Annual Report
December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF
Natixis U.S. Equity Opportunities ETF
Natixis Vaughan Nelson Mid Cap ETF
Natixis Vaughan Nelson Select ETF
Portfolio Review | 1 | |||
Portfolio of Investments | 18 | |||
Financial Statements | 30 | |||
Notes to Financial Statements | 38 |
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.
Market Conditions
Bonds produced muted returns in 2021, with the most interest rate-sensitive investments generally experiencing the weakest performance. The strong recovery in economic growth, which occurred as the rollout of multiple vaccines for Covid-19 allowed for a gradual restoration of normal business conditions, was an important headwind for the market. Despite the improving economy, the US Federal Reserve (Fed) remained committed to an ultra-accommodative monetary policy for much of the year. The Fed retained this stance through the third calendar quarter even as inflation started to accelerate, stating that the price pressures were likely to be “transitory.” However, a continued increase in inflation in the autumn prompted the Fed to shift toward a tighter policy in November. In addition to reducing the extent of the stimulative bond-buying program known as quantitative easing (a process referred to as “tapering”), the Fed began to signal the likelihood of interest rate increases in 2022. Together, these developments depressed returns across the bond market.
US Treasuries posted negative returns in 2021. The first part of the year brought rising yields (and falling prices) for longer-term Treasuries, which tend to be highly sensitive to the outlook for economic growth. Later in the year, short-term bonds — which are heavily influenced by Fed policy — experienced a selloff of their own in response to the unfavorable shift in the interest rate outlook. The ten-year note, which entered the year with a yield of 0.93%, traded up to 1.74% at the end of the first quarter before closing 2021 at 1.52%. The yield on the two-year note, in contrast, only moved from 0.13% to 0.20% in the first eight months of the year, but the subsequent selloff caused its yield to surge to 0.73% by year-end. The Treasury yield curve flattened dramatically as a result of these shifts.
Investment grade corporate debt experienced a modest loss for the year. Although the category benefited from improving credit conditions and investors’ appetite for both risk and yield, it was adversely affected by the downturn in US Treasuries.
Securitized credit — including asset backed securities (ABS), commercial mortgage backed securities (CMBS), collateralized loan obligations (CLO), and residential mortgage backed securities (RMBS) — produced positive excess returns over US treasuries. The category’s underlying fundamentals remained firm, with continued strength in both real estate prices and consumer credit. Agency mortgage backed securities (MBS) produced negative excess returns versus US treasuries as interest rate volatility increased.
Performance Results
For the 12 months ended December 31, 2021, the Natixis Loomis Sayles Short Duration Income ETF returned 0.00%. The Fund held up better than its benchmark, the Bloomberg U.S. Government/Credit 1-3 Year Bond Index, which returned -0.47%.
Explanation of Fund Performance
The Fund’s exposure to spread sectors which trade at a yield advantage relative to Treasuries contributed the most to performance relative to the benchmark during the period. Most notably, holdings of investment grade corporate bonds contributed to performance as spreads narrowed during the period. A smaller allocation to below-investment grade, high yield corporate bonds also contributed to performance. Finally, exposure to securitized sectors such as ABS proved additive for performance. The use of futures to manage duration and term structure risk did not contribute or detract from Fund performance during the period.
The Fund’s underweight allocation to US Treasuries marginally detracted from performance for the period. An underweight allocation to government-related securities also weighed slightly on return. Finally, the Fund’s cash holdings slightly detracted as spread sectors outperformed.
Outlook
The Fed has announced an accelerated tapering of its bond purchases, ending in March. We expect the start of traditional monetary policy tightening in the second quarter, perhaps following the Fed’s May meeting. We expect three rate hikes in 2022, another three in 2023 and additional hikes in 2024 depending on the robustness of economic recovery. Our base case is for a terminal fed funds rate of around 2.25%.
Primary risks include a surge in Covid-19 infections and/or reduced efficacy of vaccines, the potential for greater risk market volatility as the Fed moves through tapering and begins tightening, and sustained inflation. Inflation is expected to peak in the first quarter of 2022 and start to moderate through the rest of the year but remain at quite elevated levels, given ongoing supply chain disruptions, labor shortages, the surge in wages, and high shelter costs.
We believe the credit cycle1 remains in the expansion phase. While government and corporate balance sheets remain more levered and stretched through this part of the cycle, consumer balance sheets remain healthy and income advances remain robust, providing a
1 |
positive backdrop to consumer spending. On the fiscal front, we still assign a higher than 50/50 probability of a negotiated package of expenditures as outlined in President Biden’s Build Back Better bill.
We continue to follow our process, building diversified exposures by asset class, industry, and issuers. The Fund continues to favor spread sectors, such as corporate bonds and securitized assets, while maintaining a risk posture in the lower end of the Fund’s historical range. We remain overweight both agency and non-agency CMBS, particularly senior parts of the capital stack. Within MBS, we remain focused on securities with limited prepayment risk. We favor ABS in the front end of the yield curve, particularly consumer-related collateral such as autos and credit card receivables. Finally, the Fund continues to hold select high yield corporate names that currently offer value.
1 |
A credit cycle is a cyclical pattern that follows credit availability and corporate health |
Hypothetical Growth of $10,000 Investment3
December 28, 2017 (inception) through December 31, 2021
Average Annual Total Returns — December 31, 20213
1 Year |
Life of Fund (Inception 12/28/17) |
Expense Ratios4 | ||||||||||||||
Gross |
Net | |||||||||||||||
NAV1 | 0.00 | % | 2.92 | % | 1.05 | % | 0.38 | % | ||||||||
Market1 | -0.32 | 2.90 | ||||||||||||||
Comparative Performance | ||||||||||||||||
Bloomberg U.S. Government/Credit 1-3 Year Bond Index2 | -0.47 | 2.10 |
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. 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 |
The 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 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
| 2
NATIXIS U.S. EQUITY OPPORTUNITIES ETF
Managers | NYSE Arca: EQOP | |
William C. Nygren, CFA® | ||
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. |
Investment Goal
The Fund seeks long-term growth of capital.
Market Conditions
U.S. equities produced strong returns in 2021, marking the eighth year of the past ten in which the major large-cap indexes posted a double-digit gain. The gradual lifting of virus-related restrictions led to a substantial improvement in economic growth and corporate earnings compared to their levels of the previous year, contributing to the gains for stocks. While rising inflation prompted the US Federal Reserve (Fed) to adopt a more hawkish tone in the fourth quarter, leading to increased market volatility, the major large-cap indexes closed the year at or near their all-time highs. In the continuation of a long-standing trend, mega-cap technology and communication services stocks were the key drivers of U.S. market performance in 2021.
Performance Results
For the 12 months ended December 31, 2021, the Natixis U.S. Equity Opportunities ETF returned 24.45% at net asset value. The Fund underperformed its primary benchmark, the S&P 500® Index, which returned 28.71%. The Fund also underperformed its secondary benchmark, the Russell 1000® Index, which returned 26.45%.
Explanation of Fund Performance
Each of the portfolio’s segments uses a distinct investment style, providing shareholders with exposure to a variety of different stocks:
• |
The Harris Associates Large Cap Value segment invests primarily in the common stocks of larger-capitalization companies that Harris Associates L.P. (“Harris Associates”) believes are trading at a substantial discount to the company’s “true business value.” |
• |
The Loomis Sayles All Cap Growth segment invests primarily in equity securities and may invest in companies of any size. The segment employs a growth style of equity management that emphasizes companies with sustainable competitive advantages versus others, long-term structural growth drivers that will lead to above-average future cash flow growth, attractive cash flow returns on invested capital, and management teams focused on creating long-term value for shareholders. The segment aims to invest in companies when they trade at a significant discount to the estimate of intrinsic value. |
Both segments contributed positively to the Fund’s performance.
Harris Associates Large Cap Value Segment
As value investors with an emphasis on individual stock selection, our sector weights are a byproduct of our bottom-up process. On an absolute-return basis, the energy sector gained the most value, while holdings in the industrials sector delivered the smallest positive collective return.
The largest contributors to fund performance for the reporting period were Alphabet and Capital One Financial. Toward the beginning of the year, Alphabet’s fourth-quarter results showed faster than expected revenue growth across the board. Total revenue grew 23% year-over-year and reached $56.9 billion, which led to earnings per share of $22.30, and both exceeded market expectations. Revenue in the key search segment grew 17%, owing to “broad-based re-engagement” among advertisers following the Covid-19-related pullback. Importantly, for the first time Alphabet disclosed cloud segment profitability and revealed that the company made massive upfront investments in its go-to-market strategy and engineering resources, implying that the remaining segments are even more profitable than most analysts expected. Later, Alphabet’s results continued to positively surprise the market as the company’s first-quarter total revenue, operating income and earnings per share outpaced expectations by 7%, 39% and 67%, respectively. By segment, search revenue grew 30%, YouTube advertising revenue rose 49% and cloud revenue increased 46%. Furthermore, margin trends improved across all segments as underlying operational expenses appear progressively well controlled relative to history. In July, Alphabet’s second-quarter earnings report revealed revenue grew by 62%, which surpassed consensus
3 |
expectations and search revenue saw significant growth with a 67% increase year-over-year. Alphabet’s third-quarter earnings release resulted in the company’s share price moving higher into the end of the year. Reported revenue growth amounted to 41% and operating margins (ex-other bets) expanded 670 basis points. In addition, search and YouTube advertising revenue both grew over 40%. Management bought back $12.6 billion worth of stock in the third quarter, which puts the company on pace to meet our expectations for the full-year period. Although Alphabet’s share price declined on news that YouTube TV subscribers lost access to Disney-owned entertainment options, the issue resolved itself shortly thereafter. We believe Alphabet remains an attractive holding with upside potential despite its recent share price appreciation. Capital One Financial issued first-quarter results that we saw as very good and that built on positive trends from prior quarters. Likewise, the company’s total net revenue and net interest margin exceeded market projections, while earnings per share were about 70% ahead of forecasts. We were pleased that credit quality remained strong, and charge-offs across lending categories fell once again from historically low levels. Credit card purchase volume grew 8% from last year, while deposits grew 15.1% and the average consumer deposit cost ratio reached an all-time low of 0.36%. Impressively, Capital One released loan loss reserves of $1.6 billion in the quarter, which was larger than the reserve release we had estimated for the full year. Capital One delivered another solid set of earnings results for its second quarter, in our view. A $1.7 billion loan reserve release led to earnings per share of $7.62, and the card charge-off rate fell 23 basis points versus last quarter’s already historically low rate to 2.29%. In October, investors responded unfavorably to CEO Richard Fairbank’s emphatic commentary surrounding elevated spending, the need to invest defensively in technology and the costliness of doing so given the competition for technology talent. That said, we think the company’s third-quarter earnings report highlighted strong results as charge-offs fell further off already all-time low levels, card purchase volume grew 28% year-over-year, ending loan balance improved 5% sequentially and net interest margins grew 46 basis points. In addition, Capital One executed $2.7 billion in third-quarter share repurchases (equivalent to 3.5% of its share base) and still ended the period with excess capital equal to 13% of its market cap. Our investment thesis for the company remains intact and we believe it trades at a discount to our perception of its intrinsic value.
The largest detractors from return were Ally Financial and Fiserv. As management had predicted and we had expected, Ally Financial released good fourth-quarter results early in the year. Total net revenue rose 21% from a year earlier while earnings per share advanced 68% and both exceeded market forecasts. In addition, total deposits grew 13% and average total earning assets (including auto loans and mortgages) rose 3% year-over-year. Notably, the company’s provision for credit losses decreased materially from $998 million in the fourth quarter of last year to $102 million in the current fourth quarter. Ally announced a new $1.60 billion share repurchase authorization in January following favorable results from the most recent Federal Reserve board stress test. In April, Ally’s first-quarter earnings report included earnings per share ($2.09 ex-items vs. $1.17) that beat analysts’ estimates as well as a reported return on tangible common equity of 24%. In fact, most metrics came in well above increasingly elevated expectations. Net interest margins expanded 26 basis points sequentially to 3.18%, retail deposits grew 21% year-over-year and deposit customers grew 14%. The company’s second-quarter earnings report in July continued to show strength as shown by return on tangible common equity of around 27%. New retail auto originations finished at the highest level in 15 years, while new originated yields maintained above 7%. In addition, net interest margins expanded to nearly 3.6%. In October, Ally reported a positive third-quarter earnings report, in our view. Return on average tangible common equity was assisted by a low credit loss environment and expanding net interest margins. Record retail application flow continued to show strength for a fourth straight year. However, the wholesale business continued to show weakness with loan balances at roughly half pre-pandemic levels. Later in the fourth quarter, Ally announced its decision to acquire digital credit card provider Fair Square Financial (FSF) for $750 million. FSF has been growing balances rapidly, and we believe the deal can add at least 150 basis points to core return on average tangible common equity over the medium term. Even though Fiserv’s first-quarter earnings disappointed investors, we saw results as respectable considering the challenging operating environment. Importantly, organic revenue grew 4% from the prior year, earnings rose 15% and earnings per share advanced 18%. In merchant acquiring, organic growth amounted to 8% and margins improved 650 basis points, while gross payment volume in Clover (cloud-based point of sale product) grew 36%, ecommerce transactions grew 24% and the company won a record number of new customers during the period. In addition, we were pleased that Fiserv executed $612 million worth of share repurchases in the quarter (or about 0.8% of it share base). Later, Fiserv delivered strong second-quarter earnings results as exhibited by revenue, earnings and earnings per share that increased 18%, 41% and 47%, respectively. In addition, margins expanded 510 basis points to 33.9%. However, news that Amazon was reportedly developing a point-of-sale solution pressured Fiserv’s share price in September as investors feared increased competition for the latter. Fiserv’s third-quarter earnings results were in line with market estimates, with organic revenue growth of 10%, operating margins increasing 130 basis points and adjusted earnings per share growing 23%. However, investors reacted poorly to the release, focusing on a client (speculated to be Stripe) that was part of a joint venture with Wells Fargo, which is serviced by Fiserv, deciding to leave. This likely stoked fears that other companies may decide to in source their payment processing in the future. The departure is not expected to impact Fiserv’s financial results due to its minimal contribution and management anticipating the move. Despite the client loss, we appreciate that Fiserv still posted strong segment results and growth in customers, independent software vendors, and capabilities on its platform. We continue to believe the company is undervalued and find the investment attractive on a risk to reward basis.
| 4
NATIXIS U.S. EQUITY OPPORTUNITIES ETF
Loomis, Sayles and Company All Cap Growth Segment
We are an active manager with a long-term, private equity approach to investing. Through our proprietary bottom-up research framework, we look to invest in those few high-quality businesses with sustainable competitive advantages and profitable growth when they trade at a significant discount to intrinsic value. For the period, the All Cap Growth segment posted a positive absolute return. Our holdings in the information technology, communication services, industrials, financials, healthcare, energy, and consumer staples sectors contributed positively to results. Our holdings in the consumer discretionary sector detracted from the segment’s performance.
Nvidia and Alphabet were the largest contributors to performance during the period. Nvidia is the world leader in graphic processing units (GPUs), which enable computers to produce and utilize highly realistic 3D graphic imagery and models. We believe the company’s competitive advantages include its intellectual property, brands, and a large and growing ecosystem of developers and applications utilizing GPU technology. A segment holding since inception, Nvidia reported financial results during the period that were better than consensus expectations, driven by broad-based strength that included quarterly revenue records in the company’s gaming, data center, and professional visualization segments in the second half of the year. In gaming, Nvidia is benefiting from record sales of PCs and gaming laptops and the roll out of Turing, its newest GPU architecture, which is becoming the industry norm for the latest blockbuster titles. Data center revenue benefited from a pickup in demand from hyperscale data center customers and rising demand from industry verticals such as industrials and enterprise clients which are adopting more artificial intelligence capabilities. The company saw strong traction for its latest architecture, Ampere, which for the first time enables clients to address both training and inferencing through a single architecture with performance that surpasses its already leading T4 inferencing and V100 training products. The company’s professional visualization segment addresses a more mature market, but Nvidia has been able to drive greater adoption of its products through ongoing innovation. Over our investment horizon, we believe Nvidia can sustain total annualized revenue growth of approximately 20%, driven by secular growth in spending on GPUs. As Nvidia’s business mix shifts increasingly towards its more profitable data center segment, we believe operating profits and free cash flow will grow faster than revenues. We believe Nvidia’s strong free cash flow growth prospects are not currently reflected in its share price. As a result, we believe the company’s shares trade at a significant discount to our estimate of intrinsic value and offer a compelling long-term reward-to-risk opportunity.
Alphabet is a holding company that owns a collection of businesses — the largest and most important of which by far is Google. Google is the global leader in online search and advertising, and also offers online cloud solutions to businesses and consumers globally. We believe Alphabet’s competitive advantages include its scale, brand strength, the power of its network and business ecosystem, as well as its innovative culture that is reinforced by its massive investments in research and development (R&D). A holding in the segment since inception, Alphabet reported financial results during the period that reflected a strong recovery in advertising spending, which had been depressed due to Covid-19, while revenue growth accelerated and adjusted operating margins expanded. Beginning in 2021, the company began presenting results in three segments. Google Services represents approximately 93% of total revenue and is driven by the secular shift of advertising to online and mobile platforms. The segment’s search and YouTube businesses both benefited from strong growth in direct response ads — particularly for YouTube, where in just three years direct response ads have grown from almost nothing to become one of the largest drivers. YouTube is also benefiting from strong demand from brand advertisers due to its reach and engagement with over 2 billion monthly users who recently spent over 1 billion hours daily on the platform. Google Cloud revenue represents approximately 7% of total revenue, and is driven by Google Cloud Platform, the company’s infrastructure- and platform-as-a-service offerings. Other Bets includes a number of early-stage and pre-revenue businesses and represents less than 1% of revenues. Google’s attractive financial model generates strong free cash flow and earns high returns on invested capital, enabling it to reinvest significantly in its business. Over the past five years, Google has invested over $100 billion in R&D, an amount very few companies could replicate. We believe the global secular shift from traditional advertising to online advertising is the biggest long-term growth driver for Google. Online advertising accounts for approximately $330 billion, or around 20% of the $1.5 trillion annual spending on global advertising and marketing. Over our investment horizon, we believe this penetration will increase to over 40%. We believe investors underestimate Alphabet’s growth opportunities and the intrinsic value of the business given its unique and difficult-to-replicate attributes and business model. We believe the company’s shares trade at a significant discount to our estimate of intrinsic value, and offer a compelling reward-to-risk opportunity.
Alibaba and CRISPR Therapeutics were the largest detractors during the period. A segment holding since inception, Alibaba Group is a leading China e-commerce and consumer-engagement platform provider. With approximately 60% of China’s e-commerce transactions estimated to take place through its marketplaces, Alibaba is the world’s largest retail platform, and we believe Alibaba’s scale and interconnected sites create an unparalleled and difficult-to-replicate business ecosystem. Shares have been under pressure since late 2020 due to investor concern regarding increasing regulatory intervention by the Chinese government. In April, China’s State Administration for Market Regulation concluded that Alibaba’s practices had violated antitrust law. The company was fined approximately $2.8 billion and ordered to carry out “comprehensive” self-inspections to standardize business practices and ensure compliance with anti-monopoly laws. Alibaba cooperated fully with the investigation and has changed certain business practices. In August, China passed the Personal Information Protection Law (PIPL), which is focused on protecting personal information rights and interests by standardizing the handling and usage of
5 |
personal information by businesses. We believe the focus of PIPL is similar to the General Data Protection Regulation (GDPR), which went into effect in the European Union in 2018. The GDPR impacted other portfolio holdings such as Alphabet and Facebook, which incurred increased compliance costs and other disruptions as they adjusted certain business practices to comply with the new regulations. However, both companies continued to generate strong growth in revenue and free cash flow due to their competitive advantages and strong value propositions. While we expected that Alibaba would experience short-term disruptions as it modified its practices to fully comply with new regulatory changes, we did not believe the changes would ultimately impair the company’s difficult-to-replicate competitive advantages. More recently, we have observed increasing competitive pressure in two of the company’s smaller but faster-growing contributors: video streaming and penetration in lower-tier cities. Through the company’s Taobao Live, Alibaba offers a leading live-streaming social commercial platform, enabling merchants to interact with consumers. The relatively new medium has become a fast-growing vehicle for e-commerce sales, growing from less than 5% of China e-commerce two years earlier to almost 10% in 2020. While Alibaba continues to have a leadership position in live streaming and short video production, we have seen increased competition and market share gains from companies such as Douyin (China’s version of TikTok, owned by ByteDance), and Kuaishou. We expect this newer format will grow to represent approximately 25% of e-commerce sales over time. And while we expect Alibaba to remain a leader, we expect growing competition to take an increasing share of this fast-growing market over time. Growing competitive intensity has also impacted our assessment of Alibaba’s ongoing penetration of lower-tier cities. As internet access in lower-tier cities approaches that of higher-tier cities, we expect growth in e-commerce to be approximately twice that of overall China e-commerce growth. We believe Alibaba maintains leading market share in lower-tier cities, but is likely to face heightened competition from companies such as Pinduoduo, JD.com, and Meituan. We have long assumed that Alibaba’s disproportionate share of China e-commerce would decline, from over 80% at the time of our initial analysis in 2013, to a level closer to 50% of a still-growing market. While the company remains the dominant e-commerce platform in China, we estimate that a meaningful percentage of the company’s incremental growth in the most recent quarter was from these markets where we are seeing signs of heightened competitive intensity. As a function of newer market entrants, faster growth from newer formats of e-commerce and lower-tier cities, and recent regulatory changes, we now expect the company’s market share to normalize at a lower level than we previously expected. While our ongoing analysis has lowered our assessment of intrinsic value for the company, it has not changed our assessment that Alibaba is a high-quality company that remains well positioned to benefit from secular growth in China e-commerce over our long-term investment horizon. We continue to believe that Alibaba trades at a discount to intrinsic value and offers asymmetric reward-to-risk. However, given our most recent analysis, it no longer justified the same degree of capital allocation relative to other opportunities. We trimmed the position and allocated the proceeds to our existing holdings in Boeing, Disney, Illumina, and Salesforce.
Founded in 2013, CRISPR Therapeutics (“CRSP”) is a leading gene editing company, based in Switzerland. CRISPR, an acronym for “Clustered Regularly Interspaced Short Palindromic Repeats,” is a naturally occurring defense mechanism that protects bacteria against viral infections. Functioning as a “molecular scissors,” the process enables the bacteria to cut viral DNA, thereby disabling the virus. Dr. Emmanuelle Charpentier, a CRSP co-founder, elucidated the mechanism and developed a methodology to adapt and simplify its use for human gene therapy — for which she and a collaborator were awarded the 2020 Nobel Prize in Chemistry. The resulting gene editing technology enables precise alteration of DNA that can “silence” or correct undesirable sequences, potentially enabling a next generation of curative therapies for genetic diseases. Today, the company is focused on developing transformative gene-based medicines for serious diseases in areas including hemoglobinopathies (a group of inherited blood disorders including sickle cell disease), oncology, regenerative medicine, and rare diseases. A new purchase in the second quarter of 2021, CRSP reported financial results that demonstrated continued progress across its clinical and pre-clinical therapies, including the expectation for year-end 2022 regulatory filings for its CTX001 therapy for blood disorders including sickle cell disease. In October 2021, the company reported that its CTX110 CAR-T program, which uses the body’s own immune system to fight cancer, showed good Phase 1 safety results that were comparable to but less efficacious than competing autologous therapies. While the numbers appeared below peer results, they showed promise and potential for the company to improve the results by refining its dosing regimen. CRSP’s therapy also remains differentiated from autologous therapies which are patient-specific and can only be used to treat a single patient, while CRSP’s allogenic “off-the-shelf” CAR-T therapies can be derived from a single healthy donor and then used to treat many patients. While the results could impact the timing of potential approval and ultimate market share opportunity for its CAR-T therapies, they do not impact our assessment of the quality of CRSP’s platform, and we continue to expect the company to realize significant value from its CAR-T program. We took advantage of near-term price weakness to add to our holdings during the period. While CRSP has a number of therapies currently undergoing clinical trials, it has not yet commercialized any therapies and remains pre-revenue. However, at scale, we believe the company can attain the economics of a successful biotech company, including operating margins that could exceed 40% and cash flow returns on investment that substantially exceed its cost of capital. We believe the expectations embedded in CRSP’s market price substantially underestimate the potential of its curative therapies, its ability to rapidly innovate, and its structural advantages in the development process that should lift its probability of success compared to traditional biopharmaceutical therapies. We believe management is executing on a sound investment strategy that we expect will eventually generate meaningful free cash flow growth that is not reflected in current expectations. As a result, we believe the company is selling at a substantial discount to our estimate of its intrinsic value and offers a compelling reward-to-risk opportunity.
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NATIXIS U.S. EQUITY OPPORTUNITIES ETF
Outlook
The Natixis U.S. Equity Opportunities ETF is comprised of two separate segments combining the value expertise of Harris Associates with the growth expertise of Loomis Sayles. The two segments have common investment philosophies and a rigorous long-term, bottom-up research process focused on high quality businesses trading at a significant discount to intrinsic value. Coming out of the pandemic-driven sell-off in 2020, the market’s appetite for risk and infatuation with companies benefiting from the “work from home” environment has been most analogous to behavior observed in the dot-com era of the late 1990s and early 2000s and the financial crisis and energy bubble in 2008. The thesis for each investment, almost by definition, differs from consensus. The fund managers have, and continue to, maintain temperament and discipline, and monitor any new information to constantly challenge those theses. The managers are patient investors and maintain coverage of high-quality businesses in order to take advantage of meaningful price dislocations if and when they occur.
Hypothetical Growth of $10,000 Investment4
September 17, 2020 (inception) through December 31, 2021
Top Ten Holdings as of December 31, 2021
Security Name | % of Net Assets |
|||||||
1 |
Meta Platforms, Inc., Class A |
4.44 | % | |||||
2 |
Alphabet, Inc., Class A |
4.23 | ||||||
3 |
NVIDIA Corp. |
3.26 | ||||||
4 |
Regeneron Pharmaceuticals, Inc. |
2.88 | ||||||
5 |
Amazon.com, Inc. |
2.77 | ||||||
6 |
Ally Financial, Inc. |
2.65 | ||||||
7 |
Capital One Financial Corp. |
2.31 | ||||||
8 |
EOG Resources, Inc. |
2.31 | ||||||
9 |
Charles Schwab Corp. (The) |
2.24 | ||||||
10 |
Oracle Corp. |
2.01 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
7 |
Average Annual Total Returns — December 31, 20214
1 Year |
Life of Fund (Inception 9/17/20) |
Expense Ratios5 |
||||||||||||||
Gross | Net | |||||||||||||||
NAV1 | 24.45 | % | 31.83 | % | 1.57 | % | 0.90 | % | ||||||||
Market1 | 24.55 | 31.94 | ||||||||||||||
Comparative Performance | ||||||||||||||||
S&P 500® Index2 | 28.71 | 32.09 | ||||||||||||||
Russell 1000® Index3 | 26.45 | 31.81 |
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 4/30/23. 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. |
| 8
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.
Market Conditions
During the fiscal year ended December 31, 2021, the equity market continued to recover from the global pandemic. Buoyed by a new round of stimulus checks and an accelerated rollout of Covid-19 vaccines, cyclical sectors and securities with high beta and high short interest led the equity market to new all-time highs. As we moved through the fiscal year, growth stocks resumed their leadership over value. The leadership shift to larger cap equities with growth characteristics is consistent with the modest decline in Treasury yields and flattening yield curve. As we neared the fiscal year end, returns were mixed as global equity markets grappled with slowing economic growth, rising energy prices, and material supply chain disruptions, offset by falling Covid cases and improving employment conditions. With rising inflationary pressures becoming a political issue, the US Federal Reserve began modestly reducing their Quantitative Easing purchases and provided forward guidance that interest rate increases are on the horizon. Inflationary pressures have peaked in the US and emerging markets but continue to rise in Europe. Although upward pressure on inflation is easing, inflation remains at elevated levels and may limit monetary policy support going forward.
Performance Results
For the 12 months ended December 31, 2021, the Natixis Vaughan Nelson Mid Cap ETF returned 21.47% at net asset value. The Fund underperformed its benchmark, the Russell Midcap® Value Index, which returned 28.34%.
Explanation of Fund Performance
The largest contributor to underperformance was the Fund’s consumer discretionary names. Leslie’s, Inc. was a relative detractor. Leslie’s is a provider of pool supplies and chemicals in the US, with a network of nearly 1,000 stores. While earnings were strongly revised higher throughout the year, the stock suffered from private equity sponsor selling. With the December secondary offering, the company concurrently announced a share buyback to absorb more than half the offering. We believe this should begin to relieve the sponsor overhang in 2022.
Selection within materials, namely FMC Corporation, was a relative detractor. FMC is a leading agricultural sciences company making insecticides, herbicides, and fungicides for crops. The company experienced price/cost pressures during the year but exited the fourth quarter with positive momentum.
A significant underweight to real estate, an outperforming sector, meaningfully impacted relative returns.
Information technology was a negative contributor, driven by an overweight position and stock selection. Alliance Data Systems Corporation (ADS) was the most challenged name. ADS is a provider of private label credit cards, promotional financings and savings products. The company underwent a spinoff of Loyalty Ventures to create value, but still lagged its peers as the market doubts its longer-term receivables growth targets and worries about the threat of alternatives such as buy-now-pay-later. The company is also classified in a different sector than its peers.
Health care underperformance was driven by security selection. Within the sector, Aveanna Healthcare Holdings Inc. is a provider of home health solutions, with a focus on pediatric patients. The stock underperformed as the sector was under pressure due to labor difficulties, and Aveanna is also a new issue.
Financials outperformed, with Athene Holding Ltd. Class Athe strongest name. Athene was acquired by Apollo during the year and benefitted from Apollo’s newly stated goal of $1 trillion in AUM by 2026, a doubling of its current asset base.
Security selection within Industrials aided performance with WillScot Mobile Mini Holdings Corp. Class A the strongest performer. The company provides modular space and portable storage products including temporary workspace, furniture rental, and facilities services. The company held an investor day with a bullish outlook, and a final sponsor stock sale allowed the stock to lift off.
Energy was a positive relative sector primarily due to Pioneer Natural Resources Company. Pioneer is an oil & gas exploration and production company with a focus in the Permian basin. The company completed two big mergers, then benefited from a commitment to no more deals, capital return, and rising oil prices throughout the year.
9 |
Utilities was the final outperforming sector due in part to Evergy, Inc. Evergy is a regulated utility that provides electric services to Kansas and Missouri. The company has activist involvement and benefited from strong execution.
Outlook
Economic growth continues to slow, and we expect supporting data to become visible as we exit the first quarter and move through the second quarter of 2022. As monetary policy becomes incrementally more restrictive, it is important for inflationary pressures to ease faster than economic growth so that real growth can remain supportive of equity markets. Should economic growth slow more quickly than inflation, earnings estimates and equity valuations may come under pressure in the first half of 2022.
Hypothetical Growth of $10,000 Investment3
September 17, 2020 (inception) through December 31, 2021
See notes to chart on page 11.
Top Ten Holdings as of December 31, 2021
Security Name |
% of Net Assets |
|||||||
1 |
Motorola Solutions, Inc. |
4.85 | % | |||||
2 |
Performance Food Group Co. |
3.72 | ||||||
3 |
Skechers U.S.A., Inc., Class A |
3.47 | ||||||
4 |
Elanco Animal Health, Inc. |
3.41 | ||||||
5 |
Avantor, Inc. |
2.95 | ||||||
6 |
Leslie’s, Inc. |
2.80 | ||||||
7 |
Sotera Health Co. |
2.74 | ||||||
8 |
WillScot Mobile Mini Holdings Corp. |
2.69 | ||||||
9 |
Nexstar Media Group, Inc., Class A |
2.67 | ||||||
10 |
Crown Holdings, Inc. |
2.52 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
| 10
NATIXIS VAUGHAN NELSON MID CAP ETF
Average Annual Total Returns — December 31, 20213
1 Year |
Life of Fund (Inception 9/17/20) |
Expense Ratios4 |
||||||||||||||
Gross | Net | |||||||||||||||
NAV1 | 21.47 | % | 32.97 | % | 2.40 | % | 0.85 | % | ||||||||
Market1 | 21.48 | 33.05 | ||||||||||||||
Comparative Performance | ||||||||||||||||
Russell Midcap® Value Index2 | 28.34 | 36.56 |
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 4/30/24. 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. |
11 |
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.
Market Conditions
During the fiscal year ended December 31, 2021, the equity market continued to recover from the global pandemic. Buoyed by a new round of stimulus checks and an accelerated rollout of Covid-19 vaccines, cyclical sectors and securities with high beta and high short interest led the equity market to new all-time highs. As we moved through the fiscal year, growth stocks resumed their leadership over value. The leadership shift to larger cap equities with growth characteristics is consistent with the modest decline in Treasury yields and flattening yield curve. As we neared the fiscal year end, returns were mixed as global equity markets grappled with slowing economic growth, rising energy prices, and material supply chain disruptions offset by falling Covid cases and improving employment conditions. With rising inflationary pressures becoming a political issue, the US Federal Reserve began modestly reducing their Quantitative Easing purchases and provided forward guidance that interest rate increases are on the horizon. Inflationary pressures have peaked in the US and emerging markets but continue to rise in Europe. Although upward pressure on inflation is easing, inflation remains at elevated levels and may limit monetary policy support going forward.
Performance Results
For the 12 months ended December 31, 2021, the Natixis Vaughan Nelson Select ETF returned 39.60% at net asset value. The Fund outperformed its benchmark, the S&P 500®, which returned 28.71%.
Explanation of Fund Performance
The largest contributor to outperformance was health care, driven by security selection. Within the sector, Moderna, Inc. drove the outperformance as its vaccine and mRNA pipeline were rewarded.
Information technology (IT) was a significant contributor driven by an overweight position and stock selection. NVIDIA Corporation led the way in IT due to strong data center demand for graphics processing units and leading artificial intelligence and machine learning software.
In the industrials segment, the Fund experienced positive attribution with Saia leading the way with strong pricing as they build out their national network in the LTL (less-than-truckload) market. LTL accommodates business transporting small batches of goods. Consolidating the LTL market, in addition to tightening supply chains, allows Saia a strong pricing environment and surging operating margins.
The Fund held one Utility name during the fiscal year and, despite a challenging period for utilities, NextEra delivered positive attribution as one of the largest renewables developers in the US, a space experiencing tailwinds.
The communication services sector was also driven by security selection. Alphabet Inc, Class A was the strongest name as it benefited from a solid core business in advertising as well as profitability improvement in its cloud business.
The final relative outperforming sector was financials with Aon Plc Class A the strongest name due to operational execution in a structurally attractive market, as well as a strong pricing environment for insurance providers.
The Fund’s consumer discretionary names and underweight to the space resulted in a neutral relative return for the year.
Energy was the worst performing relative sector primarily due to Technip Energies NV, which suffered from low enthusiasm for offshore energy investment.
Within materials, Wheaton Precious Metals Corp was the most significant detractor. Wheaton Precious Metals is a silver and gold focused stream company with a simple operating structure, contractually protected cash costs, and current operations largely focused in the Americas. The company will benefit from higher silver and gold prices. Gold underperformance was the main reason for the stock’s performance.
The absence of REITs in the Fund, an outperforming sector, was a detractor.
| 12
NATIXIS VAUGHAN NELSON SELECT ETF
Finally, the consumer staples sector slightly hampered relative returns. Lamb Weston Holdings, Inc. was the most impactful name. Consumer Staples stocks, including Lamb Weston, saw inflation-related costs pressure margins. Increased costs of inputs, packaging, and transportation with a complicated supply chain influenced sector profitability.
Outlook
Economic growth continues to slow, and we expect supporting data to become visible as we exit the first quarter and move through the second quarter of 2022. As monetary policy becomes incrementally more restrictive it is important for inflationary pressures to ease faster than economic growth so that real growth can remain supportive of equity markets. Should economic growth slow more quickly than inflation, earnings estimates and equity valuations may come under pressure in the first half of 2022.
Hypothetical Growth of $10,000 Investment3
September 17, 2020 (inception) through December 31, 2021
Top Ten Holdings as of December 31, 2021
Security Name | % of Net Assets |
|||||||
1 |
Apple, Inc. |
5.52 | % | |||||
2 |
Microsoft Corp. |
5.50 | ||||||
3 |
Danaher Corp. |
5.35 | ||||||
4 |
Berkshire Hathaway, Inc., Class B |
5.23 | ||||||
5 |
Alphabet, Inc., Class A |
5.06 | ||||||
6 |
Amazon.com, Inc. |
4.78 | ||||||
7 |
NVIDIA Corp. |
4.74 | ||||||
8 |
Union Pacific Corp. |
4.62 | ||||||
9 |
Saia, Inc. |
4.41 | ||||||
10 |
Clorox Co. (The) |
4.41 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer.
13 |
Average Annual Total Returns — December 31, 20213
1 Year |
Life of Fund (Inception 9/17/20) |
Expense Ratios4 | ||||||||||||||
Gross | Net | |||||||||||||||
NAV1 | 39.60 | % | 39.79 | % | 1.94 | % | 0.80 | % | ||||||||
Market1 | 39.65 | 39.87 | ||||||||||||||
Comparative Performance | ||||||||||||||||
S&P 500® Index2 | 28.71 | 32.09 |
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 4/30/24. 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. |
| 14
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.
The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.
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 on 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.
15 |
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 July 1, 2021 through December 31, 2021. 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 7/1/2021 |
ENDING ACCOUNT VALUE 12/31/2021 |
EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 |
|||||||||
Actual | $1,000.00 | $996.40 | $1.91 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.29 | $1.94 |
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 (184), divided by 365 (to reflect the half-year period). |
NATIXIS U.S. EQUITY OPPORTUNITIES ETF | BEGINNING ACCOUNT VALUE 7/1/2021 |
ENDING ACCOUNT VALUE 12/31/2021 |
EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 |
|||||||||
Actual | $1,000.00 | $1,042.10 | $4.63 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 |
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 (184), divided by 365 (to reflect the half-year period). |
| 16
NATIXIS VAUGHAN NELSON MID CAP ETF | BEGINNING ACCOUNT VALUE 7/1/2021 |
ENDING ACCOUNT VALUE 12/31/2021 |
EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 |
|||||||||
Actual | $1,000.00 | $1,033.40 | $4.36 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 |
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 (184), divided by 365 (to reflect the half-year period). |
NATIXIS VAUGHAN NELSON SELECT ETF | BEGINNING ACCOUNT VALUE 7/1/2021 |
ENDING ACCOUNT VALUE 12/31/2021 |
EXPENSES PAID DURING PERIOD* 7/1/2021 – 12/31/2021 |
|||||||||
Actual | $1,000.00 | $1,173.10 | $4.38 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 |
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 (184), divided by 365 (to reflect the half-year period). |
17 |
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF
Principal Amount |
Description | Value (†) | ||||||
Bonds and Notes — 99.6% of Net Assets | ||||||||
ABS Car Loan — 15.9% |
| |||||||
$ | 63,117 | American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A | $ | 63,489 | ||||
14,928 | American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A | 14,980 | ||||||
4,363 | American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A | 4,368 | ||||||
10,000 | American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A | 9,999 | ||||||
12,873 | American Credit Acceptance Receivables Trust, Series 2021-1, Class A, 0.350%, 5/13/2024, 144A | 12,871 | ||||||
37,443 | American Credit Acceptance Receivables Trust, Series 2021-2, Class A, 0.370%, 10/15/2024, 144A | 37,416 | ||||||
56,377 | American Credit Acceptance Receivables Trust, Series 2021-3, Class A, 0.330%, 6/13/2025, 144A | 56,265 | ||||||
35,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A | 34,806 | ||||||
80,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class C, 0.980%, 11/15/2027, 144A | 79,087 | ||||||
75,455 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024 | 75,850 | ||||||
20,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024 | 20,188 | ||||||
10,000 | AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.060%, 8/18/2026 | 9,975 | ||||||
85,000 | AmeriCredit Automobile Receivables Trust, Series 2021-1, Class A3, 0.370%, 8/18/2025 | 84,719 | ||||||
40,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class A2, 0.260%, 11/18/2024 | 39,931 | ||||||
20,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 | 19,754 | ||||||
55,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 | 54,536 | ||||||
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 104,726 | ||||||
105,000 | BMW Vehicle Lease Trust, Series 2021-2, Class A2, 0.190%, 11/27/2023 | 104,803 | ||||||
90,000 | Canadian Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025, 144A | 89,411 | ||||||
9,661 | CarMax Auto Owner Trust, Series 2019-3, Class A3, 2.180%, 8/15/2024 | 9,766 | ||||||
20,000 | CarMax Auto Owner Trust, Series 2021-1, Class A3, 0.340%, 12/15/2025 | 19,824 | ||||||
175,000 | CarMax Auto Owner Trust, Series 2021-3, Class A2A, 0.290%, 9/16/2024(a) | 174,714 | ||||||
135,000 | CarMax Auto Owner Trust, Series 2021-3, Class A3, 0.550%, 6/15/2026 | 133,895 | ||||||
35,000 | Carvana Auto Receivables Trust, Series 2020-P1, Class A3, 0.440%, 6/09/2025 | 34,929 | ||||||
20,000 | Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028 | 19,871 | ||||||
30,000 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 29,988 | ||||||
66,817 | Carvana Auto Receivables Trust, Series 2021-P1, Class A2, 0.280%, 3/11/2024 | 66,803 | ||||||
140,000 | Carvana Auto Receivables Trust, Series 2021-P1, Class A3, 0.540%, 12/10/2025 | 139,572 | ||||||
141,575 | Carvana Auto Receivables Trust, Series 2021-P2, Class A2, 0.300%, 7/10/2024(a) | 141,526 | ||||||
85,000 | Carvana Auto Receivables Trust, Series 2021-P3, Class A3, 0.700%, 11/10/2026 | 83,892 | ||||||
130,000 | Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027 | 130,006 | ||||||
ABS Car Loan — continued | ||||||||
$ | 27,215 | CIG Auto Receivables Trust, Series 2020-1A, Class A, 0.680%, 10/12/2023, 144A | $ | 27,227 | ||||
65,982 | CIG Auto Receivables Trust, Series 2021-1A, Class A, 0.690%, 4/14/2025, 144A | 65,807 | ||||||
30,000 | Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025 | 29,953 | ||||||
60,000 | Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025 | 59,642 | ||||||
50,000 | Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026 | 49,885 | ||||||
4,146 | DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A |
4,153 | ||||||
18,995 | DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A |
19,113 | ||||||
738 | DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A |
738 | ||||||
7,082 | DT Auto Owner Trust, Series 2020-1A, Class B, 2.160%, 5/15/2024, 144A |
7,105 | ||||||
15,000 | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A |
15,332 | ||||||
11,698 | DT Auto Owner Trust, Series 2020-3A, Class A, 0.540%, 4/15/2024, 144A |
11,699 | ||||||
35,000 | DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A |
35,082 | ||||||
23,820 | DT Auto Owner Trust, Series 2021-1A, Class A, 0.350%, 1/15/2025, 144A |
23,802 | ||||||
25,000 | DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A |
24,937 | ||||||
131,525 | DT Auto Owner Trust, Series 2021-3A, Class A, 0.330%, 4/15/2025, 144A |
131,228 | ||||||
50,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A |
49,750 | ||||||
90,000 | Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027, 144A | 89,314 | ||||||
2,486 | Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A | 2,488 | ||||||
25,000 | Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A | 25,392 | ||||||
30,000 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025 | 30,133 | ||||||
15,944 | Exeter Automobile Receivables Trust, Series 2021-2A, Class A2, 0.270%, 1/16/2024 | 15,943 | ||||||
30,000 | Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025 | 29,907 | ||||||
80,000 | Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026 | 79,818 | ||||||
3,744 | First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.210%, 9/16/2024, 144A | 3,751 | ||||||
14,465 | First Investors Auto Owner Trust, Series 2021-1A, Class A, 0.450%, 3/16/2026, 144A | 14,445 | ||||||
382 | Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A |
382 | ||||||
10,000 | Flagship Credit Auto Trust, Series 2020-2, Class C, 3.800%, 4/15/2026, 144A |
10,346 | ||||||
15,000 | Flagship Credit Auto Trust, Series 2020-4, Class C, 1.280%, 2/16/2027, 144A |
14,872 | ||||||
36,318 | Flagship Credit Auto Trust, Series 2021-1, Class A, 0.310%, 6/16/2025, 144A |
36,245 | ||||||
30,000 | Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A |
29,644 | ||||||
65,000 | Flagship Credit Auto Trust, Series 2021-2, Class C, 1.270%, 6/15/2027, 144A |
64,354 |
See accompanying notes to financial statements.
| 18
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
ABS Car Loan — continued | ||||||||
$ | 11,515 | Ford Credit Auto Lease Trust, Series 2020-A, Class A3, 1.850%, 3/15/2023 | $ | 11,533 | ||||
55,000 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 54,636 | ||||||
105,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026, 144A | 103,938 | ||||||
35,000 | GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A | 35,275 | ||||||
65,000 | GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A | 65,129 | ||||||
105,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A | 104,913 | ||||||
40,000 | GM Financial Automobile Leasing Trust, Series 2020-3, Class A3, 0.450%, 8/21/2023 | 40,006 | ||||||
140,401 | GM Financial Automobile Leasing Trust, Series 2021-2, Class A2, 0.220%, 7/20/2023(a) | 140,297 | ||||||
80,000 | GM Financial Automobile Leasing Trust, Series 2021-2, Class A3, 0.340%, 5/20/2024 | 79,608 | ||||||
22,690 | GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024 | 22,835 | ||||||
20,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 19,873 | ||||||
170,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-3, Class A2, 0.210%, 8/16/2024(a) | 169,789 | ||||||
70,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A2, 0.280%, 11/18/2024 | 69,887 | ||||||
195,000 | GM Financial Leasing Trust, Series 2021-1, Class A3, 0.260%, 2/20/2024(a) | 194,390 | ||||||
21,521 | Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3, 1.870%, 10/15/2024 | 21,686 | ||||||
35,000 | Harley-Davidson Motorcycle Trust, Series 2021-A, Class A3, 0.370%, 4/15/2026 | 34,839 | ||||||
123,199 | Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024 | 123,420 | ||||||
70,000 | Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.370%, 10/18/2024 | 69,760 | ||||||
30,000 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 29,817 | ||||||
140,421 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A2, 0.170%, 11/15/2023(a) | 140,286 | ||||||
153,750 | Hyundai Auto Lease Securitization Trust, Series 2021-B, Class A2, 0.190%, 10/16/2023, 144A(a) | 153,617 | ||||||
135,000 | Hyundai Auto Receivables Trust, Series 2021-B, Class A2, 0.240%, 5/15/2024 | 134,808 | ||||||
165,000 | Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A2, 0.220%, 1/16/2024(a) | 164,798 | ||||||
60,000 | Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A3, 0.400%, 11/15/2024 | 59,550 | ||||||
100,000 | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A | 100,732 | ||||||
145,000 | NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.850%, 7/15/2026, 144A(a) | 142,828 | ||||||
23,579 | Nissan Auto Lease Trust, Series 2020-A, Class A3, 1.840%, 1/17/2023 |
23,651 | ||||||
50,000 | Nissan Auto Lease Trust, Series 2020-B, Class A3, 0.430%, 10/16/2023 |
50,006 | ||||||
105,000 | Nissan Auto Lease Trust, Series 2021-A, Class A2, 0.300%, 12/15/2023 |
104,753 | ||||||
167,504 | Nissan Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 2/15/2024(a) | 167,327 | ||||||
70,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A | 69,961 | ||||||
ABS Car Loan — continued | ||||||||
$ | 45,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A | $ | 44,738 | ||||
34,881 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A, 1.370%, 10/15/2024, 144A | 34,984 | ||||||
25,000 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A | 25,745 | ||||||
15,095 | Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024 | 15,165 | ||||||
9,450 | Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.960%, 11/15/2024 | 9,460 | ||||||
65,000 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026 | 65,213 | ||||||
40,000 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026 | 40,053 | ||||||
75,000 | Santander Drive Auto Receivables Trust, Series 2021-1, Class A3, 0.320%, 9/16/2024 | 74,996 | ||||||
60,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class A3, 0.340%, 2/18/2025 | 59,922 | ||||||
45,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026 | 44,866 | ||||||
90,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class B, 0.600%, 12/15/2025 | 89,658 | ||||||
70,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027 | 69,325 | ||||||
147,720 | Santander Retail Auto Lease Trust, Series 2021-B, Class A2, 0.310%, 1/22/2024, 144A(a) | 147,601 | ||||||
160,000 | Santander Retail Auto Lease Trust, Series 2021-B, Class A3, 0.510%, 8/20/2024, 144A(a) | 158,488 | ||||||
95,000 | Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026 | 93,991 | ||||||
3,507 | USAA Auto Owner Trust, Series 2019-1, Class A3, 2.160%, 7/17/2023 |
3,510 | ||||||
210,000 | Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.020%, 6/22/2026(a) | 210,882 | ||||||
25,000 | Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A | 25,296 | ||||||
15,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025, 144A | 15,000 | ||||||
71,021 | Westlake Automobile Receivables Trust, Series 2021-2A, Class A2A, 0.320%, 4/15/2025, 144A | 70,829 | ||||||
45,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A | 44,635 | ||||||
115,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A | 114,670 | ||||||
7,871 | World Omni Auto Receivables Trust, Series 2018-B, Class A3, 2.870%, 7/17/2023 | 7,890 | ||||||
80,000 | World Omni Auto Receivables Trust, Series 2020-A, Class A3, 1.700%, 1/17/2023 | 80,449 | ||||||
65,000 | World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026 | 64,537 | ||||||
95,000 | World Omni Auto Receivables Trust, Series 2021-C, Class A2, 0.220%, 9/16/2024 | 94,783 | ||||||
156,314 | World Omni Automobile Lease Securitization Trust, Series 2021-A, Class A2, 0.210%, 4/15/2024(a) | 155,951 | ||||||
35,000 | World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025 | 35,006 | ||||||
40,000 | World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 | 39,420 | ||||||
|
|
|||||||
7,545,458 | ||||||||
|
|
|||||||
ABS Credit Card — 0.6% |
| |||||||
170,000 | Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026(a) | 167,688 |
See accompanying notes to financial statements.
19 |
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
ABS Credit Card — continued | ||||||||
$ | 110,000 | World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026 | $ | 111,286 | ||||
|
|
|||||||
278,974 | ||||||||
|
|
|||||||
ABS Other — 1.6% |
| |||||||
175,000 | CNH Equipment Trust, Series 2021-B, Class A2, 0.220%, 8/15/2024(a) |
174,623 | ||||||
125,812 | DLLAA LLC, Series 2021-1A, Class A2, 0.360%, 5/17/2024, 144A |
125,496 | ||||||
57,842 | GLS Auto Receivables Trust, Series 2021-2A, Class A, 0.310%, 11/15/2024, 144A | 57,740 | ||||||
41,020 | GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A2, 0.270%, 6/15/2023, 144A | 40,972 | ||||||
170,000 | HPEFS Equipment Trust, Series 2021-2A, Class AC, 0.300%, 9/20/2028, 144A(a) |
169,730 | ||||||
175,000 | Kubota Credit Owner Trust, Series 2021-2A, Class A2, 0.260%, 6/17/2024, 144A(a) | 174,278 | ||||||
|
|
|||||||
742,839 | ||||||||
|
|
|||||||
ABS Student Loan — 0.4% |
| |||||||
159,827 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A(a) | 157,514 | ||||||
54,333 | SoFi Professional Loan Program LLC, Series 2015-D, Class A2, 2.720%, 10/27/2036, 144A | 54,503 | ||||||
|
|
|||||||
212,017 | ||||||||
|
|
|||||||
Aerospace & Defense — 0.1% |
| |||||||
20,000 | Boeing Co. (The), 4.875%, 5/01/2025 | 21,881 | ||||||
20,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 21,152 | ||||||
2,000 | Raytheon Technologies Corp., 3.650%, 8/16/2023 | 2,079 | ||||||
|
|
|||||||
45,112 | ||||||||
|
|
|||||||
Agency Commercial Mortgage-Backed Securities — 0.2% |
| |||||||
42,354 | FHLMC Multifamily Structured Pass Through Certificates,
Series KF81, Class AL, 1-month LIBOR + 0.360%, 0.454%, 6/25/2027(b) |
42,497 | ||||||
30,803 | FHLMC Multifamily Structured Pass Through Certificates,
Series KF81, Class AS, 30-day Average SOFR + 0.400%, 0.450%, 6/25/2027(b) |
30,895 | ||||||
6,836 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025 | 6,843 | ||||||
|
|
|||||||
80,235 | ||||||||
|
|
|||||||
Airlines — 0.1% |
| |||||||
55,000 | Southwest Airlines Co., 5.250%, 5/04/2025 | 61,088 | ||||||
15,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 15,641 | ||||||
|
|
|||||||
76,729 | ||||||||
|
|
|||||||
Automotive — 1.4% |
| |||||||
40,000 | American Honda Finance Corp., MTN, 0.650%, 9/08/2023 |
39,879 | ||||||
55,000 | BMW U.S. Capital LLC, 3.450%, 4/12/2023, 144A | 56,716 | ||||||
205,000 | Daimler Trucks Finance North America LLC, 2.000%, 12/14/2026, 144A |
205,875 | ||||||
35,000 | General Motors Financial Co., Inc., 1.200%, 10/15/2024 |
34,743 | ||||||
60,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 |
62,033 | ||||||
25,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A |
26,190 | ||||||
30,000 | Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A |
30,083 | ||||||
75,000 | Hyundai Capital America, 0.875%, 6/14/2024, 144A | 73,546 | ||||||
40,000 | Hyundai Capital America, 2.375%, 2/10/2023, 144A | 40,554 | ||||||
25,000 | PACCAR Financial Corp., MTN, 1.900%, 2/07/2023 | 25,302 | ||||||
Automotive — continued | ||||||||
$ | 15,000 | PACCAR Financial Corp., MTN, 2.000%, 9/26/2022 | $ | 15,183 | ||||
50,000 | Toyota Motor Credit Corp., MTN, 0.450%, 7/22/2022 | 50,008 | ||||||
|
|
|||||||
660,112 | ||||||||
|
|
|||||||
Banking — 6.9% |
| |||||||
80,000 | Ally Financial, Inc., 3.050%, 6/05/2023 | 82,021 | ||||||
125,000 | Bank of America Corp., (fixed rate to 1/20/2022, variable rate thereafter), MTN, 3.124%, 1/20/2023 | 125,140 | ||||||
35,000 | Bank of Montreal, SOFR + 0.350%, 0.400%, 12/08/2023(b) | 35,000 | ||||||
65,000 | Bank of Montreal, MTN, 2.900%, 3/26/2022 | 65,406 | ||||||
35,000 | Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025 |
35,321 | ||||||
145,000 | Bank of Nova Scotia (The), 0.700%, 4/15/2024 | 143,719 | ||||||
55,000 | Bank of Nova Scotia (The), 1.950%, 2/01/2023 | 55,637 | ||||||
15,000 | Canadian Imperial Bank of Commerce, 0.950%, 6/23/2023 |
15,018 | ||||||
95,000 | Canadian Imperial Bank of Commerce, 1.000%, 10/18/2024 |
94,159 | ||||||
70,000 | Canadian Imperial Bank of Commerce, (fixed rate to
7/22/2022, variable rate thereafter), 2.606%, 7/22/2023 |
70,722 | ||||||
85,000 | Capital One Financial Corp., 3.200%, 1/30/2023 | 87,062 | ||||||
205,000 | Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024 | 206,239 | ||||||
80,000 | Citigroup, Inc., (fixed rate to 1/24/2022, variable rate thereafter), 3.142%, 1/24/2023 | 80,101 | ||||||
15,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | 14,882 | ||||||
75,000 | Comerica, Inc., 3.700%, 7/31/2023 | 78,047 | ||||||
150,000 | Deutsche Bank AG, (fixed rate to 11/16/2026, variable rate thereafter), 2.311%, 11/16/2027 | 149,933 | ||||||
150,000 | Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025 | 149,069 | ||||||
50,000 | Fifth Third Bancorp, 2.600%, 6/15/2022 | 50,389 | ||||||
155,000 | Goldman Sachs Group, Inc. (The), (fixed rate to
10/21/2026, variable rate thereafter), 1.948%, 10/21/2027 |
154,485 | ||||||
85,000 | Goldman Sachs Group, Inc. (The), (fixed rate to
11/17/2022, variable rate thereafter), 0.627%, 11/17/2023 |
84,793 | ||||||
205,000 | HSBC Holdings PLC, (fixed rate to 11/22/2026, variable rate thereafter), 2.251%, 11/22/2027 | 205,427 | ||||||
110,000 | JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023 | 110,655 | ||||||
80,000 | Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A | 80,956 | ||||||
120,000 | Macquarie Group Ltd., (fixed rate to 10/14/2024, variable rate thereafter), 1.201%, 10/14/2025, 144A | 118,946 | ||||||
110,000 | Mitsubishi UFJ Financial Group, Inc., 2.665%, 7/25/2022 |
111,290 | ||||||
120,000 | Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024 | 119,588 | ||||||
35,000 | Royal Bank of Canada, 0.650%, 7/29/2024 | 34,505 | ||||||
60,000 | Royal Bank of Canada, GMTN, SOFR + 0.300%, 0.349%, 1/19/2024(b) |
59,930 | ||||||
20,000 | Royal Bank of Canada, GMTN, 0.750%, 10/07/2024 | 19,797 | ||||||
55,000 | Santander Holdings USA, Inc., 3.450%, 6/02/2025 | 57,703 | ||||||
55,000 | State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026 | 57,506 | ||||||
200,000 | Sumitomo Mitsui Financial Group, Inc., 1.902%, 9/17/2028(a) |
196,066 | ||||||
65,000 | Synchrony Financial, 2.850%, 7/25/2022 | 65,662 | ||||||
15,000 | Synchrony Financial, 4.375%, 3/19/2024 | 15,825 |
See accompanying notes to financial statements.
| 20
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
Banking — continued | ||||||||
$ | 40,000 | Toronto-Dominion Bank (The), MTN, SOFR + 0.240%, 0.289%, 1/06/2023(b) |
$ | 40,024 | ||||
40,000 | Truist Financial Corp., MTN, 3.050%, 6/20/2022 | 40,393 | ||||||
135,000 | Westpac Banking Corp., 1.953%, 11/20/2028 | 134,460 | ||||||
25,000 | Westpac Banking Corp., 2.800%, 1/11/2022 | 25,015 | ||||||
|
|
|||||||
3,270,891 | ||||||||
|
|
|||||||
Brokerage — 1.4% | ||||||||
80,000 | Ameriprise Financial, Inc., 3.000%, 3/22/2022 | 80,455 | ||||||
70,000 | BlackRock, Inc., 2.100%, 2/25/2032 | 69,452 | ||||||
140,000 | Blackstone Holdings Finance Co. LLC, 1.625%, 8/05/2028, 144A |
135,964 | ||||||
65,000 | Blackstone Private Credit Fund, 1.750%, 9/15/2024, 144A |
63,933 | ||||||
125,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026, 144A |
121,870 | ||||||
80,000 | Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 2.625%, 10/15/2031 | 78,685 | ||||||
110,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A |
117,094 | ||||||
|
|
|||||||
667,453 | ||||||||
|
|
|||||||
Chemicals — 0.4% | ||||||||
60,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 59,550 | ||||||
45,000 | Chemours Co. (The), 4.625%, 11/15/2029, 144A | 44,651 | ||||||
100,000 | Ecolab, Inc., 2.125%, 2/01/2032 | 99,169 | ||||||
|
|
|||||||
203,370 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations — 1.0% | ||||||||
948 | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c)(d) | 971 | ||||||
810 | Government National Mortgage Association, Series 2012-H28, Class FA, 1-month LIBOR + 0.580%, 0.661%, 9/20/2062(b)(c)(d) | 805 | ||||||
2,246 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)(d) | 2,255 | ||||||
8,090 | Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)(d) | 8,247 | ||||||
17,724 | Government National Mortgage Association, Series 2016-H13, Class FT, 1-month LIBOR + 0.580%, 0.661%, 5/20/2066(b)(c)(d) | 17,676 | ||||||
5,392 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 0.281%, 10/20/2064(b)(c)(d) | 5,356 | ||||||
44,241 | Government National Mortgage Association, Series 2019-H01, Class FJ, 1-month LIBOR + 0.300%, 0.381%, 9/20/2068(b) | 44,190 | ||||||
38,243 | Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.481%, 10/20/2068(b) | 38,244 | ||||||
53,328 | Government National Mortgage Association, Series 2019-H0A, Class FT, 1-year CMT + 0.430%, 0.570%, 4/20/2069(b) | 53,377 | ||||||
106,223 | Government National Mortgage Association, Series 2019-H13, Class FT,
1-year CMT + 0.450%, 0.590%, 8/20/2069(b) |
106,142 | ||||||
183,933 | Government National Mortgage Association, Series 2020-HO1, Class FT,
1-year CMT + 0.500%, 0.610%, 1/20/2070(a)(b) |
183,329 | ||||||
|
|
|||||||
460,592 | ||||||||
|
|
|||||||
Construction Machinery — 0.4% | ||||||||
75,000 | Caterpillar Financial Services Corp., MTN, 1.950%, 11/18/2022 |
76,017 | ||||||
80,000 | CNH Industrial Capital LLC, 1.950%, 7/02/2023 | 81,041 | ||||||
Construction Machinery — continued | ||||||||
$ | 30,000 | John Deere Capital Corp., MTN, 2.950%, 4/01/2022 | $ | 30,198 | ||||
|
|
|||||||
187,256 | ||||||||
|
|
|||||||
Consumer Cyclical Services — 0.1% | ||||||||
31,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | 34,973 | ||||||
|
|
|||||||
Consumer Products — 0.1% | ||||||||
30,000 | Newell Brands, Inc., 4.350%, 4/01/2023 | 30,900 | ||||||
|
|
|||||||
Diversified Manufacturing — 0.2% | ||||||||
35,000 | Amphenol Corp., 2.050%, 3/01/2025 | 35,658 | ||||||
85,000 | Otis Worldwide Corp., 3-month LIBOR + 0.450%, 0.583%, 4/05/2023(b) | 85,001 | ||||||
|
|
|||||||
120,659 | ||||||||
|
|
|||||||
Electric — 2.6% | ||||||||
45,000 | AES Corp. (The), 3.300%, 7/15/2025, 144A | 46,593 | ||||||
25,000 | Alliant Energy Finance LLC, 3.750%, 6/15/2023, 144A | 25,895 | ||||||
65,000 | American Electric Power Co., Inc., Series A, 3-month LIBOR + 0.480%, 0.612%, 11/01/2023(b) |
65,006 | ||||||
85,000 | Consolidated Edison, Inc., Series A, 0.650%, 12/01/2023 |
84,304 | ||||||
30,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 31,053 | ||||||
65,000 | Dominion Energy, Inc., Series D, 3-month LIBOR + 0.530%, 0.733%, 9/15/2023(b) |
64,942 | ||||||
5,000 | Edison International, 4.950%, 4/15/2025 | 5,438 | ||||||
200,000 | Entergy Louisiana LLC, 0.950%, 10/01/2024 | 197,799 | ||||||
45,000 | Eversource Energy, Series N, 3.800%, 12/01/2023 | 47,234 | ||||||
125,000 | NextEra Energy Capital Holdings, Inc., 3-month LIBOR + 0.270%, 0.430%, 2/22/2023(b) |
124,789 | ||||||
60,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | 58,800 | ||||||
15,000 | Pacific Gas & Electric Co., SOFR + 1.150%, 1.200%, 11/14/2022(b) |
15,023 | ||||||
40,000 | Southern California Edison Co., SOFR + 0.470%, 0.520%, 12/02/2022(b) |
40,037 | ||||||
65,000 | Southern California Edison Co., 0.700%, 8/01/2023 | 64,592 | ||||||
65,000 | Southern California Edison Co., 1.100%, 4/01/2024 | 64,753 | ||||||
85,000 | Southern Co. (The), Series 21-A, 0.600%, 2/26/2024 | 83,905 | ||||||
110,000 | WEC Energy Group, Inc., 0.800%, 3/15/2024 | 108,872 | ||||||
90,000 | Xcel Energy, Inc., 0.500%, 10/15/2023 | 89,393 | ||||||
|
|
|||||||
1,218,428 | ||||||||
|
|
|||||||
Finance Companies — 2.1% | ||||||||
80,000 | Air Lease Corp., 0.800%, 8/18/2024 | 78,364 | ||||||
40,000 | Air Lease Corp., MTN, 0.700%, 2/15/2024 | 39,366 | ||||||
40,000 | Aircastle Ltd., 2.850%, 1/26/2028, 144A | 40,232 | ||||||
75,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 74,667 | ||||||
100,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 98,318 | ||||||
70,000 | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A | 72,056 | ||||||
35,000 | Avolon Holdings Funding Ltd., 5.500%, 1/15/2026, 144A |
38,679 | ||||||
60,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 |
58,314 | ||||||
45,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 44,506 | ||||||
15,000 | FS KKR Capital Corp., 4.250%, 2/14/2025, 144A | 15,699 | ||||||
110,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 | 108,105 | ||||||
100,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 100,288 | ||||||
70,000 | Navient Corp., 5.500%, 3/15/2029 | 69,825 | ||||||
65,000 | Oaktree Specialty Lending Corp., 3.500%, 2/25/2025 | 67,724 | ||||||
30,000 | Owl Rock Capital Corp., 3.750%, 7/22/2025 | 31,076 | ||||||
50,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 50,644 | ||||||
|
|
|||||||
987,863 | ||||||||
|
|
See accompanying notes to financial statements.
21 |
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
Financial Other — 0.7% | ||||||||
$ | 70,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028, 144A |
$ | 68,242 | ||||
55,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 56,563 | ||||||
105,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A |
104,475 | ||||||
85,000 | ORIX Corp., 2.900%, 7/18/2022 | 85,980 | ||||||
|
|
|||||||
315,260 | ||||||||
|
|
|||||||
Food & Beverage — 0.9% | ||||||||
35,000 | Bunge Ltd. Finance Corp., 4.350%, 3/15/2024 | 37,217 | ||||||
70,000 | Cargill, Inc., 2.125%, 11/10/2031, 144A | 69,016 | ||||||
100,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 5/15/2032, 144A | 100,000 | ||||||
60,000 | Keurig Dr Pepper, Inc., 0.750%, 3/15/2024 | 59,582 | ||||||
70,000 | Lamb Weston Holdings, Inc., 4.125%, 1/31/2030, 144A |
71,833 | ||||||
80,000 | Mondelez International, Inc., 0.625%, 7/01/2022 |
80,090 | ||||||
|
|
|||||||
417,738 | ||||||||
|
|
|||||||
Gaming — 0.2% | ||||||||
15,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 |
15,081 | ||||||
65,000 | GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025 |
71,191 | ||||||
|
|
|||||||
86,272 | ||||||||
|
|
|||||||
Government Owned – No Guarantee — 0.4% | ||||||||
200,000 | NBN Co. Ltd., 0.875%, 10/08/2024, 144A | 197,196 | ||||||
|
|
|||||||
Health Insurance — 0.3% | ||||||||
125,000 | Humana, Inc., 0.650%, 8/03/2023 | 124,351 | ||||||
|
|
|||||||
Healthcare — 0.7% | ||||||||
145,000 | Baxter International, Inc., 2.272%, 12/01/2028, 144A | 146,050 | ||||||
55,000 | Cigna Corp., 3.750%, 7/15/2023 | 57,195 | ||||||
145,000 | Illumina, Inc., 0.550%, 3/23/2023 | 144,257 | ||||||
|
|
|||||||
347,502 | ||||||||
|
|
|||||||
Home Construction — 0.0% | ||||||||
20,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A | 20,050 | ||||||
|
|
|||||||
Independent Energy — 0.3% | ||||||||
30,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A |
29,348 | ||||||
55,000 | EQT Corp., 6.625%, 2/01/2025 | 62,013 | ||||||
50,000 | Pioneer Natural Resources Co., 0.550%, 5/15/2023 |
49,809 | ||||||
15,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 15,796 | ||||||
|
|
|||||||
156,966 | ||||||||
|
|
|||||||
Life Insurance — 4.7% | ||||||||
25,000 | AIG Global Funding, 0.650%, 6/17/2024, 144A | 24,586 | ||||||
95,000 | AIG Global Funding, 2.300%, 7/01/2022, 144A | 95,759 | ||||||
50,000 | Athene Global Funding, 2.500%, 1/14/2025, 144A | 51,386 | ||||||
80,000 | Athene Global Funding, 2.500%, 3/24/2028, 144A | 80,452 | ||||||
20,000 | Brighthouse Financial Global Funding, 1.000%, 4/12/2024, 144A |
19,829 | ||||||
95,000 | Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A |
95,160 | ||||||
95,000 | Equitable Financial Life Global Funding, 0.500%, 4/06/2023, 144A |
94,540 | ||||||
42,000 | Equitable Holdings, Inc., 3.900%, 4/20/2023 | 43,461 | ||||||
200,000 | F&G Global Funding, 0.900%, 9/20/2024, 144A | 197,027 | ||||||
75,000 | GA Global Funding Trust, 1.000%, 4/08/2024, 144A | 74,276 | ||||||
150,000 | GA Global Funding Trust, 1.250%, 12/08/2023, 144A | 149,914 | ||||||
Life Insurance — continued | ||||||||
$ | 40,000 | Guardian Life Global Funding, 1.100%, 6/23/2025, 144A |
$ | 39,618 | ||||
45,000 | Guardian Life Global Funding, 3.400%, 4/25/2023, 144A |
46,525 | ||||||
75,000 | Jackson National Life Global Funding, 3.300%, 2/01/2022, 144A |
75,169 | ||||||
20,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A |
21,503 | ||||||
150,000 | Met Tower Global Funding, 0.700%, 4/05/2024, 144A | 148,640 | ||||||
120,000 | New York Life Global Funding, SOFR + 0.220%, 0.270%, 2/02/2023, 144A(b) |
120,039 | ||||||
145,000 | Northwestern Mutual Global Funding, 0.600%, 3/25/2024, 144A(a) |
143,264 | ||||||
200,000 | Pricoa Global Funding I, 1.200%, 9/01/2026, 144A | 195,813 | ||||||
175,000 | Principal Life Global Funding II, 0.500%, 1/08/2024, 144A |
173,171 | ||||||
150,000 | Protective Life Global Funding, 0.502%, 4/12/2023, 144A |
149,505 | ||||||
45,000 | Reliance Standard Life Global Funding II, 2.150%, 1/21/2023, 144A |
45,608 | ||||||
55,000 | RGA Global Funding, 2.000%, 11/30/2026, 144A | 55,187 | ||||||
70,000 | Security Benefit Global Funding, 1.250%, 5/17/2024, 144A |
69,655 | ||||||
|
|
|||||||
2,210,087 | ||||||||
|
|
|||||||
Lodging — 0.2% | ||||||||
65,000 | Hyatt Hotels Corp., 1.300%, 10/01/2023 | 64,997 | ||||||
30,000 | Hyatt Hotels Corp., 5.375%, 4/23/2025 | 33,253 | ||||||
|
|
|||||||
98,250 | ||||||||
|
|
|||||||
Metals & Mining — 0.1% | ||||||||
65,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 68,348 | ||||||
|
|
|||||||
Midstream — 1.1% | ||||||||
125,000 | Enbridge, Inc., SOFR + 0.400%, 0.450%, 2/17/2023(b) | 125,000 | ||||||
55,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A | 55,064 | ||||||
55,000 | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A |
55,099 | ||||||
90,000 | MPLX LP, 3.375%, 3/15/2023 | 92,288 | ||||||
200,000 | TransCanada PipeLines Ltd., 1.000%, 10/12/2024 | 198,236 | ||||||
|
|
|||||||
525,687 | ||||||||
|
|
|||||||
Natural Gas — 0.6% | ||||||||
60,000 | Atmos Energy Corp., 0.625%, 3/09/2023 | 59,770 | ||||||
75,000 | CenterPoint Energy Resources Corp., 0.700%, 3/02/2023 |
74,655 | ||||||
140,000 | ONE Gas, Inc., 0.850%, 3/11/2023 | 139,837 | ||||||
|
|
|||||||
274,262 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities — 0.5% |
| |||||||
129,775 | Benchmark Mortgage Trust, Series 2019-B10, Class A1, 2.793%, 3/15/2062 | 131,698 | ||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C11, Class A4,
4.151%, 8/15/2046(e) |
103,112 | ||||||
|
|
|||||||
234,810 | ||||||||
|
|
|||||||
Oil Field Services — 0.0% | ||||||||
20,000 | Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., 2.061%, 12/15/2026 | 20,179 | ||||||
|
|
|||||||
Pharmaceuticals — 1.0% | ||||||||
95,000 | AstraZeneca PLC, 3.500%, 8/17/2023 | 99,138 | ||||||
80,000 | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A | 83,243 | ||||||
10,000 | Bristol-Myers Squibb Co., 2.000%, 8/01/2022 | 10,094 | ||||||
70,000 | Bristol-Myers Squibb Co., 3.550%, 8/15/2022 | 71,328 |
See accompanying notes to financial statements.
| 22
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
Pharmaceuticals — continued | ||||||||
$ | 205,000 | Roche Holdings, Inc., 1.930%, 12/13/2028, 144A | $ | 206,244 | ||||
|
|
|||||||
470,047 | ||||||||
|
|
|||||||
Property & Casualty Insurance — 0.3% | ||||||||
30,000 | Allstate Corp. (The), 3-month LIBOR + 0.630%, 0.850%, 3/29/2023(b) |
30,094 | ||||||
80,000 | AON Corp., 2.200%, 11/15/2022 | 81,031 | ||||||
45,000 | Assurant, Inc., 4.200%, 9/27/2023 | 47,258 | ||||||
|
|
|||||||
158,383 | ||||||||
|
|
|||||||
Railroads — 0.2% | ||||||||
100,000 | Canadian Pacific Railway Co., 1.350%, 12/02/2024 | 100,120 | ||||||
|
|
|||||||
REITs – Diversified — 0.1% | ||||||||
25,000 | LXP Industrial Trust, 2.375%, 10/01/2031 | 23,980 | ||||||
|
|
|||||||
REITs – Health Care — 0.1% | ||||||||
35,000 | Healthpeak Properties, Inc., 2.125%, 12/01/2028 | 35,048 | ||||||
|
|
|||||||
REITs – Mortgage — 0.4% | ||||||||
50,000 | Blackstone Mortgage Trust, Inc., 3.750%, 1/15/2027, 144A |
49,839 | ||||||
95,000 | Starwood Property Trust, Inc., 3.750%, 12/31/2024, 144A |
96,022 | ||||||
45,000 | Starwood Property Trust, Inc., 5.500%, 11/01/2023, 144A |
46,575 | ||||||
|
|
|||||||
192,436 | ||||||||
|
|
|||||||
REITs – Office Property — 0.3% | ||||||||
70,000 | Office Properties Income Trust, 3.450%, 10/15/2031 | 67,826 | ||||||
55,000 | Office Properties Income Trust, 4.500%, 2/01/2025 | 57,967 | ||||||
|
|
|||||||
125,793 | ||||||||
|
|
|||||||
REITs – Shopping Centers — 0.1% | ||||||||
40,000 | Federal Realty Investment Trust, 3.950%, 1/15/2024 | 41,891 | ||||||
|
|
|||||||
REITs – Storage — 0.2% | ||||||||
55,000 | CubeSmart LP, 2.250%, 12/15/2028 | 55,007 | ||||||
45,000 | Public Storage, 1.950%, 11/09/2028 | 44,842 | ||||||
|
|
|||||||
99,849 | ||||||||
|
|
|||||||
Retailers — 1.0% | ||||||||
65,000 | 7-Eleven, Inc., 0.625%, 2/10/2023, 144A | 64,754 | ||||||
80,000 | Dollar Tree, Inc., 2.650%, 12/01/2031 | 80,174 | ||||||
135,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 134,494 | ||||||
35,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 35,908 | ||||||
20,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 20,117 | ||||||
135,000 | Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023 | 134,929 | ||||||
|
|
|||||||
470,376 | ||||||||
|
|
|||||||
Technology — 2.6% | ||||||||
80,000 | Dell International LLC/EMC Corp., 5.850%, 7/15/2025 | 90,676 | ||||||
125,000 | DXC Technology Co., 1.800%, 9/15/2026 | 123,518 | ||||||
105,000 | Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022 | 105,510 | ||||||
60,000 | Global Payments, Inc., 1.500%, 11/15/2024 | 60,008 | ||||||
80,000 | Infor, Inc., 1.450%, 7/15/2023, 144A | 80,243 | ||||||
145,000 | Iron Mountain Information Management Services, Inc., 5.000%, 7/15/2032, 144A | 148,403 | ||||||
90,000 | Marvell Technology, Inc., 4.200%, 6/22/2023 | 93,506 | ||||||
75,000 | Microchip Technology, Inc., 2.670%, 9/01/2023 | 76,597 | ||||||
35,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A |
36,807 | ||||||
25,000 | Qorvo, Inc., 1.750%, 12/15/2024, 144A | 25,016 | ||||||
65,000 | Seagate HDD Cayman, 4.875%, 3/01/2024 | 68,926 | ||||||
80,000 | Skyworks Solutions, Inc., 0.900%, 6/01/2023 | 79,588 | ||||||
175,000 | VMware, Inc., 0.600%, 8/15/2023 | 173,773 | ||||||
20,000 | Western Digital Corp., 2.850%, 2/01/2029 | 20,193 | ||||||
55,000 | Western Union Co. (The), 4.250%, 6/09/2023 | 57,262 | ||||||
|
|
|||||||
1,240,026 | ||||||||
|
|
|||||||
Transportation Services — 0.6% | ||||||||
$ | 50,000 | Element Fleet Management Corp., 3.850%, 6/15/2025, 144A |
$ | 53,141 | ||||
30,000 | Penske Truck Leasing Co. LP/PTL Finance Corp.,
4.125%, 8/01/2023, 144A |
31,301 | ||||||
30,000 | Ryder System, Inc., MTN, 1.750%, 9/01/2026 | 29,783 | ||||||
50,000 | Ryder System, Inc., MTN, 4.625%, 6/01/2025 | 54,864 | ||||||
100,000 | Triton Container International Ltd., 0.800%, 8/01/2023, 144A |
99,170 | ||||||
|
|
|||||||
268,259 | ||||||||
|
|
|||||||
Treasuries — 46.2% | ||||||||
3,800,000 | U.S. Treasury Note, 0.125%, 11/30/2022(a) | 3,791,391 | ||||||
415,000 | U.S. Treasury Note, 0.125%, 12/31/2022(a) | 413,719 | ||||||
235,000 | U.S. Treasury Note, 0.125%, 1/31/2023(a) | 234,192 | ||||||
775,000 | U.S. Treasury Note, 0.125%, 2/28/2023(a) | 771,821 | ||||||
3,180,000 | U.S. Treasury Note, 0.125%, 3/31/2023(a) | 3,165,342 | ||||||
705,000 | U.S. Treasury Note, 0.125%, 4/30/2023(a) | 701,227 | ||||||
4,815,000 | U.S. Treasury Note, 0.125%, 7/31/2023(a) | 4,777,195 | ||||||
530,000 | U.S. Treasury Note, 0.125%, 8/31/2023(a) | 525,342 | ||||||
830,000 | U.S. Treasury Note, 0.250%, 9/30/2023(a) | 824,164 | ||||||
1,435,000 | U.S. Treasury Note, 0.375%, 10/31/2023 | 1,426,536 | ||||||
415,000 | U.S. Treasury Note, 0.375%, 9/15/2024(a) | 409,132 | ||||||
4,000,000 | U.S. Treasury Note, 1.000%, 12/15/2024 | 4,004,375 | ||||||
805,000 | U.S. Treasury Note, 1.250%, 11/30/2026 | 804,497 | ||||||
|
|
|||||||
21,848,933 | ||||||||
|
|
|||||||
Wirelines — 0.3% | ||||||||
85,000 | Bell Telephone Co. of Canada/Bell Canada (The), 0.750%, 3/17/2024 | 84,124 | ||||||
50,000 | Verizon Communications, Inc., 3.000%, 3/22/2027 | 52,834 | ||||||
|
|
|||||||
136,958 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $47,182,292) |
47,132,918 | |||||||
|
|
|||||||
Short-Term Investments — 0.7% | ||||||||
333,208 | Tri-Party
Repurchase Agreement with Fixed Income Clearing Corporation, dated
12/31/2021 at 0.000% to be repurchased at $333,208 on 1/03/2022
collateralized by $244,200 U.S. Treasury Bond, 4.375% due 11/15/2039
valued at $339,877 including accrued interest (Note 2 of Notes to
Financial Statements) (Identified Cost $333,208) |
333,208 | ||||||
|
|
|||||||
Total Investments — 100.3% (Identified Cost $47,515,500) |
47,466,126 | |||||||
Other assets less liabilities — (0.3)% | (157,781 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% | $ | 47,308,345 | ||||||
|
|
|||||||
(†) | 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 December 31, 2021 is disclosed. |
| ||||||
(c) | Fair valued by the Fund’s adviser. At December 31, 2021, the value of these securities amounted to $35,310 or 0.1% of net assets. See Note 2 of Notes to Financial Statements. |
| ||||||
(d) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 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 December 31, 2021 is disclosed. |
|
See accompanying notes to financial statements.
23 |
Portfolio of Investments – as of December 31, 2021
Natixis Loomis Sayles Short Duration Income ETF – (continued)
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 December 31, 2021, the value of Rule 144A holdings amounted to $9,415,389 or 19.9% 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 December 31, 2021, open long futures contracts were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
2 Year U.S. Treasury Note |
3/31/2022 | 36 | $ | 7,861,996 | $ | 7,854,188 | $ | (7,808 | ) | |||||||||||
|
|
At December 31, 2021, open short futures contracts were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
10 Year U.S. Treasury Note |
3/22/2022 | 25 | $ | 3,237,646 | $ | 3,261,719 | $ | (24,073 | ) | |||||||||||
|
|
Industry Summary at December 31, 2021
Treasuries |
46.2 | % | ||
ABS Car Loan |
15.9 | |||
Banking |
6.9 | |||
Life Insurance |
4.7 | |||
Technology |
2.6 | |||
Electric |
2.6 | |||
Finance Companies |
2.1 | |||
Other Investments, less than 2% each |
18.6 | |||
Short-Term Investments |
0.7 | |||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities (including futures contracts) |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 24
Portfolio of Investments – as of December 31, 2021
Natixis U.S. Equity Opportunities ETF
Shares | Description | Value (†) | ||||||
Common Stocks — 97.1% of Net Assets | ||||||||
Aerospace & Defense — 1.9% |
| |||||||
969 | Boeing Co. (The)(a) | $ | 195,079 | |||||
|
|
|||||||
Air Freight & Logistics — 0.9% |
| |||||||
698 | Expeditors International of Washington, Inc. | 93,734 | ||||||
|
|
|||||||
Automobiles — 1.3% |
| |||||||
2,345 | General Motors Co.(a) | 137,487 | ||||||
|
|
|||||||
Banks — 5.1% |
| |||||||
3,985 | Bank of America Corp. | 177,293 | ||||||
3,341 | Citigroup, Inc. | 201,763 | ||||||
3,175 | Wells Fargo & Co. | 152,336 | ||||||
|
|
|||||||
531,392 | ||||||||
|
|
|||||||
Beverages — 5.0% |
| |||||||
674 | Constellation Brands, Inc., Class A | 169,154 | ||||||
4,074 | Keurig Dr Pepper, Inc. | 150,168 | ||||||
2,062 | Monster Beverage Corp.(a) | 198,034 | ||||||
|
|
|||||||
517,356 | ||||||||
|
|
|||||||
Biotechnology — 4.9% |
| |||||||
665 | Alnylam Pharmaceuticals, Inc.(a) | 112,771 | ||||||
524 | BioMarin Pharmaceutical, Inc.(a) | 46,295 | ||||||
694 | CRISPR Therapeutics AG(a) | 52,591 | ||||||
472 | Regeneron Pharmaceuticals, Inc.(a) | 298,078 | ||||||
|
|
|||||||
509,735 | ||||||||
|
|
|||||||
Capital Markets — 7.7% |
| |||||||
2,752 | Charles Schwab Corp. (The) | 231,443 | ||||||
191 | FactSet Research Systems, Inc. | 92,828 | ||||||
1,087 | Intercontinental Exchange, Inc. | 148,669 | ||||||
152 | MSCI, Inc. | 93,129 | ||||||
1,116 | SEI Investments Co. | 68,009 | ||||||
1,725 | State Street Corp. | 160,425 | ||||||
|
|
|||||||
794,503 | ||||||||
|
|
|||||||
Communications Equipment — 0.8% |
| |||||||
1,322 | Cisco Systems, Inc. | 83,775 | ||||||
|
|
|||||||
Consumer Finance — 6.4% |
| |||||||
5,747 | Ally Financial, Inc. | 273,614 | ||||||
923 | American Express Co. | 151,003 | ||||||
1,643 | Capital One Financial Corp. | 238,383 | ||||||
|
|
|||||||
663,000 | ||||||||
|
|
|||||||
Energy Equipment & Services — 0.7% |
| |||||||
2,335 | Schlumberger NV | 69,933 | ||||||
|
|
|||||||
Entertainment — 3.3% |
| |||||||
309 | Netflix, Inc.(a) | 186,154 | ||||||
1,029 | Walt Disney Co. (The)(a) | 159,382 | ||||||
|
|
|||||||
345,536 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
167 | Intuitive Surgical, Inc.(a) | 60,003 | ||||||
|
|
|||||||
Health Care Providers & Services — 3.6% |
| |||||||
717 | HCA Healthcare, Inc. | 184,212 | ||||||
408 | Humana, Inc. | 189,255 | ||||||
|
|
|||||||
373,467 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure — 5.6% |
| |||||||
76 | Booking Holdings, Inc.(a) | 182,342 | ||||||
1,120 | Hilton Worldwide Holdings, Inc.(a) | 174,709 | ||||||
961 | Starbucks Corp. | 112,408 | ||||||
1,091 | Yum China Holdings, Inc. | 54,375 | ||||||
388 | Yum! Brands, Inc. | 53,878 | ||||||
|
|
|||||||
577,712 | ||||||||
|
|
|||||||
Household Products — 0.5% |
| |||||||
559 | Colgate-Palmolive Co. | $ | 47,705 | |||||
|
|
|||||||
Industrial Conglomerates — 1.1% |
| |||||||
1,151 | General Electric Co. | 108,735 | ||||||
|
|
|||||||
Insurance — 2.8% |
| |||||||
3,228 | American International Group, Inc. | 183,544 | ||||||
940 | Reinsurance Group of America, Inc. | 102,921 | ||||||
|
|
|||||||
286,465 | ||||||||
|
|
|||||||
Interactive Media & Services — 10.1% |
| |||||||
151 | Alphabet, Inc., Class A(a) | 437,453 | ||||||
51 | Alphabet, Inc., Class C(a) | 147,573 | ||||||
1,365 | Meta Platforms, Inc., Class A(a) | 459,118 | ||||||
|
|
|||||||
1,044,144 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail — 3.4% |
| |||||||
559 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 66,404 | ||||||
86 | Amazon.com, Inc.(a) | 286,753 | ||||||
|
|
|||||||
353,157 | ||||||||
|
|
|||||||
IT Services — 6.0% |
| |||||||
159 | Automatic Data Processing, Inc. | 39,206 | ||||||
1,723 | Fiserv, Inc.(a) | 178,830 | ||||||
619 | Gartner, Inc.(a) | 206,944 | ||||||
884 | Visa, Inc., Class A | 191,572 | ||||||
|
|
|||||||
616,552 | ||||||||
|
|
|||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
302 | Illumina, Inc.(a) | 114,893 | ||||||
|
|
|||||||
Machinery — 1.0% |
| |||||||
297 | Deere & Co. | 101,838 | ||||||
|
|
|||||||
Media — 3.0% |
| |||||||
254 | Charter Communications, Inc., Class A(a) | 165,601 | ||||||
2,858 | Comcast Corp., Class A | 143,843 | ||||||
|
|
|||||||
309,444 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels — 5.5% |
| |||||||
5,783 | APA Corp. | 155,505 | ||||||
2,338 | ConocoPhillips | 168,757 | ||||||
2,684 | EOG Resources, Inc. | 238,419 | ||||||
|
|
|||||||
562,681 | ||||||||
|
|
|||||||
Pharmaceuticals — 1.6% |
| |||||||
1,242 | Novartis AG, Sponsored ADR | 108,638 | ||||||
473 | Novo Nordisk A/S, Sponsored ADR | 52,976 | ||||||
|
|
|||||||
161,614 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment — 4.5% |
| |||||||
1,147 | NVIDIA Corp. | 337,344 | ||||||
693 | QUALCOMM, Inc. | 126,729 | ||||||
|
|
|||||||
464,073 | ||||||||
|
|
|||||||
Software — 7.9% |
| |||||||
688 | Autodesk, Inc.(a) | 193,459 | ||||||
495 | Microsoft Corp. | 166,478 | ||||||
2,386 | Oracle Corp. | 208,083 | ||||||
496 | salesforce.com, Inc.(a) | 126,048 | ||||||
464 | Workday, Inc., Class A(a) | 126,756 | ||||||
|
|
|||||||
820,824 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
3,923 | Under Armour, Inc., Class A(a) | 83,128 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $7,865,159) |
10,027,965 | |||||||
|
|
See accompanying notes to financial statements.
25 |
Portfolio of Investments – as of December 31, 2021
Natixis U.S. Equity Opportunities ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
Short-Term Investments — 4.9% | ||||||||
$ | 508,337 | Tri-Party
Repurchase Agreement with Fixed Income Clearing Corporation, dated
12/31/2021 at 0.000% to be repurchased at $508,337 on 1/03/2022
collateralized by $378,800 U.S. Treasury Bond, 4.250% due 5/15/2039 valued
at $518,675 including accrued interest (Note 2 of Notes to Financial
Statements) (Identified Cost $508,337) |
$ | 508,337 | ||||
|
|
|||||||
Total Investments — 102.0% (Identified Cost $8,373,496) |
10,536,302 | |||||||
Other assets less liabilities — (2.0)% | (202,233 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% | $ | 10,334,069 | ||||||
|
|
|||||||
(†) | 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 December 31, 2021
Interactive Media & Services |
10.1 | % | ||
Software |
7.9 | |||
Capital Markets |
7.7 | |||
Consumer Finance |
6.4 | |||
IT Services |
6.0 | |||
Hotels, Restaurants & Leisure |
5.6 | |||
Oil, Gas & Consumable Fuels |
5.5 | |||
Banks |
5.1 | |||
Beverages |
5.0 | |||
Biotechnology |
4.9 | |||
Semiconductors & Semiconductor Equipment |
4.5 | |||
Health Care Providers & Services |
3.6 | |||
Internet & Direct Marketing Retail |
3.4 | |||
Entertainment |
3.3 | |||
Media |
3.0 | |||
Insurance |
2.8 | |||
Other Investments, less than 2% each |
12.3 | |||
Short-Term Investments |
4.9 | |||
|
|
|||
Total Investments |
102.0 | |||
Other assets less liabilities |
(2.0 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 26
Portfolio of Investments – as of December 31, 2021
Natixis Vaughan Nelson Mid Cap ETF
Shares |
Description | Value (†) | ||||||
Common Stocks — 98.7% of Net Assets | ||||||||
Banks — 3.3% |
| |||||||
2,239 | Bank of N.T. Butterfield & Son Ltd. (The) | $ | 85,328 | |||||
7,119 | Huntington Bancshares, Inc. | 109,775 | ||||||
2,102 | PacWest Bancorp | 94,948 | ||||||
|
|
|||||||
290,051 | ||||||||
|
|
|||||||
Building Products — 1.0% |
| |||||||
679 | Allegion PLC | 89,927 | ||||||
|
|
|||||||
Capital Markets — 5.0% |
| |||||||
1,373 | Ares Management Corp., Class A | 111,584 | ||||||
3,146 | Brightsphere Investment Group, Inc. | 80,537 | ||||||
529 | Nasdaq, Inc. | 111,095 | ||||||
1,457 | Raymond James Financial, Inc. | 146,283 | ||||||
|
|
|||||||
449,499 | ||||||||
|
|
|||||||
Chemicals — 4.2% |
| |||||||
4,130 | Axalta Coating Systems Ltd.(a) | 136,786 | ||||||
1,683 | FMC Corp. | 184,945 | ||||||
557 | LyondellBasell Industries NV, Class A | 51,372 | ||||||
|
|
|||||||
373,103 | ||||||||
|
|
|||||||
Commercial Services & Supplies — 1.1% |
| |||||||
706 | Republic Services, Inc. | 98,452 | ||||||
|
|
|||||||
Communications Equipment — 4.8% |
| |||||||
1,588 | Motorola Solutions, Inc. | 431,460 | ||||||
|
|
|||||||
Construction & Engineering — 2.7% |
| |||||||
5,859 | WillScot Mobile Mini Holdings Corp.(a) | 239,282 | ||||||
|
|
|||||||
Consumer Finance — 1.6% |
| |||||||
3,150 | Synchrony Financial | 146,128 | ||||||
|
|
|||||||
Containers & Packaging — 3.5% |
| |||||||
410 | Avery Dennison Corp. | 88,794 | ||||||
2,025 | Crown Holdings, Inc. | 224,005 | ||||||
|
|
|||||||
312,799 | ||||||||
|
|
|||||||
Diversified Consumer Services — 1.4% |
| |||||||
1,424 | Grand Canyon Education, Inc.(a) | 122,051 | ||||||
|
|
|||||||
Electric Utilities — 3.7% |
| |||||||
2,615 | Alliant Energy Corp. | 160,744 | ||||||
2,475 | Evergy, Inc. | 169,810 | ||||||
|
|
|||||||
330,554 | ||||||||
|
|
|||||||
Electrical Equipment — 3.5% |
| |||||||
1,174 | AMETEK, Inc. | 172,625 | ||||||
423 | Hubbell, Inc. | 88,098 | ||||||
1,286 | nVent Electric PLC | 48,868 | ||||||
|
|
|||||||
309,591 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components — 2.0% |
| |||||||
220 | CDW Corp. | 45,051 | ||||||
637 | Keysight Technologies, Inc.(a) | 131,547 | ||||||
|
|
|||||||
176,598 | ||||||||
|
|
|||||||
Food & Staples Retailing — 3.7% |
| |||||||
7,214 | Performance Food Group Co.(a) | 331,050 | ||||||
|
|
|||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
324 | Cooper Cos., Inc. (The) | 135,736 | ||||||
1,376 | Hologic, Inc.(a) | 105,347 | ||||||
|
|
|||||||
241,083 | ||||||||
|
|
|||||||
Health Care Providers & Services — 1.9% |
| |||||||
23,268 | Aveanna Healthcare Holdings, Inc.(a) | 172,183 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
2,355 | Aramark | 86,782 | ||||||
|
|
|||||||
Independent Power & Renewable Electricity Producers — 2.2% |
| |||||||
8,796 | Vistra Corp. | $ | 200,285 | |||||
|
|
|||||||
Insurance — 5.8% |
| |||||||
344 | Allstate Corp. (The) | 40,472 | ||||||
766 | Arthur J. Gallagher & Co. | 129,967 | ||||||
2,543 | Athene Holding Ltd., Class A(a) | 211,908 | ||||||
1,264 | Reinsurance Group of America, Inc. | 138,395 | ||||||
|
|
|||||||
520,742 | ||||||||
|
|
|||||||
IT Services — 3.8% |
| |||||||
2,490 | Alliance Data Systems Corp. | 165,759 | ||||||
1,678 | MAXIMUS, Inc. | 133,686 | ||||||
2,950 | SolarWinds Corp. | 41,861 | ||||||
|
|
|||||||
341,306 | ||||||||
|
|
|||||||
Life Sciences Tools & Services — 8.3% |
| |||||||
389 | Agilent Technologies, Inc. | 62,104 | ||||||
6,230 | Avantor, Inc.(a) | 262,532 | ||||||
592 | IQVIA Holdings, Inc.(a) | 167,027 | ||||||
10,356 | Sotera Health Co.(a) | 243,884 | ||||||
|
|
|||||||
735,547 | ||||||||
|
|
|||||||
Machinery — 2.1% |
| |||||||
663 | Crane Co. | 67,447 | ||||||
1,330 | Otis Worldwide Corp. | 115,803 | ||||||
|
|
|||||||
183,250 | ||||||||
|
|
|||||||
Media — 2.7% |
| |||||||
1,575 | Nexstar Media Group, Inc., Class A | 237,793 | ||||||
|
|
|||||||
Metals & Mining — 0.9% |
| |||||||
4,313 | Constellium SE(a) | 77,246 | ||||||
|
|
|||||||
Multi-Utilities — 3.7% |
| |||||||
1,797 | Ameren Corp. | 159,951 | ||||||
2,614 | CMS Energy Corp. | 170,041 | ||||||
|
|
|||||||
329,992 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels — 3.9% |
| |||||||
1,160 | Diamondback Energy, Inc. | 125,106 | ||||||
1,226 | Pioneer Natural Resources Co. | 222,985 | ||||||
|
|
|||||||
348,091 | ||||||||
|
|
|||||||
Pharmaceuticals — 3.4% |
| |||||||
10,685 | Elanco Animal Health, Inc.(a) | 303,240 | ||||||
|
|
|||||||
Professional Services — 1.8% |
| |||||||
589 | CACI International, Inc., Class A(a) | 158,565 | ||||||
|
|
|||||||
REITs – Diversified — 1.4% |
| |||||||
11,341 | New Residential Investment Corp. | 121,462 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
404 | Analog Devices, Inc. | 71,011 | ||||||
398 | Entegris, Inc. | 55,155 | ||||||
|
|
|||||||
126,166 | ||||||||
|
|
|||||||
Software — 3.9% |
| |||||||
12,064 | N-Able, Inc.(a) | 133,910 | ||||||
2,613 | SS&C Technologies Holdings, Inc. | 214,214 | ||||||
|
|
|||||||
348,124 | ||||||||
|
|
|||||||
Specialty Retail — 2.8% |
| |||||||
10,536 | Leslie’s, Inc.(a) | 249,282 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods — 3.5% |
| |||||||
7,118 | Skechers U.S.A., Inc., Class A(a) | 308,921 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $7,924,194) |
8,790,605 | |||||||
|
|
|||||||
See accompanying notes to financial statements.
27 |
Portfolio of Investments – as of December 31, 2021
Natixis Vaughan Nelson Mid Cap ETF – (continued)
Principal Amount |
Description | Value (†) | ||||||
Short-Term Investments — 1.8% | ||||||||
$ | 162,010 | Tri-Party
Repurchase Agreement with Fixed Income Clearing Corporation, dated
12/31/2021 at 0.000% to be repurchased at $162,010 on 1/03/2022
collateralized by $120,700 U.S. Treasury Bond, 4.250% due 5/15/2039 valued
at $165,269 including accrued interest (Note 2 of Notes to Financial
Statements) (Identified Cost $162,010) |
$ | 162,010 | ||||
|
|
|||||||
Total Investments — 100.5% (Identified Cost $8,086,204) |
8,952,615 | |||||||
Other assets less liabilities — (0.5)% | (47,991 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% | $ | 8,904,624 | ||||||
|
|
|||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
| ||||||
REITs | Real Estate Investment Trusts |
|
Industry Summary at December 31, 2021
Life Sciences Tools & Services |
8.3 | % | ||
Insurance |
5.8 | |||
Capital Markets |
5.0 | |||
Communications Equipment |
4.8 | |||
Chemicals |
4.2 | |||
Software |
3.9 | |||
Oil, Gas & Consumable Fuels |
3.9 | |||
IT Services |
3.8 | |||
Food & Staples Retailing |
3.7 | |||
Electric Utilities |
3.7 | |||
Multi-Utilities |
3.7 | |||
Containers & Packaging |
3.5 | |||
Electrical Equipment |
3.5 | |||
Textiles, Apparel & Luxury Goods |
3.5 | |||
Pharmaceuticals |
3.4 | |||
Banks |
3.3 | |||
Specialty Retail |
2.8 | |||
Health Care Equipment & Supplies |
2.7 | |||
Construction & Engineering |
2.7 | |||
Media |
2.7 | |||
Independent Power & Renewable Electricity Producers |
2.2 | |||
Machinery |
2.1 | |||
Electronic Equipment, Instruments & Components |
2.0 | |||
Other Investments, less than 2% each |
13.5 | |||
Short-Term Investments |
1.8 | |||
|
|
|||
Total Investments |
100.5 | |||
Other assets less liabilities |
(0.5 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 28
Portfolio of Investments – as of December 31, 2021
Natixis Vaughan Nelson Select ETF
Shares |
Description | Value (†) | ||||||
Common Stocks — 97.9% of Net Assets | ||||||||
Auto Components — 1.1% |
| |||||||
4,315 | Luminar Technologies, Inc.(a) | $ | 72,967 | |||||
|
|
|||||||
Banks — 1.0% |
| |||||||
748 | Popular, Inc. | 61,366 | ||||||
|
|
|||||||
Biotechnology — 4.0% |
| |||||||
1,174 | Vertex Pharmaceuticals, Inc.(a) | 257,810 | ||||||
|
|
|||||||
Capital Markets — 2.2% |
| |||||||
1,009 | Intercontinental Exchange, Inc. | 138,001 | ||||||
|
|
|||||||
Communications Equipment — 4.1% |
| |||||||
965 | Motorola Solutions, Inc. | 262,191 | ||||||
|
|
|||||||
Diversified Financial Services — 5.2% |
| |||||||
1,123 | Berkshire Hathaway, Inc., Class B(a) | 335,777 | ||||||
|
|
|||||||
Diversified Telecommunication Services — 2.5% |
| |||||||
2,220 | Cogent Communications Holdings, Inc. | 162,460 | ||||||
|
|
|||||||
Electric Utilities — 4.4% |
| |||||||
2,990 | NextEra Energy, Inc. | 279,146 | ||||||
|
|
|||||||
Energy Equipment & Services — 1.1% |
| |||||||
11,854 | TechnipFMC PLC(a) | 70,176 | ||||||
|
|
|||||||
Health Care Equipment & Supplies — 4.3% |
| |||||||
945 | Masimo Corp.(a) | 276,677 | ||||||
|
|
|||||||
Household Products — 4.4% |
| |||||||
1,622 | Clorox Co. (The) | 282,812 | ||||||
|
|
|||||||
Insurance — 3.8% |
| |||||||
808 | Aon PLC, Class A | 242,852 | ||||||
|
|
|||||||
Interactive Media & Services — 8.5% |
| |||||||
112 | Alphabet, Inc., Class A(a) | 324,469 | ||||||
664 | Meta Platforms, Inc., Class A(a) | 223,336 | ||||||
|
|
|||||||
547,805 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail — 4.8% |
| |||||||
92 | Amazon.com, Inc.(a) | 306,759 | ||||||
|
|
|||||||
IT Services — 3.0% |
| |||||||
1,160 | Jack Henry & Associates, Inc. | 193,708 | ||||||
|
|
|||||||
Life Sciences Tools & Services — 5.4% |
| |||||||
1,044 | Danaher Corp. | 343,486 | ||||||
|
|
|||||||
Metals & Mining — 3.4% |
| |||||||
5,019 | Wheaton Precious Metals Corp. | 215,466 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels — 1.8% |
| |||||||
34,199 | Kosmos Energy Ltd.(a) | 118,329 | ||||||
|
|
|||||||
Road & Rail — 9.0% |
| |||||||
840 | Saia, Inc.(a) | 283,105 | ||||||
1,176 | Union Pacific Corp. | 296,270 | ||||||
|
|
|||||||
579,375 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment — 10.5% |
| |||||||
1,410 | Entegris, Inc. | 195,398 | ||||||
354 | Monolithic Power Systems, Inc. | 174,639 | ||||||
1,033 | NVIDIA Corp. | 303,815 | ||||||
|
|
|||||||
673,852 | ||||||||
|
|
|||||||
Software — 6.9% |
| |||||||
1,050 | Microsoft Corp. | 353,136 | ||||||
641 | Unity Software, Inc.(a) | 91,657 | ||||||
|
|
|||||||
444,793 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals — 5.5% |
| |||||||
1,993 | Apple, Inc. | 353,897 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
501 | Crocs, Inc.(a) | 64,238 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $5,712,386) |
6,283,943 | |||||||
|
|
|||||||
Principal Amount |
Description | Value (†) | ||||||
Short-Term Investments — 2.4% | ||||||||
$ | 153,701 | Tri-Party
Repurchase Agreement with Fixed Income Clearing Corporation, dated
12/31/2021 at 0.000% to be repurchased at $153,701 on 1/03/2022
collateralized by $114,500 U.S. Treasury Bond, 4.250% due 5/15/2039 valued
at $156,780 including accrued interest (Note 2 of Notes to Financial
Statements) (Identified Cost $153,701) |
$ | 153,701 | ||||
|
|
|||||||
Total Investments — 100.3% (Identified Cost $5,866,087) |
6,437,644 | |||||||
Other assets less liabilities — (0.3)% | (22,433 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% | $ | 6,415,211 | ||||||
|
|
|||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Non-income producing security. |
|
Industry Summary at December 31, 2021
Semiconductors & Semiconductor Equipment |
10.5 | % | ||
Road & Rail |
9.0 | |||
Interactive Media & Services |
8.5 | |||
Software |
6.9 | |||
Technology Hardware, Storage & Peripherals |
5.5 | |||
Life Sciences Tools & Services |
5.4 | |||
Diversified Financial Services |
5.2 | |||
Internet & Direct Marketing Retail |
4.8 | |||
Household Products |
4.4 | |||
Electric Utilities |
4.4 | |||
Health Care Equipment & Supplies |
4.3 | |||
Communications Equipment |
4.1 | |||
Biotechnology |
4.0 | |||
Insurance |
3.8 | |||
Metals & Mining |
3.4 | |||
IT Services |
3.0 | |||
Diversified Telecommunication Services |
2.5 | |||
Capital Markets |
2.2 | |||
Other Investments, less than 2% each |
6.0 | |||
Short-Term Investments |
2.4 | |||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
29 |
Statements of Assets and Liabilities
December 31, 2021
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 |
$ | 47,515,500 | $ | 8,373,496 | $ | 8,086,204 | $ | 5,866,087 | ||||||||
Net unrealized appreciation (depreciation) |
(49,374 | ) | 2,162,806 | 866,411 | 571,557 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments at value |
47,466,126 | 10,536,302 | 8,952,615 | 6,437,644 | ||||||||||||
Due from brokers (Note 2) |
48,000 | — | — | — | ||||||||||||
Receivable for Fund shares sold |
— | — | — | 1,283,746 | ||||||||||||
Receivable from investment adviser (Note 6) |
390 | 6,645 | 8,625 | 10,556 | ||||||||||||
Receivable for securities sold |
229,291 | 43,875 | — | 6,715 | ||||||||||||
Dividends and interest receivable |
93,265 | 3,003 | 7,599 | 1,411 | ||||||||||||
Receivable for variation margin on futures contracts (Note 2) |
82 | — | — | — | ||||||||||||
Prepaid expenses (Note 8) |
1 | 2 | 1 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL ASSETS |
47,837,155 | 10,589,827 | 8,968,840 | 7,740,072 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
| |||||||||||||||
Payable for securities purchased |
425,480 | 190,657 | — | 1,260,945 | ||||||||||||
Deferred Trustees’ fees (Note 6) |
38,188 | 3,532 | 3,503 | 3,481 | ||||||||||||
Administrative fees payable (Note 6) |
1,609 | 372 | 328 | 220 | ||||||||||||
Audit and tax services fees payable |
42,357 | 41,933 | 41,922 | 41,902 | ||||||||||||
Other accounts payable and accrued expenses |
21,176 | 19,264 | 18,463 | 18,313 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
TOTAL LIABILITIES |
528,810 | 255,758 | 64,216 | 1,324,861 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 47,308,345 | $ | 10,334,069 | $ | 8,904,624 | $ | 6,415,211 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital |
$ | 47,476,719 | $ | 7,834,798 | $ | 7,829,083 | $ | 5,489,272 | ||||||||
Accumulated earnings (loss) |
(168,374 | ) | 2,499,271 | 1,075,541 | 925,939 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 47,308,345 | $ | 10,334,069 | $ | 8,904,624 | $ | 6,415,211 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||||||||||
Net assets |
$ | 47,308,345 | $ | 10,334,069 | $ | 8,904,624 | $ | 6,415,211 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares of beneficial interest |
1,900,000 | 303,200 | 270,400 | 200,400 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value, offering and redemption price per share |
$ | 24.90 | $ | 34.08 | $ | 32.93 | $ | 32.01 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 30
Statements of Operations
For the Year Ended December 31, 2021
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 |
$ | 369,308 | $ | — | $ | — | $ | — | ||||||||
Dividends |
— | 114,032 | 138,771 | 59,439 | ||||||||||||
Non-cash dividends (Note 2b) |
— | — | — | 38,279 | (a) | |||||||||||
Less net foreign taxes withheld |
— | (1,099 | ) | — | (834 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
369,308 | 112,933 | 138,771 | 96,884 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses |
| |||||||||||||||
Management fees (Note 6) |
103,884 | 95,031 | 76,223 | 47,474 | ||||||||||||
Administrative fees (Note 6) |
14,747 | 5,399 | 4,192 | 2,788 | ||||||||||||
Trustees’ fees and expenses (Note 6) |
17,537 | 13,268 | 13,180 | 13,080 | ||||||||||||
Transfer agent fees and expenses (Note 7) |
15,600 | 15,600 | 15,600 | 15,600 | ||||||||||||
Audit and tax services fees |
42,362 | 41,935 | 41,924 | 41,903 | ||||||||||||
Custodian fees and expenses (Note 7) |
34,599 | 20,488 | 22,079 | 22,799 | ||||||||||||
Excise tax expenses (Note 9) |
— | 26 | 21 | — | ||||||||||||
Legal fees (Note 8) |
31,546 | 16,601 | 11,480 | 8,703 | ||||||||||||
Registration fees |
— | 181 | 226 | 124 | ||||||||||||
Regulatory filing fees (Note 7) |
13,000 | 13,000 | 13,000 | 13,000 | ||||||||||||
Shareholder reporting expenses |
14,608 | 6,926 | 6,477 | 5,435 | ||||||||||||
Miscellaneous expenses |
32,586 | 33,228 | 30,499 | 30,441 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
320,469 | 261,683 | 234,901 | 201,347 | ||||||||||||
Less waiver and/or expense reimbursement (Notes 6 and 9) |
(188,883 | ) | (147,646 | ) | (148,838 | ) | (147,328 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net expenses |
131,586 | 114,037 | 86,063 | 54,019 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
237,722 | (1,104 | ) | 52,708 | 42,865 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS |
| |||||||||||||||
Net realized gain on: |
| |||||||||||||||
Investments |
167,361 | 2,210,794 | 1,947,048 | 2,166,169 | ||||||||||||
Futures contracts |
66,138 | — | — | — | ||||||||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||||||
Investments |
(508,930 | ) | 639,417 | (185,168 | ) | 8,782 | ||||||||||
Futures contracts |
(32,000 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain (loss) on investments and futures contracts |
(307,431 | ) | 2,850,211 | 1,761,880 | 2,174,951 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (69,709 | ) | $ | 2,849,107 | $ | 1,814,588 | $ | 2,217,816 | |||||||
|
|
|
|
|
|
|
|
(a) |
Represents a non-recurring stock dividend. |
See accompanying notes to financial statements.
31 |
Statements of Changes in Net Assets
Natixis Loomis Sayles Short Duration Income ETF |
Natixis U.S. Equity Opportunities ETF |
|||||||||||||||
Year Ended December 31, 2021 |
Year Ended December 31, 2020 |
Year Ended December 31, 2021 |
Period Ended December 31, 2020(a) |
|||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) |
$ | 237,722 | $ | 594,048 | $ | (1,104 | ) | $ | (546 | ) | ||||||
Net realized gain on investments and futures contracts |
233,499 | 862,583 | 2,210,794 | 13,656 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments and futures contracts |
(540,930 | ) | 119,094 | 639,417 | 1,523,389 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(69,709 | ) | 1,575,725 | 2,849,107 | 1,536,499 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
(916,070 | ) | (1,078,630 | ) | (482,436 | ) | (1,777 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
NET
INCREASE (DECREASE) IN NET ASSETS FROM |
23,990,447 | (6,524,428 | ) | (3,887,727 | ) | 10,240,403 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets |
23,004,668 | (6,027,333 | ) | (1,521,056 | ) | 11,775,125 | ||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year |
24,303,677 | 30,331,010 | 11,855,125 | 80,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of the year |
$ | 47,308,345 | $ | 24,303,677 | $ | 10,334,069 | $ | 11,855,125 | ||||||||
|
|
|
|
|
|
|
|
(a) |
From commencement of operations on September 16, 2020 through December 31, 2020. |
See accompanying notes to financial statements.
| 32
Statements of Changes in Net Assets (continued)
Natixis Vaughan Nelson Mid Cap ETF |
Natixis Vaughan Nelson Select ETF |
|||||||||||||||
Year Ended December 31, 2021 |
Period Ended December 31, 2020(a) |
Year Ended December 31, 2021 |
Period Ended December 31, 2020(a) |
|||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income |
$ | 52,708 | $ | 9,304 | $ | 42,865 | $ | 3,725 | ||||||||
Net realized gain (loss) on investments |
1,947,048 | 38,350 | 2,166,169 | (8,469 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investments |
(185,168 | ) | 1,051,579 | 8,782 | 562,775 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase in net assets resulting from operations |
1,814,588 | 1,099,233 | 2,217,816 | 558,031 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
(873,741 | ) | (15,338 | ) | (1,009,943 | ) | (3,769 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
NET
INCREASE (DECREASE) IN NET ASSETS FROM |
184,517 | 6,685,365 | (835,378 | ) | 5,478,454 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase in net assets |
1,125,364 | 7,769,260 | 372,495 | 6,032,716 | ||||||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the year |
7,779,260 | 10,000 | 6,042,716 | 10,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of the year |
$ | 8,904,624 | $ | 7,779,260 | $ | 6,415,211 | $ | 6,042,716 | ||||||||
|
|
|
|
|
|
|
|
(a) |
From commencement of operations on September 16, 2020 through December 31, 2020. |
See accompanying notes to financial statements.
33 |
Financial Highlights
For a share outstanding throughout each period.
Natixis Loomis Sayles Short Duration Income ETF | ||||||||||||||||||||
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 |
$ | 25.58 | $ | 25.28 | $ | 24.62 | $ | 25.02 | $ | 25.00 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||||||||||
Net investment income (loss)(a) |
0.17 | 0.49 | 0.64 | 0.61 | (0.00 | )(b) | ||||||||||||||
Net realized and unrealized gain (loss) |
(0.17 | ) | 0.83 | 0.70 | (0.37 | ) | 0.02 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total from Investment Operations |
0.00 | (b) | 1.32 | 1.34 | 0.24 | 0.02 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||
Net investment income |
(0.22 | ) | (0.51 | ) | (0.67 | ) | (0.64 | ) | — | |||||||||||
Net realized capital gains |
(0.46 | ) | (0.51 | ) | (0.01 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Distributions |
(0.68 | ) | (1.02 | ) | (0.68 | ) | (0.64 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value, end of the period |
$ | 24.90 | $ | 25.58 | $ | 25.28 | $ | 24.62 | $ | 25.02 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total return(c) |
0.00 | %(d) | 5.27 | % | 5.51 | % | 0.97 | % | 0.08 | %(e) | ||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||
Net assets, end of the period (000’s) |
$ | 47,308 | $ | 24,304 | $ | 30,331 | $ | 27,084 | $ | 20,016 | ||||||||||
Net expenses(f) |
0.38 | % | 0.38 | % | 0.38 | % | 0.38 | % | 0.38 | %(g) | ||||||||||
Gross expenses |
0.93 | % | 1.05 | % | 0.95 | % | 1.09 | % | 14.21 | %(g) | ||||||||||
Net investment income (loss) |
0.69 | % | 1.91 | % | 2.56 | % | 2.46 | % | (0.09 | )%(g) | ||||||||||
Portfolio turnover rate(h) |
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) |
Amount rounds to less than 0.01%. |
(e) |
Periods less than one year are not annualized. |
(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.
| 34
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis U.S. Equity Opportunities ETF | ||||||||
Year Ended December 31, 2021 |
Period Ended December 31, 2020* |
|||||||
Net asset value, beginning of the period |
$ | 28.69 | $ | 25.00 | ||||
|
|
|
|
|||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||
Net investment income (loss)(a)(b) |
(0.00 | ) | (0.00 | ) | ||||
Net realized and unrealized gain (loss) |
7.02 | 3.69 | ||||||
|
|
|
|
|||||
Total from Investment Operations |
7.02 | 3.69 | ||||||
|
|
|
|
|||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income |
(0.01 | ) | — | |||||
Net realized capital gains |
(1.62 | ) | (0.00 | )(b) | ||||
|
|
|
|
|||||
Total Distributions |
(1.63 | ) | (0.00 | ) | ||||
|
|
|
|
|||||
Net asset value, end of the period |
$ | 34.08 | $ | 28.69 | ||||
|
|
|
|
|||||
Total return(c) |
24.45 | % | 14.78 | %(d) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) |
$ | 10,334 | $ | 11,855 | ||||
Net expenses(e) |
0.90 | % | 0.90 | %(f) | ||||
Gross expenses |
2.07 | % | 2.99 | %(f) | ||||
Net investment loss |
(0.01 | )% | (0.02 | )%(f) | ||||
Portfolio turnover rate(g) |
19 | % | 6 | % |
* |
From commencement of operations on September 16, 2020 through December 31, 2020. |
(a) |
Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) |
Amount rounds to less than $0.01. |
(c) |
Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) |
Periods less than one year are not annualized. |
(e) |
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) |
Computed on an annualized basis for periods less than one year. |
(g) |
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
See accompanying notes to financial statements.
35 |
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Vaughan Nelson Mid Cap ETF | ||||||||
Year Ended December 31, 2021 |
Period Ended December 31, 2020* |
|||||||
Net asset value, beginning of the period |
$ | 29.87 | $ | 25.17 | ||||
|
|
|
|
|||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||
Net investment income(a) |
0.18 | 0.04 | ||||||
Net realized and unrealized gain (loss) |
6.21 | 4.72 | ||||||
|
|
|
|
|||||
Total from Investment Operations |
6.39 | 4.76 | ||||||
|
|
|
|
|||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income |
(0.21 | ) | (0.04 | ) | ||||
Net realized capital gains |
(3.12 | ) | (0.02 | ) | ||||
|
|
|
|
|||||
Total Distributions |
(3.33 | ) | (0.06 | ) | ||||
|
|
|
|
|||||
Net asset value, end of the period |
$ | 32.93 | $ | 29.87 | ||||
|
|
|
|
|||||
Total return(b) |
21.47 | % | 18.91 | %(c) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) |
$ | 8,905 | $ | 7,779 | ||||
Net expenses(d) |
0.87 | %(e) | 0.90 | %(f) | ||||
Gross expenses |
2.39 | % | 4.53 | %(f) | ||||
Net investment income |
0.54 | % | 0.53 | %(f) | ||||
Portfolio turnover rate(g) |
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) |
Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
(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.
| 36
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Vaughan Nelson Select ETF | ||||||||
Year Ended December 31, 2021 |
Period Ended December 31, 2020* |
|||||||
Net asset value, beginning of the period |
$ | 27.42 | $ | 24.86 | ||||
|
|
|
|
|||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||
Net investment income(a) |
0.21 | (b) | 0.02 | |||||
Net realized and unrealized gain (loss) |
10.68 | 2.56 | ||||||
|
|
|
|
|||||
Total from Investment Operations |
10.89 | 2.58 | ||||||
|
|
|
|
|||||
LESS DISTRIBUTIONS FROM: |
| |||||||
Net investment income |
(0.29 | ) | (0.02 | ) | ||||
Net realized capital gains |
(6.01 | ) | — | |||||
|
|
|
|
|||||
Total Distributions |
(6.30 | ) | (0.02 | ) | ||||
|
|
|
|
|||||
Net asset value, end of the period |
$ | 32.01 | $ | 27.42 | ||||
|
|
|
|
|||||
Total return(c) |
39.60 | %(b) | 10.37 | %(d) | ||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||
Net assets, end of the period (000’s) |
$ | 6,415 | $ | 6,043 | ||||
Net expenses(e) |
0.83 | %(f) | 0.85 | %(g) | ||||
Gross expenses |
3.08 | % | 4.95 | %(g) | ||||
Net investment income |
0.65 | %(b) | 0.24 | %(g) | ||||
Portfolio turnover rate(h) |
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) |
Effective July 1, 2021, the expense limit decreased from 0.85% to 0.80%. |
(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.
37 |
December 31, 2021
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 year-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 investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser or sub-adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
| 38
Notes to Financial Statements (continued)
December 31, 2021
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s net asset value (“NAV”) may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
As of December 31, 2021, certain securities held by Short Duration Income ETF were fair valued at $35,310, representing less than 0.1% of net assets.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Dividends reinvested and stock dividends are reflected as non-cash dividends on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis.
c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon the World Market or “WM11” foreign exchange rates supplied by an independent pricing service. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars on the respective dates of such transactions.
Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the
39 |
Notes to Financial Statements (continued)
December 31, 2021
value of securities or interest rates. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
e. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986 (“IRC”), as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of December 31, 2021 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as premium amortization, deferred Trustees’ fees, futures contract mark-to-market, distribution re-designations, return of capital distributions received, reversal of in-kind sales realized gains and losses, reversal of in-kind wash sales and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, futures contract mark-to-market, return of capital distributions received, premium amortization and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended December 31, 2021 and 2020 was as follows:
2021 Distributions |
Ordinary |
2020 Distributions |
Total |
|||||||||||||||||||||
Fund |
Ordinary |
Long-Term |
Total |
Long-Term |
||||||||||||||||||||
Short Duration Income ETF |
$ | 621,998 | $ | 294,072 | $ | 916,070 | $ | 1,077,550 | $ | 1,080 | $ | 1,078,630 | ||||||||||||
U.S. Equity Opportunities ETF |
457,543 | 24,893 | 482,436 | 1,777 | — | 1,777 | ||||||||||||||||||
Mid Cap ETF |
850,463 | 23,278 | 873,741 | 15,182 | 156 | 15,338 | ||||||||||||||||||
Select ETF |
989,251 | 20,692 | 1,009,943 | 3,769 | — | 3,769 |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share
| 40
Notes to Financial Statements (continued)
December 31, 2021
amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2021, the components of distributable earnings on a tax basis were as follows:
Short Duration |
U.S. Equity |
Mid Cap |
Select ETF |
|||||||||||||
Undistributed ordinary income |
$ | — | $ | 9,767 | $ | 20,073 | $ | 232,882 | ||||||||
Undistributed long-term capital gains |
— | 383,576 | 219,493 | 142,949 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total undistributed earnings |
— | 393,343 | 239,566 | 375,831 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Late-year ordinary and post-October capital loss deferrals* |
(34,761 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Unrealized appreciation (depreciation) |
(95,425 | ) | 2,109,460 | 839,479 | 553,589 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total accumulated earnings (losses) |
$ | (130,186 | ) | $ | 2,502,803 | $ | 1,079,045 | $ | 929,420 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Capital loss carryforward utilized in the current year |
$ | — | $ | — | $ | — | $ | 6,608 | ||||||||
|
|
|
|
|
|
|
|
* |
Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Short Duration Income ETF is deferring capital and foreign currency losses. |
As of December 31, 2021, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Short Duration |
U.S. Equity |
Mid Cap |
Select ETF |
|||||||||||||
Federal tax cost |
$ | 47,561,551 | $ | 8,426,842 | $ | 8,113,136 | $ | 5,884,055 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Gross tax appreciation |
$ | 146,697 | $ | 2,221,053 | $ | 1,011,754 | $ | 608,034 | ||||||||
Gross tax depreciation |
(242,122 | ) | (111,593 | ) | (172,275 | ) | (54,445 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net tax appreciation (depreciation) |
$ | (95,425 | ) | $ | 2,109,460 | $ | 839,479 | $ | 553,589 | |||||||
|
|
|
|
|
|
|
|
g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2021, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
h. Due from Brokers. Transactions and positions in certain futures contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. The due from brokers balance in the Statements of Assets and Liabilities for Short Duration Income ETF represents cash pledged as initial margin for futures contracts. In certain circumstances a Fund’s use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.
i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
j. New Accounting Pronouncement. In January 2021, the Financial Accounting Standards Board issued Accounting Standard Update 2021-01, Reference Rate Reform (Topic 848) (“ASU 2021-01”). ASU 2021-01 is an update of ASU 2020-04, which was issued in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), expected to occur no later than June 30, 2023. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference
41 |
Notes to Financial Statements (continued)
December 31, 2021
LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. The amendments are currently effective and an entity may elect to apply its provisions as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020. Management expects to apply the optional expedients when appropriate.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• |
Level 1 – quoted prices in active markets for identical assets or liabilities; |
• |
Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• |
Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds’ adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Funds’ investments as of December 31, 2021, at value:
Short Duration Income ETF
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes |
||||||||||||||||
Collateralized Mortgage Obligations |
$ | — | $ | 425,282 | $ | 35,310 | (b) | $ | 460,592 | |||||||
All Other Bonds and Notes(a) |
— | 46,672,326 | — | 46,672,326 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
— | 47,097,608 | 35,310 | 47,132,918 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
— | 333,208 | — | 333,208 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | — | $ | 47,430,816 | $ | 35,310 | $ | 47,466,126 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (31,881 | ) | $ | — | $ | — | $ | (31,881 | ) | ||||||
|
|
|
|
|
|
|
|
(a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) |
Fair valued by the Fund’s adviser. |
| 42
Notes to Financial Statements (continued)
December 31, 2021
U.S. Equity Opportunities ETF
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 10,027,965 | $ | — | $ | — | $ | 10,027,965 | ||||||||
Short-Term Investments |
— | 508,337 | — | 508,337 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 10,027,965 | $ | 508,337 | $ | — | $ | 10,536,302 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Mid Cap ETF
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 8,790,605 | $ | — | $ | — | $ | 8,790,605 | ||||||||
Short-Term Investments |
— | 162,010 | — | 162,010 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 8,790,605 | $ | 162,010 | $ | — | $ | 8,952,615 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Select ETF
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 6,283,943 | $ | — | $ | — | $ | 6,283,943 | ||||||||
Short-Term Investments |
— | 153,701 | — | 153,701 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 6,283,943 | $ | 153,701 | $ | — | $ | 6,437,644 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or December 31, 2021:
Short Duration Income ETF
Asset Valuation Inputs
Investments in Securities |
Balance as of |
Accrued |
Realized |
Change
in |
Purchases |
Sales |
Transfers |
Transfers |
Balance as of |
Change
in |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations |
$ | 29,612 | $ | — | $ | (188 | ) | $ | (640 | ) | $ | 326 | $ | (88,691 | ) | $ | 94,891 | $ | — | $ | 35,310 | $ | (484 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $94,891 were transferred from Level 2 to Level 3 during the period ended December 31, 2021. At December 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Short Duration Income ETF used during the period include futures contracts.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts
43 |
Notes to Financial Statements (continued)
December 31, 2021
to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the year ended December 31, 2021, Short Duration Income ETF used futures contracts to manage duration.
The following is a summary of derivative instruments for Short Duration Income ETF as of December 31, 2021, as reflected within the Statements of Assets and Liabilities:
Liabilities |
Unrealized |
|||
Exchange-traded liability derivatives |
||||
Interest rate contracts |
$ | (31,881 | ) |
1 |
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Short Duration Income ETF during the year ended December 31, 2021, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: |
Futures |
|||
Interest rate contracts |
$ | 66,138 | ||
Net Change in Unrealized Appreciation (Depreciation) on: |
Futures |
|||
Interest rate contracts |
$ | (32,000 | ) |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended December 31, 2021:
Short Duration Income ETF |
Futures |
|||
Average Notional Amount Outstanding |
24.06 | % | ||
Highest Notional Amount Outstanding |
29.05 | % | ||
Lowest Notional Amount Outstanding |
18.42 | % | ||
Notional Amount Outstanding as of December 31, 2021 |
23.50 | % |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
Unrealized gain and/or loss on open futures contracts is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:
Fund |
Maximum Amount |
Maximum Amount |
||||||
Short Duration Income ETF |
$ | 48,082 | $ | 48,082 |
| 44
Notes to Financial Statements (continued)
December 31, 2021
5. Purchases and Sales of Securities. For the year ended December 31, 2021, purchases and sales of securities (excluding in-kind transactions and short-term investments and including paydowns) were as follows:
U.S. Government/Agency |
Other Securities |
|||||||||||||||
Fund |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||
Short Duration Income ETF |
$ | 34,134,314 | $ | 20,522,144 | $ | 36,607,552 | $ | 27,269,216 | ||||||||
U.S. Equity Opportunities ETF |
— | — | 2,243,964 | 2,793,163 | ||||||||||||
Mid Cap ETF |
— | — | 6,901,157 | 7,752,862 | ||||||||||||
Select ETF |
— | — | 5,640,865 | 6,610,082 |
For the year ended December 31, 2021, in-kind transactions were as follows:
Fund |
In-Kind Purchases |
In-Kind Sales |
||||||
U.S. Equity Opportunities ETF |
$ | 1,384,354 | $ | 5,132,252 | ||||
Mid Cap ETF |
4,267,423 | 4,102,428 | ||||||
Select ETF |
2,958,459 | 3,855,236 |
U.S. Equity Opportunities ETF, Mid Cap ETF and Select ETF realized a gain of $1,403,983, $952,987 and $845,765, respectively on in-kind sales during the year ended December 31, 2021. Gains and losses realized on in-kind sales are not recognized for tax purposes and are re-classified from realized gain (loss) to paid-in-capital.
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Advisors, LLC (“Natixis Advisors”), serves as investment adviser to each Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average |
||||||||
Fund |
First $1.5 billion |
Over $1.5 billion |
||||||
Short Duration Income ETF |
0.30 | % | 0.30 | % | ||||
U.S. Equity Opportunities ETF |
0.75 | % | 0.75 | % | ||||
Mid Cap ETF |
0.75 | % | 0.70 | % | ||||
Select ETF |
0.70 | % | 0.70 | % |
Prior to July 1, 2021, Mid Cap ETF and Select ETF paid a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
Percentage of Average |
||||||||
Fund |
First $1.5 billion |
Over $1.5 billion |
||||||
Mid Cap ETF |
0.80 | % | 0.75 | % | ||||
Select ETF |
0.75 | % | 0.75 | % |
Natixis Advisors has entered into subadvisory agreements for each Fund as listed below.
Short Duration Income ETF |
Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | |
U.S. Equity Opportunities ETF |
Harris Associates L.P. (“Harris”), Loomis Sayles | |
Mid Cap ETF |
Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) | |
Select ETF |
Vaughan Nelson |
Harris and Vaughan Nelson are subsidiaries of Natixis Investment Managers, LLC. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC.
45 |
Notes to Financial Statements (continued)
December 31, 2021
Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Subadviser |
Percentage of Average Daily Net Assets |
|||||||||
Fund |
First $1.5 billion |
Over $1.5 billion |
||||||||
Short Duration Income ETF |
Loomis Sayles | 0.15 | % | 0.15 | % | |||||
U.S. Equity Opportunities ETF |
||||||||||
Large Cap Value Segment |
Harris | 0.52 | % | 0.52 | % | |||||
All Cap Growth Segment |
Loomis Sayles | 0.40 | % | 0.40 | % | |||||
Mid Cap ETF |
Vaughan Nelson | 0.47 | % | 0.44 | % | |||||
Select ETF |
Vaughan Nelson | 0.47 | % | 0.47 | % |
Payments to Natixis Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.
Prior to July 1, 2021, Mid Cap ETF and Select ETF had agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
Subadviser |
Percentage of Average Daily Net Assets |
|||||||||||
Fund |
First $1.5 billion |
Over $1.5 billion |
||||||||||
Mid Cap ETF |
Vaughan Nelson | 0.50 | % | 0.47 | % | |||||||
Select ETF |
Vaughan Nelson | 0.50 | % | 0.50 | % |
Natixis Advisors has given a binding undertaking to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until April 30, 2024, except for U.S. Equity Opportunities ETF, which is in effect until April 30, 2023, may be terminated before then only with the consent of the Funds’ Board of Trustees, and is reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the year ended December 31, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Fund |
Expense Limit as a Percentage of |
|||
Short Duration Income ETF |
0.38 | % | ||
U.S. Equity Opportunities ETF |
0.90 | % | ||
Mid Cap ETF |
0.85 | % | ||
Select ETF |
0.80 | % |
Prior to July 1, 2021, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Mid Cap ETF and Select ETF were as follows:
Fund |
Expense Limit as a Percentage of |
|||
Mid Cap ETF |
0.90 | % | ||
Select ETF |
0.85 | % |
Natixis Advisors shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of management fees or otherwise) in later periods to the extent the annual operating expenses of a Fund fall below both (1) a Funds’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a Funds’ current applicable expense limitation ratio, provided, however, that a Fund is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
| 46
Notes to Financial Statements (continued)
December 31, 2021
For the year ended December 31, 2021, the management fees and waiver of management fees for each Fund were as follows:
Gross |
Contractual |
Net |
Percentage |
|||||||||||||||||
Fund |
Gross |
Net |
||||||||||||||||||
Short Duration Income ETF |
$ | 103,884 | $ | 103,884 | $ | — | 0.30 | % | — | % | ||||||||||
U.S. Equity Opportunities ETF |
95,031 | 95,031 | — | 0.75 | % | — | % | |||||||||||||
Mid Cap ETF |
76,223 | 76,223 | — | 0.77 | % | — | % | |||||||||||||
Select ETF |
47,474 | 47,474 | — | 0.73 | % | — | % |
1 |
Management fee waiver is subject to possible recovery until December 31, 2022. |
For the year ended December 31, 2021, expenses have been reimbursed as follows:
Fund |
Reimbursements2 |
|||
Short Duration Income ETF |
$ | 84,999 | ||
U.S. Equity Opportunities ETF |
19,911 | |||
Mid Cap ETF |
39,264 | |||
Select ETF |
65,422 |
2 |
Expense reimbursement is subject to possible recovery until December 31, 2022. |
No expenses were recovered for any of the Funds during the year ended December 31, 2021 under the terms of the expense limitation agreements.
b. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, the Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts of $10 million, which is reevaluated on an annual basis.
For the year ended December 31, 2021, the administrative fees for each Fund were as follows:
Fund |
Administrative Fees |
|||
Short Duration Income ETF |
$ | 14,747 | ||
U.S. Equity Opportunities ETF |
5,399 | |||
Mid Cap ETF |
4,192 | |||
Select ETF |
2,788 |
c. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, LLC (“Natixis Distribution”), Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $199,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
Effective January 1, 2022, each Independent Trustee (other than the Chairperson) will receive, in the aggregate, a retainer fee at the annual rate of $210,000. All other Trustees fees will remain unchanged.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on
47 |
Notes to Financial Statements (continued)
December 31, 2021
theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
Certain officers and employees of Natixis Advisors and affiliates are also officers and/or Trustees of the Trusts.
d. Affiliated Ownership. As of December 31, 2021, the percentage of each Fund’s net assets owned by Natixis is as follows:
Fund |
Percent of Net Assets |
|||
U.S. Equity Opportunities ETF |
95.69 | % | ||
Mid Cap ETF |
57.35 | % | ||
Select ETF |
84.86 | % |
Investment activities of affiliated shareholders could have material impacts on the Funds.
7. Transfer Agent, Custodian and Regulatory Filing Fees and Expenses. State Street Bank, transfer agent, custodian and sub-administrator to the Funds, agreed to waive its fees and expenses for the first 12 months of operations for U.S. Equity Opportunities ETF, Mid Cap ETF, and Select ETF. For the year ended December 31, 2021, total fees waived for each fund were $32,704, $33,351 and $34,432, respectively.
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
Prior to April 8, 2021, Short Duration Income ETF, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a $400,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund may borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit.
For the year ended December 31, 2021, the Funds had no borrowings under this agreement.
9. Excise Tax Expense. During the year ended December 31, 2021, U.S. Equity Opportunities ETF and Mid Cap ETF paid excise tax on undistributed income under IRC Section 4892 in the amount of $26 and $21, respectively. The custodian bank has reimbursed the Funds for the entire amount of the tax due. There is no impact to net expenses.
10. Risk. The Funds have exposure to certain types of risk as summarized below.
a. Authorized Participant Concentration Risk. Only an authorized participant (“Authorized Participant”) may engage in creation or redemption transactions directly with the Funds. The Funds have a limited number of institutions that act as Authorized Participants, none of which are or will be obligated to engage in creation or redemption transactions. To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the Funds and no other Authorized Participant is able to step forward to create or redeem Creation Units, Fund shares may trade at a discount to NAV and possibly face trading halts and/or delisting.
b. Premium/Discount Risk. Shares of the Funds are listed for trading on the NYSE Arca and are bought and sold in the secondary market at market prices that may differ from their most recent NAV. The market value of the Funds’ shares will fluctuate, in some cases materially, in response to changes in the Funds’ NAV, the intraday value of the Funds’ holdings, and the relative supply and demand for the Funds’ shares on the exchange. Disruptions to creations and redemptions, the existence of extreme market volatility or potential lack of an active trading market for shares may result in shares trading at a significant premium or discount to NAV and/or in a reduced liquidity of your investment. If a shareholder purchases shares at a time when the market price is at a premium to the NAV or sells shares at a time when the market price is at a discount to the NAV, the shareholder may sustain losses.
| 48
Notes to Financial Statements (continued)
December 31, 2021
c. Secondary Market Trading Risk. Investors buying or selling shares of the Funds in the secondary market will pay brokerage commissions or other charges imposed by broker-dealers as determined by that broker. Brokerage commissions are often a fixed amount and may be a significant proportional cost for investors seeking to buy or sell relatively small amounts of shares.
d. Trading Issues Risk. Trading in shares on the NYSE Arca may be halted in certain circumstances. There can be no assurance that the requirements of the NYSE Arca necessary to maintain the listing of the Funds will continue to be met. Because U.S. Equity Opportunities ETF, Mid Cap ETF, and Select ETF trade on the basis of a published Proxy Portfolio, they may trade at a wider bid/ask spread and may experience a wider premium/discount than traditional ETFs that publish their portfolios on a daily basis, and therefore, may cost investors more to trade especially during periods of market disruption or volatility.
e. Non-Diversified Risk. Select ETF is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.
f. Other. Global markets have experienced periods of high volatility triggered by the Covid-19 pandemic. The impact of this pandemic and any other epidemic or pandemic that may arise in the future could adversely affect the economies of many nations or the entire global economy and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Such effects could impair the Funds’ ability to maintain operational standards, disrupt the operations of the Funds’ service providers, adversely affect the value and liquidity of the Funds’ investments and negatively impact the Funds’ performance.
11. Capital Shares. Shares of the Funds may be acquired or redeemed directly from the Funds by Authorized Participants only in aggregations of 50,000 shares (prior to October 1, 2020, in aggregations of 100,000 shares) for Short Duration Income ETF and 10,000 shares for U.S. Equity Opportunities ETF, Mid Cap ETF and Select ETF (“Creation Units”), or multiples thereof. Each Authorized Participant enters into an Authorized Participant agreement with the Funds’ Distributor.
A creation transaction order, which is subject to acceptance by ALPS, generally takes place when an Authorized Participant deposits into the Funds a designated portfolio of securities and/or cash (including any portion of such securities for which cash may be substituted) and a specified amount of cash approximating the holdings of the Funds in exchange for a specified number of Creation Units.
Similarly, shares can be redeemed only in Creation Units, generally for a designated portfolio of securities and/or cash (including any portion of such securities for which cash may be substituted) held by the Funds and a specified amount of cash. Except when aggregated in Creation Units, shares are not redeemable directly with the Funds.
The prices at which creations and redemptions occur are based on the next calculation of NAV after a creation or redemption order is received in an acceptable form under the Authorized Participant agreement. These prices may differ from the market price of the Fund’s shares.
The Funds may impose a creation transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Transaction fees are included in capital share transactions on the Statements of Changes in Net Assets.
Transactions in capital shares were as follows:
Year Ended |
Year Ended |
|||||||||||||||
Short Duration Income ETF |
Shares |
Amount |
Shares |
Amount |
||||||||||||
Issued from the sale of shares |
950,000 | $ | 23,990,447 | 500,000 | $ | 12,999,407 | ||||||||||
Redeemed |
— | — | (750,000 | ) | (19,523,835 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
950,000 | $ | 23,990,447 | (250,000 | ) | $ | (6,524,428 | ) | ||||||||
|
|
|
|
|
|
|
|
Year Ended |
Period Ended |
|||||||||||||||
U.S. Equity Opportunities ETF |
Shares |
Amount |
Shares |
Amount |
||||||||||||
Issued from the sale of shares |
40,000 | $ | 1,404,630 | 410,000 | $ | 10,240,403 | ||||||||||
Redeemed |
(150,000 | ) | (5,292,357 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(110,000 | ) | $ | (3,887,727 | ) | 410,000 | $ | 10,240,403 | ||||||||
|
|
|
|
|
|
|
|
(a) |
From commencement of operations on September 16, 2020 through December 31, 2020. |
49 |
Notes to Financial Statements (continued)
December 31, 2021
11. Capital Shares (continued).
Year Ended |
Period Ended |
|||||||||||||||
Mid Cap ETF |
Shares |
Amount |
Shares |
Amount |
||||||||||||
Issued from the sale of shares |
130,000 | $ | 4,309,789 | 260,000 | $ | 6,685,365 | ||||||||||
Redeemed |
(120,000 | ) | (4,125,272 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase from capital share transactions |
10,000 | $ | 184,517 | 260,000 | $ | 6,685,365 | ||||||||||
|
|
|
|
|
|
|
|
(a) |
From commencement of operations on September 16, 2020 through December 31, 2020. |
Year Ended |
Period Ended |
|||||||||||||||
Select ETF |
Shares |
Amount |
Shares |
Amount |
||||||||||||
Issued from the sale of shares |
90,000 | $ | 3,050,235 | 220,000 | $ | 5,478,454 | ||||||||||
Redeemed |
(110,000 | ) | (3,885,613 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) from capital share transactions |
(20,000 | ) | $ | (835,378 | ) | 220,000 | $ | 5,478,454 | ||||||||
|
|
|
|
|
|
|
|
(a) |
From commencement of operations on September 16, 2020 through December 31, 2020. |
| 50
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Natixis ETF Trust and Natixis ETF Trust II and Shareholders of Natixis Loomis Sayles Short Duration Income ETF, Natixis U.S. Equity Opportunities ETF, Natixis Vaughan Nelson Mid Cap ETF and Natixis Vaughan Nelson Select ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Natixis Loomis Sayles Short Duration Income ETF (constituting Natixis ETF Trust), Natixis U.S. Equity Opportunities ETF, Natixis Vaughan Nelson Mid Cap ETF and Natixis Vaughan Nelson Select ETF (constituting Natixis ETF Trust II) (hereafter collectively referred to as the “Funds”) as of December 31, 2021, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Fund | Statements of operations | Statements of changes in net assets | ||
Natixis Loomis Sayles Short Duration Income ETF |
For the year ended December 31, 2021 | For the years ended December 31, 2021 and 2020 | ||
Natixis U.S. Equity Opportunities ETF |
For the year ended December 31, 2021 | For the year ended December 31, 2021 and for the period from September 16, 2020 (commencement of operations) through December 31, 2020 | ||
Natixis Vaughan Nelson Mid Cap ETF |
For the year ended December 31, 2021 | For the year ended December 31, 2021 and for the period from September 16, 2020 (commencement of operations) through December 31, 2020 | ||
Natixis Vaughan Nelson Select ETF |
For the year ended December 31, 2021 | For the year ended December 31, 2021 and for the period from September 16, 2020 (commencement of operations) through December 31, 2020 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 22, 2022
We have served as the auditor of one or more of the investment companies in the Natixis Investment Company Complex since at least 1995. We have not been able to determine the specific year we began serving as auditor.
51 |
2021 U.S. Tax Distribution Information to Shareholders (Unaudited)
Corporate Dividends Received Deduction. For the fiscal year ended December 31, 2021, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:
Fund |
Qualifying |
|||
U.S. Equity Opportunities ETF |
25.22 | % | ||
Mid Cap ETF |
14.96 | % | ||
Select ETF |
3.98 | % |
Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2021, unless subsequently determined to be different.
Fund |
Amount |
|||
Short Duration Income ETF |
$ | 294,072 | ||
U.S. Equity Opportunities ETF |
24,893 | |||
Mid Cap ETF |
23,278 | |||
Select ETF |
20,692 |
Qualified Dividend Income. For the fiscal year ended December 31, 2021, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2021, complete information will be reported in conjunction with Form 1099-DIV.
Fund |
Qualifying |
|||
U.S. Equity Opportunities ETF |
24.36 | % | ||
Mid Cap ETF |
15.30 | % | ||
Select ETF |
8.77 | % |
| 52
Trustee and Officer Information
The tables below provide certain information regarding the Trustees and officers of Natixis ETF Trust and Natixis ETF Trust II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information include additional information about the Trustees of the Trusts and are available by calling Natixis ETFs at 800-458-7452.
Name and Year of Birth |
Position(s) Held with Term of Office1 |
Principal During Past 5 Years |
Number of Portfolios |
Experience, | ||||
INDEPENDENT TRUSTEES | ||||||||
Edmond J. English (1953) |
Trustee 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Chairperson of the Governance Committee and Contract Review Committee Member |
Executive Chairman of Bob’s Discount Furniture (retail) |
55 Director, Burlington Stores, Inc. (retail) and Director, Rue Gilt Groupe, Inc. (e-commerce retail) |
Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) | ||||
Richard A. Goglia (1951) |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Contract Review Committee Member and Governance Committee Member |
Retired |
55 Formerly, Director of Triumph Group (aerospace industry) |
Significant experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company) | ||||
Wendell J. Knox (1948) |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Chairperson of the Contract Review Committee |
Retired |
55 Director, Abt Associates Inc. (research and consulting); Director, The Hanover Insurance Group (property and casualty insurance); Formerly, Director, Eastern Bank (bank) |
Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company) | ||||
Martin T. Meehan (1956) |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Audit Committee Member and Governance Committee Member |
President, University of Massachusetts |
55 None |
Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
53 |
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held with Term of Office1 |
Principal During Past 5 Years |
Number of Portfolios |
Experience, | ||||
INDEPENDENT TRUSTEES – continued | ||||||||
Maureen B. Mitchell (1951) |
Trustee since 2017 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Audit Committee Member and Governance Committee Member |
Retired |
55 Director, Sterling Bancorp (bank) |
Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company) | ||||
James P. Palermo (1955) |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Audit Committee Member |
Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity) |
55 Director, FutureFuel.io (chemicals and biofuels) |
Significant experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company) | ||||
Erik R. Sirri (1958) |
Chairperson of the Board of Trustees since January 2021
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Ex Officio member of the Audit Committee, Contract Review Committee and Governance Committee |
Professor of Finance at Babson College |
55 None |
Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist | ||||
Peter J. Smail (1952) |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Audit Committee Member |
Retired |
55 None |
Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser) |
| 54
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held with Term of Office1 |
Principal During Past 5 Years |
Number of Portfolios |
Experience, | ||||
INDEPENDENT TRUSTEES – continued | ||||||||
Kirk A. Sykes (1958) |
Trustee since 2019 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Contract Review Committee Member and Governance Committee Member |
Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) |
55 Trustee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly Director, Ares Commercial Real Estate Corporation (real estate investment trust) |
Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) | ||||
Cynthia L. Walker (1956) |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II
Chairperson of the Audit Committee |
Retired; Formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine |
55 None |
Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) | ||||
INTERESTED TRUSTEES | ||||||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 |
Trustee since 2016 for Natixis ETF Trust and 2020 for Natixis ETF Trust II | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. |
55 None |
Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. | ||||
David L. Giunta4
(1965) |
Trustee since 2015 for Natixis ETF Trust and 2017 for Natixis ETF Trust II
President and Chief Executive Officer of Natixis ETF Trust since 2011; President and Chief Executive Officer of Natixis ETF Trust II since 2017 |
President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC |
55 None |
Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 |
Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 |
The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 |
Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 |
Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
55 |
Trustee and Officer Information
Name and Year of Birth |
Position(s) Held with the Trusts |
Term of Office1 and Length of Time Served |
Principal Occupation(s) | |||
OFFICERS OF THE TRUSTS | ||||||
Michael C. Kardok (1959) |
Treasurer, Principal Financial and Accounting Officer | Since 2011 for Natixis ETF Trust and since 2017 for Natixis ETF Trust II | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC | |||
Natalie R. Wagner (1979) |
Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer
Chief Legal Officer |
Since May 2021
Since July 2021 |
Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 |
Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 |
Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
| 56