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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  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

           

Net investment income(a)

    0.40       0.41       0.17       0.49       0.64       0.61  

Net realized and unrealized gain (loss)

    (0.04     (1.31     (0.17     0.83       0.70       (0.37
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

    0.36       (0.90     0.00 (b)      1.32       1.34       0.24  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

           

Net investment income

    (0.40     (0.45     (0.22     (0.51     (0.67     (0.64

Net realized capital gains

                (0.46     (0.51     (0.01      
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.40     (0.45     (0.68     (1.02     (0.68     (0.64
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

  $ 23.51     $ 23.55     $ 24.90     $ 25.58     $ 25.28     $ 24.62  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

    1.53 %(d)      (3.60 )%      0.00 %(e)      5.27     5.51     0.97

RATIOS TO AVERAGE NET ASSETS:

           

Net assets, end of the period (000’s)

  $ 24,688     $ 36,498     $ 47,308     $ 24,304     $ 30,331     $ 27,084  

Net expenses(f)

    0.38 %(g)      0.38     0.38     0.38     0.38     0.38

Gross expenses

    0.91 %(g)      0.88     0.93     1.05     0.95     1.09

Net investment income

    3.41 %(g)      1.71     0.69     1.91     2.56     2.46

Portfolio turnover rate(h)

    113     167     140     181     113     167

 

 

 

 

(a)

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

(b)

Amount rounds to less than $0.01.

(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)

Amount rounds to less than 0.01%.

(f)

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.

(g)

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

(h)

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

 

See accompanying notes to financial statements.

 

|  36


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis U.S. Equity Opportunities ETF  
     Six Months Ended
June 30, 2023
(Unaudited)
    Year Ended
December 31,
2022
    Year Ended
December 31,
2021
    Period Ended
December 31,
2020*
 

Net asset value, beginning of the period

   $ 25.13     $ 34.08     $ 28.69     $ 25.00  
  

 

 

   

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

        

Net investment income (loss)(a)

     0.05       0.11       (0.00 )(b)      (0.00 )(b) 

Net realized and unrealized gain (loss)

     5.91       (7.01     7.02       3.69  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     5.96       (6.90     7.02       3.69  
  

 

 

   

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

        

Net investment income

           (0.12     (0.01      

Net realized capital gains

     (0.08     (1.93     (1.62     (0.00 )(b) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.08     (2.05     (1.63     (0.00
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

   $ 31.01     $ 25.13     $ 34.08     $ 28.69  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return(c)

     23.74 %(d)      (20.77 )%      24.45     14.78 %(d) 

RATIOS TO AVERAGE NET ASSETS:

        

Net assets, end of the period (000’s)

   $ 10,022     $ 8,121     $ 10,334     $ 11,855  

Net expenses(e)

     0.85 %(f)      0.88 %(g)      0.90     0.90 %(f) 

Gross expenses

     2.30 %(f)      2.57     2.07     2.99 %(f) 

Net investment income (loss)

     0.38 %(f)      0.38     (0.01 )%      (0.02 )%(f) 

Portfolio turnover rate(h)

     17     53     19     6

 

 

 

 

*

From commencement of operations on September 16, 2020 through December 31, 2020.

(a)

Per share net investment income (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)

Effective July 1, 2022, the expense limit decreased from 0.90% to 0.85%.

(h)

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

 

See accompanying notes to financial statements.

 

37  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Vaughan Nelson Mid Cap ETF  
     Six Months Ended
June 30, 2023
(Unaudited)
    Year Ended
December 31,
2022
     Year Ended
December 31,
2021
    Period Ended
December 31,
2020*
 

Net asset value, beginning of the period

   $ 28.27     $ 32.93      $ 29.87     $ 25.17  
  

 

 

   

 

 

    

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

         

Net investment income(a)

     0.09       0.24        0.18       0.04  

Net realized and unrealized gain (loss)

     1.45       (3.68      6.21       4.72  
  

 

 

   

 

 

    

 

 

   

 

 

 

Total from Investment Operations

     1.54       (3.44      6.39       4.76  
  

 

 

   

 

 

    

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

         

Net investment income

           (0.29      (0.21     (0.04

Net realized capital gains

           (0.93      (3.12     (0.02
  

 

 

   

 

 

    

 

 

   

 

 

 

Total Distributions

           (1.22      (3.33     (0.06
  

 

 

   

 

 

    

 

 

   

 

 

 

Net asset value, end of the period

   $ 29.81     $ 28.27      $ 32.93     $ 29.87  
  

 

 

   

 

 

    

 

 

   

 

 

 

Total return(b)

     5.45 %(c)      (10.64 )%       21.47     18.91 %(c) 

RATIOS TO AVERAGE NET ASSETS:

         

Net assets, end of the period (000’s)

   $ 7,761     $ 7,078      $ 8,905     $ 7,779  

Net expenses(d)

     0.85 %(e)      0.85      0.87 %(f)      0.90 %(e) 

Gross expenses

     3.10 %(e)      2.76      2.39     4.53 %(e) 

Net investment income

     0.63 %(e)      0.81      0.54     0.53 %(e) 

Portfolio turnover rate(g)

     28     55      72     10

 

 

 

 

*

From commencement of operations on September 16, 2020 through December 31, 2020.

(a)

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

(b)

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.

(c)

Periods less than one year are not annualized.

(d)

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.

(e)

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

(f)

Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.

(g)

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

 

See accompanying notes to financial statements.

 

|  38


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

     Natixis Vaughan Nelson Select ETF  
     Six Months Ended
June 30, 2023
(Unaudited)
    Year Ended
December 31,
2022
     Year Ended
December 31,
2021
    Period Ended
December 31,
2020*
 

Net asset value, beginning of the period

   $ 25.15     $ 32.01      $ 27.42     $ 24.86  
  

 

 

   

 

 

    

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

         

Net investment income(a)

     0.06       0.09        0.21 (b)      0.02  

Net realized and unrealized gain (loss)

     4.00       (5.19      10.68       2.56  
  

 

 

   

 

 

    

 

 

   

 

 

 

Total from Investment Operations

     4.06       (5.10      10.89       2.58  
  

 

 

   

 

 

    

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

         

Net investment income

           (0.08      (0.29     (0.02

Net realized capital gains

           (1.68      (6.01      
  

 

 

   

 

 

    

 

 

   

 

 

 

Total Distributions

           (1.76      (6.30     (0.02
  

 

 

   

 

 

    

 

 

   

 

 

 

Net asset value, end of the period

   $ 29.21     $ 25.15      $ 32.01     $ 27.42  
  

 

 

   

 

 

    

 

 

   

 

 

 

Total return(c)

     16.14 %(d)      (16.59 )%       39.60 %(b)      10.37 %(d) 

RATIOS TO AVERAGE NET ASSETS:

         

Net assets, end of the period (000’s)

   $ 31,266     $ 11,831      $ 6,415     $ 6,043  

Net expenses(e)

     0.80 %(f)      0.80      0.83 %(g)      0.85 %(f) 

Gross expenses

     1.59 %(f)      2.57      3.08     4.95 %(f) 

Net investment income

     0.44 %(f)      0.35      0.65 %(b)      0.24 %(f) 

Portfolio turnover rate(h)

     10     55      88     16

 

 

 

 

*

From commencement of operations on September 16, 2020 through December 31, 2020.

(a)

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

(b)

Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.02, total return would have been 38.99% and the ratio of net investment income to average net assets would have been 0.07%.

(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)

Effective July 1, 2021, the expense limit decreased from 0.85% to 0.80%.

(h)

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

 

See accompanying notes to financial statements.

 

39  |


Notes to Financial Statements

 

June 30, 2023 (Unaudited)

 

1.  Organization.  Natixis ETF Trust and Natixis ETF Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of beneficial interest of the Funds. Shares of the Funds are listed for trading on the NYSE Arca, Inc. (the “NYSE Arca”) and traded on other exchanges. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis ETF Trust:

Natixis Loomis Sayles Short Duration Income ETF (“Short Duration Income ETF”)

Natixis ETF Trust II:

Natixis Loomis Sayles Focused Growth ETF (“Focused Growth ETF”)

Natixis U.S. Equity Opportunities ETF (“U.S. Equity Opportunities ETF”)

Natixis Vaughan Nelson Mid Cap ETF (“Mid Cap ETF”)

Natixis Vaughan Nelson Select ETF (“Select ETF”)

Each Fund is a diversified investment company, except for Focused Growth ETF and Select ETF, which are non-diversified investment companies.

On June 28, 2023, Focused Growth ETF received an in-kind contribution from the Fund’s authorized participant (“Authorized Participant”) and commenced operations. Focused Growth ETF was initially funded via an in-kind contribution by an Authorized Participant of approximately $5,250,000 in exchange for 210,000 shares. Natixis Investment Managers, LLC purchased 200,000 shares from the Authorized Participant in the secondary market on June 29, 2023.

Unlike traditional ETFs that provide daily disclosure of their portfolio holdings, Focused Growth ETF, U.S. Equity Opportunities ETF, Mid Cap ETF and Select ETF do not disclose the daily holdings of the actual portfolio. Instead, the Funds disclose a portfolio that is designed to reflect the economic exposure and risk characteristics of the actual portfolio on any given trading day (the “Proxy Portfolio”). Although the Proxy Portfolio is intended to provide Authorized Participants and other market participants with enough information to allow them to engage in effective arbitrage transactions that will keep the market price of the Funds’ shares trading at or close to the underlying net asset value (“NAV”) per share of the Fund, while at the same time enabling them to establish cost-effective hedging strategies to reduce risk, there is a risk that market prices will vary significantly from the underlying NAV of the Funds.

The Funds issue and redeem shares on a continuous basis through ALPS Distributors, Inc. (“ALPS”). Each Fund may pay ALPS, an unaffiliated distributor, fees under a plan adopted pursuant to Rule 12b-1 under the 1940 Act (the “12b-1 Plan”). Currently, no Rule 12b-1 fees are charged. Future payments may be made under the 12b-1 Plan without further shareholder approval.

Most expenses can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and the Trusts.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a.  Valuation.  Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at NAV per share.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the

 

|  40


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.

The Funds may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

b.  Investment Transactions and Related Investment Income.  Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Dividends reinvested and stock dividends are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon the World Market or “WM11” foreign exchange rates supplied by an independent pricing service. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Futures Contracts.  A Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price

 

41  |


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

e.  Federal and Foreign Income Taxes.  The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986 (“IRC”), as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as premium amortization, distribution re-designations, return of capital distributions received, reversal of in-kind sales realized gains and losses, redemptions in-kind, passive foreign investment company adjustments and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, futures contract mark-to-market, return of capital distributions received, premium amortization, passive foreign investment company adjustments and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.

 

|  42


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2022 was as follows:

 

     

2022 Distributions

 

Fund

  

Ordinary
Income

    

Long-Term
Capital
Gains

    

Total

 

Short Duration Income ETF

   $ 723,670      $      $ 723,670  

U.S. Equity Opportunities ETF

     47,396        601,990        649,386  

Mid Cap ETF

     86,713        220,853        307,566  

Select ETF

     265,241        144,020        409,261  

Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.

As of December 31, 2022, capital loss carryforwards were as follows:

 

     

Short Duration
Income ETF

    

U.S. Equity
Opportunities ETF

    

Mid Cap

ETF

    

Select ETF

 

Capital loss carryforward:

 

Short-term:

 

No expiration date

   $ (1,297,633    $     —      $ (429,004    $ (171,437

Long-term:

 

No expiration date

     (115,880             (324,611      (66,349
  

 

 

    

 

 

    

 

 

    

 

 

 

Total capital loss carryforward

   $ (1,413,513    $      $ (753,615    $ (237,786
  

 

 

    

 

 

    

 

 

    

 

 

 

As of June 30, 2023, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:

 

     

Focused
Growth ETF

    

Short Duration
Income ETF

    

U.S. Equity
Opportunities ETF

    

Mid Cap
ETF

    

Select ETF

 

Federal tax cost

   $ 5,225,826      $ 25,528,003      $ 9,009,027      $ 7,293,939      $ 28,697,265  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross tax appreciation

   $ 67,784      $ 42,095      $ 1,547,879      $ 1,024,362      $ 3,029,006  

Gross tax depreciation

     (4,105      (765,439      (515,560      (201,767      (429,196
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net tax appreciation (depreciation)

   $ 63,679      $ (723,344    $ 1,032,319      $ 822,595      $ 2,599,810  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.

g.  Repurchase Agreements.  Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2023, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

h.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

43  |


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

i.  New Accounting Pronouncement.  In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. In December 2022, the Financial Accounting Standards Board issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. As of June 30, 2023, LIBOR has ceased to be published on a representative basis, and will be replaced by an alternative reference rate at the next reset date subsequent to June 30, 2023 for all investments for which LIBOR is the current reference rate. Management has elected to apply the optional expedients when appropriate and account for such modifications by prospectively adjusting the effective interest rate.

3.  Fair Value Measurements.  In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

   

Level 1 – quoted prices in active markets for identical assets or liabilities;

 

   

Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

   

Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Funds’ pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2023, at value:

Focused Growth ETF

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 5,289,505      $     —      $     —      $ 5,289,505  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

 

|  44


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

Short Duration Income ETF

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Bonds and Notes

           

Collateralized Mortgage Obligations

   $      $ 170,753      $ 28,018      $ 198,771  

All Other Bonds and Notes(a)

            24,302,161               24,302,161  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Bonds and Notes

            24,472,914        28,018        24,500,932  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments

            333,259               333,259  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

            24,806,173        28,018        24,834,191  
  

 

 

    

 

 

    

 

 

    

 

 

 

Futures Contracts (unrealized appreciation)

     31,349                      31,349  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 31,349      $ 24,806,173      $ 28,018      $ 24,865,540  
  

 

 

    

 

 

    

 

 

    

 

 

 

Liability Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Futures Contracts (unrealized depreciation)

   $ (60,881    $     —      $     —      $ (60,881
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

U.S. Equity Opportunities ETF

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 9,709,088      $      $     —      $ 9,709,088  

Short-Term Investments

            332,258               332,258  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 9,709,088      $ 332,258      $      $ 10,041,346  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Mid Cap ETF

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 7,476,321      $      $     —      $ 7,476,321  

Short-Term Investments

            640,213               640,213  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 7,476,321      $ 640,213      $      $ 8,116,534  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Select ETF

Asset Valuation Inputs

 

Description

  

Level 1

    

Level 2

    

Level 3

    

Total

 

Common Stocks(a)

   $ 30,001,803      $      $     —      $ 30,001,803  

Short-Term Investments

            1,295,272               1,295,272  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 30,001,803      $ 1,295,272      $      $ 31,297,075  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a)

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

 

45  |


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2022 and/or June 30, 2023:

Short Duration Income ETF

Asset Valuation Inputs

 

Investments in Securities

 

Balance as of
December 31,
2022

   

Accrued
Discounts
(Premiums)

   

Realized
Gain
(Loss)

   

Change in
Unrealized
Appreciation
(Depreciation)

   

Purchases

   

Sales

   

Transfers
into
Level 3

   

Transfers
out of
Level 3

   

Balance as of
June 30,
2023

   

Change in
Unrealized
Appreciation
(Depreciation)
from Investments
Still Held at
June 30,
2023

 

Bonds and Notes

                   

Collateralized Mortgage Obligations

  $ 42,945     $   —     $ (16   $ 40     $ 41     $ (14,992   $   —     $   —     $ 28,018     $ (163
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

4.  Derivatives.  Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Short Duration Income ETF used during the period include futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2023, Short Duration Income ETF used futures contracts to manage duration.

The following is a summary of derivative instruments for Short Duration Income ETF as of June 30, 2023, as reflected within the Statements of Assets and Liabilities:

 

Assets

  

Unrealized
appreciation
on futures
contracts1

 

Exchange-traded asset derivatives

  

Interest rate contracts

   $ 31,349  

 

Liabilities

  

Unrealized
depreciation
on futures
contracts1

 

Exchange-traded liability derivatives

  

Interest rate contracts

   $ (60,881

 

1 

Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Short Duration Income ETF during the six months ended June 30, 2023, as reflected within the Statements of Operations, were as follows:

 

Net Realized Gain (Loss) on:

  

Futures
contracts

 

Interest rate contracts

   $ (81,608

Net Change in Unrealized Appreciation (Depreciation) on:

  

Futures
contracts

 

Interest rate contracts

   $ (60,056

As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

 

|  46


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

The volume of futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2023:

 

Short Duration Income ETF

  

Futures

 

Average Notional Amount Outstanding

     37.63

Highest Notional Amount Outstanding

     41.16

Lowest Notional Amount Outstanding

     33.24

Notional Amount Outstanding as of June 30, 2023

     33.24

Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.

Unrealized gain and/or loss on open futures contracts is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.

5.  Purchases and Sales of Securities.  For the six months ended (period ended for Focused Growth ETF) June 30, 2023, purchases and sales of securities (excluding in-kind transactions and short-term investments and including paydowns) were as follows:

 

     

U.S. Government/Agency
Securities

    

Other Securities

 

Fund

  

Purchases

    

Sales

    

Purchases

    

Sales

 

Focused Growth ETF

   $      $      $ 232,881      $ 267,154  

Short Duration Income ETF

     15,600,594        20,548,096        23,477,921        30,138,274  

U.S. Equity Opportunities ETF

                   1,527,674        1,754,034  

Mid Cap ETF

                   1,932,436        2,105,031  

Select ETF

                   1,973,167        2,034,903  

For the six months ended (period ended for Focused Growth ETF) June 30, 2023, in-kind transactions were as follows:

 

Fund

  

In-Kind

Purchases

    

In-Kind

Sales

 

Focused Growth ETF

   $ 5,254,740      $  

U.S. Equity Opportunities ETF

     521,101        584,575  

Mid Cap ETF

     262,699         

Select ETF

     16,705,935        1,066,406  

U.S. Equity Opportunities ETF and Select ETF realized a gain of $155,553 and $324,875, respectively on in-kind sales during the six months ended June 30, 2023. Gains and losses realized on in-kind sales are not recognized for tax purposes and are re-classified from realized gain (loss) to paid-in-capital.

 

47  |


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Natixis Advisors, LLC (“Natixis Advisors”), serves as investment adviser to each Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

     

Percentage of Average
Daily Net Assets

 

Fund

  

First

$1.5 billion

   

Over

$1.5 billion

 

Focused Growth ETF

     0.50     0.50

Short Duration Income ETF

     0.30     0.30

U.S. Equity Opportunities ETF

     0.70     0.70

Mid Cap ETF

     0.75     0.70

Select ETF

     0.70     0.70

Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.

 

Focused Growth ETF

  Loomis, Sayles & Company, L.P. (“Loomis Sayles”)

Short Duration Income ETF

  Loomis Sayles

U.S. Equity Opportunities ETF

  Harris Associates L.P. (“Harris”), Loomis Sayles

Mid Cap ETF

  Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”)

Select ETF

  Vaughan Nelson

Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC.

Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

 

         

Percentage of Average

Daily Net Assets

 

Fund

  

Subadviser

  

First

$1.5 billion

   

Over

$1.5 billion

 

Focused Growth ETF

   Loomis Sayles      0.25     0.25

Short Duration Income ETF

   Loomis Sayles      0.15     0.15

U.S. Equity Opportunities ETF

       

Large Cap Value Segment

   Harris      0.52     0.52

All Cap Growth Segment

   Loomis Sayles      0.40     0.40

Mid Cap ETF

   Vaughan Nelson      0.47     0.44

Select ETF

   Vaughan Nelson      0.47     0.47

Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.

Natixis Advisors has given a binding undertaking to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until April 30, 2026, may be terminated before then only with the consent of the Funds’ Board of Trustees, and is reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

 

|  48


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

For the six months ended (period ended for Focused Growth ETF) June 30, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

 

Fund

  

Expense Limit as a Percentage of
Average Daily Net Assets

 

Focused Growth ETF

     0.59

Short Duration Income ETF

     0.38

U.S. Equity Opportunities ETF

     0.85

Mid Cap ETF

     0.85

Select ETF

     0.80

Effective July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Short Duration Income ETF are as follows:

 

Fund

  

Expense Limit as a Percentage of
Average Daily Net Assets

 

Short Duration Income ETF

     0.35

This new undertaking is in effect until April 30, 2026, may be terminated before then only with the consent of the Funds’ Board of Trustees, and will be reevaluated on an annual basis.

Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) in later periods to the extent the annual operating expenses of a Fund fall below both (1) a Funds’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a Funds’ current applicable expense limitation ratio, provided, however, that a Fund is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the six months ended (period ended for Focused Growth ETF) June 30, 2023, the management fees and waiver of management fees for each Fund were as follows:

 

     

Gross
Management
Fees

    

Contractual
Waivers of
Management
Fees1

    

Net
Management
Fees

    

Percentage
of Average
Daily Net Assets

 

Fund

   Gross      Net  

Focused Growth ETF

   $ 144      $ 144      $   —        0.50     

Short Duration Income ETF

     54,364        54,364               0.30     

U.S. Equity Opportunities ETF

     32,028        32,028               0.70     

Mid Cap ETF

     27,349        27,349               0.75     

Select ETF

     70,441        70,441               0.70     

 

1

Management fee waiver is subject to possible recovery until December 31, 2024.

For the six months ended (period ended for Focused Growth ETF) June 30, 2023, expenses have been reimbursed as follows:

 

Fund

  

Reimbursements2

 

Focused Growth ETF

   $ 518  

Short Duration Income ETF

     42,569  

U.S. Equity Opportunities ETF

     34,117  

Mid Cap ETF

     54,561  

Select ETF

     9,395  

 

2

Expense reimbursement is subject to possible recovery until December 31, 2024.

No expenses were recovered for any of the Funds during the six months ended (period ended for Focused Growth ETF) June 30, 2023 under the terms of the expense limitation agreements.

b.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, the Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in

 

49  |


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended (period ended for Focused Growth ETF) June 30, 2023, the administrative fees for each Fund were as follows:

 

Fund

  

Administrative Fees

 

Focused Growth ETF

   $ 13  

Short Duration Income ETF

     8,397  

U.S. Equity Opportunities ETF

     2,120  

Mid Cap ETF

     1,690  

Select ETF

     4,663  

c.  Trustees Fees and Expenses.  The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, LLC (“Natixis Distribution”), Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

Certain officers and employees of Natixis Advisors and affiliates are also officers and/or Trustees of the Trusts.

d.  Affiliated Ownership.  As of June 30, 2023, the percentage of each Fund’s net assets owned by Natixis is as follows:

 

Fund

  

Percent of Net Assets

 

Focused Growth ETF

     94.01

U.S. Equity Opportunities ETF

     96.69

Mid Cap ETF

     61.97

Select ETF

     16.86

Investment activities of affiliated shareholders could have material impacts on the Funds.

7.  Transfer Agent, Custodian and Regulatory Filing Fees and Expenses.  State Street Bank, transfer agent, custodian and sub-administrator to the Funds, agreed to waive its fees and expenses for the first 12 months of operations for Focused Growth ETF. For the period ended June 30, 2023, total fees waived were $36.

8.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are

 

|  50


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the six months ended June 30, 2023, the Funds had no borrowings under this agreement.

9.  Payable to Custodian Bank.  The Fund’s custodian bank, State Street Bank, provides overdraft protection to the Fund in the event of a cash shortfall. Cash overdrafts may bear interest at a rate periodically determined by State Street Bank. At June 30, 2023, Focused Growth ETF had a payable of $4,740 to the custodian bank for an overdraft.

10.  Risk.  The Funds have exposure to certain types of risk as summarized below.

a.  Authorized Participant Concentration Risk.  Only an Authorized Participant may engage in creation or redemption transactions directly with the Funds. The Funds have a limited number of institutions that act as Authorized Participants, none of which are or will be obligated to engage in creation or redemption transactions. To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the Funds and no other Authorized Participant is able to step forward to create or redeem Creation Units, Fund shares may trade at a discount to NAV and possibly face trading halts and/or delisting.

b.  Premium/Discount Risk.  Shares of the Funds are listed for trading on the NYSE Arca and are bought and sold in the secondary market at market prices that may differ from their most recent NAV. The market value of the Funds’ shares will fluctuate, in some cases materially, in response to changes in the Funds’ NAV, the intraday value of the Funds’ holdings, and the relative supply and demand for the Funds’ shares on the exchange. Disruptions to creations and redemptions, the existence of extreme market volatility or potential lack of an active trading market for shares may result in shares trading at a significant premium or discount to NAV and/or in a reduced liquidity of your investment. If a shareholder purchases shares at a time when the market price is at a premium to the NAV or sells shares at a time when the market price is at a discount to the NAV, the shareholder may sustain losses.

c.  Secondary Market Trading Risk.  Investors buying or selling shares of the Funds in the secondary market will pay brokerage commissions or other charges imposed by broker-dealers as determined by that broker. Brokerage commissions are often a fixed amount and may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of shares.

d.  Trading Issues Risk.  Trading in shares on the NYSE Arca may be halted in certain circumstances. There can be no assurance that the requirements of the NYSE Arca necessary to maintain the listing of the Funds will continue to be met. Because U.S. Equity Opportunities ETF, Mid Cap ETF, Select ETF and Focused Growth ETF trade on the basis of a published Proxy Portfolio, they may trade at a wider bid/ask spread and may experience a wider premium/discount than traditional ETFs that publish their portfolios on a daily basis, and therefore, may cost investors more to trade especially during periods of market disruption or volatility.

e.  Non-Diversified Risk.  Focused Growth ETF and Select ETF are non-diversified, which means that the Funds are not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Funds may invest in the securities of a limited number of issuers, an investment in the Funds may involve a higher degree of risk than would be present in a diversified portfolio.

f.  Other.  Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These and any related events could significantly impact a Fund’s performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.

11.  Capital Shares.  Shares of the Funds may be acquired or redeemed directly from the Funds by Authorized Participants only in aggregations of 50,000 shares for Short Duration Income ETF and 10,000 shares for U.S. Equity Opportunities ETF, Mid Cap ETF, Select ETF and Focused Growth ETF (“Creation Units”), or multiples thereof. Each Authorized Participant enters into an Authorized Participant agreement with the Funds’ Distributor.

A creation transaction order, which is subject to acceptance by ALPS, generally takes place when an Authorized Participant deposits into the Funds a designated portfolio of securities and/or cash (including any portion of such securities for which cash may be substituted) and a specified amount of cash approximating the holdings of the Funds in exchange for a specified number of Creation Units.

 

51  |


Notes to Financial Statements (continued)

 

June 30, 2023 (Unaudited)

 

11.  Capital Shares (continued).

Similarly, shares can be redeemed only in Creation Units, generally for a designated portfolio of securities and/or cash (including any portion of such securities for which cash may be substituted) held by the Funds and a specified amount of cash. Except when aggregated in Creation Units, shares are not redeemable directly with the Funds.

The prices at which creations and redemptions occur are based on the next calculation of NAV after a creation or redemption order is received in an acceptable form under the Authorized Participant agreement. These prices may differ from the market price of the Fund’s shares.

The Funds may impose a creation transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees are included in capital share transactions on the Statements of Changes in Net Assets.

Transactions in capital shares were as follows:

 

     

Period Ended
June 30, 2023(a)

               

Focused Growth ETF

  

Shares

    

Amount

               

Issued from the sale of shares

     210,000      $ 5,250,000        
  

 

 

    

 

 

       

Increase from capital share transactions

     210,000      $ 5,250,000        
  

 

 

    

 

 

       

 

(a)

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

 

     

Six Months Ended
June 30, 2023

    

Year Ended
December 31, 2022

 

Short Duration Income ETF

  

Shares

    

Amount

    

Shares

    

Amount

 

Issued from the sale of shares

     100,000      $ 2,369,474        300,000      $ 7,253,504  

Redeemed

     (600,000      (14,129,082      (650,000      (15,631,321
  

 

 

    

 

 

    

 

 

    

 

 

 

Decrease from capital share transactions

     (500,000    $ (11,759,608      (350,000    $ (8,377,817
  

 

 

    

 

 

    

 

 

    

 

 

 

 

     

Six Months Ended
June 30, 2023

    

Year Ended
December 31, 2022

 

U.S. Equity Opportunities ETF

  

Shares

    

Amount

    

Shares

    

Amount

 

Issued from the sale of shares

     20,000      $ 538,229        90,000      $ 2,551,976  

Redeemed

     (20,000      (599,940      (70,000      (1,938,832
  

 

 

    

 

 

    

 

 

    

 

 

 

Increase (decrease) from capital share transactions

          $ (61,711      20,000      $ 613,144  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

     

Six Months Ended
June 30, 2023

    

Year Ended
December 31, 2022

 

Mid Cap ETF

  

Shares

    

Amount

    

Shares

    

Amount

 

Issued from the sale of shares

     10,000      $ 289,302        30,000      $ 924,259  

Redeemed

                   (50,000      (1,500,956
  

 

 

    

 

 

    

 

 

    

 

 

 

Increase (decrease) from capital share transactions

     10,000      $ 289,302        (20,000    $ (576,697
  

 

 

    

 

 

    

 

 

    

 

 

 

 

     

Six Months Ended
June 30, 2023

    

Year Ended
December 31, 2022

 

Select ETF

  

Shares

    

Amount

    

Shares

    

Amount

 

Issued from the sale of shares

     640,000      $ 17,431,671        340,000      $ 8,802,097  

Redeemed

     (40,000      (1,103,212      (70,000      (1,838,081
  

 

 

    

 

 

    

 

 

    

 

 

 

Increase from capital share transactions

     600,000      $ 16,328,459        270,000      $ 6,964,016  
  

 

 

    

 

 

    

 

 

    

 

 

 

12.  Subsequent Event.  On June 8, 2023, the Board of Trustees approved a plan to liquidate U.S. Equity Opportunities ETF. Liquidation took place on July 25, 2023.

 

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