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Semiannual Report

June 30, 2022

 

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     12
Financial Statements     24  
Notes to Financial Statements     32  

 

LOGO


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, 20223

 

                   Life of Fund
(Inception
12/28/17)
               
                 Expense Ratios4  
     6 Months     1 Year     Gross     Net  
NAV1     -3.75     -4.09     1.73     0.93     0.38
Market1     -3.63       -4.20       1.73                  
   
Comparative Performance            
Bloomberg U.S. Government/Credit 1-3 Year Bond Index2     -3.11       -3.56       1.16                  

 

 

 

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 4/30/25. 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 U.S. EQUITY OPPORTUNITIES ETF

 

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

 

*  

Effective August 1, 2022, M. Colin Hudson no longer serves as portfolio manager of the Fund.

**

Effective August 1, 2022, Robert F. Bierig serves as portfolio manager of the Fund.

 

 

Investment Goal

The Fund seeks long-term growth of capital.

 

 

Average Annual Total Returns — June 30, 20224

 

                   Life of Fund
(Inception
9/17/20)
               
                 Expense Ratios5  
     6 Months     1 Year     Gross     Net  
NAV1     -24.45     -21.27     4.36     2.07     0.90
Market1     -24.51       -21.31       4.38                  
   
Comparative Performance            
S&P 500® Index2     -19.96       -10.62       8.01        
Russell 1000® Index3     -20.94       -13.04       7.10                  

 

 

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 4/30/25. 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 VAUGHAN NELSON MID CAP ETF

 

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

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20223

 

                   Life of Fund
(Inception
9/17/20)
               
                 Expense Ratios4  
     6 Months    

1 Year

    Gross     Net  
NAV1     -14.48     -11.62     12.55     2.37     0.85
Market1     -14.53       -11.68       12.56                  
   
Comparative Performance            
Russell Midcap® Value Index2     -16.23       -10.00       13.49                  

 

 

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 4/30/25. 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 SELECT ETF

 

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

 

 

Investment Goal

The Fund seeks long-term capital appreciation.

 

 

Average Annual Total Returns — June 30, 20223

 

                   Life of Fund
(Inception
9/17/20)
               
                 Expense Ratios4  
     6 Months     1 Year     Gross     Net  
NAV1     -17.95     -3.74     14.03     3.05     0.80
Market1     -18.00       -3.82       14.03                  
   
Comparative Performance            
S&P 500® Index2     -19.96       -10.62       8.01                  

 

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 4/30/25. 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


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.

 

5  |


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, 2022 through June 30, 2022. 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 SHORT DURATION INCOME ETF   

BEGINNING
ACCOUNT VALUE
1/1/2022

    

ENDING
ACCOUNT VALUE
6/30/2022

    

EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022

 
Actual      $1,000.00        $962.50        $1.85  
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
1/1/2022

    

ENDING
ACCOUNT VALUE
6/30/2022

    

EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022

 
Actual      $1,000.00        $755.50        $3.92  
Hypothetical (5% return before expenses)      $1,000.00        $1,020.33        $4.51  

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 0.90%, 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).

 

|  6


NATIXIS VAUGHAN NELSON MID CAP ETF   

BEGINNING
ACCOUNT VALUE
1/1/2022

    

ENDING
ACCOUNT VALUE
6/30/2022

    

EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022

 
Actual      $1,000.00        $855.20        $3.91  
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
1/1/2022

    

ENDING
ACCOUNT VALUE
6/30/2022

    

EXPENSES PAID
DURING PERIOD*
1/1/2022 – 6/30/2022

 
Actual      $1,000.00        $820.50        $3.61  
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).

 

7  |


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.

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. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, total return information for various periods, and third-party performance rankings 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 2022. 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 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 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 new rules relating to the fair valuation of investments and the use of derivatives.

 

|  8


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 Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third party 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, 2021, 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  
Natixis Loomis Sayles Short Duration Income ETF      56      43
Natixis U.S. Equity Opportunities ETF      71      N/A  
Natixis Vaughan Nelson Select ETF      1      N/A  
Natixis Vaughan Nelson Mid Cap ETF      58      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 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 Fund’s more recent relative performance (i.e., for periods ending March 31, 2022) had shown improvement; (3) that the Fund had outperformed its relevant benchmark for the one-year period ended December 31, 2021; (4) that the longer-term performance (i.e., for the five- and ten-year periods ending March 31, 2022) for the corresponding mutual fund version of the Fund was strong, suggesting that the Fund’s investment process could result in strong long-term performance; and (5) that each Fund is relatively new and therefore has a limited performance history. The Board also considered information about the Funds’ more recent performance, including how that performance had been impacted by the Covid-19 crisis.

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 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 U.S. Equity Opportunities ETF, effective as of July 1, 2022. 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. They further noted that management had proposed to reduce the advisory fee rate for Natixis U.S. Equity Opportunities ETF.

The Trustees noted that each of Natixis U.S. Equity Opportunities ETF, Natixis Vaughan Nelson Select ETF and Natixis Vaughan Nelson Mid Cap 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

 

9  |


peer groupings for the corresponding mutual fund versions of the Semi-Transparent ETFs’ strategies; (2) that the advisory fee rate of the Fund had been reduced last year effective July 1, 2021 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 Select ETF, which is the same as the advisory fee rate for the Natixis Vaughan Nelson Select ETF, was 2 basis points higher than 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 Mid Cap ETF, which is the same as the advisory fee rate for the Natixis Vaughan Nelson Mid Cap ETF, was 1 basis points higher than its peer group, which management believes is competitive; (5) that management had proposed to reduce the advisory fee rate and the expense limitation of Natixis U.S. Equity Opportunities ETF; and (6) 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.

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. 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 U.S. Equity Opportunities 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 recent market and economic events, including but not limited to the Covid-19 crisis and its significant disruptions to the economy and business operations, as well as more recent market volatility, 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.

 

 

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, 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 also considered the benefits to the parent company of Natixis Advisors from the retention of the Advisers. 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, reflecting the reduction in the advisory fee for Natixis U.S. Equity Opportunities ETF described above, should be continued through June 30, 2023.

 

|  10


LIQUIDITY RISK MANAGEMENT PROGRAM

Annual Report for the Period Commencing on January 1, 2021 and ending December 31, 2021 (including updates through June 30, 2022)

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), 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, 2021 to December 31, 2021, 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, 2022 through June 30, 2022, 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.

 

11  |


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF

 

Principal
Amount
     Description    Value (†)  
  Bonds and Notes — 99.3% of Net Assets  
   ABS Car Loan — 15.9%

 

$ 176,329      American Credit Acceptance Receivables Trust, 0.990%, 12/15/2025, 144A(a)    $ 173,382  
  10,164      American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A      10,164  
  10,000      American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A      9,828  
  5,833      American Credit Acceptance Receivables Trust, Series 2021-2, Class A, 0.370%, 10/15/2024, 144A      5,827  
  17,150      American Credit Acceptance Receivables Trust, Series 2021-3, Class A, 0.330%, 6/13/2025, 144A      17,087  
  35,000      American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A      34,420  
  80,000      American Credit Acceptance Receivables Trust, Series 2021-3, Class C, 0.980%, 11/15/2027, 144A      76,721  
  11,156      AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024      11,157  
  17,206      AmeriCredit Automobile Receivables Trust, Series 2021-2, Class A2, 0.260%, 11/18/2024      17,123  
  20,000      AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027      18,861  
  55,000      AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027      50,311  
  85,000      AmeriCredit Automobile Receivables Trust, Series 2022-1, Class B, 2.770%, 4/19/2027(a)      81,611  
  40,000      AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028      40,085  
  100,000      Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A(a)      98,294  
  57,289      BMW Vehicle Lease Trust, Series 2021-2, Class A2, 0.190%, 11/27/2023(a)      56,922  
  90,000      Canadian Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025, 144A(a)      86,697  
  5,468      CarMax Auto Owner Trust, Series 2019-3, Class A3, 2.180%, 8/15/2024      5,447  
  20,000      CarMax Auto Owner Trust, Series 2021-1, Class A3, 0.340%, 12/15/2025      19,495  
  92,363      CarMax Auto Owner Trust, Series 2021-3, Class A2A, 0.290%, 9/16/2024(a)      91,781  
  135,000      CarMax Auto Owner Trust, Series 2021-3, Class A3, 0.550%, 6/15/2026(a)      129,699  
  26,687      Carvana Auto Receivables Trust, Series 2020-P1, Class A3, 0.440%, 6/09/2025      26,294  
  9,612      Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028      9,109  
  30,000      Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028      28,671  
  139,827      Carvana Auto Receivables Trust, Series 2021-P1, Class A3, 0.540%, 12/10/2025(a)      136,560  
  49,663      Carvana Auto Receivables Trust, Series 2021-P2, Class A2, 0.300%, 7/10/2024(a)      49,500  
  85,000      Carvana Auto Receivables Trust, Series 2021-P3, Class A3, 0.700%, 11/10/2026(a)      80,560  
  130,000      Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027(a)      122,972  
  40,956      CIG Auto Receivables Trust, Series 2021-1A, Class A, 0.690%, 4/14/2025, 144A      40,251  
  30,000      Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025      29,825  
  60,000      Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025      58,641  
  50,000      Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026      47,962  
   ABS Car Loan — continued

 

$ 389      DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A    $ 390  
  15,000      DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A      14,902  
  273      DT Auto Owner Trust, Series 2020-3A, Class A, 0.540%, 4/15/2024, 144A      273  
  35,000      DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A      34,026  
  9,143      DT Auto Owner Trust, Series 2021-1A, Class A, 0.350%, 1/15/2025, 144A      9,099  
  25,000      DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A      24,258  
  80,444      DT Auto Owner Trust, Series 2021-3A, Class A, 0.330%, 4/15/2025, 144A(a)      79,365  
  50,000      DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A      46,719  
  81,740      Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027, 144A(a)      78,124  
  20,475      Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A      20,453  
  30,000      Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025      29,743  
  30,000      Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025      29,540  
  80,000      Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026(a)      77,467  
  70,000      Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.860%, 12/15/2026      70,037  
  7,881      First Investors Auto Owner Trust, Series 2021-1A, Class A, 0.450%, 3/16/2026, 144A      7,777  
  90,000      First Investors Auto Owner Trust, Series 2022-1A, Class C, 3.130%, 5/15/2028, 144A      85,246  
  10,000      Flagship Credit Auto Trust, Series 2020-2, Class C, 3.800%, 4/15/2026, 144A      9,976  
  15,000      Flagship Credit Auto Trust, Series 2020-4, Class C, 1.280%, 2/16/2027, 144A      14,434  
  17,376      Flagship Credit Auto Trust, Series 2021-1, Class A, 0.310%, 6/16/2025, 144A      17,202  
  30,000      Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A      28,372  
  65,000      Flagship Credit Auto Trust, Series 2021-2, Class C, 1.270%, 6/15/2027, 144A      60,297  
  206,465      Flagship Credit Auto Trust, Series 2022-1, Class A, 1.790%, 10/15/2026, 144A(a)      200,960  
  55,000      Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025      53,537  
  105,000      Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026, 144A(a)      100,786  
  15,201      GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A      15,201  
  11,653      GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A      11,644  
  105,000      GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A(a)      100,392  
  18,572      GM Financial Automobile Leasing Trust, Series 2020-3, Class A3, 0.450%, 8/21/2023      18,515  
  188,038      GM Financial Automobile Leasing Trust, Series 2021-1, Class A3, 0.260%, 2/20/2024(a)      186,399  
  48,602      GM Financial Automobile Leasing Trust, Series 2021-2, Class A2, 0.220%, 7/20/2023(a)      48,473  
  80,000      GM Financial Automobile Leasing Trust, Series 2021-2, Class A3, 0.340%, 5/20/2024(a)      78,228  
  85,000      GM Financial Automobile Leasing Trust, Series 2022-2, Class A2, 2.930%, 10/21/2024(a)      84,757  

 

See accompanying notes to financial statements.

 

|  12


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

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

 

$ 60,000      GM Financial Consumer Automobile Receivables Trust, 2.520%, 5/16/2025    $ 59,656  
  9,275      GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024      9,274  
  20,000      GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025      19,539  
  90,523      GM Financial Consumer Automobile Receivables Trust, Series 2021-3, Class A2, 0.210%, 8/16/2024(a)      89,702  
  53,413      GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A2, 0.280%, 11/18/2024      52,775  
  25,000      Harley-Davidson Motorcycle Trust, 2.450%, 5/15/2025      24,805  
  10,782      Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3, 1.870%, 10/15/2024      10,761  
  34,241      Harley-Davidson Motorcycle Trust, Series 2021-A, Class A3, 0.370%, 4/15/2026      33,532  
  76,875      Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024(a)      75,974  
  58,458      Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.370%, 10/18/2024      57,483  
  30,000      Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025      29,341  
  58,770      Honda Auto Receivables Owner Trust, Series 2021-2, Class A2, 0.170%, 11/15/2023(a)      58,502  
  88,001      Hyundai Auto Lease Securitization Trust, Series 2021-B, Class A2, 0.190%, 10/16/2023, 144A(a)      87,415  
  78,177      Hyundai Auto Receivables Trust, Series 2021-B, Class A2, 0.240%, 5/15/2024(a)      77,586  
  88,431      Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A2, 0.220%, 1/16/2024(a)      87,952  
  60,000      Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A3, 0.400%, 11/15/2024      57,921  
  100,000      NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A(a)      98,446  
  145,000      NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.850%, 7/15/2026, 144A(a)      135,376  
  31,458      Nissan Auto Lease Trust, Series 2020-B, Class A3, 0.430%, 10/16/2023      31,331  
  83,802      Nissan Auto Lease Trust, Series 2021-A, Class A2, 0.300%, 12/15/2023(a)      83,020  
  85,158      Nissan Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 2/15/2024(a)      84,635  
  70,000      Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A      69,368  
  45,000      Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A      41,848  
  10,928      Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A, 1.370%, 10/15/2024, 144A      10,907  
  25,000      Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A      24,893  
  65,000      Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026      64,336  
  40,000      Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026      39,425  
  32,079      Santander Drive Auto Receivables Trust, Series 2021-2, Class A3, 0.340%, 2/18/2025      32,008  
  45,000      Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026      43,573  
  90,000      Santander Drive Auto Receivables Trust, Series 2021-3, Class B, 0.600%, 12/15/2025(a)      88,503  
  70,000      Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027      67,353  
  80,000      Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.130%, 8/16/2027(a)      79,068  
   ABS Car Loan — continued

 

$ 40,716      Santander Retail Auto Lease Trust, 0.970%, 3/20/2025, 144A    $ 39,810  
  82,191      Santander Retail Auto Lease Trust, Series 2021-B, Class A2, 0.310%, 1/22/2024, 144A(a)      81,523  
  160,000      Santander Retail Auto Lease Trust, Series 2021-B, Class A3, 0.510%, 8/20/2024, 144A(a)      153,958  
  95,000      Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026(a)      88,996  
  125,000      Toyota Lease Owner Trust, Series 2021-B, Class A3, 0.420%, 10/21/2024, 144A(a)      120,430  
  55,000      United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A      53,686  
  210,000      Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.020%, 6/22/2026(a)      200,963  
  25,000      Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A      24,702  
  15,000      Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025, 144A      14,652  
  42,115      Westlake Automobile Receivables Trust, Series 2021-2A, Class A2A, 0.320%, 4/15/2025, 144A      41,575  
  45,000      Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A      43,367  
  115,000      Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A      108,905  
  65,000      World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026      62,336  
  58,397      World Omni Auto Receivables Trust, Series 2021-C, Class A2, 0.220%, 9/16/2024      57,959  
  30,000      World Omni Automobile Lease Securitization Trust, 3.210%, 2/18/2025      29,588  
  30,622      World Omni Automobile Lease Securitization Trust, Series 2020-A, Class A3, 1.700%, 1/17/2023      30,606  
  82,004      World Omni Automobile Lease Securitization Trust, Series 2021-A, Class A2, 0.210%, 4/15/2024(a)      81,347  
  25,423      World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025      25,212  
  40,000      World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027      37,402  
     

 

 

 
        6,425,174  
     

 

 

 
   ABS Credit Card — 1.0%

 

  170,000      Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026(a)      160,211  
  125,000      Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A(a)      118,395  
  110,000      World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026(a)      109,991  
     

 

 

 
        388,597  
     

 

 

 
   ABS Other — 2.1%

 

  76,630      CNH Equipment Trust, Series 2021-B, Class A2, 0.220%, 8/15/2024(a)      75,907  
  68,511      DLLAA LLC, Series 2021-1A, Class A2, 0.360%, 5/17/2024, 144A(a)      67,622  
  20,199      GLS Auto Receivables Trust, Series 2021-2A, Class A, 0.310%, 11/15/2024, 144A      20,089  
  18,633      GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A2, 0.270%, 6/15/2023, 144A      18,526  
  109,160      HPEFS Equipment Trust, Series 2021-2A, Class AC, 0.300%, 9/20/2028, 144A(a)      108,329  
  142,705      Kubota Credit Owner Trust, Series 2021-2A, Class A2, 0.260%, 6/17/2024, 144A(a)      140,064  
  96,085      OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A(a)      95,811  

 

See accompanying notes to financial statements.

 

13  |


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   ABS Other — continued

 

$ 220,000      OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035, 144A(a)    $ 216,583  
  110,000      SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A(a)      106,338  
     

 

 

 
        849,269  
     

 

 

 
   ABS Student Loan — 0.3%

 

  140,724      Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A(a)      125,896  
     

 

 

 
   Aerospace & Defense — 0.1%

 

  20,000      Boeing Co. (The), 4.875%, 5/01/2025      19,926  
  20,000      Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025      19,692  
  2,000      Raytheon Technologies Corp., 3.650%, 8/16/2023      1,998  
     

 

 

 
        41,616  
     

 

 

 
   Agency Commercial Mortgage-Backed Securities — 0.1%

 

  25,749      FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL, 1-month LIBOR + 0.360%, 1.480%, 6/25/2027(b)      25,694  
  18,726      FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS, 30-day Average SOFR + 0.400%, 1.119%, 6/25/2027(b)      18,645  
  4,085      FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025      3,990  
     

 

 

 
        48,329  
     

 

 

 
   Airlines — 0.2%

 

  55,000      Southwest Airlines Co., 5.250%, 5/04/2025      56,036  
  15,000      United Airlines, Inc., 4.375%, 4/15/2026, 144A      13,218  
     

 

 

 
        69,254  
     

 

 

 
   Automotive — 2.4%

 

  40,000      American Honda Finance Corp., MTN, 0.650%, 9/08/2023      38,785  
  140,000      American Honda Finance Corp., MTN, 2.250%, 1/12/2029(a)      123,356  
  55,000      BMW U.S. Capital LLC, 3.450%, 4/12/2023, 144A      55,026  
  165,000      General Motors Financial Co., Inc., 2.350%, 2/26/2027      145,331  
  35,000      General Motors Financial Co., Inc., 3.800%, 4/07/2025      34,122  
  85,000      General Motors Financial Co., Inc., 5.000%, 4/09/2027      83,381  
  25,000      Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A      24,021  
  75,000      Hyundai Capital America, 0.875%, 6/14/2024, 144A      70,113  
  40,000      Hyundai Capital America, 2.375%, 2/10/2023, 144A      39,487  
  185,000      PACCAR Financial Corp., 2.850%, 4/07/2025(a)      181,320  
  25,000      PACCAR Financial Corp., MTN, 1.900%, 2/07/2023      24,793  
  15,000      PACCAR Financial Corp., MTN, 2.000%, 9/26/2022      14,975  
  100,000      Toyota Motor Credit Corp., 4.450%, 6/29/2029      101,215  
  50,000      Toyota Motor Credit Corp., MTN, 0.450%, 7/22/2022      49,962  
     

 

 

 
        985,887  
     

 

 

 
   Banking — 14.9%

 

  135,000      Ally Financial, Inc., 4.750%, 6/09/2027      129,640  
  115,000      American Express Co., 2.550%, 3/04/2027      107,154  
  60,000      American Express Co., 4.050%, 5/03/2029      58,827  
  200,000      Banco Santander S.A., 3.892%, 5/24/2024(a)      198,952  
  110,000      Bank of America Corp., (fixed rate to 4/02/2025, variable rate thereafter), MTN, 3.384%, 4/02/2026(a)      106,623  
  35,000      Bank of Montreal, SOFR Index + 0.350%, 1.772%, 12/08/2023(b)      34,649  
  175,000      Bank of Montreal, MTN, 1.500%, 1/10/2025(a)      165,151  
  20,000      Bank of Montreal, MTN, 2.650%, 3/08/2027      18,525  
  35,000      Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025      32,942  
  145,000      Bank of Nova Scotia (The), 0.700%, 4/15/2024(a)      137,477  
   Banking — continued

 

$ 55,000      Bank of Nova Scotia (The), 1.950%, 2/01/2023    $ 54,618  
  95,000      Bank of Nova Scotia (The), 3.450%, 4/11/2025      93,746  
  15,000      Canadian Imperial Bank of Commerce, 0.950%, 6/23/2023      14,567  
  95,000      Canadian Imperial Bank of Commerce, 1.000%, 10/18/2024      88,652  
  70,000      Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023      69,966  
  85,000      Capital One Financial Corp., 3.200%, 1/30/2023      85,043  
  160,000      Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024      153,327  
  55,000      Capital One Financial Corp., (fixed rate to 5/10/2027, variable rate thereafter), 4.927%, 5/10/2028      54,471  
  15,000      Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025      14,052  
  55,000      Citigroup, Inc., (fixed rate to 5/24/2027, variable rate thereafter), 4.658%, 5/24/2028      54,576  
  95,000      Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037      93,760  
  75,000      Comerica, Inc., 3.700%, 7/31/2023      74,950  
  85,000      Commonwealth Bank of Australia, 2.552%, 3/14/2027, 144A      79,373  
  225,000      Danske Bank A/S, (fixed rate to 3/28/2024, variable rate thereafter), 3.773%, 3/28/2025, 144A(a)      221,291  
  165,000      Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028      142,826  
  150,000      Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025      140,168  
  225,000      DNB Bank ASA, (fixed rate to 3/28/2024, variable rate thereafter), 2.968%, 3/28/2025, 144A(a)      220,178  
  220,000      Fifth Third Bancorp, (fixed rate to 4/25/2027, variable rate thereafter), 4.055%, 4/25/2028(a)      214,498  
  105,000      Goldman Sachs Group, Inc. (The), (fixed rate to 10/21/2026, variable rate thereafter), 1.948%, 10/21/2027      92,981  
  85,000      Goldman Sachs Group, Inc. (The), (fixed rate to 11/17/2022, variable rate thereafter), 0.627%, 11/17/2023      83,781  
  205,000      HSBC Holdings PLC, (fixed rate to 11/22/2026, variable rate thereafter), 2.251%, 11/22/2027(a)      182,648  
  175,000      JPMorgan Chase & Co., (fixed rate to 4/26/2025, variable rate thereafter), 4.080%, 4/26/2026(a)      172,817  
  85,000      KeyCorp, MTN, (fixed rate to 5/23/2024, variable rate thereafter), 3.878%, 5/23/2025      84,371  
  200,000      Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026(a)      194,711  
  80,000      Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A      79,755  
  120,000      Macquarie Group Ltd., (fixed rate to 10/14/2024, variable rate thereafter), 1.201%, 10/14/2025, 144A      111,260  
  110,000      Mitsubishi UFJ Financial Group, Inc., 2.665%, 7/25/2022      110,020  
  235,000      Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028(a)      211,818  
  120,000      Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024(a)      117,631  
  75,000      Northern Trust Corp., 4.000%, 5/10/2027      75,451  
  220,000      Royal Bank of Canada, 3.625%, 5/04/2027(a)      213,244  
  20,000      Royal Bank of Canada, GMTN, 0.750%, 10/07/2024      18,676  
  60,000      Royal Bank of Canada, GMTN, SOFR Index + 0.300%, 1.188%, 1/19/2024(b)      59,311  
  55,000      Santander Holdings USA, Inc., 3.450%, 6/02/2025      52,889  
  200,000      Societe Generale S.A., 4.677%, 6/15/2027, 144A      198,714  

 

See accompanying notes to financial statements.

 

|  14


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   Banking — continued

 

$ 235,000      Societe Generale S.A., (fixed rate to 1/19/2027, variable rate thereafter), 2.797%, 1/19/2028, 144A(a)    $ 209,848  
  85,000      State Street Corp., (fixed rate to 2/07/2027, variable rate thereafter), 2.203%, 2/07/2028      77,840  
  210,000      Swedbank AB, 3.356%, 4/04/2025, 144A(a)      206,325  
  15,000      Synchrony Financial, 4.375%, 3/19/2024      14,909  
  125,000      Synchrony Financial, 4.875%, 6/13/2025      123,601  
  150,000      Toronto-Dominion Bank, 4.108%, 6/08/2027      148,330  
  40,000      Toronto-Dominion Bank (The), MTN, SOFR + 0.240%, 0.962%, 1/06/2023(b)      39,867  
  190,000      Wells Fargo & Co., (fixed rate to 4/25/2025, variable rate thereafter), MTN, 3.908%, 4/25/2026(a)      186,862  
  115,000      Westpac Banking Corp., 3.735%, 8/26/2025(a)      114,597  
     

 

 

 
        6,042,259  
     

 

 

 
   Brokerage — 0.8%

 

  70,000      Blackstone Holdings Finance Co. LLC, 1.625%, 8/05/2028, 144A      59,139  
  60,000      Charles Schwab Corp. (The), 2.450%, 3/03/2027      55,957  
  235,000      Nomura Holdings, Inc., 2.329%, 1/22/2027(a)      208,069  
     

 

 

 
        323,165  
     

 

 

 
   Building Materials — 0.2%

 

  85,000      Fortune Brands Home & Security, Inc., 4.000%, 3/25/2032      75,168  
     

 

 

 
   Chemicals — 0.2%

 

  50,000      Albemarle Corp., 4.650%, 6/01/2027      49,205  
  35,000      Cabot Corp., 5.000%, 6/30/2032      33,980  
     

 

 

 
        83,185  
     

 

 

 
   Collateralized Mortgage Obligations — 0.9%

 

  939      Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c)(d)      889  
  635      Government National Mortgage Association, Series 2012-H28, Class FA, 1-month LIBOR + 0.580%, 1.383%, 9/20/2062(b)(c)(d)      613  
  1,245      Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)(d)      1,180  
  3,497      Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)(d)      3,445  
  13,050      Government National Mortgage Association, Series 2016-H13, Class FT, 1-month LIBOR + 0.580%, 1.383%, 5/20/2066(b)(c)(d)      12,926  
  3,864      Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 1.003%, 10/20/2064(b)(c)(d)      3,821  
  34,698      Government National Mortgage Association, Series 2019-H01, Class FJ, 1-month LIBOR + 0.300%, 1.103%, 9/20/2068(b)(c)(d)      34,312  
  31,821      Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 1.203%, 10/20/2068(b)      31,604  
  45,001      Government National Mortgage Association, Series 2019-H0A, Class FT, 1-year CMT + 0.430%, 2.460%, 4/20/2069(b)      45,026  
  89,063      Government National Mortgage Association, Series 2019-H13, Class FT, 1-year CMT + 0.450%, 2.480%, 8/20/2069(a)(b)      89,002  
  154,264      Government National Mortgage Association, Series 2020-HO1, Class FT, 1-year CMT + 0.500%, 0.710%, 1/20/2070(a)(b)      155,155  
     

 

 

 
        377,973  
     

 

 

 
   Construction Machinery — 0.6%

 

$ 75,000      Caterpillar Financial Services Corp., MTN, 1.950%, 11/18/2022    $ 75,056  
  80,000      CNH Industrial Capital LLC, 1.950%, 7/02/2023      78,186  
  110,000      CNH Industrial Capital LLC, 3.950%, 5/23/2025      108,836  
     

 

 

 
        262,078  
     

 

 

 
   Consumer Cyclical Services — 0.1%

 

  31,000      Expedia Group, Inc., 6.250%, 5/01/2025, 144A      31,927  
     

 

 

 
   Consumer Products — 0.3%

 

  105,000      Brunswick Corp., 4.400%, 9/15/2032      90,723  
  30,000      Newell Brands, Inc., 4.100%, 4/01/2023      29,738  
     

 

 

 
        120,461  
     

 

 

 
   Diversified Manufacturing — 0.2%

 

  35,000      Amphenol Corp., 2.050%, 3/01/2025      33,435  
  60,000      Parker-Hannifin Corp., 4.250%, 9/15/2027      59,581  
     

 

 

 
        93,016  
     

 

 

 
   Electric — 5.3%

 

  45,000      AES Corp. (The), 3.300%, 7/15/2025, 144A      42,209  
  25,000      Alliant Energy Finance LLC, 3.750%, 6/15/2023, 144A      25,018  
  60,000      American Electric Power Co., Inc., 2.031%, 3/15/2024      58,043  
  65,000      American Electric Power Co., Inc., Series A, 3-month LIBOR + 0.480%, 1.766%, 11/01/2023(b)      64,534  
  85,000      Consolidated Edison, Inc., Series A, 0.650%, 12/01/2023      81,737  
  30,000      Dominion Energy, Inc., 3.071%, 8/15/2024      29,289  
  65,000      Dominion Energy, Inc., Series D, 3-month LIBOR + 0.530%, 2.359%, 9/15/2023(b)      64,707  
  5,000      Edison International, 4.950%, 4/15/2025      5,013  
  200,000      Enel Finance International NV, 4.625%, 6/15/2027, 144A      196,750  
  200,000      Entergy Louisiana LLC, 0.950%, 10/01/2024(a)      187,813  
  85,000      Eversource Energy, 4.600%, 7/01/2027      85,680  
  45,000      Eversource Energy, Series N, 3.800%, 12/01/2023      45,092  
  175,000      Fells Point Funding Trust, 3.046%, 1/31/2027, 144A      161,372  
  105,000      National Rural Utilities Cooperative Finance Corp., 1.875%, 2/07/2025      100,324  
  125,000      NextEra Energy Capital Holdings, Inc., 3-month LIBOR + 0.270%, 1.775%, 2/22/2023(b)      124,218  
  15,000      Pacific Gas & Electric Co., SOFR Index + 1.150%, 2.371%, 11/14/2022(b)      14,939  
  110,000      Pacific Gas & Electric Co., 3.250%, 2/16/2024      107,137  
  65,000      Southern California Edison Co., 1.100%, 4/01/2024      61,834  
  40,000      Southern California Edison Co., SOFR + 0.470%, 1.845%, 12/02/2022(b)      39,912  
  135,000      Southern California Edison Co., Series D, 4.700%, 6/01/2027      135,243  
  35,000      Southern Co. (The), 5.113%, 8/01/2027      35,291  
  85,000      Southern Co. (The), Series 21-A, 0.600%, 2/26/2024      80,444  
  195,000      Vistra Operations Co. LLC, 5.125%, 5/13/2025, 144A      193,228  
  110,000      WEC Energy Group, Inc., 0.800%, 3/15/2024      104,455  
  90,000      Xcel Energy, Inc., 0.500%, 10/15/2023      86,600  
     

 

 

 
        2,130,882  
     

 

 

 
   Finance Companies — 2.8%

 

  80,000      Air Lease Corp., 0.800%, 8/18/2024      73,255  
  40,000      Air Lease Corp., MTN, 0.700%, 2/15/2024      37,763  
  40,000      Aircastle Ltd., 2.850%, 1/26/2028, 144A      33,067  
  30,000      Ares Capital Corp., 2.875%, 6/15/2028      23,767  
  70,000      Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A      69,395  
  35,000      Avolon Holdings Funding Ltd., 5.500%, 1/15/2026, 144A      33,960  
  60,000      Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026      51,366  

 

See accompanying notes to financial statements.

 

15  |


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   Finance Companies — continued

 

$ 20,000      Barings BDC, Inc., 3.300%, 11/23/2026, 144A    $ 17,349  
  20,000      Blackstone Private Credit Fund, 1.750%, 9/15/2024, 144A      18,476  
  125,000      Blackstone Private Credit Fund, 2.625%, 12/15/2026, 144A      104,729  
  70,000      Blackstone Secured Lending Fund, 2.850%, 9/30/2028      56,450  
  65,000      FS KKR Capital Corp., 3.250%, 7/15/2027      55,309  
  15,000      FS KKR Capital Corp., 4.250%, 2/14/2025, 144A      14,141  
  110,000      Golub Capital BDC, Inc., 2.500%, 8/24/2026      92,073  
  70,000      Hercules Capital, Inc., 3.375%, 1/20/2027      61,282  
  90,000      Main Street Capital Corp., 3.000%, 7/14/2026      78,531  
  75,000      Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027, 144A      68,060  
  50,000      Oaktree Specialty Lending Corp., 3.500%, 2/25/2025      47,376  
  30,000      Owl Rock Capital Corp., 3.750%, 7/22/2025      27,747  
  70,000      Owl Rock Core Income Corp., 5.500%, 3/21/2025, 144A      67,202  
  110,000      Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A      103,399  
     

 

 

 
        1,134,697  
     

 

 

 
   Financial Other — 0.3%

 

  55,000      Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027      48,721  
  85,000      ORIX Corp., 2.900%, 7/18/2022      85,000  
     

 

 

 
        133,721  
     

 

 

 
   Food & Beverage — 1.0%

 

  135,000      JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.125%, 2/01/2028, 144A      131,830  
  60,000      Keurig Dr Pepper, Inc., 0.750%, 3/15/2024      57,056  
  225,000      Keurig Dr Pepper, Inc., 3.950%, 4/15/2029      214,647  
     

 

 

 
        403,533  
     

 

 

 
   Gaming — 0.2%

 

  65,000      GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025      63,745  
     

 

 

 
   Government Owned – No Guarantee — 0.5%

 

  200,000      NBN Co. Ltd., 0.875%, 10/08/2024, 144A(a)      186,707  
     

 

 

 
   Health Insurance — 0.3%

 

  125,000      Humana, Inc., 0.650%, 8/03/2023      120,930  
     

 

 

 
   Healthcare — 0.6%

 

  70,000      Baxter International, Inc., 2.272%, 12/01/2028      61,301  
  55,000      Cigna Corp., 3.750%, 7/15/2023      55,119  
  145,000      Illumina, Inc., 0.550%, 3/23/2023      141,951  
     

 

 

 
        258,371  
     

 

 

 
   Home Construction — 0.0%

 

  20,000      Forestar Group, Inc., 3.850%, 5/15/2026, 144A      16,436  
     

 

 

 
   Independent Energy — 0.3%

 

  55,000      EQT Corp., 6.625%, 2/01/2025      56,580  
  50,000      Pioneer Natural Resources Co., 0.550%, 5/15/2023      48,732  
     

 

 

 
        105,312  
     

 

 

 
   Life Insurance — 6.3%

 

  25,000      AIG Global Funding, 0.650%, 6/17/2024, 144A      23,493  
  95,000      AIG Global Funding, 2.300%, 7/01/2022, 144A      95,000  
  125,000      Athene Global Funding, 1.716%, 1/07/2025, 144A      116,639  
  80,000      Athene Global Funding, 2.500%, 3/24/2028, 144A      68,713  
  95,000      Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A      91,382  
  120,000      Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A      111,579  
  95,000      Corebridge Financial, Inc., 3.650%, 4/05/2027, 144A      89,303  
  95,000      Equitable Financial Life Global Funding, 0.500%, 4/06/2023, 144A      92,879  
   Life Insurance — continued

 

$ 42,000      Equitable Holdings, Inc., 3.900%, 4/20/2023    $ 42,209  
  200,000      F&G Global Funding, 0.900%, 9/20/2024, 144A(a)      185,458  
  120,000      F&G Global Funding, 5.150%, 7/07/2025, 144A      120,704  
  10,000      Globe Life, Inc., 4.800%, 6/15/2032      9,825  
  40,000      Guardian Life Global Funding, 1.100%, 6/23/2025, 144A      36,923  
  45,000      Guardian Life Global Funding, 3.400%, 4/25/2023, 144A      45,089  
  55,000      Jackson Financial, Inc., 5.170%, 6/08/2027      54,523  
  20,000      Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A      19,826  
  45,000      Lincoln National Corp., 3.400%, 3/01/2032      39,363  
  150,000      Met Tower Global Funding, 0.700%, 4/05/2024, 144A(a)      142,212  
  235,000      Metropolitan Life Global Funding I, 1.875%, 1/11/2027, 144A(a)      212,845  
  120,000      New York Life Global Funding, SOFR + 0.220%, 1.296%, 2/02/2023, 144A(a)(b)      119,611  
  145,000      Northwestern Mutual Global Funding, 0.600%, 3/25/2024, 144A(a)      137,793  
  200,000      Pricoa Global Funding I, 1.200%, 9/01/2026, 144A(a)      178,313  
  175,000      Principal Life Global Funding II, 0.500%, 1/08/2024, 144A(a)      166,584  
  150,000      Protective Life Global Funding, 0.502%, 4/12/2023, 144A(a)      146,566  
  45,000      Reliance Standard Life Global Funding II, 2.150%, 1/21/2023, 144A      44,532  
  90,000      RGA Global Funding, 2.700%, 1/18/2029, 144A      79,625  
  70,000      Security Benefit Global Funding, 1.250%, 5/17/2024, 144A      66,390  
     

 

 

 
        2,537,379  
     

 

 

 
   Lodging — 0.2%

 

  65,000      Hyatt Hotels Corp., 1.300%, 10/01/2023      62,944  
  30,000      Hyatt Hotels Corp., (Step to 5.625% on 4/23/2022), 5.625%, 4/23/2025      30,386  
     

 

 

 
        93,330  
     

 

 

 
   Media Entertainment — 0.7%

 

  70,000      Magallanes, Inc., 3.428%, 3/15/2024, 144A      68,625  
  220,000      Take-Two Interactive Software, Inc., 3.300%, 3/28/2024      217,066  
     

 

 

 
        285,691  
     

 

 

 
   Metals & Mining — 0.4%

 

  80,000      FMG Resources August Pty Ltd., 6.125%, 4/15/2032, 144A      72,000  
  65,000      Glencore Funding LLC, 4.125%, 3/12/2024, 144A      64,674  
  45,000      Nucor Corp., 3.950%, 5/23/2025      44,748  
     

 

 

 
        181,422  
     

 

 

 
   Midstream — 1.7%

 

  125,000      Enbridge, Inc., SOFR + 0.400%, 1.639%, 2/17/2023(b)      124,330  
  100,000      Enbridge, Inc., 2.150%, 2/16/2024      97,043  
  30,000      EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A      28,819  
  55,000      Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A      51,353  
  90,000      MPLX LP, 3.375%, 3/15/2023      89,749  
  120,000      Targa Resources Corp., 5.200%, 7/01/2027      120,519  
  200,000      TransCanada PipeLines Ltd., 1.000%, 10/12/2024(a)      186,549  
     

 

 

 
        698,362  
     

 

 

 
   Natural Gas — 0.8%

 

  60,000      Atmos Energy Corp., 0.625%, 3/09/2023      58,935  
  75,000      CenterPoint Energy Resources Corp., 0.700%, 3/02/2023      73,447  
  140,000      ONE Gas, Inc., 0.850%, 3/11/2023      136,922  
  40,000      Sempra Energy, 3.700%, 4/01/2029      37,564  
     

 

 

 
        306,868  
     

 

 

 

 

See accompanying notes to financial statements.

 

|  16


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
   Non-Agency Commercial Mortgage-Backed Securities — 1.3%

 

$ 107,610      Benchmark Mortgage Trust, Series 2019-B10, Class A1, 2.793%, 3/15/2062(a)    $ 106,071  
  95,000      BPR Trust, Series 2022-SSP, Class A, 1-month Term SOFR + 3.000%, 4.279%, 5/15/2039, 144A(b)      95,000  
  100,000      Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a)      94,511  
  120,000      Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A      118,869  
  100,000      Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.295%, 8/15/2046(a)(e)      99,516  
     

 

 

 
        513,967  
     

 

 

 
   Packaging — 0.5%

 

  40,000      Amcor Flexibles North America, Inc., 4.000%, 5/17/2025      39,559  
  165,000      Sonoco Products Co., 1.800%, 2/01/2025      154,866  
     

 

 

 
        194,425  
     

 

 

 
   Pharmaceuticals — 1.4%

 

  95,000      AstraZeneca PLC, 3.500%, 8/17/2023      95,269  
  80,000      Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A      78,556  
  10,000      Bristol-Myers Squibb Co., 2.000%, 8/01/2022      9,997  
  70,000      Bristol-Myers Squibb Co., 3.550%, 8/15/2022      70,087  
  70,000      CSL UK Holdings Ltd., 3.850%, 4/27/2027, 144A      69,341  
  245,000      Roche Holdings, Inc., 2.132%, 3/10/2025, 144A(a)      236,374  
     

 

 

 
        559,624  
     

 

 

 
   Property & Casualty Insurance — 0.6%

 

  30,000      Allstate Corp. (The), 3-month LIBOR + 0.630%, 2.862%, 3/29/2023(b)      29,836  
  80,000      AON Corp., 2.200%, 11/15/2022      79,823  
  34,000      Assurant, Inc., 4.200%, 9/27/2023      34,234  
  15,000      Brown & Brown, Inc., 4.200%, 3/17/2032      13,654  
  35,000      Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A      32,066  
  35,000      Willis North America, Inc., 4.650%, 6/15/2027      34,427  
     

 

 

 
        224,040  
     

 

 

 
   Railroads — 0.2%

 

  100,000      Canadian Pacific Railway Co., 1.350%, 12/02/2024      94,070  
     

 

 

 
   REITs – Mortgage — 0.3%

 

  45,000      Starwood Property Trust, Inc., 5.500%, 11/01/2023, 144A      44,494  
  95,000      Starwood Property Trust, Inc., Series 2022-17, Class IO, 3.750%, 12/31/2024, 144A      86,450  
     

 

 

 
        130,944  
     

 

 

 
   REITs – Office Property — 0.2%

 

  65,000      Office Properties Income Trust, 3.450%, 10/15/2031      48,689  
  55,000      Office Properties Income Trust, 4.500%, 2/01/2025      52,698  
     

 

 

 
        101,387  
     

 

 

 
   REITs – Shopping Centers — 0.1%

 

  40,000      Federal Realty OP LP, 3.950%, 1/15/2024      39,915  
     

 

 

 
   REITs – Storage — 0.1%

 

  30,000      Extra Space Storage LP, 3.900%, 4/01/2029      28,093  
     

 

 

 
   Retailers — 1.2%

 

  65,000      7-Eleven, Inc., 0.625%, 2/10/2023, 144A      63,737  
  220,000      Amazon.com, Inc., 3.300%, 4/13/2027(a)      215,832  
  50,000      O’Reilly Automotive, Inc., 4.700%, 6/15/2032      49,796  
  20,000      Tapestry, Inc., 3.050%, 3/15/2032      16,294  
  135,000      Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023      130,570  
     

 

 

 
        476,229  
     

 

 

 
   Technology — 3.3%

 

$ 55,000      Avnet, Inc., 5.500%, 6/01/2032    $ 53,965  
  60,000      Broadcom, Inc., 4.000%, 4/15/2029, 144A      55,596  
  80,000      Dell International LLC/EMC Corp., 5.850%, 7/15/2025      82,505  
  60,000      Global Payments, Inc., 1.500%, 11/15/2024      56,325  
  110,000      HP, Inc., 4.000%, 4/15/2029      103,057  
  90,000      HP, Inc., 4.750%, 1/15/2028      88,932  
  80,000      Infor, Inc., 1.450%, 7/15/2023, 144A      77,830  
  75,000      Jabil, Inc., 4.250%, 5/15/2027      72,774  
  90,000      KLA Corp., 4.650%, 7/15/2032      91,813  
  90,000      Marvell Technology, Inc., 4.200%, 6/22/2023      89,864  
  75,000      Microchip Technology, Inc., 2.670%, 9/01/2023      73,750  
  35,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027      32,430  
  15,000      NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027      14,766  
  55,000      PayPal Holdings, Inc., 3.900%, 6/01/2027      54,806  
  25,000      Qorvo, Inc., 1.750%, 12/15/2024, 144A      23,353  
  65,000      Seagate HDD Cayman, 4.875%, 3/01/2024      64,145  
  80,000      Skyworks Solutions, Inc., 0.900%, 6/01/2023      77,321  
  175,000      VMware, Inc., 0.600%, 8/15/2023      169,132  
  20,000      Western Digital Corp., 2.850%, 2/01/2029      16,284  
  55,000      Western Union Co. (The), 4.250%, 6/09/2023      55,007  
     

 

 

 
        1,353,655  
     

 

 

 
   Tobacco — 0.5%

 

  225,000      BAT International Finance PLC, 4.448%, 3/16/2028(a)      212,998  
     

 

 

 
   Transportation Services — 1.0%

 

  50,000      Element Fleet Management Corp., 3.850%, 6/15/2025, 144A      49,111  
  30,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A      30,111  
  90,000      Penske Truck Leasing Co. LP/PTL Finance Corp., 4.400%, 7/01/2027, 144A      88,224  
  55,000      Ryder System, Inc., 2.850%, 3/01/2027      51,272  
  25,000      Ryder System, Inc., MTN, 4.300%, 6/15/2027      24,631  
  50,000      Ryder System, Inc., MTN, 4.625%, 6/01/2025      50,265  
  100,000      Triton Container International Ltd., 0.800%, 8/01/2023, 144A      94,819  
     

 

 

 
        388,433  
     

 

 

 
   Treasuries — 26.4%

 

  1,960,000      U.S. Treasury Note, 0.125%, 3/31/2023(a)      1,921,948  
  705,000      U.S. Treasury Note, 0.125%, 4/30/2023(a)      689,137  
  1,880,000      U.S. Treasury Note, 0.125%, 7/31/2023(a)      1,823,600  
  4,925,000      U.S. Treasury Note, 2.500%, 5/31/2024      4,880,560  
  1,395,000      U.S. Treasury Note, 2.625%, 5/31/2027      1,368,626  
     

 

 

 
        10,683,871  
     

 

 

 
   Wireless — 0.2%

 

  95,000      Crown Castle International Corp., 2.900%, 3/15/2027      87,604  
     

 

 

 
   Wirelines — 0.3%

 

  85,000      Bell Telephone Co. of Canada/Bell Canada (The), 0.750%, 3/17/2024      80,946  
  50,000      Verizon Communications, Inc., 3.000%, 3/22/2027      47,491  
     

 

 

 
        128,437  
     

 

 

 
   Total Bonds and Notes
(Identified Cost $41,559,174)
     40,218,332  
     

 

 

 

 

See accompanying notes to financial statements.

 

17  |


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF – (continued)

 

Principal
Amount
     Description    Value (†)  
  Short-Term Investments – 0.9%  
$ 369,830      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $369,834 on 7/01/2022 collateralized by $391,400 U.S. Treasury Note, 2.250% due 8/15/2027 valued at $377,316 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $369,830)
   $ 369,830  
     

 

 

 
     
   Total Investments — 100.2%
(Identified Cost $41,929,004)
     40,588,162  
   Other assets less liabilities — (0.2)%      (75,340
     

 

 

 
   Net Assets — 100.0%    $ 40,512,822  
     

 

 

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

 

  (a)      Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

 

  (b)      Variable rate security. Rate as of June 30, 2022 is disclosed.

 

  (c)      Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.

 

  (d)      Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $57,186 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.

 

  (e)      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, 2022 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, 2022, the value of Rule 144A holdings amounted to $10,799,456 or 26.7% of net assets.

 

  ABS      Asset-Backed Securities

 

  CMT      Constant Maturity Treasury

 

  FHLMC      Federal Home Loan Mortgage Corp.

 

  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, 2022, open long futures contracts were as follows:

 

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

2 Year U.S. Treasury Note

    9/30/2022       36     $ 7,601,753     $ 7,560,562     $ (41,191
         

 

 

 

At June 30, 2022, open short futures contracts were as follows:

 

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

10 Year U.S. Treasury Note

    9/21/2022       33     $ 3,967,077     $ 3,911,531     $ 55,546  

5 Year U.S. Treasury Note

    9/30/2022       3       340,057       336,750       3,307  
         

 

 

 

Total

          $ 58,853  
         

 

 

 

Industry Summary at June 30, 2022 (Unaudited)

 

Treasuries

     26.4

ABS Car Loan

     15.9  

Banking

     14.9  

Life Insurance

     6.3  

Electric

     5.3  

Technology

     3.3  

Finance Companies

     2.8  

Automotive

     2.4  

ABS Other

     2.1  

Other Investments, less than 2% each

     19.9  

Short-Term Investments

     0.9  
  

 

 

 

Total Investments

     100.2  

Other assets less liabilities (including futures contracts)

     (0.2
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  18


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis U.S. Equity Opportunities ETF

 

    
Shares
     Description    Value (†)  
  Common Stocks — 97.6% of Net Assets  
   Aerospace & Defense — 1.8%

 

  1,025      Boeing Co. (The)(a)    $ 140,138  
     

 

 

 
   Air Freight & Logistics — 0.6%

 

  523      Expeditors International of Washington, Inc.      50,972  
     

 

 

 
   Automobiles — 2.2%

 

  2,547      General Motors Co.(a)      80,893  
  139      Tesla, Inc.(a)      93,605  
     

 

 

 
        174,498  
     

 

 

 
   Banks — 3.7%

 

  3,585      Citigroup, Inc.      164,874  
  3,387      Wells Fargo & Co.      132,669  
     

 

 

 
        297,543  
     

 

 

 
   Beverages — 2.6%

 

  117      Boston Beer Co., Inc. (The), Class A(a)      35,448  
  1,849      Monster Beverage Corp.(a)      171,402  
     

 

 

 
        206,850  
     

 

 

 
   Biotechnology — 4.9%

 

  595      Alnylam Pharmaceuticals, Inc.(a)      86,781  
  468      BioMarin Pharmaceutical, Inc.(a)      38,783  
  678      CRISPR Therapeutics AG(a)      41,202  
  383      Regeneron Pharmaceuticals, Inc.(a)      226,403  
     

 

 

 
        393,169  
     

 

 

 
   Capital Markets — 9.2%

 

  2,786      Charles Schwab Corp. (The)      176,019  
  163      FactSet Research Systems, Inc.      62,685  
  1,165      Intercontinental Exchange, Inc.      109,557  
  3,435      KKR & Co., Inc.      159,006  
  135      MSCI, Inc.      55,640  
  1,025      SEI Investments Co.      55,371  
  1,849      State Street Corp.      113,991  
     

 

 

 
        732,269  
     

 

 

 
   Consumer Finance — 6.6%

 

  6,044      Ally Financial, Inc.      202,534  
  981      American Express Co.      135,986  
  1,766      Capital One Financial Corp.      184,000  
     

 

 

 
        522,520  
     

 

 

 
   Entertainment — 3.1%

 

  914      Netflix, Inc.(a)      159,831  
  925      Walt Disney Co. (The)(a)      87,320  
     

 

 

 
        247,151  
     

 

 

 
   Health Care Equipment & Supplies — 0.3%

 

  135      Intuitive Surgical, Inc.(a)      27,096  
     

 

 

 
   Health Care Providers & Services — 1.6%

 

  765      HCA Healthcare, Inc.      128,566  
     

 

 

 
   Health Care Technology — 1.7%

 

  2,027      Doximity, Inc., Class A(a)      70,580  
  317      Veeva Systems, Inc., Class A(a)      62,779  
     

 

 

 
        133,359  
     

 

 

 
   Hotels, Restaurants & Leisure — 3.8%

 

  80      Booking Holdings, Inc.(a)      139,919  
  887      Starbucks Corp.      67,758  
  1,103      Yum China Holdings, Inc.      53,495  
  350      Yum! Brands, Inc.      39,729  
     

 

 

 
        300,901  
     

 

 

 
   Industrial Conglomerates — 1.0%

 

  1,228      General Electric Co.      78,187  
     

 

 

 
   Insurance — 5.0%

 

  3,062      American International Group, Inc.    $ 156,560  
  996      Reinsurance Group of America, Inc.      116,821  
  635      Willis Towers Watson PLC      125,342  
     

 

 

 
        398,723  
     

 

 

 
   Interactive Media & Services — 9.4%

 

  162      Alphabet, Inc., Class A(a)      353,040  
  40      Alphabet, Inc., Class C(a)      87,498  
  1,926      Meta Platforms, Inc., Class A(a)      310,568  
     

 

 

 
        751,106  
     

 

 

 
   Internet & Direct Marketing Retail — 4.8%

 

  534      Alibaba Group Holding Ltd., Sponsored ADR(a)      60,705  
  3,060      Amazon.com, Inc.(a)      325,003  
     

 

 

 
        385,708  
     

 

 

 
   IT Services — 7.2%

 

  595      Block, Inc.(a)      36,568  
  1,876      Fiserv, Inc.(a)      166,908  
  570      Gartner, Inc.(a)      137,843  
  613      PayPal Holdings, Inc.(a)      42,812  
  950      Shopify, Inc., Class A(a)      29,678  
  810      Visa, Inc., Class A      159,481  
     

 

 

 
        573,290  
     

 

 

 
   Life Sciences Tools & Services — 0.7%

 

  309      Illumina, Inc.(a)      56,967  
     

 

 

 
   Machinery — 0.5%

 

  136      Deere & Co.      40,728  
     

 

 

 
   Media — 3.1%

 

  275      Charter Communications, Inc., Class A(a)      128,846  
  3,063      Comcast Corp., Class A      120,192  
     

 

 

 
        249,038  
     

 

 

 
   Oil, Gas & Consumable Fuels — 9.5%

 

  6,184      APA Corp.      215,822  
  2,497      ConocoPhillips      224,255  
  2,854      EOG Resources, Inc.      315,196  
     

 

 

 
        755,273  
     

 

 

 
   Pharmaceuticals — 1.8%

 

  1,143      Novartis AG, Sponsored ADR      96,618  
  422      Novo Nordisk A/S, Sponsored ADR      47,023  
     

 

 

 
        143,641  
     

 

 

 
   Real Estate Management & Development — 1.4%

 

  1,560      CBRE Group, Inc., Class A(a)      114,832  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 3.0%

 

  1,041      NVIDIA Corp.      157,805  
  630      QUALCOMM, Inc.      80,476  
     

 

 

 
        238,281  
     

 

 

 
   Software — 6.0%

 

  643      Autodesk, Inc.(a)      110,570  
  429      Microsoft Corp.      110,180  
  1,867      Oracle Corp.      130,447  
  442      Salesforce, Inc.(a)      72,948  
  414      Workday, Inc., Class A(a)      57,786  
     

 

 

 
        481,931  
     

 

 

 
   Textiles, Apparel & Luxury Goods — 0.4%

 

  4,170      Under Armour, Inc., Class A(a)      34,736  
     

 

 

 
   Tobacco — 1.7%

 

  3,290      Altria Group, Inc.      137,423  
     

 

 

 
   Total Common Stocks
(Identified Cost $8,417,538)
     7,794,896  
     

 

 

 

 

See accompanying notes to financial statements.

 

19  |


Portfolio of Investments – as of June 30, 2022 (Unaudited)

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

 

Principal
Amount

     Description    Value (†)  
  Short-Term Investments — 2.0%  
$ 162,390     

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $162,391 on 7/01/2022 collateralized by $162,600 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $140,782; $24,800 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $24,912; including accrued interest (Note 2 of Notes to Financial Statements)

(Identified Cost $162,390)

   $ 162,390  
     

 

 

 
     
   Total Investments — 99.6%
(Identified Cost $8,579,928)
     7,957,286  
   Other assets less liabilities — 0.4%      28,613  
     

 

 

 
   Net Assets — 100.0%    $ 7,985,899  
     

 

 

 
     
  (†)      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, 2022 (Unaudited)

 

Oil, Gas & Consumable Fuels

     9.5

Interactive Media & Services

     9.4  

Capital Markets

     9.2  

IT Services

     7.2  

Consumer Finance

     6.6  

Software

     6.0  

Insurance

     5.0  

Biotechnology

     4.9  

Internet & Direct Marketing Retail

     4.8  

Hotels, Restaurants & Leisure

     3.8  

Banks

     3.7  

Media

     3.1  

Entertainment

     3.1  

Semiconductors & Semiconductor Equipment

     3.0  

Beverages

     2.6  

Automobiles

     2.2  

Other Investments, less than 2% each

     13.5  

Short-Term Investments

     2.0  
  

 

 

 

Total Investments

     99.6  

Other assets less liabilities

     0.4  
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  20


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Vaughan Nelson Mid Cap ETF

 

    
Shares
     Description    Value (†)  
  Common Stocks — 92.6% of Net Assets  
   Aerospace & Defense — 0.5%

 

  387      Axon Enterprise, Inc.(a)    $ 36,057  
     

 

 

 
   Banks — 1.2%

 

  1,623      Bank of N.T. Butterfield & Son Ltd. (The)      50,622  
  1,405      Huntington Bancshares, Inc.      16,902  
  600      PacWest Bancorp      15,996  
     

 

 

 
        83,520  
     

 

 

 
   Building Products — 0.8%

 

  327      Allegion PLC      32,013  
  1,558      AZEK Co., Inc. (The)(a)      26,081  
     

 

 

 
        58,094  
     

 

 

 
   Capital Markets — 4.7%

 

  512      Ares Management Corp., Class A      29,112  
  2,936      Brightsphere Investment Group, Inc.      52,878  
  200      FactSet Research Systems, Inc.      76,914  
  915      Nasdaq, Inc.      139,574  
  388      Raymond James Financial, Inc.      34,691  
     

 

 

 
        333,169  
     

 

 

 
   Chemicals — 2.9%

 

  1,418      Axalta Coating Systems Ltd.(a)      31,352  
  1,072      FMC Corp.      114,714  
  706      LyondellBasell Industries NV, Class A      61,747  
     

 

 

 
        207,813  
     

 

 

 
   Commercial Services & Supplies — 2.8%

 

  1,544      Republic Services, Inc.      202,063  
     

 

 

 
   Communications Equipment — 4.5%

 

  1,528      Motorola Solutions, Inc.      320,269  
     

 

 

 
   Construction & Engineering — 2.8%

 

  6,092      WillScot Mobile Mini Holdings Corp.(a)      197,503  
     

 

 

 
   Containers & Packaging — 3.0%

 

  229      Avery Dennison Corp.      37,068  
  1,886      Crown Holdings, Inc.      173,833  
     

 

 

 
        210,901  
     

 

 

 
   Diversified Consumer Services — 0.8%

 

  590      Grand Canyon Education, Inc.(a)      55,572  
     

 

 

 
   Diversified Financial Services — 0.7%

 

  1,078      Apollo Global Management, Inc.      52,261  
     

 

 

 
   Electric Utilities — 6.7%

 

  4,036      Alliant Energy Corp.      236,550  
  3,711      Evergy, Inc.      242,143  
     

 

 

 
        478,693  
     

 

 

 
   Electrical Equipment — 2.7%

 

  925      AMETEK, Inc.      101,648  
  285      Hubbell, Inc.      50,895  
  1,201      nVent Electric PLC      37,628  
     

 

 

 
        190,171  
     

 

 

 
   Electronic Equipment, Instruments & Components — 1.0%

 

  202      CDW Corp.      31,827  
  267      Keysight Technologies, Inc.(a)      36,806  
     

 

 

 
        68,633  
     

 

 

 
   Food & Staples Retailing — 0.5%

 

  777      Performance Food Group Co.(a)      35,726  
     

 

 

 
   Health Care Equipment & Supplies — 2.6%

 

  302      Cooper Cos., Inc. (The)      94,562  
  1,283      Hologic, Inc.(a)      88,912  
     

 

 

 
        183,474  
     

 

 

 
   Health Care Providers & Services — 0.7%

 

  21,747      Aveanna Healthcare Holdings, Inc.(a)    $ 49,148  
     

 

 

 
   Hotels, Restaurants & Leisure — 0.9%

 

  2,195      Aramark      67,233  
     

 

 

 
   Household Products — 2.9%

 

  2,205      Church & Dwight Co., Inc.      204,315  
     

 

 

 
   Independent Power & Renewable Electricity Producers — 3.3%

 

  10,345      Vistra Corp.      236,383  
     

 

 

 
   Insurance — 5.2%

 

  1,281      Allstate Corp. (The)      162,341  
  716      Arthur J. Gallagher & Co.      116,737  
  762      Reinsurance Group of America, Inc.      89,375  
     

 

 

 
        368,453  
     

 

 

 
   IT Services — 4.6%

 

  2,445      MAXIMUS, Inc.      152,837  
  3,042      SS&C Technologies Holdings, Inc.      176,649  
     

 

 

 
        329,486  
     

 

 

 
   Life Sciences Tools & Services — 6.2%

 

  314      Agilent Technologies, Inc.      37,294  
  4,857      Avantor, Inc.(a)      151,053  
  444      IQVIA Holdings, Inc.(a)      96,344  
  8,167      Sotera Health Co.(a)      159,991  
     

 

 

 
        444,682  
     

 

 

 
   Machinery — 2.2%

 

  568      Crane Holdings Co.      49,734  
  1,516      Otis Worldwide Corp.      107,136  
     

 

 

 
        156,870  
     

 

 

 
   Media — 4.3%

 

  1,859      Nexstar Media Group, Inc., Class A      302,794  
     

 

 

 
   Metals & Mining — 0.4%

 

  1,949      Constellium SE(a)      25,746  
     

 

 

 
   Multi-Utilities — 6.9%

 

  2,731      Ameren Corp.      246,773  
  3,609      CMS Energy Corp.      243,608  
     

 

 

 
        490,381  
     

 

 

 
   Oil, Gas & Consumable Fuels — 6.3%

 

  1,252      Diamondback Energy, Inc.      151,680  
  693      Pioneer Natural Resources Co.      154,594  
  22,890      Southwestern Energy Co.(a)      143,063  
     

 

 

 
        449,337  
     

 

 

 
   Pharmaceuticals — 2.7%

 

  9,956      Elanco Animal Health, Inc.(a)      195,436  
     

 

 

 
   Professional Services — 2.6%

 

  548      CACI International, Inc., Class A(a)      154,415  
  174      Equifax, Inc.      31,804  
     

 

 

 
        186,219  
     

 

 

 
   REITs – Diversified — 1.4%

 

  10,576      New Residential Investment Corp.      98,568  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 0.7%

 

  243      Analog Devices, Inc.      35,500  
  174      Entegris, Inc.      16,031  
     

 

 

 
        51,531  
     

 

 

 
   Software — 1.1%

 

  8,507      N-Able, Inc.(a)      76,563  
     

 

 

 
   Specialty Retail — 1.5%

 

  6,832      Leslie’s, Inc.(a)      103,710  
     

 

 

 

 

See accompanying notes to financial statements.

 

21  |


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Vaughan Nelson Mid Cap ETF – (continued)

 

    
Shares
     Description    Value (†)  
   Textiles, Apparel & Luxury Goods — 0.5%

 

  1,018      Skechers U.S.A., Inc., Class A(a)    $ 36,220  
     

 

 

 
   Total Common Stocks
(Identified Cost $6,960,872)
     6,586,994  
     

 

 

 
     
Principal
Amount
               
 

Short-Term Investments — 7.9%

 
$ 562,786      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $562,791 on 7/01/2022 collateralized by $571,500 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $574,089 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $562,786)
     562,786  
     

 

 

 
     
   Total Investments — 100.5%
(Identified Cost $7,523,658)
     7,149,780  
   Other assets less liabilities — (0.5)%      (32,144
     

 

 

 
   Net Assets — 100.0%    $ 7,117,636  
     

 

 

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

 

  (a)      Non-income producing security.

 

  
  REITs      Real Estate Investment Trusts

 

Industry Summary at June 30, 2022 (Unaudited)

 

Multi-Utilities

     6.9

Electric Utilities

     6.7  

Oil, Gas & Consumable Fuels

     6.3  

Life Sciences Tools & Services

     6.2  

Insurance

     5.2  

Capital Markets

     4.7  

IT Services

     4.6  

Communications Equipment

     4.5  

Media

     4.3  

Independent Power & Renewable Electricity Producers

     3.3  

Containers & Packaging

     3.0  

Chemicals

     2.9  

Household Products

     2.9  

Commercial Services & Supplies

     2.8  

Construction & Engineering

     2.8  

Pharmaceuticals

     2.7  

Electrical Equipment

     2.7  

Professional Services

     2.6  

Health Care Equipment & Supplies

     2.6  

Machinery

     2.2  

Other Investments, less than 2% each

     12.7  

Short-Term Investments

     7.9  
  

 

 

 

Total Investments

     100.5  

Other assets less liabilities

     (0.5
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

|  22


Portfolio of Investments – as of June 30, 2022 (Unaudited)

Natixis Vaughan Nelson Select ETF

 

    
Shares
     Description    Value (†)  
  Common Stocks — 97.2% of Net Assets  
   Auto Components — 0.5%

 

  6,823      Luminar Technologies, Inc.(a)    $ 40,460  
     

 

 

 
   Biotechnology — 6.3%

 

  1,655      Vertex Pharmaceuticals, Inc.(a)      466,363  
     

 

 

 
   Capital Markets — 4.5%

 

  3,532      Intercontinental Exchange, Inc.      332,149  
     

 

 

 
   Chemicals — 5.4%

 

  2,656      Nutrien Ltd.      211,656  
  837      Sherwin-Williams Co. (The)      187,413  
     

 

 

 
        399,069  
     

 

 

 
   Communications Equipment — 3.6%

 

  1,294      Motorola Solutions, Inc.      271,222  
     

 

 

 
   Diversified Financial Services — 5.1%

 

  1,389      Berkshire Hathaway, Inc., Class B(a)      379,225  
     

 

 

 
   Diversified Telecommunication Services — 3.1%

 

  3,837      Cogent Communications Holdings, Inc.      233,136  
     

 

 

 
   Electric Utilities — 5.4%

 

  5,205      NextEra Energy, Inc.      403,179  
     

 

 

 
   Food Products — 4.4%

 

  3,968      McCormick & Co., Inc.      330,336  
     

 

 

 
   Household Products — 4.8%

 

  2,562      Clorox Co. (The)      361,191  
     

 

 

 
   Insurance — 4.2%

 

  1,155      Aon PLC, Class A      311,480  
     

 

 

 
   Interactive Media & Services — 2.1%

 

  72      Alphabet, Inc., Class A(a)      156,907  
     

 

 

 
   Internet & Direct Marketing Retail — 2.5%

 

  1,743      Amazon.com, Inc.(a)      185,124  
     

 

 

 
   IT Services — 4.2%

 

  1,746      Jack Henry & Associates, Inc.      314,315  
     

 

 

 
   Life Sciences Tools & Services — 3.3%

 

  959      Danaher Corp.      243,126  
     

 

 

 
   Machinery — 2.1%

 

  879      Caterpillar, Inc.      157,130  
     

 

 

 
   Metals & Mining — 4.4%

 

  9,001      Wheaton Precious Metals Corp.      324,306  
     

 

 

 
   Multiline Retail — 5.3%

 

  1,611      Dollar General Corp.      395,404  
     

 

 

 
   Oil, Gas & Consumable Fuels — 4.0%

 

  47,857      Kosmos Energy Ltd.(a)      296,235  
     

 

 

 
   Pharmaceuticals — 5.5%

 

  2,298      Johnson & Johnson      407,918  
     

 

 

 
   Road & Rail — 7.0%

 

  855      Saia, Inc.(a)      160,740  
  1,679      Union Pacific Corp.      358,097  
     

 

 

 
        518,837  
     

 

 

 
   Semiconductors & Semiconductor Equipment — 4.4%

 

  971      Entegris, Inc.      89,458  
  303      Monolithic Power Systems, Inc.      116,364  
  818      NVIDIA Corp.      124,001  
     

 

 

 
        329,823  
     

 

 

 
   Software — 5.1%

 

  1,494      Microsoft Corp.      383,704  
     

 

 

 
   Total Common Stocks
(Identified Cost $7,795,412)
     7,240,639  
     

 

 

 
Principal
Amount
     Description    Value (†)  
  Short-Term Investments — 3.2%  
$ 240,498      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $240,500 on 7/01/2022 collateralized by $244,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $245,407 including accrued interest (Note 2 of Notes to Financial Statements)
(Identified Cost $240,498)
   $ 240,498  
     

 

 

 
     
   Total Investments — 100.4%
(Identified Cost $8,035,910)
     7,481,137  
   Other assets less liabilities — (0.4)%      (26,438
     

 

 

 
   Net Assets — 100.0%    $ 7,454,699  
     

 

 

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

 

  (a)      Non-income producing security.

 

Industry Summary at June 30, 2022 (Unaudited)

 

Road & Rail

     7.0

Biotechnology

     6.3  

Pharmaceuticals

     5.5  

Electric Utilities

     5.4  

Chemicals

     5.4  

Multiline Retail

     5.3  

Software

     5.1  

Diversified Financial Services

     5.1  

Household Products

     4.8  

Capital Markets

     4.5  

Food Products

     4.4  

Semiconductors & Semiconductor Equipment

     4.4  

Metals & Mining

     4.4  

IT Services

     4.2  

Insurance

     4.2  

Oil, Gas & Consumable Fuels

     4.0  

Communications Equipment

     3.6  

Life Sciences Tools & Services

     3.3  

Diversified Telecommunication Services

     3.1  

Internet & Direct Marketing Retail

     2.5  

Machinery

     2.1  

Interactive Media & Services

     2.1  

Auto Components

     0.5  

Short-Term Investments

     3.2  
  

 

 

 

Total Investments

     100.4  

Other assets less liabilities

     (0.4
  

 

 

 

Net Assets

     100.0
  

 

 

 

 

See accompanying notes to financial statements.

 

23  |


Statements of Assets and Liabilities

 

June 30, 2022 (Unaudited)

 

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

ASSETS

 

Investments at cost

   $ 41,929,004     $ 8,579,928     $ 7,523,658     $ 8,035,910  

Net unrealized depreciation

     (1,340,842     (622,642     (373,878     (554,773
  

 

 

   

 

 

   

 

 

   

 

 

 

Investments at value

     40,588,162       7,957,286       7,149,780       7,481,137  

Due from brokers (Note 2)

     73,000                    

Receivable from investment adviser (Note 6)

     4,560       5,387       7,339       6,696  

Receivable for securities sold

     24,582       56,118              

Dividends and interest receivable

     156,039       7,162       6,538       2,643  

Tax reclaims receivable

           64              

Prepaid expenses (Note 7)

     6       2       1        
  

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL ASSETS

     40,846,349       8,026,019       7,163,658       7,490,476  
  

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

 

Payable for securities purchased

     239,740       1,381       8,842        

Payable for variation margin on futures contracts (Note 2)

     16,864                    

Deferred Trustees’ fees (Note 6)

     35,615       4,646       4,617       4,593  

Administrative fees payable (Note 6)

     1,514       318       277       292  

Audit and tax services fees payable

     25,069       24,664       24,659       24,649  

Other accounts payable and accrued expenses

     14,725       9,111       7,627       6,243  
  

 

 

   

 

 

   

 

 

   

 

 

 

TOTAL LIABILITIES

     333,527       40,120       46,022       35,777  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 40,512,822     $ 7,985,899     $ 7,117,636     $ 7,454,699  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

 

Paid-in capital

   $ 42,689,822     $ 8,458,785     $ 7,540,450     $ 8,189,257  

Accumulated loss

     (2,177,000     (472,886     (422,814     (734,558
  

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 40,512,822     $ 7,985,899     $ 7,117,636     $ 7,454,699  
  

 

 

   

 

 

   

 

 

   

 

 

 

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:

 

Net assets

   $ 40,512,822     $ 7,985,899     $ 7,117,636     $ 7,454,699  
  

 

 

   

 

 

   

 

 

   

 

 

 

Shares of beneficial interest

     1,700,000       323,200       260,400       300,400  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, offering and redemption price per share

   $ 23.83     $ 24.71     $ 27.33     $ 24.82  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  24


Statements of Operations

 

For the Six Months Ended June 30, 2022 (Unaudited)

 

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

INVESTMENT INCOME

 

Interest

   $ 323,081     $ 39     $ 170     $ 60  

Dividends

           61,872       72,654       35,709  

Less net foreign taxes withheld

           (758           (606
  

 

 

   

 

 

   

 

 

   

 

 

 
     323,081       61,153       72,824       35,163  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

 

Management fees (Note 6)

     66,618       35,315       30,321       22,520  

Administrative fees (Note 6)

     9,814       2,081       1,787       1,427  

Trustees’ fees and expenses (Note 6)

     6,922       6,427       6,410       6,390  

Trustees’ fees deferred compensation (Note 6)

     (2,416     1,116       1,116       1,114  

Transfer agent fees and expenses

     7,800       7,800       7,800       7,800  

Audit and tax services fees

     21,004       20,794       20,789       20,779  

Custodian fees and expenses

     17,215       14,371       11,393       9,755  

Legal fees (Note 7)

     3,731                    

Registration fees

     556                    

Regulatory filing fees

     6,500       6,500       6,500       6,500  

Shareholder reporting expenses

     25,075       7,859       6,773       6,454  

Miscellaneous expenses

     16,085       11,749       12,047       11,514  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     178,904       114,012       104,936       94,253  

Less waiver and/or expense reimbursement (Note 6)

     (94,522     (71,612     (70,572     (68,515
  

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     84,382       42,400       34,364       25,738  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

     238,699       18,753       38,460       9,425  
  

 

 

   

 

 

   

 

 

   

 

 

 

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

 

Net realized gain (loss) on:

 

Investments

     (804,049     187,917       (64,580     (172,571

Futures contracts

     45,349                    

Net change in unrealized appreciation (depreciation) on:

 

Investments

     (1,291,468     (2,785,448     (1,240,289     (1,126,330

Futures contracts

     49,543                    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss on investments and futures contracts

     (2,000,625     (2,597,531     (1,304,869     (1,298,901
  

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (1,761,926   $ (2,578,778   $ (1,266,409   $ (1,289,476
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

25  |


Statements of Changes in Net Assets

 

 

     Natixis Loomis Sayles Short
Duration Income ETF
    Natixis U.S. Equity
Opportunities ETF
 
     Six Months
Ended
June 30, 2022
(Unaudited)
    Year Ended
December 31,
2021
    Six Months
Ended
June 30, 2022
(Unaudited)
    Year Ended
December 31,
2021
 

FROM OPERATIONS:

 

Net investment income (loss)

   $ 238,699     $ 237,722     $ 18,753     $ (1,104

Net realized gain (loss) on investments and futures contracts

     (758,700     233,499       187,917       2,210,794  

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

     (1,241,925     (540,930     (2,785,448     639,417  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     (1,761,926     (69,709     (2,578,778     2,849,107  
  

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

     (246,700     (916,070     (393,379     (482,436
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)

     (4,786,897     23,990,447       623,987       (3,887,727
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

     (6,795,523     23,004,668       (2,348,170     (1,521,056

NET ASSETS

 

Beginning of the period

     47,308,345       24,303,677       10,334,069       11,855,125  
  

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

   $ 40,512,822     $ 47,308,345     $ 7,985,899     $ 10,334,069  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

|  26


Statements of Changes in Net Assets (continued)

 

 

 

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

FROM OPERATIONS:

 

Net investment income

   $ 38,460     $ 52,708     $ 9,425     $ 42,865  

Net realized gain (loss) on investments

     (64,580     1,947,048       (172,571     2,166,169  

Net change in unrealized appreciation (depreciation) on investments

     (1,240,289     (185,168     (1,126,330     8,782  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     (1,266,409     1,814,588       (1,289,476     2,217,816  
  

 

 

   

 

 

   

 

 

   

 

 

 

FROM DISTRIBUTIONS TO SHAREHOLDERS:

 

     (231,946     (873,741     (371,021     (1,009,943
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)

     (288,633     184,517       2,699,985       (835,378
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

     (1,786,988     1,125,364       1,039,488       372,495  

NET ASSETS

 

Beginning of the period

     8,904,624       7,779,260       6,415,211       6,042,716  
  

 

 

   

 

 

   

 

 

   

 

 

 

End of the period

   $ 7,117,636     $ 8,904,624     $ 7,454,699     $ 6,415,211  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

27  |


Financial Highlights

 

For a share outstanding throughout each period.

 

     Natixis Loomis Sayles Short Duration Income ETF  
     Six Months
Ended
June 30, 2022
(Unaudited)
    Year Ended
December 31,
2021
    Year Ended
December 31,
2020
     Year Ended
December 31,
2019
     Year Ended
December 31,
2018
     Period Ended
December 31,
2017*
 

Net asset value, beginning of the period

   $ 24.90     $ 25.58     $ 25.28      $ 24.62      $ 25.02      $ 25.00  
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

  

Net investment income (loss)(a)

     0.13       0.17       0.49        0.64        0.61        (0.00 )(b) 

Net realized and unrealized gain (loss)

     (1.06     (0.17     0.83        0.70        (0.37      0.02  
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total from Investment Operations

     (0.93     0.00 (b)      1.32        1.34        0.24        0.02  
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

LESS DISTRIBUTIONS FROM:

 

  

Net investment income

     (0.14     (0.22     (0.51      (0.67      (0.64       

Net realized capital gains

           (0.46     (0.51      (0.01              
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total Distributions

     (0.14     (0.68     (1.02      (0.68      (0.64       
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of the period

   $ 23.83     $ 24.90     $ 25.58      $ 25.28      $ 24.62      $ 25.02  
  

 

 

   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total return(c)

     (3.75 )%(d)      0.00 %(e)      5.27      5.51      0.97      0.08 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

  

Net assets, end of the period (000’s)

   $ 40,513     $ 47,308     $ 24,304      $ 30,331      $ 27,084      $ 20,016  

Net expenses(f)

     0.38 %(g)      0.38     0.38      0.38      0.38      0.38 %(g) 

Gross expenses

     0.81 %(g)      0.93     1.05      0.95      1.09      14.21 %(g) 

Net investment income (loss)

     1.07 %(g)      0.69     1.91      2.56      2.46      (0.09 )%(g) 

Portfolio turnover rate(h)

     87     140     181      113      167      0

 

*

From commencement of operations on December 27, 2017 through December 31, 2017.

(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.

(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.

 

|  28


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

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

Net asset value, beginning of the period

   $ 34.08     $ 28.69     $ 25.00  
  

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income (loss)(a)

     0.06       (0.00 )(b)      (0.00 )(b) 

Net realized and unrealized gain (loss)

     (8.17     7.02       3.69  
  

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (8.11     7.02       3.69  
  

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

           (0.01      

Net realized capital gains

     (1.26     (1.62     (0.00 )(b) 
  

 

 

   

 

 

   

 

 

 

Total Distributions

     (1.26     (1.63     (0.00
  

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

   $ 24.71     $ 34.08     $ 28.69  
  

 

 

   

 

 

   

 

 

 

Total return(c)

     (24.45 )%(d)      24.45     14.78 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 7,986     $ 10,334     $ 11,855  

Net expenses(e)

     0.90 %(f)      0.90     0.90 %(f) 

Gross expenses

     2.42 %(f)      2.07     2.99 %(f) 

Net investment income (loss)

     0.40 %(f)      (0.01 )%      (0.02 )%(f) 

Portfolio turnover rate(g)

     23     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)

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

 

See accompanying notes to financial statements.

 

29  |


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

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

Net asset value, beginning of the period

   $ 32.93     $ 29.87     $ 25.17  
  

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

Net investment income(a)

     0.14       0.18       0.04  

Net realized and unrealized gain (loss)

     (4.81     6.21       4.72  
  

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (4.67     6.39       4.76  
  

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

 

Net investment income

           (0.21     (0.04

Net realized capital gains

     (0.93     (3.12     (0.02
  

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.93     (3.33     (0.06
  

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

   $ 27.33     $ 32.93     $ 29.87  
  

 

 

   

 

 

   

 

 

 

Total return(b)

     (14.48 )%(c)      21.47     18.91 %(c) 

RATIOS TO AVERAGE NET ASSETS:

 

Net assets, end of the period (000’s)

   $ 7,118     $ 8,905     $ 7,779  

Net expenses(d)

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

Gross expenses

     2.60 %(e)      2.39     4.53 %(e) 

Net investment income

     0.95 %(e)      0.54     0.53 %(e) 

Portfolio turnover rate(g)

     24     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.

 

|  30


Financial Highlights (continued)

 

For a share outstanding throughout each period.

 

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

Net asset value, beginning of the period

   $ 32.01     $ 27.42     $ 24.86  
  

 

 

   

 

 

   

 

 

 

INCOME (LOSS) FROM INVESTMENT OPERATIONS:

 

 

Net investment income(a)

     0.04       0.21 (b)      0.02  

Net realized and unrealized gain (loss)

     (5.55     10.68       2.56  
  

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     (5.51     10.89       2.58  
  

 

 

   

 

 

   

 

 

 

LESS DISTRIBUTIONS FROM:

 

 

Net investment income

           (0.29     (0.02

Net realized capital gains

     (1.68     (6.01      
  

 

 

   

 

 

   

 

 

 

Total Distributions

     (1.68     (6.30     (0.02
  

 

 

   

 

 

   

 

 

 

Net asset value, end of the period

   $ 24.82     $ 32.01     $ 27.42  
  

 

 

   

 

 

   

 

 

 

Total return(c)

     (17.95 )%(d)      39.60 %(b)      10.37 %(d) 

RATIOS TO AVERAGE NET ASSETS:

 

 

Net assets, end of the period (000’s)

   $ 7,455     $ 6,415     $ 6,043  

Net expenses(e)

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

Gross expenses

     2.93 %(f)      3.08     4.95 %(f) 

Net investment income

     0.29 %(f)      0.65 %(b)      0.24 %(f) 

Portfolio turnover rate(h)

     28     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.

 

31  |


Notes to Financial Statements

 

June 30, 2022 (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 (the “Short Duration Income ETF”)

Natixis ETF Trust II:

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

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

Natixis Vaughan Nelson Select ETF (the “Select ETF”)

Each Fund is a diversified investment company, except for Select ETF, which is a non-diversified investment company.

Unlike traditional ETFs that provide daily disclosure of their portfolio holdings, 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 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.  Fund securities and other