120  
     

 

 

 
        903,155  
     

 

 

 
   ABS Student Loan — 0.4%

 

120,043      Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A    101,539  
     

 

 

 
   Aerospace & Defense — 0.3%

 

  20,000      Boeing Co., 4.875%, 5/01/2025      19,716  
  20,000      Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025      19,230  
  2,000      Raytheon Technologies Corp., 3.650%, 8/16/2023      1,995  
  45,000      Raytheon Technologies Corp., 5.000%, 2/27/2026      44,941  
     

 

 

 
        85,882  
     

 

 

 
   Agency Commercial Mortgage-Backed Securities — 0.1%

 

  13,874      Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 1 mo. USD LIBOR + 0.360%, 5.553%, 6/25/2027(a)      13,784  
  10,090      Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day SOFR Average + 0.400%, 5.441%, 6/25/2027(a)      10,007  
     

 

 

 
        23,791  
     

 

 

 
   Airlines — 0.3%

 

  55,000      Southwest Airlines Co., 5.250%, 5/04/2025      54,413  
  15,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      14,252  
     

 

 

 
        68,665  
     

 

 

 
   Automotive — 2.3%

 

  70,000      American Honda Finance Corp., 4.600%, 4/17/2030      68,357  
  40,000      American Honda Finance Corp., MTN, 0.650%, 9/08/2023      39,638  
  145,000      General Motors Financial Co., Inc., 6.050%, 10/10/2025      145,254  
  25,000      Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A      23,611  
  65,000      Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028, 144A      65,020  
  110,000      Hyundai Capital America, 5.680%, 6/26/2028, 144A      109,119  
  120,000      Toyota Motor Credit Corp., 4.550%, 5/17/2030      117,064  
     

 

 

 
        568,063  
     

 

 

 
   Banking — 9.6%

 

  80,000      Ally Financial, Inc., 7.100%, 11/15/2027      80,687  
  110,000      Bank of America Corp., MTN, (fixed rate to 4/02/2025, variable rate thereafter), 3.384%, 4/02/2026      105,436  
  85,000      Bank of Montreal, 5.300%, 6/05/2026      84,802  
  35,000      Bank of Montreal, SOFR Index + 0.350%, 5.440%, 12/08/2023(a)      34,986  
  65,000      Bank of New York Mellon Corp., (fixed rate to 4/26/2026, variable rate thereafter), 4.947%, 4/26/2027      64,198  
  85,000      Bank of Nova Scotia, 0.700%, 4/15/2024      81,720  
  55,000      Bank of Nova Scotia, 5.250%, 6/12/2028      54,626  
  40,000      Canadian Imperial Bank of Commerce, 3.945%, 8/04/2025      38,676  
  70,000      Canadian Imperial Bank of Commerce, 5.001%, 4/28/2028      68,893  
  65,000      Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024      63,303  
  10,000      Capital One Financial Corp., (fixed rate to 2/01/2028, variable rate thereafter), 5.468%, 2/01/2029      9,580  
  60,000      Capital One Financial Corp., (fixed rate to 6/08/2028, variable rate thereafter), 6.312%, 6/08/2029      59,596  
  55,000      Citigroup, Inc., (fixed rate to 5/25/2033, variable rate thereafter), 6.174%, 5/25/2034      55,479  
  35,000      Comerica, Inc., 3.700%, 7/31/2023      34,875  
  205,000      HSBC Holdings PLC, (fixed rate to 11/22/2026, variable rate thereafter), 2.251%, 11/22/2027      181,899  

 

See accompanying notes to financial statements.

 

|  18


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   Banking — continued

 

$ 265,000      JPMorgan Chase & Co., (fixed rate to 12/15/2024, variable rate thereafter), 5.546%, 12/15/2025    $ 263,880  
  200,000      Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026      190,361  
  70,000      Macquarie Group Ltd., (fixed rate to 10/14/2024, variable rate thereafter), 1.201%, 10/14/2025, 144A      65,636  
  65,000      Macquarie Group Ltd., (fixed rate to 6/15/2033, variable rate thereafter), 5.887%, 6/15/2034, 144A      63,860  
  120,000      Morgan Stanley, MTN, SOFR + 0.455%, 5.519%, 1/25/2024(a)      119,874  
  110,000      PNC Financial Services Group, Inc., (fixed rate to 6/12/2028, variable rate thereafter), 5.582%, 6/12/2029      109,482  
  20,000      Royal Bank of Canada, GMTN, 0.750%, 10/07/2024      18,774  
  25,000      Royal Bank of Canada, GMTN, 5.000%, 5/02/2033      24,396  
  60,000      Royal Bank of Canada, GMTN, SOFR Index + 0.300%, 5.340%, 1/19/2024(a)      59,929  
  40,000      Santander Holdings USA, Inc., 3.450%, 6/02/2025      37,719  
  55,000      Santander Holdings USA, Inc., (fixed rate to 6/12/2028, variable rate thereafter), 6.565%, 6/12/2029      53,932  
  75,000      Synchrony Financial, 4.875%, 6/13/2025      71,265  
  25,000      Truist Financial Corp., MTN, (fixed rate to 6/08/2033, variable rate thereafter), 5.867%, 6/08/2034      25,010  
  155,000      Wells Fargo & Co., MTN, (fixed rate to 4/25/2025, variable rate thereafter), 3.908%, 4/25/2026      149,851  
  60,000      Wells Fargo & Co., MTN, (fixed rate to 8/15/2025, variable rate thereafter), 4.540%, 8/15/2026      58,656  
  50,000      Westpac Banking Corp., (fixed rate to 8/10/2032, variable rate thereafter), 5.405%, 8/10/2033      47,371  
     

 

 

 
        2,378,752  
     

 

 

 
   Brokerage — 0.3%

 

  45,000      BlackRock, Inc., 4.750%, 5/25/2033      44,218  
  25,000      Nasdaq, Inc., 5.350%, 6/28/2028      25,036  
     

 

 

 
        69,254  
     

 

 

 
   Building Materials — 0.2%

 

  45,000      Fortune Brands Innovations, Inc., 5.875%, 6/01/2033      45,059  
     

 

 

 
   Cable Satellite — 0.2%

 

  60,000      Cox Communications, Inc., 5.450%, 9/15/2028, 144A      59,946  
     

 

 

 
   Chemicals — 0.9%

 

  80,000      Celanese U.S. Holdings LLC, 6.165%, 7/15/2027      79,586  
  65,000      EIDP, Inc., 4.500%, 5/15/2026      63,816  
  75,000      Nutrien Ltd., 5.900%, 11/07/2024      75,022  
     

 

 

 
        218,424  
     

 

 

 
   Collateralized Mortgage Obligations — 0.8%

 

  926      Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(b)      841  
  391      Government National Mortgage Association, Series 2012-H28, Class FA, 1 mo. USD LIBOR + 0.580%, 4.973%, 9/20/2062(a)(b)      374  
  523      Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(b)      471  
  2,845      Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(b)      2,685  
  6,798      Government National Mortgage Association, Series 2016-H13, Class FT, 1 mo. USD LIBOR + 0.580%, 5.674%, 5/20/2066(a)(b)      6,708  
  365      Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD LIBOR + 0.200%, 4.460%, 10/20/2064(a)(b)      353  
  16,878      Government National Mortgage Association, Series 2019-H01, Class FJ, 1 mo. USD LIBOR + 0.300%, 4.534%, 9/20/2068(a)(b)      16,586  
   Collateralized Mortgage Obligations — continued

 

17,047      Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD LIBOR + 0.400%, 5.494%, 10/20/2068(a)    16,975  
  26,209      Government National Mortgage Association, Series 2019-H05, Class FT, 1 yr. CMT + 0.430%, 5.150%, 4/20/2069(a)      26,201  
  42,909      Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.170%, 8/20/2069(a)      42,858  
  85,085      Government National Mortgage Association, Series 2020-HO1, Class FT, 1 yr. CMT + 0.500%, 5.220%, 1/20/2070(a)      84,719  
     

 

 

 
        198,771  
     

 

 

 
   Construction Machinery — 1.4%

 

  105,000      Caterpillar Financial Services Corp., DMTN, 4.350%, 5/15/2026      103,365  
  80,000      CNH Industrial Capital LLC, 1.950%, 7/02/2023      80,000  
  35,000      CNH Industrial Capital LLC, 5.450%, 10/14/2025      34,758  
  130,000      John Deere Capital Corp., MTN, 4.950%, 6/06/2025      129,749  
     

 

 

 
        347,872  
     

 

 

 
   Consumer Cyclical Services — 0.5%

 

  65,000      CBRE Services, Inc., 5.950%, 8/15/2034      64,182  
  66,000      Expedia Group, Inc., 6.250%, 5/01/2025, 144A      66,215  
     

 

 

 
        130,397  
     

 

 

 
   Consumer Products — 0.2%

 

  45,000      Whirlpool Corp., 5.500%, 3/01/2033      44,905  
     

 

 

 
   Electric — 6.0%

 

  45,000      AES Corp., 3.300%, 7/15/2025, 144A      42,495  
  55,000      AES Corp., 5.450%, 6/01/2028      54,007  
  35,000      Ameren Illinois Co., 4.950%, 6/01/2033      34,722  
  60,000      American Electric Power Co., Inc., 5.699%, 8/15/2025      59,594  
  65,000      American Electric Power Co., Inc., Series A, 3 mo. USD LIBOR + 0.480%, 5.779%, 11/01/2023(a)      64,954  
  50,000      Arizona Public Service Co., 5.550%, 8/01/2033      50,036  
  85,000      Consolidated Edison, Inc., Series A, 0.650%, 12/01/2023      83,276  
  30,000      Dominion Energy, Inc., 3.071%, 8/15/2024      28,974  
  65,000      Dominion Energy, Inc., Series D, 3 mo. USD LIBOR + 0.530%, 6.082%, 9/15/2023(a)      64,998  
  90,000      DTE Energy Co., 4.220%, 11/01/2024      87,985  
  75,000      Edison International, 4.700%, 8/15/2025      73,262  
  120,000      Entergy Louisiana LLC, 0.950%, 10/01/2024      113,116  
  105,000      ITC Holdings Corp., 4.950%, 9/22/2027, 144A      103,359  
  45,000      NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025      45,169  
  65,000      Pacific Gas & Electric Co., 3.250%, 2/16/2024      63,799  
  70,000      Pacific Gas & Electric Co., 6.100%, 1/15/2029      68,874  
  25,000      Pennsylvania Electric Co., 5.150%, 3/30/2026, 144A      24,620  
  30,000      Southern California Edison Co., 4.900%, 6/01/2026      29,574  
  85,000      Southern Co., Series 21-A, 0.600%, 2/26/2024      82,160  
  85,000      Vistra Operations Co. LLC, 5.125%, 5/13/2025, 144A      82,844  
  65,000      WEC Energy Group, Inc., 0.800%, 3/15/2024      62,729  
  80,000      WEC Energy Group, Inc., 4.750%, 1/09/2026      78,790  
  90,000      Xcel Energy, Inc., 0.500%, 10/15/2023      88,665  
     

 

 

 
        1,488,002  
     

 

 

 
   Finance Companies — 4.2%

 

  80,000      Air Lease Corp., 0.800%, 8/18/2024      75,353  
  40,000      Air Lease Corp., MTN, 0.700%, 2/15/2024      38,743  
  40,000      Aircastle Ltd., 2.850%, 1/26/2028, 144A      34,016  
  30,000      Ares Capital Corp., 2.875%, 6/15/2028      24,809  
  30,000      Ares Capital Corp., 3.250%, 7/15/2025      27,748  

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   Finance Companies — continued

 

$ 35,000      Avolon Holdings Funding Ltd., 5.500%, 1/15/2026, 144A    $ 33,912  
  60,000      Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026      51,449  
  20,000      Barings BDC, Inc., 3.300%, 11/23/2026      17,423  
  125,000      Blackstone Private Credit Fund, 2.625%, 12/15/2026      106,350  
  55,000      Blackstone Secured Lending Fund, 2.850%, 9/30/2028      45,071  
  45,000      FS KKR Capital Corp., 3.250%, 7/15/2027      38,586  
  15,000      FS KKR Capital Corp., 4.250%, 2/14/2025, 144A      14,124  
  80,000      Golub Capital BDC, Inc., 2.500%, 8/24/2026      69,184  
  60,000      Hercules Capital, Inc., 3.375%, 1/20/2027      51,976  
  65,000      Main Street Capital Corp., 3.000%, 7/14/2026      57,165  
  40,000      Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027      37,610  
  45,000      Navient Corp., 9.375%, 7/25/2030      44,759  
  90,000      OneMain Finance Corp., 9.000%, 1/15/2029      90,760  
  30,000      Owl Rock Capital Corp., 3.750%, 7/22/2025      27,799  
  5,000      Owl Rock Core Income Corp., 5.500%, 3/21/2025      4,811  
  10,000      Owl Rock Core Income Corp., 7.750%, 9/16/2027, 144A      9,949  
  75,000      Owl Rock Core Income Corp., 7.950%, 6/13/2028, 144A      75,147  
  65,000      Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A      58,863  
     

 

 

 
        1,035,607  
     

 

 

 
   Food & Beverage — 0.7%

 

  20,000      Cargill, Inc., 4.500%, 6/24/2026, 144A      19,725  
  90,000      JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.125%, 2/01/2028, 144A      86,424  
  60,000      Keurig Dr Pepper, Inc., 0.750%, 3/15/2024      57,902  
     

 

 

 
        164,051  
     

 

 

 
   Gaming — 0.3%

 

  65,000      GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025      63,603  
     

 

 

 
   Government Owned – No Guarantee — 0.8%

 

  200,000      NBN Co. Ltd., 0.875%, 10/08/2024, 144A      187,577  
     

 

 

 
   Health Care REITs — 0.3%

 

  65,000      Healthpeak OP LLC, 5.250%, 12/15/2032      63,254  
     

 

 

 
   Health Insurance — 0.7%

 

  75,000      Humana, Inc., 0.650%, 8/03/2023      74,719  
  95,000      UnitedHealth Group, Inc., 5.150%, 10/15/2025      95,263  
     

 

 

 
        169,982  
     

 

 

 
   Healthcare — 0.6%

 

  55,000      Cigna Group, 3.750%, 7/15/2023      54,950  
  105,000      CVS Health Corp., 5.000%, 1/30/2029      103,988  
     

 

 

 
        158,938  
     

 

 

 
   Home Construction — 0.1%

 

  20,000      Forestar Group, Inc., 3.850%, 5/15/2026, 144A      18,377  
     

 

 

 
   Independent Energy — 0.7%

 

  31,000      EQT Corp., 6.125%, 2/01/2025      30,826  
  80,000      Ovintiv, Inc., 5.650%, 5/15/2028      78,413  
  65,000      Pioneer Natural Resources Co., 5.100%, 3/29/2026      64,610  
     

 

 

 
        173,849  
     

 

 

 
   Integrated Energy — 0.1%

 

  30,000      BP Capital Markets America, Inc., 4.893%, 9/11/2033      29,690  
     

 

 

 
   Life Insurance — 4.8%

 

  50,000      Athene Global Funding, 2.500%, 3/24/2028, 144A      42,239  
  20,000      Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A      19,543  
   Life Insurance — continued

 

120,000      Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A    111,919  
  95,000      Corebridge Global Funding, 5.750%, 7/02/2026, 144A      94,709  
  65,000      Equitable Financial Life Global Funding, 5.500%, 12/02/2025, 144A      64,157  
  120,000      F&G Global Funding, 5.150%, 7/07/2025, 144A      116,006  
  40,000      Guardian Life Global Funding, 1.100%, 6/23/2025, 144A      36,379  
  20,000      Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A      18,997  
  180,000      Jackson National Life Global Funding, 5.500%, 1/09/2026, 144A      175,816  
  70,000      New York Life Global Funding, 4.700%, 4/02/2026, 144A      68,888  
  85,000      Northwestern Mutual Global Funding, 0.600%, 3/25/2024, 144A      81,829  
  105,000      Principal Life Global Funding II, 0.500%, 1/08/2024, 144A      102,145  
  130,000      Reliance Standard Life Global Funding II, 5.243%, 2/02/2026, 144A      127,377  
  60,000      RGA Global Funding, 2.700%, 1/18/2029, 144A      51,686  
  70,000      Security Benefit Global Funding, 1.250%, 5/17/2024, 144A      66,359  
     

 

 

 
        1,178,049  
     

 

 

 
   Lodging — 0.6%

 

  65,000      Hyatt Hotels Corp., 1.300%, 10/01/2023      64,404  
  30,000      Hyatt Hotels Corp., 5.375%, 4/23/2025      29,682  
  65,000      Hyatt Hotels Corp., 5.750%, 1/30/2027      64,833  
     

 

 

 
        158,919  
     

 

 

 
   Media Entertainment — 0.6%

 

  5,000      Take-Two Interactive Software, Inc., 3.300%, 3/28/2024      4,902  
  90,000      Take-Two Interactive Software, Inc., 4.950%, 3/28/2028      88,934  
  70,000      Warnermedia Holdings, Inc., 3.755%, 3/15/2027      65,294  
     

 

 

 
        159,130  
     

 

 

 
   Metals & Mining — 0.9%

 

  75,000      BHP Billiton Finance USA Ltd., 4.875%, 2/27/2026      74,617  
  65,000      Glencore Funding LLC, 4.125%, 3/12/2024, 144A      64,215  
  35,000      Northern Star Resources Ltd., 6.125%, 4/11/2033, 144A      33,974  
  45,000      Nucor Corp., 3.950%, 5/23/2025      43,631  
     

 

 

 
        216,437  
     

 

 

 
   Midstream — 1.3%

 

  60,000      Enbridge, Inc., 5.700%, 3/08/2033      60,824  
  55,000      Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A      50,497  
  125,000      TransCanada PipeLines Ltd., SOFR Index + 1.520%, 6.610%, 3/09/2026(a)      125,153  
  75,000      Williams Cos., Inc., 5.400%, 3/02/2026      74,804  
     

 

 

 
        311,278  
     

 

 

 
   Natural Gas — 0.9%

 

  85,000      CenterPoint Energy Resources Corp., 5.250%, 3/01/2028      84,966  
  40,000      Sempra Energy, 3.700%, 4/01/2029      36,534  
  65,000      Sempra Energy, 5.400%, 8/01/2026      64,682  
  50,000      Southern California Gas Co., 5.200%, 6/01/2033      49,336  
     

 

 

 
        235,518  
     

 

 

 
   Non-Agency Commercial Mortgage-Backed Securities —1.8%

 

  75,000      Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.812%, 5/15/2055(c)      75,300  

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — continued

 

$ 95,000      BPR Trust, Series 2022-SSP, Class A, 1 mo. SOFR + 3.000%, 8.147%, 5/15/2039, 144A(a)    $ 94,941  
  100,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A      86,200  
  100,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.284%, 8/15/2046(c)      99,642  
  115,381      MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A      89,997  
     

 

 

 
        446,080  
     

 

 

 
   Office REITs — 0.3%

 

  65,000      Hudson Pacific Properties LP, 5.950%, 2/15/2028      51,675  
  30,000      Office Properties Income Trust, 3.450%, 10/15/2031      15,758  
     

 

 

 
        67,433  
     

 

 

 
   Other REITs — 1.0%

 

  110,000      Prologis LP, 4.875%, 6/15/2028      109,003  
  55,000      RHP Hotel Properties LP/RHP Finance Corp., 7.250%, 7/15/2028, 144A      55,563  
  95,000      Starwood Property Trust, Inc., 3.750%, 12/31/2024, 144A      89,063  
     

 

 

 
        253,629  
     

 

 

 
   Packaging — 0.5%

 

  40,000      Amcor Flexibles North America, Inc., 4.000%, 5/17/2025      38,643  
  100,000      Sonoco Products Co., 1.800%, 2/01/2025      93,348  
     

 

 

 
        131,991  
     

 

 

 
   Paper — 0.3%

 

  75,000      Weyerhaeuser Co., 4.750%, 5/15/2026      73,670  
     

 

 

 
   Pharmaceuticals — 0.8%

 

  95,000      AstraZeneca PLC, 3.500%, 8/17/2023      94,766  
  105,000      Pfizer Investment Enterprises Pte. Ltd., 4.450%, 5/19/2028      103,204  
     

 

 

 
        197,970  
     

 

 

 
   Property & Casualty Insurance — 0.1%

 

  7,000      Assurant, Inc., 4.200%, 9/27/2023      6,952  
  35,000      Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A      30,333  
     

 

 

 
        37,285  
     

 

 

 
   Railroads — 0.4%

 

  100,000      Canadian Pacific Railway Co., 1.350%, 12/02/2024      93,957  
     

 

 

 
   Retail REITs — 0.2%

 

  40,000      Federal Realty OP LP, 3.950%, 1/15/2024      39,544  
     

 

 

 
   Retailers — 0.9%

 

  55,000      Advance Auto Parts, Inc., 5.900%, 3/09/2026      54,395  
  85,000      Lowe’s Cos., Inc., 4.400%, 9/08/2025      83,303  
  80,000      Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023      78,789  
     

 

 

 
        216,487  
     

 

 

 
   Technology — 3.6%

 

  50,000      Avnet, Inc., 6.250%, 3/15/2028      50,477  
  60,000      Broadcom, Inc., 4.000%, 4/15/2029, 144A      55,416  
  80,000      Dell International LLC/EMC Corp., 5.850%, 7/15/2025      80,292  
  90,000      Equifax, Inc., 5.100%, 6/01/2028      88,648  
  70,000      Fidelity National Information Services, Inc., 4.500%, 7/15/2025      68,430  
  45,000      Flex Ltd., 6.000%, 1/15/2028      45,701  
  60,000      Global Payments, Inc., 1.500%, 11/15/2024      56,383  
  55,000      Hewlett Packard Enterprise Co., 5.250%, 7/01/2028      54,471  
   Technology — continued

 

80,000      Infor, Inc., 1.450%, 7/15/2023, 144A    79,863  
  75,000      Microchip Technology, Inc., 2.670%, 9/01/2023      74,691  
  85,000      Micron Technology, Inc., 5.375%, 4/15/2028      84,180  
  35,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027      32,136  
  25,000      Qorvo, Inc., 1.750%, 12/15/2024, 144A      23,246  
  105,000      VMware, Inc., 0.600%, 8/15/2023      104,369  
     

 

 

 
        898,303  
     

 

 

 
   Tobacco — 0.5%

 

  135,000      BAT International Finance PLC, 4.448%, 3/16/2028      127,428  
     

 

 

 
   Transportation Services — 1.5%

 

  50,000      Element Fleet Management Corp., 3.850%, 6/15/2025, 144A      47,277  
  85,000      Element Fleet Management Corp., 6.271%, 6/26/2026, 144A      84,702  
  30,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A      29,961  
  55,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 5.550%, 5/01/2028, 144A      54,152  
  10,000      Ryder System, Inc., MTN, 5.250%, 6/01/2028      9,874  
  35,000      Ryder System, Inc., MTN, 5.650%, 3/01/2028      35,015  
  100,000      Triton Container International Ltd., 0.800%, 8/01/2023, 144A      99,555  
     

 

 

 
        360,536  
     

 

 

 
   Treasuries — 23.2%

 

  2,205,000      U.S. Treasury Notes, 2.500%, 5/31/2024      2,147,549  
  300,000      U.S. Treasury Notes, 3.000%, 6/30/2024      292,922  
  175,000      U.S. Treasury Notes, 3.250%, 8/31/2024      170,796  
  505,000      U.S. Treasury Notes, 3.500%, 4/30/2028      490,718  
  425,000      U.S. Treasury Notes, 3.625%, 5/31/2028      415,703  
  1,760,000      U.S. Treasury Notes, 3.875%, 4/30/2025      1,725,762  
  490,000      U.S. Treasury Notes, 4.625%, 6/30/2025      487,761  
     

 

 

 
        5,731,211  
     

 

 

 
   Wirelines — 0.9%

 

  40,000      AT&T, Inc., 5.400%, 2/15/2034      40,069  
  55,000      Bell Telephone Co. of Canada/Bell Canada, 5.100%, 5/11/2033      54,325  
  85,000      Bell Telephone Co. of Canada/Bell Canada, Series US-3, 0.750%, 3/17/2024      82,115  
  50,000      Verizon Communications, Inc., 3.000%, 3/22/2027      46,656  
     

 

 

 
        223,165  
     

 

 

 
   Total Bonds and Notes
(Identified Cost $25,155,492)
     24,500,932  
     

 

 

 
     
  Short-Term Investments — 1.4%  
  333,259      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $333,323 on 7/03/2023 collateralized by $361,000 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $339,933 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $333,259)
     333,259  
     

 

 

 
     
   Total Investments — 100.6%
(Identified Cost $25,488,751)
     24,834,191  
   Other assets less liabilities — (0.6)%      (146,270
     

 

 

 
   Net Assets — 100.0%    $ 24,687,921  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.

 

  (a)      Variable rate security. Rate as of June 30, 2023 is disclosed.

 

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

  (b)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
  (c)      Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2023 is disclosed.
  
  144A      All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, the value of Rule 144A holdings amounted to $6,740,080 or 27.3% of net assets.
  ABS      Asset-Backed Securities
  CMT      Constant Maturity Treasury
  GMTN      Global Medium Term Note
  LIBOR      London Interbank Offered Rate
  MTN      Medium Term Note
  REITs      Real Estate Investment Trusts
  SOFR      Secured Overnight Financing Rate

At June 30, 2023, open long futures contracts were as follows:

 

Financial Futures   Expiration
Date
    Contracts     Notional
Amount
    Value     Unrealized
Appreciation
(Depreciation)
 

CBOT 2 Year U.S. Treasury Notes Futures

    9/29/2023       26     $ 5,347,819     $ 5,286,938     $ (60,881
         

 

 

 

At June 30, 2023, open short futures contracts were as follows:

 

Financial Futures   Expiration
Date
    Contracts     Notional
Amount
    Value     Unrealized
Appreciation
(Depreciation)
 

CBOT 10 Year U.S. Treasury Notes Futures

    9/20/2023       26     $ 2,950,255     $ 2,918,906     $ 31,349  
         

 

 

 

Industry Summary at June 30, 2023 (Unaudited)

 

Treasuries

     23.2

ABS Car Loan

     16.6  

Banking

     9.6  

Electric

     6.0  

Life Insurance

     4.8  

Finance Companies

     4.2  

ABS Other

     3.7  

Technology

     3.6  

Automotive

     2.3  

Other Investments, less than 2% each

     25.2  

Short-Term Investments

     1.4  
  

 

 

 

Total Investments

     100.6  

Other assets less liabilities (including futures contracts)

     (0.6
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis U.S. Equity Opportunities ETF

 

Shares          
Description
   Value (†)  
  Common Stocks — 96.9% of Net Assets   
   Aerospace & Defense — 2.0%

 

  964      Boeing Co.(a)    $ 203,558  
     

 

 

 
   Air Freight & Logistics — 0.6%

 

  494      Expeditors International of Washington, Inc.      59,838  
     

 

 

 
   Automobile Components — 0.4%

 

  1,059      Mobileye Global, Inc., Class A(a)      40,687  
     

 

 

 
   Automobiles — 4.0%

 

  5,071      General Motors Co.      195,538  
  769      Tesla, Inc.(a)      201,301  
     

 

 

 
        396,839  
     

 

 

 
   Banks — 4.0%

 

  3,500      Citigroup, Inc.      161,140  
  5,697      Wells Fargo & Co.      243,148  
     

 

 

 
        404,288  
     

 

 

 
   Beverages — 2.3%

 

  136      Boston Beer Co., Inc., Class A(a)      41,948  
  3,192      Monster Beverage Corp.(a)      183,348  
     

 

 

 
        225,296  
     

 

 

 
   Biotechnology — 2.4%

 

  563      Alnylam Pharmaceuticals, Inc.(a)      106,936  
  641      CRISPR Therapeutics AG(a)      35,986  
  131      Regeneron Pharmaceuticals, Inc.(a)      94,129  
     

 

 

 
        237,051  
     

 

 

 
   Broadline Retail — 4.6%

 

  512      Alibaba Group Holding Ltd., ADR(a)      42,675  
  3,227      Amazon.com, Inc.(a)      420,672  
     

 

 

 
        463,347  
     

 

 

 
   Building Products — 1.6%

 

  2,721      Masco Corp.      156,131  
     

 

 

 
   Capital Markets — 11.2%

 

  3,156      Charles Schwab Corp.      178,882  
  156      FactSet Research Systems, Inc.      62,501  
  447      Goldman Sachs Group, Inc.      144,175  
  1,830      Intercontinental Exchange, Inc.      206,936  
  4,455      KKR & Co., Inc.      249,480  
  129      MSCI, Inc.      60,539  
  974      SEI Investments Co.      58,070  
  2,197      State Street Corp.      160,777  
     

 

 

 
        1,121,360  
     

 

 

 
   Consumer Finance — 4.7%

 

  6,995      Ally Financial, Inc.      188,935  
  2,599      Capital One Financial Corp.      284,253  
     

 

 

 
        473,188  
     

 

 

 
   Consumer Staples Distribution & Retail — 1.1%

 

  2,411      Kroger Co.      113,317  
     

 

 

 
   Entertainment — 4.2%

 

  450      Netflix, Inc.(a)      198,220  
  1,005      Walt Disney Co.(a)      89,726  
  10,940      Warner Bros. Discovery, Inc.(a)      137,188  
     

 

 

 
        425,134  
     

 

 

 
   Financial Services — 4.6%

 

  762      Block, Inc.(a)      50,727  
  1,462      Fiserv, Inc.(a)      184,431  
  703      PayPal Holdings, Inc.(a)      46,911  
  763      Visa, Inc., Class A      181,197  
     

 

 

 
        463,266  
     

 

 

 
   Health Care Equipment & Supplies — 0.5%

 

  147      Intuitive Surgical, Inc.(a)      50,265  
     

 

 

 
   Health Care Providers & Services — 1.0%

 

  338      HCA Healthcare, Inc.    $ 102,576  
     

 

 

 
   Health Care Technology — 1.5%

 

  2,380      Doximity, Inc., Class A(a)      80,968  
  362      Veeva Systems, Inc., Class A(a)      71,578  
     

 

 

 
        152,546  
     

 

 

 
   Hotels, Restaurants & Leisure — 1.9%

 

  832      Starbucks Corp.      82,418  
  1,050      Yum China Holdings, Inc.      59,325  
  332      Yum! Brands, Inc.      45,999  
     

 

 

 
        187,742  
     

 

 

 
   Insurance — 1.5%

 

  627      Willis Towers Watson PLC      147,659  
     

 

 

 
   Interactive Media & Services — 10.0%

 

  3,676      Alphabet, Inc., Class A(a)      440,017  
  696      Alphabet, Inc., Class C(a)      84,195  
  1,661      Meta Platforms, Inc., Class A(a)      476,674  
     

 

 

 
        1,000,886  
     

 

 

 
   IT Services — 0.7%

 

  1,033      Shopify, Inc., Class A(a)      66,732  
     

 

 

 
   Life Sciences Tools & Services — 0.7%

 

  366      Illumina, Inc.(a)      68,621  
     

 

 

 
   Machinery — 1.8%

 

  82      Deere & Co.      33,226  
  380      Parker-Hannifin Corp.      148,215  
     

 

 

 
        181,441  
     

 

 

 
   Media — 4.2%

 

  619      Charter Communications, Inc., Class A(a)      227,402  
  4,536      Comcast Corp., Class A      188,471  
     

 

 

 
        415,873  
     

 

 

 
   Oil, Gas & Consumable Fuels — 5.8%

 

  4,478      APA Corp.      153,013  
  2,145      ConocoPhillips      222,244  
  1,764      EOG Resources, Inc.      201,872  
     

 

 

 
        577,129  
     

 

 

 
   Pharmaceuticals — 1.0%

 

  395      Novartis AG, ADR      39,859  
  401      Novo Nordisk AS, ADR      64,894  
     

 

 

 
        104,753  
     

 

 

 
   Real Estate Management & Development — 1.9%

 

  2,386      CBRE Group, Inc., Class A(a)      192,574  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 4.1%

 

  812      NVIDIA Corp.      343,492  
  601      QUALCOMM, Inc.      71,543  
     

 

 

 
        415,035  
     

 

 

 
   Software — 10.9%

 

  612      Autodesk, Inc.(a)      125,221  
  408      Microsoft Corp.      138,940  
  3,186      Oracle Corp.      379,421  
  1,152      Salesforce, Inc.(a)      243,372  
  924      Workday, Inc., Class A(a)      208,722  
     

 

 

 
        1,095,676  
     

 

 

 
   Textiles, Apparel & Luxury Goods — 0.3%

 

  3,963      Under Armour, Inc., Class A(a)      28,613  
     

 

 

 
   Tobacco — 1.4%

 

  3,039      Altria Group, Inc.      137,667  
     

 

 

 
   Total Common Stocks
(Identified Cost $8,676,769)
     9,709,088  
     

 

 

 
     

 

See accompanying notes to financial statements.

 

23  |


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis U.S. Equity Opportunities ETF – (continued)

 

Principal
Amount
         
Description
   Value (†)  
  Short-Term Investments — 3.3%  
$ 332,258      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $332,322 on 7/03/2023 collateralized by $61,000 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $57,440; $325,600 U.S. Treasury Note, 0.500% due 5/31/2027 valued at $281,523 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $332,258)
   $ 332,258  
     

 

 

 
     
   Total Investments — 100.2%
(Identified Cost $9,009,027)
     10,041,346  
   Other assets less liabilities — (0.2)%      (19,669
     

 

 

 
   Net Assets — 100.0%    $ 10,021,677  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Non-income producing security.   
  ADR      An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

 

Industry Summary at June 30, 2023 (Unaudited)

 

Capital Markets

     11.2

Software

     10.9  

Interactive Media & Services

     10.0  

Oil, Gas & Consumable Fuels

     5.8  

Consumer Finance

     4.7  

Broadline Retail

     4.6  

Financial Services

     4.6  

Entertainment

     4.2  

Media

     4.2  

Semiconductors & Semiconductor Equipment

     4.1  

Banks

     4.0  

Automobiles

     4.0  

Biotechnology

     2.4  

Beverages

     2.3  

Aerospace & Defense

     2.0  

Other Investments, less than 2% each

     17.9  

Short-Term Investments

     3.3  
  

 

 

 

Total Investments

     100.2  

Other assets less liabilities

     (0.2
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  24


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Vaughan Nelson Mid Cap ETF

 

Shares          
Description
   Value (†)  
  Common Stocks — 96.3% of Net Assets   
   Aerospace & Defense — 1.2%

 

  488      Axon Enterprise, Inc.(a)    $ 95,219  
     

 

 

 
   Banks — 0.6%

 

  1,828      Bank of NT Butterfield & Son Ltd.      50,014  
     

 

 

 
   Building Products — 1.1%

 

  342      Allegion PLC      41,047  
  1,435      AZEK Co., Inc.(a)      43,466  
     

 

 

 
        84,513  
     

 

 

 
   Capital Markets — 9.9%

 

  240      Ares Management Corp., Class A      23,124  
  4,886      Brightsphere Investment Group, Inc.      102,362  
  893      Cboe Global Markets, Inc.      123,243  
  560      FactSet Research Systems, Inc.      224,364  
  120      MSCI, Inc.      56,315  
  4,118      Nasdaq, Inc.      205,282  
  315      Raymond James Financial, Inc.      32,687  
     

 

 

 
        767,377  
     

 

 

 
   Chemicals — 1.8%

 

  1,216      Axalta Coating Systems Ltd.(a)      39,897  
  610      FMC Corp.      63,647  
  406      LyondellBasell Industries NV, Class A      37,283  
     

 

 

 
        140,827  
     

 

 

 
   Commercial Services & Supplies — 4.4%

 

  2,222      Republic Services, Inc.      340,344  
     

 

 

 
   Communications Equipment — 3.4%

 

  912      Motorola Solutions, Inc.      267,471  
     

 

 

 
   Construction & Engineering — 1.7%

 

  2,831      WillScot Mobile Mini Holdings Corp.(a)      135,293  
     

 

 

 
   Construction Materials — 2.2%

 

  762      Vulcan Materials Co.      171,785  
     

 

 

 
   Consumer Staples Distribution & Retail — 2.6%

 

  3,309      Performance Food Group Co.(a)      199,334  
     

 

 

 
   Containers & Packaging — 1.4%

 

  204      Avery Dennison Corp.      35,047  
  824      Crown Holdings, Inc.      71,581  
     

 

 

 
        106,628  
     

 

 

 
   Diversified Consumer Services — 0.7%

 

  512      Grand Canyon Education, Inc.(a)      52,844  
     

 

 

 
   Electric Utilities — 4.7%

 

  3,563      Alliant Energy Corp.      186,986  
  3,108      Evergy, Inc.      181,570  
     

 

 

 
        368,556  
     

 

 

 
   Electrical Equipment — 3.9%

 

  1,050      AMETEK, Inc.      169,974  
  128      Hubbell, Inc.      42,440  
  1,788      nVent Electric PLC      92,386  
     

 

 

 
        304,800  
     

 

 

 
   Electronic Equipment, Instruments & Components — 1.6%

 

  305      CDW Corp.      55,967  
  424      Keysight Technologies, Inc.(a)      70,999  
     

 

 

 
        126,966  
     

 

 

 
   Financial Services — 0.3%

 

  282      Apollo Global Management, Inc.      21,660  
     

 

 

 
   Health Care Equipment & Supplies — 2.8%

 

  295      Cooper Cos., Inc.      113,112  
  1,261      Hologic, Inc.(a)      102,103  
     

 

 

 
        215,215  
     

 

 

 
   Health Care Providers & Services — 4.6%

 

  1,849      AmerisourceBergen Corp.    $ 355,803  
     

 

 

 
   Hotels, Restaurants & Leisure — 0.5%

 

  937      Aramark      40,338  
     

 

 

 
   Household Products — 2.4%

 

  1,827      Church & Dwight Co., Inc.      183,120  
     

 

 

 
   Independent Power & Renewable Electricity Producers — 1.9%

 

  5,764      Vistra Corp.      151,305  
     

 

 

 
   Insurance — 6.6%

 

  1,680      Allstate Corp.      183,187  
  851      Arthur J Gallagher & Co.      186,854  
  1,017      Reinsurance Group of America, Inc.      141,048  
     

 

 

 
        511,089  
     

 

 

 
   Life Sciences Tools & Services — 3.0%

 

  259      Agilent Technologies, Inc.      31,145  
  1,946      Avantor, Inc.(a)      39,971  
  724      IQVIA Holdings, Inc.(a)      162,733  
     

 

 

 
        233,849  
     

 

 

 
   Machinery — 2.5%

 

  794      Crane Co.      70,761  
  1,349      Otis Worldwide Corp.      120,075  
     

 

 

 
        190,836  
     

 

 

 
   Media — 1.0%

 

  474      Nexstar Media Group, Inc.      78,945  
     

 

 

 
   Metals & Mining — 0.5%

 

  2,360      Constellium SE(a)      40,592  
     

 

 

 
   Mortgage Real Estate Investment Trusts (REITs) — 1.7%

 

  13,876      Rithm Capital Corp.      129,741  
     

 

 

 
   Multi-Utilities — 7.0%

 

  2,193      Ameren Corp.      179,102  
  3,102      CMS Energy Corp.      182,243  
  2,062      WEC Energy Group, Inc.      181,951  
     

 

 

 
        543,296  
     

 

 

 
   Oil, Gas & Consumable Fuels — 3.0%

 

  596      Diamondback Energy, Inc.      78,290  
  580      Hess Corp.      78,851  
  365      Pioneer Natural Resources Co.      75,621  
     

 

 

 
        232,762  
     

 

 

 
   Professional Services — 8.3%

 

  624      CACI International, Inc., Class A(a)      212,684  
  143      Equifax, Inc.      33,648  
  2,408      Maximus, Inc.      203,500  
  3,214      SS&C Technologies Holdings, Inc.      194,769  
     

 

 

 
        644,601  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 1.3%

 

  180      Monolithic Power Systems, Inc.      97,241  
     

 

 

 
   Software — 3.1%

 

  575      Tyler Technologies, Inc.(a)      239,470  
     

 

 

 
   Specialty Retail — 4.1%

 

  94      AutoZone, Inc.(a)      234,376  
  175      Ulta Beauty, Inc.(a)      82,354  
     

 

 

 
        316,730  
     

 

 

 
   Textiles, Apparel & Luxury Goods — 0.5%

 

  717      Skechers USA, Inc., Class A(a)      37,757  
     

 

 

 
   Total Common Stocks
(Identified Cost $6,653,726)
     7,476,321  
     

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Vaughan Nelson Mid Cap ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
  Short-Term Investments — 8.3%  
$ 640,213      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $640,336 on 7/03/2023 collateralized by $693,500 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $653,030 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $640,213)
   $ 640,213  
     

 

 

 
     
   Total Investments — 104.6%
(Identified Cost $7,293,939)
     8,116,534  
   Other assets less liabilities — (4.6)%      (355,099
     

 

 

 
   Net Assets — 100.0%    $ 7,761,435  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Non-income producing security.   
     
  REITs      Real Estate Investment Trusts   

Industry Summary at June 30, 2023 (Unaudited)

 

Capital Markets

     9.9

Professional Services

     8.3  

Multi-Utilities

     7.0  

Insurance

     6.6  

Electric Utilities

     4.7  

Health Care Providers & Services

     4.6  

Commercial Services & Supplies

     4.4  

Specialty Retail

     4.1  

Electrical Equipment

     3.9  

Communications Equipment

     3.4  

Software

     3.1  

Life Sciences Tools & Services

     3.0  

Oil, Gas & Consumable Fuels

     3.0  

Health Care Equipment & Supplies

     2.8  

Consumer Staples Distribution & Retail

     2.6  

Machinery

     2.5  

Household Products

     2.4  

Construction Materials

     2.2  

Other Investments, less than 2% each

     17.8  

Short-Term Investments

     8.3  
  

 

 

 

Total Investments

     104.6  

Other assets less liabilities

     (4.6
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Portfolio of Investments – as of June 30, 2023 (Unaudited)

Natixis Vaughan Nelson Select ETF

 

    
Shares
     Description    Value (†)  
  Common Stocks — 96.0% of Net Assets   
   Biotechnology — 3.5%

 

  3,062      Vertex Pharmaceuticals, Inc.(a)    $ 1,077,548  
     

 

 

 
   Broadline Retail — 4.7%

 

  11,281      Amazon.com, Inc.(a)      1,470,591  
     

 

 

 
   Capital Markets — 4.6%

 

  12,597      Intercontinental Exchange, Inc.      1,424,469  
     

 

 

 
   Chemicals — 5.0%

 

  5,905      Sherwin-Williams Co.      1,567,896  
     

 

 

 
   Communications Equipment — 4.3%

 

  4,596      Motorola Solutions, Inc.      1,347,915  
     

 

 

 
   Consumer Staples Distribution & Retail — 4.3%

 

  7,946      Dollar General Corp.      1,349,072  
     

 

 

 
   Diversified Telecommunication Services — 2.9%

 

  13,546      Cogent Communications Holdings, Inc.      911,510  
     

 

 

 
   Electric Utilities — 4.4%

 

  18,438      NextEra Energy, Inc.      1,368,100  
     

 

 

 
   Financial Services — 3.6%

 

  3,250      Berkshire Hathaway, Inc., Class B(a)      1,108,250  
     

 

 

 
   Food Products — 3.8%

 

  13,711      McCormick & Co., Inc.      1,196,011  
     

 

 

 
   Ground Transportation — 4.5%

 

  1,544      Saia, Inc.(a)      528,681  
  4,332      Union Pacific Corp.      886,414  
     

 

 

 
        1,415,095  
     

 

 

 
   Health Care Providers & Services — 2.5%

 

  1,408      Chemed Corp.      762,671  
     

 

 

 
   Household Products — 4.1%

 

  8,110      Clorox Co.      1,289,814  
     

 

 

 
   Industrial REITs — 2.0%

 

  5,072      Prologis, Inc.      621,979  
     

 

 

 
   Insurance — 3.4%

 

  3,063      Aon PLC, Class A      1,057,348  
     

 

 

 
   Interactive Media & Services — 3.4%

 

  8,951      Alphabet, Inc., Class A(a)      1,071,435  
     

 

 

 
   IT Services — 2.9%

 

  4,056      VeriSign, Inc.(a)      916,534  
     

 

 

 
   Life Sciences Tools & Services — 2.1%

 

  2,678      Danaher Corp.      642,720  
     

 

 

 
   Metals & Mining — 4.4%

 

  31,797      Wheaton Precious Metals Corp.      1,374,266  
     

 

 

 
   Oil, Gas & Consumable Fuels — 2.1%

 

  110,820      Kosmos Energy Ltd.(a)      663,812  
     

 

 

 
   Pharmaceuticals — 3.0%

 

  5,696      Johnson & Johnson      942,802  
     

 

 

 
   Professional Services — 3.0%

 

  4,148      Verisk Analytics, Inc.      937,572  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 7.1%

 

  5,845      Entegris, Inc.      647,743  
  1,020      Monolithic Power Systems, Inc.      551,034  
  2,438      NVIDIA Corp.      1,031,323  
     

 

 

 
        2,230,100  
     

 

 

 
   Software — 10.4%

 

  5,960      Microsoft Corp.      2,029,619  
  5,797      Salesforce, Inc.(a)      1,224,674  
     

 

 

 
        3,254,293  
     

 

 

 
   Total Common Stocks
(Identified Cost $27,401,993)
     30,001,803  
     

 

 

 
Principal
Amount
     Description    Value (†)  
  Short-Term Investments — 4.1%  
$ 1,295,272      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $1,295,520 on 7/03/2023 collateralized by $1,403,100 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $1,321,220 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $1,295,272)
   $ 1,295,272  
     

 

 

 
     
   Total Investments — 100.1%
(Identified Cost $28,697,265)
     31,297,075  
   Other assets less liabilities — (0.1)%      (31,417
     

 

 

 
   Net Assets — 100.0%    $ 31,265,658  
     

 

 

 
     
  (†)      See Note 2 of Notes to Financial Statements.   
  (a)      Non-income producing security.   
     
  REITs      Real Estate Investment Trusts   

Industry Summary at June 30, 2023 (Unaudited)

 

Software

     10.4

Semiconductors & Semiconductor Equipment

     7.1  

Chemicals

     5.0  

Broadline Retail

     4.7  

Capital Markets

     4.6  

Ground Transportation

     4.5  

Metals & Mining

     4.4  

Electric Utilities

     4.4  

Consumer Staples Distribution & Retail

     4.3  

Communications Equipment

     4.3  

Household Products

     4.1  

Food Products

     3.8  

Financial Services

     3.6  

Biotechnology

     3.5  

Interactive Media & Services

     3.4  

Insurance

     3.4  

Pharmaceuticals

     3.0  

Professional Services

     3.0  

IT Services

     2.9  

Diversified Telecommunication Services

     2.9  

Health Care Providers & Services

     2.5  

Oil, Gas & Consumable Fuels

     2.1  

Life Sciences Tools & Services

     2.1  

Industrial REITs

     2.0  

Short-Term Investments

     4.1  
  

 

 

 

Total Investments

     100.1  

Other assets less liabilities

     (0.1
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

27  |


Statements of Assets and Liabilities

 

June 30, 2023 (Unaudited)

 

     Natixis Loomis
Sayles Focused
Growth
ETF
     Natixis Loomis
Sayles Short
Duration
Income
ETF
    Natixis U.S.
Equity
Opportunities
ETF
     Natixis Vaughan
Nelson Mid Cap
ETF
 

ASSETS

 

Investments at cost

   $ 5,225,826      $ 25,488,751     $ 9,009,027      $ 7,293,939  

Net unrealized appreciation (depreciation)

     63,679        (654,560     1,032,319        822,595  
  

 

 

    

 

 

   

 

 

    

 

 

 

Investments at value

     5,289,505        24,834,191       10,041,346        8,116,534  

Cash

            71       12         

Receivable from investment adviser (Note 6)

     482        6,712              7,628  

Receivable for securities sold

     267,154        885,149       223,329         

Dividends and interest receivable

            141,752       6,178        7,632  

Prepaid expenses (Note 8)

            294       285        283  
  

 

 

    

 

 

   

 

 

    

 

 

 

TOTAL ASSETS

     5,557,141        25,868,169       10,271,150        8,132,077  
  

 

 

    

 

 

   

 

 

    

 

 

 

LIABILITIES

 

Payable for securities purchased

     232,881        1,065,070       196,946        314,002  

Payable to custodian bank (Note 9)

     4,740                      

Payable for variation margin on futures contracts (Note 2)

            4,454               

Management fees payable (Note 6)

                  10,710         

Deferred Trustees’ fees (Note 6)

     13        40,403       8,261        8,217  

Administrative fees payable (Note 6)

     13        1,409       380        288  

Audit and tax services fees payable

     452        24,407       9,549        24,083  

Other accounts payable and accrued expenses

     174        44,505       23,627        24,052  
  

 

 

    

 

 

   

 

 

    

 

 

 

TOTAL LIABILITIES

     238,273        1,180,248       249,473        370,642  
  

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS

   $ 5,318,868      $ 24,687,921     $ 10,021,677      $ 7,761,435  
  

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 5,250,000      $ 27,339,294     $ 8,692,597      $ 7,773,915  

Accumulated earnings (loss)

     68,868        (2,651,373     1,329,080        (12,480
  

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS

   $ 5,318,868      $ 24,687,921     $ 10,021,677      $ 7,761,435  
  

 

 

    

 

 

   

 

 

    

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Net assets

   $ 5,318,868      $ 24,687,921     $ 10,021,677      $ 7,761,435  
  

 

 

    

 

 

   

 

 

    

 

 

 

Shares of beneficial interest

     210,000        1,050,000       323,200        260,400  
  

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, offering and redemption price per share

   $ 25.33      $ 23.51     $ 31.01      $ 29.81  
  

 

 

    

 

 

   

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

|  28


Statements of Assets and Liabilities (continued)

 

June 30, 2023 (Unaudited)

 

     Natixis Vaughan
Nelson Select
ETF
 

ASSETS

 

Investments at cost

   $ 28,697,265  

Net unrealized appreciation

     2,599,810  
  

 

 

 

Investments at value

     31,297,075  

Receivable for Fund shares sold

     577,367  

Dividends and interest receivable

     5,725  

Prepaid expenses (Note 8)

     287  
  

 

 

 

TOTAL ASSETS

     31,880,454  
  

 

 

 

LIABILITIES

 

Payable for securities purchased

     553,389  

Management fees payable (Note 6)

     4,812  

Deferred Trustees’ fees (Note 6)

     8,264  

Administrative fees payable (Note 6)

     1,134  

Audit and tax services fees payable

     24,069  

Other accounts payable and accrued expenses

     23,128  
  

 

 

 

TOTAL LIABILITIES

     614,796  
  

 

 

 

NET ASSETS

   $ 31,265,658  
  

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 29,007,233  

Accumulated earnings

     2,258,425  
  

 

 

 

NET ASSETS

   $ 31,265,658  
  

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Net assets

   $ 31,265,658  
  

 

 

 

Shares of beneficial interest

     1,070,400  
  

 

 

 

Net asset value, offering and redemption price per share

   $ 29.21  
  

 

 

 

 

See accompanying notes to financial statements.

 

29  |


Statements of Operations

 

For the Six Months Ended June 30, 2023 (Unaudited)

 

     Natixis Loomis
Sayles Focused
Growth
ETF(a)
    Natixis Loomis
Sayles Short
Duration
Income
ETF
    Natixis U.S.
Equity
Opportunities
ETF
    Natixis Vaughan
Nelson Mid Cap
ETF
 

INVESTMENT INCOME

 

Interest

   $     $ 687,551     $ 2,812     $ 6,445  

Dividends

                 53,824       47,537  

Less net foreign taxes withheld

                 (400      
  

 

 

   

 

 

   

 

 

   

 

 

 
           687,551       56,236       53,982  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

 

Management fees (Note 6)

     144       54,364       32,028       27,349  

Administrative fees (Note 6)

     13       8,397       2,120       1,690  

Trustees’ fees and expenses (Note 6)

     58       11,875       10,190       10,016  

Transfer agent fees and expenses (Note 7)

     7       7,800       7,800       7,800  

Audit and tax services fees

     452       22,265       7,502       22,036  

Custodian fees and expenses (Note 7)

     19       18,032       12,242       11,658  

Legal fees

     16       7,098       1,659       1,370  

Registration fees

           124       5       23  

Regulatory filing fees (Note 7)

     6       6,500       6,500       6,500  

Shareholder reporting expenses

     9       10,240       5,156       4,376  

Miscellaneous expenses

     108       19,100       19,834       20,088  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     832       165,795       105,036       112,906  

Less waiver and/or expense reimbursement (Note 6)

     (662     (96,933     (66,145     (81,910
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     170       68,862       38,891       30,996  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (170     618,689       17,345       22,986  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS

 

Net realized gain (loss) on:

 

Investments

     5,359       (352,801     466,893       (74,981

Futures contracts

           (81,608            

Net change in unrealized appreciation (depreciation) on:

 

Investments

     63,679       447,685       1,503,177       446,079  

Futures contracts

           (60,056            
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments and futures contracts

     69,038       (46,780     1,970,070       371,098  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 68,868     $ 571,909     $ 1,987,415     $ 394,084  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

From commencement of operations on June 28, 2023 through June 30, 2023.

 

See accompanying notes to financial statements.

 

|  30


Statements of Operations (continued)

 

For the Six Months Ended June 30, 2023 (Unaudited)

 

     Natixis Vaughan
Nelson Select
ETF
 

INVESTMENT INCOME

 

Interest

   $ 9,162  

Dividends

     116,369  

Less net foreign taxes withheld

     (1,172
  

 

 

 
     124,359  
  

 

 

 

Expenses

 

Management fees (Note 6)

     70,441  

Administrative fees (Note 6)

     4,663  

Trustees’ fees and expenses (Note 6)

     10,308  

Transfer agent fees and expenses (Note 7)

     7,800  

Audit and tax services fees

     22,026  

Custodian fees and expenses (Note 7)

     10,851  

Legal fees

     1,670  

Registration fees

     1,289  

Regulatory filing fees (Note 7)

     6,500  

Shareholder reporting expenses

     4,652  

Miscellaneous expenses

     20,140  
  

 

 

 

Total expenses

     160,340  

Less waiver and/or expense reimbursement (Note 6)

     (79,836
  

 

 

 

Net expenses

     80,504  
  

 

 

 

Net investment income

     43,855  
  

 

 

 

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS

 

Net realized gain on:

 

Investments

     65,915  

Net change in unrealized appreciation (depreciation) on:

 

Investments

     2,996,020  
  

 

 

 

Net realized and unrealized gain on investments

     3,061,935  
  

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 3,105,790  
  

 

 

 

 

See accompanying notes to financial statements.

 

31  |


Statements of Changes in Net Assets

 

 

     Natixis Loomis Sayles
Focused Growth ETF
     Natixis Loomis Sayles Short
Duration Income ETF
 
     Period Ended
June 30, 2023
(Unaudited)(a)
     Six Months Ended
June 30, 2023
(Unaudited)
     Year Ended
December 31,
2022
 

FROM OPERATIONS:

 

Net investment income (loss)

   $ (170    $ 618,689      $ 691,531  

Net realized gain (loss) on investments and futures contracts

     5,359        (434,409      (1,410,018

Net change in unrealized appreciation (depreciation) on investments and futures contracts

     63,679        387,629        (990,466
  

 

 

    

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     68,868        571,909        (1,708,953
  

 

 

    

 

 

    

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

            (622,285      (723,670
  

 

 

    

 

 

    

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (NOTE 11)

     5,250,000        (11,759,608      (8,377,817
  

 

 

    

 

 

    

 

 

 

Net increase (decrease) in net assets

     5,318,868        (11,809,984      (10,810,440

NET ASSETS

 

Beginning of the period

            36,497,905        47,308,345  
  

 

 

    

 

 

    

 

 

 

End of the period

   $ 5,318,868      $ 24,687,921      $ 36,497,905  
  

 

 

    

 

 

    

 

 

 

 

(a)

From commencement of operations on June 28, 2023 through June 30, 2023.

 

See accompanying notes to financial statements.

 

|  32


Statements of Changes in Net Assets (continued)

 

 

     Natixis U.S. Equity
Opportunities ETF
     Natixis Vaughan
Nelson Mid Cap ETF
 
     Six Months Ended
June 30, 2023
(Unaudited)
     Year Ended
December 31,
2022
     Six Months Ended
June 30, 2023
(Unaudited)
     Year Ended
December 31,
2022
 

FROM OPERATIONS:

 

Net investment income

   $ 17,345      $ 35,086      $ 22,986      $ 63,494  

Net realized gain (loss) on investments

     466,893        421,740        (74,981      (515,911

Net change in unrealized appreciation (depreciation) on investments

     1,503,177        (2,633,664      446,079        (489,895
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     1,987,415        (2,176,838      394,084        (942,312
  

 

 

    

 

 

    

 

 

    

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

     (25,016      (649,386             (307,566
  

 

 

    

 

 

    

 

 

    

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (NOTE 11)

     (61,711      613,144        289,302        (576,697
  

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) in net assets

     1,900,688        (2,213,080      683,386        (1,826,575

NET ASSETS

 

Beginning of the period

     8,120,989        10,334,069        7,078,049        8,904,624  
  

 

 

    

 

 

    

 

 

    

 

 

 

End of the period

   $ 10,021,677      $ 8,120,989      $ 7,761,435      $ 7,078,049  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

33  |


Statements of Changes in Net Assets (continued)

 

 

     Natixis Vaughan Nelson
Select ETF
 
     Six Months Ended
June 30, 2023
(Unaudited)
     Year Ended
December 31,
2022
 

FROM OPERATIONS:

 

Net investment income

   $ 43,855      $ 28,962  

Net realized gain (loss) on investments

     65,915        (199,752

Net change in unrealized appreciation (depreciation) on investments

     2,996,020        (967,767
  

 

 

    

 

 

 

Net increase (decrease) in net assets resulting from operations

     3,105,790        (1,138,557
  

 

 

    

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

            (409,261
  

 

 

    

 

 

 

NET INCREASE IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (NOTE 11)

     16,328,459        6,964,016  
  

 

 

    

 

 

 

Net increase in net assets

     19,434,249        5,416,198  

NET ASSETS

 

Beginning of the period

     11,831,409        6,415,211  
  

 

 

    

 

 

 

End of the period

   $ 31,265,658      $ 11,831,409  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

|  34


Financial Highlights

 

For a share outstanding throughout each period.

 

     Natixis Loomis
Sayles Focused
Growth ETF
 
     Period Ended
June 30, 2023*
(Unaudited)
 

Net asset value, beginning of the period

   $ 25.00  
  

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

  

Net investment loss(a)

     (0.00 )(b) 

Net realized and unrealized gain (loss)

     0.33  
  

 

 

 

Total from Investment Operations

     0.33  
  

 

 

 

Net asset value, end of the period

   $ 25.33  
  

 

 

 

Total return(c)(d)

     1.32

RATIOS TO AVERAGE NET ASSETS:

  

Net assets, end of the period (000’s)

   $ 5,319  

Net expenses(e)(f)

     0.59

Gross expenses(f)

     2.89

Net investment loss(f)

     (0.59 )% 

Portfolio turnover rate(g)

     4

 

 

 

 

*

From commencement of operations on June 28, 2023 through June 30, 2023.

(a)

Per share net investment loss has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share.

(c)

Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher.

(f)

Computed on an annualized basis for periods less than one year.

(g)

Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

 

See accompanying notes to financial statements.

 

35  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

    Natixis Loomis Sayles Short Duration Income ETF  
    Six Months Ended
June 30, 2023
(Unaudited)
    Year Ended
December 31,
2022
    Year Ended
December 31,
2021
    Year Ended
December 31,
2020
    Year Ended
December 31,
2019
    Year Ended
December 31,
2018
 

Net asset value, beginning of the period

  $ 23.55     $ 24.90     $ 25.58     $ 25.28     $ 24.62     $ 25.02