Form N-CSRS Natixis ETF Trust For: Jun 30
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23146
Natixis ETF Trust
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Russell L. Kane, Esq.
Natixis Distribution, L.P.
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2822
Date of fiscal year end: December 31
Date of reporting period: June 30, 2019
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Item 1. | Reports to Stockholders. |
The Registrants semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
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Semiannual Report
June 30,2019
Natixis Loomis Sayles Short Duration Income ETF
Natixis Seeyond International Minimum Volatility ETF
Portfolio Review | 1 | |||
Portfolio of Investments | 11 | |||
Financial Statements | 27 | |||
Notes to Financial Statements | 33 |
IMPORTANT NOTICE TO SHAREHOLDERS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you wish to continue receiving paper copies of your shareholder reports after January 1, 2021, you can inform the Fund at any time by calling 1-800-458-7452. If you hold your account with a financial intermediary and you wish to continue receiving paper copies after January 1, 2021, you should call your financial intermediary directly. Paper copies are provided free of charge, and your election to receive reports in paper will apply to all funds held with the Natixis Funds complex. If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You currently may elect to receive shareholder reports and other communications from the Fund or your financial intermediary electronically at www.icsdelivery.com/natixisfunds.
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NATIXIS LOOMIS SAYLES SHORT DURATION INCOME ETF
Managers | NYSE Arca: LSST | |
Christopher T. Harms | ||
Clifton V. Rowe, CFA® | ||
Kurt L. Wagner, CFA® | ||
Loomis, Sayles & Company, L.P. |
Investment Goal
The Funds investment objective is current income consistent with preservation of capital.
Average Annual Total Returns June 30, 20193
Inception 12/27/17 |
Expense Ratio4 | |||||||||||||||||||
6 Months | 1 Year |
Life of Fund |
Gross | Net | ||||||||||||||||
NAV1 |
3.80 | % | 4.98 | % | 3.22 | % | 1.09 | % | 0.38 | % | ||||||||||
Market1 |
3.84 | 4.90 | 3.24 | |||||||||||||||||
Comparative Performance |
||||||||||||||||||||
Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index2 |
2.71 | 4.27 | 2.89 |
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 the shares of the Fund are listed for trading, as of the time that the Funds NAV is calculated. Since shares of the Fund did not trade on the secondary market until December 28, 2017, NAV is used as a proxy for the market price prior to that date. 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 Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index which is a component of the US Government/Credit Bond Index, which includes Treasury and agency securities (US Government Bond Index) and publicly issued US corporate and foreign debentures and secured notes (US 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 Funds 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 4/30/21. When a Funds 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 Funds expense limitations. |
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NATIXIS SEEYOND INTERNATIONAL MINIMUM VOLATILITY ETF
Managers | NYSE Arca: MVIN | |
Alexander J. Nary | ||
Nicolas Just, CFA®* | ||
Juan-Sebastian Caicedo, CFA®* | ||
Natixis Advisors, L.P. (Natixis Advisors)
* Messrs. Just and Caicedo are part of Seeyond and provide portfolio management through a personnel-sharing arrangement between Seeyond and Natixis Advisors. |
Investment Goal
The Fund seeks long-term capital appreciation with less volatility than typically experienced by international equity markets.
Average Annual Total Returns June 30, 20193
Inception 10/25/16 |
Expense Ratios4 | |||||||||||||||||||
6 Months | 1 Year |
Life of Fund |
Gross | Net | ||||||||||||||||
NAV1 |
12.42 | % | 6.07 | % | 8.55 | % | 1.52 | % | 0.55 | % | ||||||||||
Market1 |
12.51 | 5.65 | 8.56 | |||||||||||||||||
Comparative Performance |
||||||||||||||||||||
MSCI EAFE Index (Net)2 |
14.03 | 1.08 | 8.44 |
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 the shares of the Fund are listed for trading, as of the time that the Funds NAV is calculated. Since shares of the Fund did not trade on the secondary market until October 27, 2016, NAV is used as a proxy for the market price prior to that date. 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 MSCI EAFE Index (Net) is a free float-adjusted market capitalization index designed to measure large and mid-cap equity performance in developed markets, excluding the U.S. and Canada. The Index includes countries in Europe, Australasia, and the Far East. |
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 Funds 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 4/30/21. When a Funds 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 Funds expense limitations. |
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ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Investment Managers or any of its related or affiliated companies (collectively Natixis Affiliates) and does not sponsor, endorse or participate in the provision of any Natixis Affiliates services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an as is basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Funds proxy voting policies and procedures is available without charge, upon request, by calling 800-458-7452; through the Funds website at im.natixis.com; and on the Securities and Exchange Commissions (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 SECs website.
QUARTERLY PORTFOLIO SCHEDULES
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 on Form N-PORT. The Funds Form N-PORT reports are available on the SECs website at www.sec.gov.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
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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 Funds prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other funds.
The first line in the table shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2019 through June 30, 2019. 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 Funds actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as brokerage commissions on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
NATIXIS LOOMIS SAYLES SHORT DURATION INCOME ETF |
BEGINNING ACCOUNT VALUE 1/1/2019 |
ENDING ACCOUNT VALUE 6/30/2019 |
EXPENSES PAID DURING PERIOD* 1/1/2019 6/30/2019 |
|||||||||
Actual | $1,000.00 | $1,038.00 | $1.92 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.91 | $1.91 |
The chart above represents historical performance of a hypothetical investment of $1,000 in the fund for the most recent six-month period. Past performance does not guarantee future results. This chart does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
* | Expenses are equal to the Funds annualized expense ratio (after waiver/reimbursement) of 0.38%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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NATIXIS SEEYOND INTERNATIONAL MINIMUM VOLATILITY ETF |
BEGINNING ACCOUNT VALUE 1/1/2019 |
ENDING ACCOUNT VALUE 6/30/2019 |
EXPENSES PAID DURING PERIOD* 1/1/2019 6/30/2019 |
|||||||||
Actual | $1,000.00 | $1,124.20 | $2.90 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.07 | $2.76 |
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 Funds annualized expense ratio (after waiver/reimbursement) of 0.55%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the Board), including the Independent Trustees, considers matters bearing on each Funds advisory agreement and, with respect to Natixis Loomis Sayles Short Duration Income ETF, sub-advisory agreement (collectively, the Agreements) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds investment advisers and sub-adviser, as applicable (collectively, the Advisers), believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds performance benchmarks, (ii) information on the Funds advisory fees and sub-advisory fees, if any, and other expenses, including information comparing the Funds advisory fees and sub-advisory fees, if any, to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and/or fee breakpoints, (iii) sales, redemption and trading data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Funds investment objective and strategies and the size, education and experience of the Advisers respective investment staffs and their use of technology, external research and trading cost measurement tools, (ii) arrangements in respect of the distribution and trading of the Funds shares and the related costs, (iii) the allocation of the Funds brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of soft commission dollars to pay for research and other similar services, (iv) each Advisers policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting and valuation, (v) information about amounts invested by the Funds portfolio managers in the Funds or in similar accounts that they manage and (vi) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, total return information for various periods, and third-party performance rankings for various periods comparing a
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Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and if a Fund is identified as presenting possible performance concerns it may be subject to more frequent Board or Committee presentations and reviews. In addition, each quarter, the Trustees are provided with detailed statistical information about each Funds portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2019. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds, which include advisory and non-advisory services directed to the needs and operations of each of the Funds as an ETF. The Trustees also considered the resources dedicated to the Funds by the Advisers and their affiliates. The Trustees noted that although the Funds are relatively new, the Advisers had extensive experience managing other types of funds and had made significant investments in the resources appropriate for the management of ETFs. The Trustees also considered their experience with other funds advised or sub-advised by the Advisers, as well as the affiliation between the Advisers and Natixis Investment Managers, L.P., whose affiliates provide investment advisory services to other funds in the Natixis family of mutual funds.
The Trustees considered not only the advisory and sub-advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by Natixis Advisors, L.P. (Natixis Advisors). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds respective performance benchmarks. In addition, the Trustees reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
The Board noted that, through December 31, 2018, each Funds one-year net asset value performance, stated as percentile rankings within categories selected by the independent
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third-party data provider, was as follows (where the best performance would be in the first percentile of its category):
One-Year |
Three-Year |
Five-Year |
||||||||||
Natixis Loomis Sayles Short Duration Income ETF |
78 | % | N/A | N/A | ||||||||
Natixis Seeyond International Minimum Volatility ETF |
2 | % | N/A | N/A |
In the case of a Fund that had performance that lagged that of a relevant category median as determined by the independent third-party, the Board concluded that other factors relevant to performance supported renewal of the Agreements, including: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Funds investment objective and policies; and (2) the Funds more recent performance has been stronger relative to its category.
The Trustees also considered each Advisers performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers and/or other relevant factors supported the renewal of the Agreements.
The costs of the services provided and the profits realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory, sub-advisory and administrative services, as applicable, as well as the total expense levels of the Funds. This information included comparisons (provided by an independent third party) of the Funds advisory fees and total expense levels to those of its category groups. In evaluating each Funds advisory and sub-advisory fees, as applicable, the Trustees also took into account the demands, complexity and quality of the investment management of the Funds, including the additional responsibilities of the Advisers in overseeing an ETF, and the need for the Advisers to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees also considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds have expense caps in place and they considered the amounts waived or reimbursed by the Advisers for the Funds under their caps. The Trustees also noted that the Funds had total advisory fee rates that were at or below the medians of their respective peer groups of funds.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers and their affiliates relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability,
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including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Funds, the expense levels of the Funds, whether the Advisers had implemented breakpoints and/or expense caps with respect to the Funds and the overall profit margin of Natixis Investment Managers compared to that of certain other investment managers for which such data was available.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory and sub-advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense caps. The Trustees also considered managements explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense caps. With respect to economies of scale, the Trustees noted that although the Funds management fees were not subject to breakpoints, the Funds were subject to expense caps. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above. The Trustees also considered that the Funds have benefitted from the substantial reinvestment each Adviser has made into its business.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Funds record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | So-called fallout benefits to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, the ability to offer ETFs in the Natixis family of funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds securities transactions. The Trustees also considered the benefits to the parent company of Natixis Advisors from the retention of the Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
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· | The Trustees review and discussion of the Funds advisory arrangements in prior years, and managements record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2020.
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Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF
Principal Amount |
Description | Value () | ||||||
Bonds and Notes 98.4% of Net Assets | ||||||||
ABS Car Loan 11.2% |
| |||||||
$ | 160,000 | Ally Master Owner Trust, Series 2018-1, Class A2, 2.700%, 1/17/2023(a) | $ | 161,025 | ||||
38,237 | AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021(a) | 38,247 | ||||||
74,000 | AmeriCredit Automobile Receivables Trust, Series 2016-3, Class B, 1.800%, 10/08/2021(a) | 73,829 | ||||||
115,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024(a) | 118,409 | ||||||
20,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024 | 20,065 | ||||||
66,301 | Avid Automobile Receivables Trust, Series 2018-1, Class A, 2.840%, 8/15/2023, 144A(a) | 66,213 | ||||||
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2017-2A, Class A, 2.970%, 3/20/2024, 144A(a) | 101,537 | ||||||
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A(a) | 103,065 | ||||||
55,000 | CarMax Auto Owner Trust, Series 2018-1, Class A3, 2.480%, 11/15/2022(a) | 55,145 | ||||||
120,000 | CarMax Auto Owner Trust, Series 2018-2, Class A4, 3.160%, 7/17/2023(a) | 123,238 | ||||||
94,827 | CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(a) | 95,181 | ||||||
100,000 | CPS Auto Receivables Trust, Series 2018-D, Class B, 3.610%, 11/15/2022, 144A(a) | 101,424 | ||||||
41,569 | Drive Auto Receivables Trust, Series 2018-1, Class B, 2.880%, 2/15/2022(a) | 41,575 | ||||||
130,000 | Drive Auto Receivables Trust, Series 2018-5, Class B, 3.680%, 7/15/2023(a) | 132,186 | ||||||
5,000 | Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024 | 5,018 | ||||||
65,000 | DT Auto Owner Trust, Series 2018-1A, Class B, 3.040%, 1/18/2022, 144A(a) | 65,083 | ||||||
20,000 | DT Auto Owner Trust, Series 2018-2A, Class C, 3.670%, 3/15/2024, 144A | 20,309 | ||||||
35,000 | DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A | 35,584 | ||||||
35,000 | DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A | 35,346 | ||||||
39,010 | Exeter Automobile Receivables Trust, Series 2018-1A, Class B, 2.750%, 4/15/2022, 144A(a) | 39,033 | ||||||
60,000 | Exeter Automobile Receivables Trust, Series 2018-2A, Class B, 3.270%, 5/16/2022, 144A(a) | 60,239 | ||||||
30,000 | Exeter Automobile Receivables Trust, Series 2019-2A, Class B, 3.060%, 5/15/2023, 144A | 30,287 | ||||||
67,806 | First Investors Auto Owner Trust, Series 2017-1A, Class A2, 2.200%, 3/15/2022, 144A(a) | 67,693 | ||||||
48,581 | First Investors Auto Owner Trust, Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A(a) | 48,849 | ||||||
51,445 | First Investors Auto Owner Trust, Series 2019-1A, Class A, 2.890%, 3/15/2024, 144A(a) | 51,821 | ||||||
39,806 | Flagship Credit Auto Trust, Series 2016-3, Class B, 2.430%, 6/15/2021, 144A(a) | 39,794 | ||||||
65,000 | Flagship Credit Auto Trust, Series 2018-1, Class B, 3.130%, 1/17/2023, 144A(a) | 65,490 | ||||||
35,000 | Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A | 36,003 | ||||||
70,000 | Ford Credit Auto Owner Trust, Series 2019-B, Class A2A, 2.350%, 2/15/2022 | 70,082 | ||||||
80,000 | Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A, 2.840%, 3/15/2024(a) | 81,520 | ||||||
100,000 | Foursight Capital Automobile Receivables Trust, Series 2018-2, Class A3, 3.640%, 5/15/2023, 144A(a) | 101,868 |
See accompanying notes to financial statements.
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Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
ABS Car Loan continued |
| |||||||
$ | 69,302 | GLS Auto Receivables Trust, Series 2018-1A, Class A, 2.820%, 7/15/2022, 144A(a) | $ | 69,397 | ||||
35,000 | GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A | 35,660 | ||||||
91,514 | GLS Auto Receivalbles Trust, Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A(a) | 92,040 | ||||||
110,000 | GM Financial Consumer Automobile Receivables Trust, Series 2018-2, Class A3, 2.810%, 12/16/2022(a) | 110,970 | ||||||
80,000 | Hyundai Auto Lease Securitization Trust, Series 2018-A, Class A3, 2.810%, 4/15/2021, 144A(a) | 80,305 | ||||||
60,000 | Santander Drive Auto Receivables Trust, Series 2019-1, Class B, 3.210%, 9/15/2023(a) | 60,984 | ||||||
30,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024 | 30,292 | ||||||
50,000 | Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024 | 51,038 | ||||||
20,000 | Santander Drive Auto Receivables Trust, Series 2019-1, Class A3, 3.000%, 12/15/2022 | 20,167 | ||||||
8,876 | United Auto Credit Securitization Trust, Series 2018-1, Class B, 2.760%, 10/13/2020, 144A(a) | 8,874 | ||||||
20,000 | Westlake Automobile Receivables Trust, Series 18-2A, Class B, 3.200%, 1/16/2024, 144A | 20,106 | ||||||
119,288 | Westlake Automobile Receivables Trust, Series 2017-1A, Class C, 2.700%, 10/17/2022, 144A(a) | 119,326 | ||||||
23,532 | Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A, 2.980%, 1/18/2022, 144A | 23,591 | ||||||
25,000 | Westlake Automobile Receivables Trust, Series 2019-1A, Class B, 3.260%, 10/17/2022, 144A | 25,273 | ||||||
100,000 | Westlake Automobile Receivables Trust, Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A | 100,199 | ||||||
110,000 | World Omni Auto Receivables Trust, Series 2018-B, Class A3, 2.870%, 7/17/2023(a) | 111,229 | ||||||
60,000 | World Omni Automobile Lease Securitization Trust, Series 2018-A, Class A3, 2.830%, 7/15/2021(a) | 60,288 | ||||||
|
|
|||||||
3,104,897 | ||||||||
|
|
|||||||
ABS Credit Card 2.4% |
| |||||||
100,000 | American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024(a) | 102,214 | ||||||
265,000 | Citibank Credit Card Issuance Trust, Series 2018-A2, Class A2, 1-month LIBOR + 0.330%, 2.713%, 1/20/2025(a)(b) | 264,813 | ||||||
100,000 | World Financial Network Credit Card Master Trust, Series 2016-A, Class A, 2.030%, 4/15/2025(a) | 99,671 | ||||||
185,000 | World Financial Network Credit Card Master Trust, Series 2018-A, Class A, 3.070%, 12/16/2024(a) | 187,495 | ||||||
|
|
|||||||
654,193 | ||||||||
|
|
|||||||
ABS Other 1.5% |
| |||||||
30,000 | Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 1-month LIBOR + 0.630%, 3.034%, 9/25/2023, 144A(b) | 30,059 | ||||||
100,000 | OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(a) | 101,210 |
See accompanying notes to financial statements.
| 12
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
ABS Other continued |
| |||||||
$ | 67,939 | SCF Equipment Leasing LLC, Series 2018-1A, Class A2, 3.630%, 10/20/2024, 144A(a) | $ | 68,503 | ||||
100,000 | SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A(a) | 101,002 | ||||||
126,536 | SoFi Consumer Loan Program Trust, Series 2018-4, Class A, 3.540%, 11/26/2027, 144A(a) | 127,989 | ||||||
|
|
|||||||
428,763 | ||||||||
|
|
|||||||
ABS Student Loan 0.5% |
| |||||||
63,082 | Navient Private Education Refi Loan Trust 2018-A, Series 2018-A, Class A1, 2.530%, 2/18/2042, 144A(a) | 63,170 | ||||||
66,978 | SoFi Professional Loan Program LLC, Series 2015-D, Class A2, 2.720%, 10/27/2036, 144A(a) | 67,333 | ||||||
|
|
|||||||
130,503 | ||||||||
|
|
|||||||
Aerospace & Defense 0.8% |
| |||||||
110,000 | General Dynamics Corp., 2.875%, 5/11/2020(a) | 110,545 | ||||||
60,000 | General Dynamics Corp., 3.000%, 5/11/2021(a) | 60,972 | ||||||
55,000 | Textron, Inc., 7.250%, 10/01/2019 | 55,593 | ||||||
|
|
|||||||
227,110 | ||||||||
|
|
|||||||
Agency Commercial Mortgage-Backed Securities 0.1% |
| |||||||
32,723 | FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A, 1-month LIBOR + 0.160%, 2.591%, 9/25/2022(a)(b) | 32,654 | ||||||
|
|
|||||||
Airlines 0.5% |
| |||||||
150,000 | Delta Air Lines, Inc., 2.600%, 12/04/2020 | 149,869 | ||||||
|
|
|||||||
Automotive 5.4% |
| |||||||
150,000 | American Honda Finance Corp., MTN, 2.000%, 2/14/2020(a) | 149,744 | ||||||
135,000 | American Honda Finance Corp., MTN, 2.200%, 6/27/2022 | 134,838 | ||||||
60,000 | BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A(a) | 59,387 | ||||||
60,000 | BMW U.S. Capital LLC, 3.400%, 8/13/2021, 144A(a) | 61,155 | ||||||
55,000 | BMW U.S. Capital LLC, 3.450%, 4/12/2023, 144A(a) | 56,677 | ||||||
150,000 | Daimler Finance North America LLC, 3.700%, 5/04/2023, 144A(a) | 155,208 | ||||||
95,000 | General Motors Co., 3-month LIBOR + 0.900%, 3.353%, 9/10/2021(b) | 94,717 | ||||||
25,000 | General Motors Financial Co., Inc., 3.950%, 4/13/2024 | 25,542 | ||||||
15,000 | Harley-Davidson Financial Services, Inc., 3.350%, 2/15/2023, 144A | 15,147 | ||||||
10,000 | Harley-Davidson Financial Services, Inc., 3-month LIBOR + 0.940%, 3.460%, 3/02/2021, 144A(b) | 9,985 | ||||||
40,000 | Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A | 41,320 | ||||||
95,000 | Hyundai Capital America, 2.750%, 9/18/2020, 144A | 95,074 | ||||||
135,000 | Hyundai Capital America, 3.000%, 6/20/2022, 144A | 135,459 | ||||||
10,000 | IAA, Inc., 5.500%, 6/15/2027, 144A | 10,400 | ||||||
110,000 | Nissan Motor Acceptance Corp., 2.150%, 7/13/2020, 144A(a) | 109,545 | ||||||
105,000 | Nissan Motor Acceptance Corp., 3.150%, 3/15/2021, 144A(a) | 105,873 | ||||||
110,000 | PACCAR Financial Corp., MTN, 2.800%, 3/01/2021(a) | 111,010 | ||||||
75,000 | Toyota Motor Credit Corp., 3.050%, 1/08/2021(a) | 76,031 | ||||||
60,000 | Toyota Motor Credit Corp., GMTN, 2.200%, 1/10/2020(a) | 60,018 | ||||||
|
|
|||||||
1,507,130 | ||||||||
|
|
See accompanying notes to financial statements.
13 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Banking 14.7% |
| |||||||
$ | 30,000 | American Express Co., 3.125%, 5/20/2026 | $ | 30,808 | ||||
135,000 | American Express Co., 3.700%, 11/05/2021(a) | 139,168 | ||||||
210,000 | Bank of America Corp., (fixed rate to 1/20/2022, variable rate thereafter), MTN, 3.124%, 1/20/2023(a) | 213,112 | ||||||
110,000 | Bank of America Corp., (fixed rate to 5/17/2021, variable rate thereafter), MTN, 3.499%, 5/17/2022(a) | 112,120 | ||||||
135,000 | Bank of Montreal, MTN, 2.500%, 6/28/2024 | 135,026 | ||||||
65,000 | Bank of Montreal, MTN, 2.900%, 3/26/2022(a) | 65,995 | ||||||
70,000 | Bank of Montreal, Series D, 3.100%, 4/13/2021(a) | 71,079 | ||||||
275,000 | Bank of New York Mellon (The), MTN, 3-month LIBOR + 0.280%, 2.783%, 6/04/2021(b) | 275,155 | ||||||
50,000 | Bank of Nova Scotia (The), 2.500%, 1/08/2021(a) | 50,226 | ||||||
100,000 | BB&T Corp., MTN, 2.150%, 2/01/2021(a) | 99,824 | ||||||
135,000 | BB&T Corp., MTN, 3.050%, 6/20/2022(a) | 137,898 | ||||||
20,000 | Canadian Imperial Bank of Commerce, 2.700%, 2/02/2021(a) | 20,153 | ||||||
105,000 | Capital One Financial Corp., 3.200%, 1/30/2023(a) | 107,650 | ||||||
15,000 | Capital One Financial Corp., 3.750%, 3/09/2027 | 15,485 | ||||||
230,000 | Citigroup, Inc., 2.450%, 1/10/2020(a) | 230,040 | ||||||
90,000 | Citigroup, Inc., (fixed rate to 1/24/2022, variable rate thereafter), 3.142%, 1/24/2023 | 91,538 | ||||||
30,000 | Comerica, Inc., 3.700%, 7/31/2023 | 31,394 | ||||||
75,000 | Commonwealth Bank of Australia, 3.450%, 3/16/2023, 144A(a) | 77,874 | ||||||
45,000 | Goldman Sachs Bank USA, 3.200%, 6/05/2020(a) | 45,383 | ||||||
225,000 | Goldman Sachs Group, Inc. (The), 3-month LIBOR + 1.200%, 3.610%, 9/15/2020(a)(b) | 227,159 | ||||||
245,000 | JPMorgan Chase & Co., 2.750%, 6/23/2020(a) | 245,970 | ||||||
25,000 | JPMorgan Chase & Co., 4.250%, 10/15/2020 | 25,617 | ||||||
65,000 | JPMorgan Chase & Co., (fixed rate to 4/1/2022, variable rate thereafter), 3.207%, 4/01/2023(a) | 66,338 | ||||||
65,000 | Mitsubishi UFJ Financial Group, Inc., 2.665%, 7/25/2022(a) | 65,180 | ||||||
160,000 | Royal Bank of Canada, GMTN, 2.125%, 3/02/2020(a) | 159,842 | ||||||
110,000 | Royal Bank of Canada, GMTN, 2.800%, 4/29/2022(a) | 111,734 | ||||||
85,000 | Santander Holdings USA, Inc., 3.500%, 6/07/2024 | 86,334 | ||||||
145,000 | Santander Holdings USA, Inc., 3.700%, 3/28/2022 | 148,517 | ||||||
200,000 | Santander UK PLC, 3-month LIBOR + 0.660%, 3.178%, 11/15/2021(a)(b) | 200,580 | ||||||
150,000 | State Street Corp., 1.950%, 5/19/2021(a) | 149,609 | ||||||
110,000 | SunTrust Bank, (fixed rate to 1/29/2020, variable rate thereafter), 2.590%, 1/29/2021(a) | 110,081 | ||||||
95,000 | SunTrust Bank, (fixed rate to 10/26/2020, variable rate thereafter), 3.525%, 10/26/2021(a) | 96,429 | ||||||
70,000 | SunTrust Banks, Inc., 2.700%, 1/27/2022 | 70,511 | ||||||
15,000 | Synchrony Financial, 4.375%, 3/19/2024 | 15,707 | ||||||
110,000 | Toronto Dominion Bank (The), GMTN, 2.550%, 1/25/2021(a) | 110,599 | ||||||
40,000 | Toronto Dominion Bank (The), Series MTN, 3.250%, 6/11/2021 | 40,792 | ||||||
165,000 | Westpac Banking Corp., 2.650%, 1/25/2021(a) | 165,883 | ||||||
25,000 | Westpac Banking Corp., 2.800%, 1/11/2022 | 25,311 | ||||||
|
|
|||||||
4,072,121 | ||||||||
|
|
See accompanying notes to financial statements.
| 14
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Brokerage 0.2% |
| |||||||
$ | 55,000 | Ameriprise Financial, Inc., 3.000%, 3/22/2022 | $ | 56,009 | ||||
|
|
|||||||
Building Materials 1.0% |
| |||||||
10,000 | American Woodmark Corp., 4.875%, 3/15/2026, 144A | 9,875 | ||||||
10,000 | Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A | 10,550 | ||||||
30,000 | Fortune Brands Home & Security, Inc., 4.000%, 9/21/2023 | 31,577 | ||||||
120,000 | Martin Marietta Materials, Inc., 3-month LIBOR + 0.650%, 3.173%, 5/22/2020(b) | 120,004 | ||||||
110,000 | Vulcan Materials Co., 3-month LIBOR + 0.650%, 3.170%, 3/01/2021(b) | 110,084 | ||||||
|
|
|||||||
282,090 | ||||||||
|
|
|||||||
Cable Satellite 0.8% |
| |||||||
145,000 | Comcast Corp., 3.450%, 10/01/2021(a) | 149,193 | ||||||
30,000 | DISH DBS Corp., 5.000%, 3/15/2023 | 28,988 | ||||||
40,000 | Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A | 40,931 | ||||||
|
|
|||||||
219,112 | ||||||||
|
|
|||||||
Chemicals 0.6% |
| |||||||
70,000 | Cabot Corp., 4.000%, 7/01/2029 | 70,917 | ||||||
65,000 | Dow Chemical Co. (The), 3.150%, 5/15/2024, 144A | 66,293 | ||||||
35,000 | DuPont de Nemours, Inc., 3.766%, 11/15/2020 | 35,670 | ||||||
|
|
|||||||
172,880 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 6.0% |
| |||||||
15,628 | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(a) | 15,652 | ||||||
35,769 | Government National Mortgage Association, Series 2012-H28, Class FA, 1-month LIBOR + 0.580%, 3.047%, 9/20/2062(a)(b) | 35,790 | ||||||
155,458 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(a) | 154,433 | ||||||
182,897 | Government National Mortgage Association, Series 2013-H10, Class LA, 2.500%, 4/20/2063 | 182,215 | ||||||
267,426 | Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063 | 269,379 | ||||||
60,007 | Government National Mortgage Association, Series 2016-H13, Class FT, 1-month LIBOR + 0.580%, 3.047%, 5/20/2066(a)(b) | 60,097 | ||||||
476,753 | Government National Mortgage Association, Series 2017-H24, Class FJ, 1-month LIBOR + 0.250%,
2.717%, 10/20/2067(a)(b) |
476,184 | ||||||
191,915 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%,
2.667%, 10/20/2064(a)(b) |
191,624 | ||||||
124,652 | Government National Mortgage Association, Series 2019-H01, Class FJ, 1-month LIBOR + 0.300%,
2.767%, 9/20/2068(a)(b) |
124,336 | ||||||
65,199 | Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%,
2.867%, 10/20/2068(a)(b) |
65,107 | ||||||
92,933 | Government National Mortgage Association, Series 2019-H0A, Class FT, 1-year CMT + 0.430%, 2.830%, 4/20/2069(a)(b) | 92,985 | ||||||
|
|
|||||||
1,667,802 | ||||||||
|
|
|||||||
Construction Machinery 1.4% |
| |||||||
155,000 | Caterpillar Financial Services Corp., MTN, 2.100%, 1/10/2020(a) | 154,826 | ||||||
40,000 | Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021 | 40,796 |
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Construction Machinery continued |
| |||||||
$ | 100,000 | John Deere Capital Corp., MTN, 2.875%, 3/12/2021 | $ | 101,176 | ||||
80,000 | John Deere Capital Corp., MTN, 2.950%, 4/01/2022 | 81,609 | ||||||
|
|
|||||||
378,407 | ||||||||
|
|
|||||||
Consumer Cyclical Services 1.0% |
| |||||||
155,000 | eBay, Inc., 2.150%, 6/05/2020 | 154,615 | ||||||
60,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 5.250%, 4/15/2024, 144A | 61,050 | ||||||
70,000 | Western Union Co. (The), 4.250%, 6/09/2023 | 73,596 | ||||||
|
|
|||||||
289,261 | ||||||||
|
|
|||||||
Diversified Manufacturing 1.1% |
| |||||||
85,000 | Ingersoll-Rand Global Holding Co. Ltd., 2.900%, 2/21/2021 | 85,576 | ||||||
135,000 | United Technologies Corp., 1.900%, 5/04/2020 | 134,564 | ||||||
55,000 | United Technologies Corp., 3.650%, 8/16/2023 | 57,601 | ||||||
35,000 | Wabtec Corp., 3-month LIBOR + 1.300%, 3.710%, 9/15/2021(b) | 34,900 | ||||||
|
|
|||||||
312,641 | ||||||||
|
|
|||||||
Electric 6.8% |
| |||||||
25,000 | Alliant Energy Finance LLC, 3.750%, 6/15/2023, 144A | 25,963 | ||||||
65,000 | Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A | 68,749 | ||||||
130,000 | American Electric Power Co., Inc., 2.150%, 11/13/2020 | 129,711 | ||||||
135,000 | American Electric Power Co., Inc., Series I, 3.650%, 12/01/2021 | 139,229 | ||||||
65,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 65,524 | ||||||
105,000 | DTE Energy Co., 1.500%, 10/01/2019 | 104,745 | ||||||
95,000 | DTE Energy Co., Series B, 2.600%, 6/15/2022 | 95,430 | ||||||
5,000 | Edison International, 2.125%, 4/15/2020 | 4,978 | ||||||
45,000 | Edison International, 5.750%, 6/15/2027 | 48,333 | ||||||
125,000 | Eversource Energy, Series N, 3.800%, 12/01/2023(a) | 131,893 | ||||||
70,000 | Exelon Corp., 2.450%, 4/15/2021 | 69,980 | ||||||
130,000 | National Rural Utilities Cooperative Finance Corp., MTN, 1.500%, 11/01/2019(a) | 129,549 | ||||||
70,000 | National Rural Utilities Cooperative Finance Corp., MTN, 2.900%, 3/15/2021 | 70,829 | ||||||
95,000 | NextEra Energy Operating Partners LP, 4.250%, 7/15/2024, 144A | 95,596 | ||||||
115,000 | PNM Resources, Inc., 3.250%, 3/09/2021 | 116,109 | ||||||
35,000 | PSEG Power LLC, 3.850%, 6/01/2023 | 36,468 | ||||||
90,000 | Public Service Enterprise Group, Inc., 1.600%, 11/15/2019 | 89,665 | ||||||
30,000 | Public Service Enterprise Group, Inc., 2.875%, 6/15/2024 | 30,387 | ||||||
90,000 | Southern California Edison Co., Series A, 2.900%, 3/01/2021(a) | 90,216 | ||||||
65,000 | Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A | 65,382 | ||||||
135,000 | WEC Energy Group, Inc., 3.100%, 3/08/2022 | 137,224 | ||||||
130,000 | Wisconsin Public Service Corp., 3.350%, 11/21/2021(a) | 133,416 | ||||||
|
|
|||||||
1,879,376 | ||||||||
|
|
|||||||
Finance Companies 2.9% |
| |||||||
110,000 | Air Lease Corp., 2.500%, 3/01/2021 | 110,066 | ||||||
40,000 | Air Lease Corp., 3.500%, 1/15/2022 | 40,962 | ||||||
55,000 | Ares Capital Corp., 3.625%, 1/19/2022 | 55,577 | ||||||
85,000 | Ares Capital Corp., 4.200%, 6/10/2024 | 86,022 | ||||||
70,000 | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A | 72,298 |
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Finance Companies continued |
| |||||||
$ | 50,000 | Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A | $ | 50,680 | ||||
90,000 | Avolon Holdings Funding Ltd., 5.250%, 5/15/2024, 144A | 96,155 | ||||||
100,000 | iStar, Inc., 4.625%, 9/15/2020 | 100,875 | ||||||
10,000 | Navient Corp., 6.750%, 6/15/2026 | 10,375 | ||||||
80,000 | Navient Corp., MTN, 7.250%, 1/25/2022 | 86,300 | ||||||
95,000 | Springleaf Finance Corp., 6.125%, 3/15/2024 | 102,125 | ||||||
|
|
|||||||
811,435 | ||||||||
|
|
|||||||
Financial Other 0.7% |
| |||||||
70,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026, 144A | 70,963 | ||||||
110,000 | ORIX Corp., 2.900%, 7/18/2022(a) | 111,675 | ||||||
|
|
|||||||
182,638 | ||||||||
|
|
|||||||
Food & Beverage 1.5% |
| |||||||
130,000 | Archer-Daniels-Midland Co., 3.375%, 3/15/2022(a) | 134,475 | ||||||
65,000 | Bunge Ltd. Finance Corp., 4.350%, 3/15/2024 | 67,809 | ||||||
50,000 | Hershey Co. (The), 2.900%, 5/15/2020(a) | 50,256 | ||||||
95,000 | Kellogg Co., 3.250%, 5/14/2021 | 96,814 | ||||||
10,000 | Kraft Heinz Foods Co., 3-month LIBOR + 0.570%, 3.115%, 2/10/2021(b) | 9,981 | ||||||
55,000 | Kraft Heinz Foods Co., 4.000%, 6/15/2023 | 57,625 | ||||||
|
|
|||||||
416,960 | ||||||||
|
|
|||||||
Gaming 0.4% |
| |||||||
45,000 | GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025 | 48,213 | ||||||
55,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 5.750%, 2/01/2027, 144A | 59,263 | ||||||
|
|
|||||||
107,476 | ||||||||
|
|
|||||||
Government Owned No Guarantee 0.2% |
| |||||||
50,000 | Petroleos Mexicanos, 6.375%, 2/04/2021 | 51,300 | ||||||
|
|
|||||||
Healthcare 3.0% |
| |||||||
112,000 | Becton Dickinson and Co., 3-month LIBOR + 0.875%, 3.194%, 12/29/2020(b) | 112,017 | ||||||
85,000 | Cigna Corp., 3.750%, 7/15/2023, 144A(a) | 88,496 | ||||||
165,000 | CVS Health Corp., 3.700%, 3/09/2023 | 170,634 | ||||||
10,000 | Express Scripts Holding Co., 4.500%, 2/25/2026 | 10,791 | ||||||
135,000 | Express Scripts Holding Co., 4.750%, 11/15/2021(a) | 141,744 | ||||||
25,000 | HCA, Inc., 4.125%, 6/15/2029 | 25,700 | ||||||
135,000 | McKesson Corp., 3.650%, 11/30/2020 | 137,742 | ||||||
140,000 | Zimmer Biomet Holdings, Inc., 3-month LIBOR + 0.750%, 3.169%, 3/19/2021(b) | 139,851 | ||||||
|
|
|||||||
826,975 | ||||||||
|
|
|||||||
Home Construction 0.1% |
| |||||||
25,000 | William Lyon Homes, Inc., 6.000%, 9/01/2023 | 25,375 | ||||||
|
|
|||||||
Independent Energy 0.4% |
| |||||||
105,000 | EQT Corp., 3.000%, 10/01/2022 | 104,185 | ||||||
|
|
|||||||
Integrated Energy 0.5% |
| |||||||
135,000 | BP Capital Markets PLC, 3-month LIBOR + 0.250%, 2.775%, 11/24/2020(a)(b) | 135,164 | ||||||
|
|
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Leisure 0.5% |
| |||||||
$ | 135,000 | Royal Caribbean Cruises Ltd., 2.650%, 11/28/2020 | $ | 135,344 | ||||
|
|
|||||||
Life Insurance 4.1% |
| |||||||
50,000 | AIG Global Funding, 2.300%, 7/01/2022, 144A | 50,008 | ||||||
80,000 | American International Group, Inc., 3.300%, 3/01/2021 | 81,080 | ||||||
105,000 | AXA Equitable Holdings, Inc., 3.900%, 4/20/2023 | 109,394 | ||||||
115,000 | Guardian Life Global Funding, 3.400%, 4/25/2023, 144A(a) | 119,126 | ||||||
135,000 | Jackson National Life Global Funding, 3.300%, 2/01/2022, 144A(a) | 138,125 | ||||||
20,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A(a) | 21,301 | ||||||
150,000 | Metropolitan Life Global Funding I, 3.450%, 10/09/2021, 144A(a) | 153,528 | ||||||
120,000 | New York Life Global Funding, 2.000%, 4/09/2020, 144A(a) | 119,801 | ||||||
115,000 | New York Life Global Funding, 3-month LIBOR + 0.100%, 2.692%, 1/21/2020, 144A(a)(b) | 115,056 | ||||||
135,000 | New York Life Global Funding, 2.875%, 4/10/2024, 144A(a) | 138,011 | ||||||
90,000 | Reliance Standard Life Global Funding, 3.850%, 9/19/2023, 144A(a) | 93,432 | ||||||
10,000 | Unum Group, 4.000%, 6/15/2029 | 10,265 | ||||||
|
|
|||||||
1,149,127 | ||||||||
|
|
|||||||
Lodging 0.5% |
| |||||||
130,000 | Marriott International, Inc., Series Y, 3-month LIBOR + 0.600%, 3.120%, 12/01/2020(b) | 130,497 | ||||||
|
|
|||||||
Media Entertainment 0.5% |
| |||||||
100,000 | CBS Corp., 2.900%, 6/01/2023 | 100,886 | ||||||
25,000 | Interpublic Group of Cos., Inc. (The), 3.500%, 10/01/2020 | 25,318 | ||||||
|
|
|||||||
126,204 | ||||||||
|
|
|||||||
Metals & Mining 0.3% |
| |||||||
40,000 | Commercial Metals Co., 5.750%, 4/15/2026 | 39,930 | ||||||
40,000 | Glencore Funding LLC Co., 4.125%, 3/12/2024, 144A | 41,529 | ||||||
|
|
|||||||
81,459 | ||||||||
|
|
|||||||
Midstream 2.6% |
| |||||||
95,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.750%, 1/15/2028, 144A | 94,050 | ||||||
80,000 | Dominion Energy Gas Holdings LLC, 2.800%, 11/15/2020 | 80,371 | ||||||
145,000 | Enbridge Energy Partners LP, 4.375%, 10/15/2020 | 148,308 | ||||||
45,000 | Enterprise Products Operating LLC, 3.125%, 7/31/2029 | 45,097 | ||||||
135,000 | EQM Midstream Partners LP, Series 5Y, 4.750%, 7/15/2023 | 140,381 | ||||||
85,000 | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A | 87,093 | ||||||
120,000 | MPLX LP, 3.375%, 3/15/2023 | 122,759 | ||||||
|
|
|||||||
718,059 | ||||||||
|
|
|||||||
Natural Gas 0.7% |
| |||||||
120,000 | CenterPoint Energy Resources Corp., 3.550%, 4/01/2023 | 123,639 | ||||||
85,000 | Sempra Energy, 1.625%, 10/07/2019 | 84,765 | ||||||
|
|
|||||||
208,404 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 0.7% |
| |||||||
201,467 | Benchmark Mortgage Trust, Series 2019-B10, Class A1, 2.793%, 3/15/2062(a) | 205,011 | ||||||
|
|
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Paper 0.3% |
| |||||||
$ | 75,000 | WRKCo., Inc., 3.750%, 3/15/2025 | $ | 77,812 | ||||
|
|
|||||||
Pharmaceuticals 2.2% |
| |||||||
150,000 | Amgen, Inc., 2.200%, 5/11/2020(a) | 149,777 | ||||||
135,000 | AstraZeneca PLC, 3.500%, 8/17/2023(a) | 140,798 | ||||||
60,000 | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A | 60,333 | ||||||
15,000 | Catalent Pharma Solutions, Inc., 5.000%, 7/15/2027, 144A | 15,262 | ||||||
45,000 | Celgene Corp., 3.550%, 8/15/2022 | 46,598 | ||||||
60,000 | Pfizer, Inc., 3.200%, 9/15/2023(a) | 62,369 | ||||||
140,000 | Shire Acquisitions Investments Ireland DAC, 1.900%, 9/23/2019 | 139,783 | ||||||
|
|
|||||||
614,920 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.8% |
| |||||||
80,000 | Allstate Corp. (The), 3-month LIBOR + 0.630%, 2.960%, 3/29/2023(b) | 79,777 | ||||||
25,000 | Assurant, Inc., 4.200%, 9/27/2023 | 26,005 | ||||||
40,000 | Enstar Group Ltd., 4.950%, 6/01/2029 | 40,436 | ||||||
70,000 | Marsh & McLennan Cos., Inc., 3.500%, 12/29/2020 | 71,167 | ||||||
|
|
|||||||
217,385 | ||||||||
|
|
|||||||
Refining 0.3% |
| |||||||
85,000 | Phillips 66, 3-month LIBOR + 0.600%, 3.121%, 2/26/2021(b) | 85,003 | ||||||
|
|
|||||||
REITs Apartments 0.1% |
| |||||||
30,000 | ERP Operating LP, 3.000%, 7/01/2029 | 30,380 | ||||||
|
|
|||||||
REITs Diversified 0.4% |
| |||||||
125,000 | Digital Realty Trust LP, 2.750%, 2/01/2023 | 124,875 | ||||||
|
|
|||||||
REITs Health Care 0.1% |
| |||||||
25,000 | Sabra Health Care LP/Sabra Capital Corp., 4.800%, 6/01/2024 | 25,688 | ||||||
|
|
|||||||
REITs Mortgage 0.1% |
| |||||||
35,000 | Starwood Property Trust, Inc., 3.625%, 2/01/2021 | 34,913 | ||||||
|
|
|||||||
REITs Regional Malls 0.5% |
| |||||||
125,000 | Simon Property Group LP, 2.625%, 6/15/2022(a) | 126,190 | ||||||
|
|
|||||||
Retailers 1.3% |
| |||||||
110,000 | Alimentation Couche-Tard, Inc., 2.700%, 7/26/2022, 144A | 110,217 | ||||||
55,000 | Dollar Tree, Inc., 3-month LIBOR + 0.700%, 3.288%, 4/17/2020(b) | 55,006 | ||||||
130,000 | Home Depot, Inc. (The), 3.250%, 3/01/2022(a) | 134,163 | ||||||
65,000 | L Brands, Inc., 7.500%, 6/15/2029 | 64,994 | ||||||
|
|
|||||||
364,380 | ||||||||
|
|
|||||||
Technology 3.5% |
| |||||||
90,000 | Analog Devices, Inc., 2.850%, 3/12/2020 | 90,259 | ||||||
70,000 | Broadcom, Inc., 3.125%, 4/15/2021, 144A | 70,453 | ||||||
125,000 | Fidelity National Information Services, Inc., 2.250%, 8/15/2021 | 124,744 | ||||||
70,000 | Flex Ltd., 4.875%, 6/15/2029 | 71,327 | ||||||
105,000 | Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022 | 105,813 | ||||||
130,000 | Hewlett Packard Enterprise Co., 2.100%, 10/04/2019, 144A | 129,818 | ||||||
110,000 | IBM Credit LLC, 2.650%, 2/05/2021(a) | 110,608 | ||||||
135,000 | IBM Credit LLC, 3.600%, 11/30/2021(a) | 139,223 | ||||||
70,000 | Marvell Technology Group Ltd., 4.200%, 6/22/2023 | 72,897 |
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF (continued)
Principal Amount |
Description | Value () | ||||||
Technology continued |
| |||||||
$ | 20,000 | Microchip Technologies, Inc., 3.922%, 6/01/2021 | $ | 20,359 | ||||
20,000 | Seagate HDD Cayman, 4.875%, 3/01/2024 | 20,529 | ||||||
5,000 | Trimble, Inc., 4.150%, 6/15/2023 | 5,175 | ||||||
|
|
|||||||
961,205 | ||||||||
|
|
|||||||
Tobacco 1.0% |
| |||||||
95,000 | Altria Group, Inc., 3.800%, 2/14/2024(a) | 99,030 | ||||||
40,000 | Altria Group, Inc., 4.400%, 2/14/2026 | 42,802 | ||||||
140,000 | BAT Capital Corp., 2.764%, 8/15/2022 | 140,212 | ||||||
|
|
|||||||
282,044 | ||||||||
|
|
|||||||
Transportation Services 1.2% |
| |||||||
60,000 | FedEx Corp., 3.400%, 1/14/2022 | 61,514 | ||||||
100,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.650%, 7/29/2021, 144A | 102,258 | ||||||
80,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A | 84,129 | ||||||
30,000 | Ryder System, Inc., MTN, 2.875%, 6/01/2022 | 30,346 | ||||||
25,000 | Ryder System, Inc., MTN, 3.750%, 6/09/2023 | 26,016 | ||||||
35,000 | Ryder System, Inc., MTN, 3.875%, 12/01/2023 | 36,700 | ||||||
|
|
|||||||
340,963 | ||||||||
|
|
|||||||
Treasuries 9.6% |
| |||||||
960,000 | U.S. Treasury Note, 2.125%, 5/15/2022 | 970,800 | ||||||
1,355,000 | U.S. Treasury Note, 2.375%, 3/15/2022(a) | 1,379,136 | ||||||
295,000 | U.S. Treasury Note, 2.500%, 1/15/2022(a) | 300,577 | ||||||
|
|
|||||||
2,650,513 | ||||||||
|
|
|||||||
Wireless 0.3% |
| |||||||
35,000 | American Tower Corp., 3.800%, 8/15/2029 | 36,078 | ||||||
35,000 | Vodafone Group PLC, 4.125%, 5/30/2025 | 37,213 | ||||||
|
|
|||||||
73,291 | ||||||||
|
|
|||||||
Wirelines 1.1% |
| |||||||
135,000 | Orange S.A., 1.625%, 11/03/2019 | 134,575 | ||||||
160,000 | Verizon Communications, Inc., 3-month LIBOR + 1.100%, 3.618%, 5/15/2025(a)(b) | 162,056 | ||||||
|
|
|||||||
296,631 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $26,927,659) |
27,286,624 | |||||||
|
|
|||||||
Total Investments 98.4% (Identified Cost $26,927,659) |
27,286,624 | |||||||
Other assets less liabilities 1.6% | 447,009 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 27,733,633 | ||||||
|
|
|||||||
() | See Note 2 of Notes to Financial Statements. |
| ||||||
(a) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
| ||||||
(b) | Variable rate security. Rate as of June 30, 2019 is disclosed. |
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
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 June 30, 2019, the value of Rule 144A holdings amounted to $5,857,734 or 21.1% 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 |
|
At June 30, 2019, open long futures contracts were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
2 Year U.S. Treasury Note |
9/30/2019 | 29 | $ | 6,206,280 | $ | 6,240,211 | $ | 33,931 | ||||||||||||
|
|
At June 30, 2019, open short futures contracts were as follows:
Financial Futures | Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
5 Year U.S. Treasury Note |
9/30/2019 | 19 | $ | 2,218,090 | $ | 2,244,968 | $ | (26,878 | ) | |||||||||||
10 Year U.S. Treasury Note |
9/19/2019 | 12 | 1,509,366 | 1,535,625 | (26,259 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total |
|
$ | (53,137 | ) | ||||||||||||||||
|
|
Industry Summary at June 30, 2019 (Unaudited)
Banking |
14.7 | % | ||
ABS Car Loan |
11.2 | |||
Treasuries |
9.6 | |||
Electric |
6.8 | |||
Collateralized Mortgage Obligations |
6.0 | |||
Automotive |
5.4 | |||
Life Insurance |
4.1 | |||
Technology |
3.5 | |||
Healthcare |
3.0 | |||
Finance Companies |
2.9 | |||
Midstream |
2.6 | |||
ABS Credit Card |
2.4 | |||
Pharmaceuticals |
2.2 | |||
Other Investments, less than 2% each |
24.0 | |||
|
|
|||
Total Investments |
98.4 | |||
Other assets less liabilities (including futures contracts) |
1.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Seeyond International Minimum Volatility ETF
Shares | Description | Value () | ||||||
Common Stocks 99.1% of Net Assets | ||||||||
Australia 8.4% |
| |||||||
39,372 | Aurizon Holdings Ltd. | $ | 149,198 | |||||
49,296 | Brambles Ltd. | 445,564 | ||||||
13,344 | Crown Resorts Ltd. | 116,584 | ||||||
6,984 | Newcrest Mining Ltd. | 156,588 | ||||||
23,628 | Sonic Healthcare Ltd. | 449,344 | ||||||
15,696 | Transurban Group | 162,356 | ||||||
66,348 | Vicinity Centres | 114,071 | ||||||
5,964 | Wesfarmers Ltd. | 151,338 | ||||||
19,716 | Woolworths Group Ltd. | 459,760 | ||||||
|
|
|||||||
2,204,803 | ||||||||
|
|
|||||||
Belgium 1.2% |
| |||||||
3,540 | Ageas | 184,273 | ||||||
1,608 | UCB S.A. | 133,531 | ||||||
|
|
|||||||
317,804 | ||||||||
|
|
|||||||
Canada 8.6% |
| |||||||
5,496 | Empire Co. Ltd. | 138,709 | ||||||
684 | Fairfax Financial Holdings Ltd. | 336,444 | ||||||
5,340 | Fortis, Inc. | 211,312 | ||||||
2,820 | Franco-Nevada Corp. | 239,865 | ||||||
5,352 | Great-West Lifeco, Inc. | 123,484 | ||||||
6,696 | Metro, Inc. | 251,801 | ||||||
1,560 | Onex Corp. | 94,298 | ||||||
6,552 | Open Text Corp. | 270,955 | ||||||
2,220 | Restaurant Brands International, Inc. | 154,716 | ||||||
7,236 | TELUS Corp. | 268,066 | ||||||
2,460 | Toronto-Dominion Bank (The) | 144,051 | ||||||
|
|
|||||||
2,233,701 | ||||||||
|
|
|||||||
Denmark 1.5% |
| |||||||
4,248 | Novo Nordisk AS, Class B | 216,807 | ||||||
5,028 | Pandora AS | 179,133 | ||||||
|
|
|||||||
395,940 | ||||||||
|
|
|||||||
Finland 0.5% |
| |||||||
2,664 | Sampo OYJ, A Shares | 125,901 | ||||||
|
|
|||||||
France 4.4% |
| |||||||
4,440 | Alstom S.A. | 206,296 | ||||||
1,240 | EssilorLuxottica S.A. | 162,040 | ||||||
8,640 | Getlink SE | 138,635 | ||||||
2,856 | SCOR SE | 125,413 | ||||||
1,032 | Teleperformance | 207,078 | ||||||
1,536 | Thales S.A. | 190,050 | ||||||
2,160 | Total S.A. | 121,207 | ||||||
|
|
|||||||
1,150,719 | ||||||||
|
|
|||||||
Germany 2.7% |
| |||||||
792 | Adidas AG | 244,874 |
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Seeyond International Minimum Volatility ETF (continued)
Shares | Description | Value () | ||||||
Germany continued |
| |||||||
30,372 | Aroundtown S.A. | $ | 250,622 | |||||
1,524 | Deutsche Boerse AG | 215,900 | ||||||
|
|
|||||||
711,396 | ||||||||
|
|
|||||||
Hong Kong 3.9% |
| |||||||
12,432 | AIA Group Ltd. | 134,067 | ||||||
12,000 | CK Infrastructure Holdings Ltd. | 97,843 | ||||||
348,000 | HKT Trust & HKT Ltd. | 552,346 | ||||||
408,000 | PCCW Ltd. | 235,530 | ||||||
|
|
|||||||
1,019,786 | ||||||||
|
|
|||||||
Ireland 2.7% |
| |||||||
17,580 | James Hardie Industries PLC | 230,697 | ||||||
3,924 | Kerry Group PLC, Series A | 469,209 | ||||||
|
|
|||||||
699,906 | ||||||||
|
|
|||||||
Israel 5.3% |
| |||||||
3,720 | Azrieli Group Ltd. | 249,283 | ||||||
25,704 | Bank Hapoalim BM(a) | 190,696 | ||||||
68,880 | Bank Leumi Le-Israel BM | 497,497 | ||||||
8,760 | Mizrahi Tefahot Bank Ltd.(a) | 202,068 | ||||||
1,884 | Nice Ltd.(a) | 256,250 | ||||||
|
|
|||||||
1,395,794 | ||||||||
|
|
|||||||
Italy 0.8% |
| |||||||
10,548 | Assicurazioni Generali SpA. | 198,920 | ||||||
|
|
|||||||
Japan 29.1% |
| |||||||
4,800 | ABC-Mart, Inc. | 312,753 | ||||||
4,200 | ANA Holdings, Inc. | 139,090 | ||||||
4,800 | Aozora Bank Ltd. | 115,211 | ||||||
8,400 | Astellas Pharma, Inc. | 119,677 | ||||||
4,800 | Benesse Holdings, Inc. | 111,736 | ||||||
4,200 | Bridgestone Corp. | 165,365 | ||||||
10,800 | Chugoku Electric Power Co., Inc. (The) | 136,128 | ||||||
4,800 | FamilyMart UNY Holdings Co. Ltd. | 114,587 | ||||||
3,600 | FUJIFILM Holdings Corp. | 182,539 | ||||||
15,700 | Japan Airlines Co. Ltd. | 501,718 | ||||||
9,600 | Japan Post Bank Co. Ltd. | 97,479 | ||||||
40,800 | Japan Post Holdings Co. Ltd. | 462,001 | ||||||
84 | Japan Prime Realty Investment Corp. | 364,099 | ||||||
72 | Japan Real Estate Investment Corp. | 438,389 | ||||||
9,600 | Kansai Electric Power Co., Inc. (The) | 109,998 | ||||||
15,600 | Kyushu Electric Power Co., Inc. | 153,191 | ||||||
2,400 | Lawson, Inc. | 115,166 | ||||||
6,000 | Lion Corp. | 111,769 | ||||||
14,400 | Mitsubishi Motors Corp. | 68,966 | ||||||
257,700 | Mizuho Financial Group, Inc. | 373,371 | ||||||
6,600 | Nagoya Railroad Co. Ltd. | 182,612 | ||||||
4,500 | NEC Corp. | 177,093 |
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Seeyond International Minimum Volatility ETF (continued)
Shares | Description | Value () | ||||||
Japan continued |
| |||||||
36 | Nippon Building Fund, Inc. | $ | 246,594 | |||||
14,400 | Nissan Motor Co. Ltd. | 103,128 | ||||||
9,600 | NTT DOCOMO, Inc. | 223,872 | ||||||
5,400 | Ono Pharmaceutical Co. Ltd. | 96,833 | ||||||
4,800 | Osaka Gas Co. Ltd. | 83,624 | ||||||
3,300 | Pan Pacific International Holdings Corp. | 209,504 | ||||||
1,900 | Secom Co. Ltd. | 163,547 | ||||||
13,200 | Seibu Holdings, Inc. | 220,041 | ||||||
6,000 | Suntory Beverage & Food Ltd. | 260,906 | ||||||
14,400 | Tohoku Electric Power Co., Inc. | 145,550 | ||||||
6,000 | Tokyo Gas Co. Ltd. | 141,312 | ||||||
8,400 | Toshiba Corp. | 261,574 | ||||||
120 | United Urban Investment Corp. | 201,151 | ||||||
4,800 | West Japan Railway Co. | 388,313 | ||||||
50,100 | Yamada Denki Co. Ltd. | 221,809 | ||||||
13,200 | Yamaguchi Financial Group, Inc. | 90,173 | ||||||
|
|
|||||||
7,610,869 | ||||||||
|
|
|||||||
Netherlands 3.3% |
| |||||||
1,344 | Heineken NV | 150,208 | ||||||
21,096 | Koninklijke Ahold Delhaize NV | 475,149 | ||||||
6,972 | Royal Dutch Shell PLC, A Shares | 228,265 | ||||||
|
|
|||||||
853,622 | ||||||||
|
|
|||||||
New Zealand 1.9% |
| |||||||
54,504 | Meridian Energy Ltd. | 173,886 | ||||||
120,144 | Spark New Zealand Ltd. | 322,779 | ||||||
|
|
|||||||
496,665 | ||||||||
|
|
|||||||
Norway 1.3% |
| |||||||
14,976 | Mowi ASA | 350,334 | ||||||
|
|
|||||||
Singapore 6.9% |
| |||||||
52,800 | Ascendas Real Estate Investment Trust | 121,760 | ||||||
228,000 | CapitaLand Commercial Trust | 365,690 | ||||||
72,515 | CapitaLand Mall Trust | 140,962 | ||||||
72,000 | SATS Ltd. | 277,793 | ||||||
27,600 | Singapore Airlines Ltd. | 189,107 | ||||||
20,100 | Singapore Exchange Ltd. | 117,663 | ||||||
9,800 | Singapore Telecommunications Ltd. | 25,352 | ||||||
68,200 | Singapore Telecommunications Ltd. | 176,429 | ||||||
144,000 | Wilmar International Ltd. | 393,806 | ||||||
|
|
|||||||
1,808,562 | ||||||||
|
|
|||||||
Switzerland 8.0% |
| |||||||
84 | Givaudan S.A., (Registered) | 237,440 | ||||||
8,460 | Nestle S.A., (Registered) | 876,890 | ||||||
228 | Partners Group Holding AG | 179,360 | ||||||
1,308 | Roche Holding AG | 368,454 | ||||||
192 | Swiss Life Holding AG, (Registered) | 95,271 |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Seeyond International Minimum Volatility ETF (continued)
Shares | Description | Value () | ||||||
Switzerland continued |
| |||||||
1,272 | Swiss Prime Site AG, (Registered) | $ | 111,218 | |||||
612 | Zurich Insurance Group AG | 213,353 | ||||||
|
|
|||||||
2,081,986 | ||||||||
|
|
|||||||
United Kingdom 8.6% |
| |||||||
7,860 | Coca-Cola European Partners PLC | 444,090 | ||||||
10,080 | Compass Group PLC | 242,080 | ||||||
115,992 | Direct Line Insurance Group PLC | 489,813 | ||||||
23,004 | HSBC Holdings PLC | 192,322 | ||||||
16,416 | Pearson PLC | 171,194 | ||||||
1,620 | Reckitt Benckiser Group PLC | 128,119 | ||||||
5,040 | Unilever NV | 307,411 | ||||||
100,656 | Wm Morrison Supermarkets PLC | 258,003 | ||||||
|
|
|||||||
2,233,032 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $24,062,619) |
25,889,740 | |||||||
|
|
|||||||
Total Investments 99.1% (Identified Cost $24,062,619) |
25,889,740 | |||||||
Other assets less liabilities 0.9% | 246,330 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 26,136,070 | ||||||
|
|
|||||||
() | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Non-income producing security. |
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments as of June 30, 2019 (Unaudited)
Natixis Seeyond International Minimum Volatility ETF (continued)
Industry Summary at June 30, 2019 (Unaudited)
Insurance |
9.7 | % | ||
Food Products |
8.0 | |||
Banks |
7.3 | |||
Food & Staples Retailing |
6.9 | |||
Diversified Telecommunication Services |
6.0 | |||
REITs - Office Property |
4.0 | |||
Road & Rail |
3.6 | |||
Pharmaceuticals |
3.6 | |||
Beverages |
3.3 | |||
Electric Utilities |
3.3 | |||
Airlines |
3.1 | |||
REITs - Diversified |
2.7 | |||
Real Estate Management & Development |
2.3 | |||
Commercial Services & Supplies |
2.3 | |||
Textiles, Apparel & Luxury Goods |
2.2 | |||
Transportation Infrastructure |
2.2 | |||
Specialty Retail |
2.1 | |||
Software |
2.0 | |||
Other Investments, less than 2% each |
24.5 | |||
|
|
|||
Total Investments |
99.1 | |||
Other assets less liabilities |
0.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2019 (Unaudited)
Japanese Yen |
29.1 | % | ||
Euro |
15.0 | |||
Australian Dollar |
9.3 | |||
Canadian Dollar |
8.6 | |||
Swiss Franc |
8.0 | |||
Singapore Dollar |
6.9 | |||
British Pound |
6.6 | |||
Israeli Shekel |
5.3 | |||
Hong Kong Dollar |
3.9 | |||
Other, less than 2% each |
6.4 | |||
|
|
|||
Total Investments |
99.1 | |||
Other assets less liabilities |
0.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Statements of Assets and Liabilities
June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF |
Natixis Seeyond International Minimum Volatility ETF |
|||||||
ASSETS |
| |||||||
Investments at cost |
$ | 26,927,659 | $ | 24,062,619 | ||||
Net unrealized appreciation |
358,965 | 1,827,121 | ||||||
|
|
|
|
|||||
Investments at value |
27,286,624 | 25,889,740 | ||||||
Cash |
1,106,511 | 82,756 | ||||||
Due from brokers (Note 2) |
25,000 | | ||||||
Due from custodian bank (Note 8) |
| 13,134 | ||||||
Receivable from investment adviser (Note 6) |
8,501 | | ||||||
Receivable for securities sold |
869,250 | 341,716 | ||||||
Dividends and interest receivable |
153,116 | 52,769 | ||||||
Tax reclaims receivable |
166 | 41,257 | ||||||
Prepaid expenses (Note 7) |
3 | 3 | ||||||
|
|
|
|
|||||
TOTAL ASSETS |
29,449,171 | 26,421,375 | ||||||
|
|
|
|
|||||
LIABILITIES |
| |||||||
Payable for securities purchased |
1,664,381 | 208,954 | ||||||
Payable for variation margin on futures contracts (Note 2) |
1,551 | | ||||||
Foreign currency payable to custodian bank at value (identified cost $0, $10,488) (Note 9) |
| 11,924 | ||||||
Management fees payable (Note 6) |
| 4,478 | ||||||
Deferred Trustees fees (Note 6) |
6,311 | 12,077 | ||||||
Administrative fees payable (Note 6) |
984 | 928 | ||||||
Other accounts payable and accrued expenses |
42,311 | 46,944 | ||||||
|
|
|
|
|||||
TOTAL LIABILITIES |
1,715,538 | 285,305 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 27,733,633 | $ | 26,136,070 | ||||
|
|
|
|
|||||
NET ASSETS CONSIST OF: |
| |||||||
Paid-in capital |
$ | 27,462,308 | $ | 24,717,215 | ||||
Accumulated earnings |
271,325 | 1,418,855 | ||||||
|
|
|
|
|||||
NET ASSETS |
$ | 27,733,633 | $ | 26,136,070 | ||||
|
|
|
|
|||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||
Net assets |
$ | 27,733,633 | $ | 26,136,070 | ||||
|
|
|
|
|||||
Shares of beneficial interest |
1,100,000 | 600,000 | ||||||
|
|
|
|
|||||
Net asset value, offering and redemption price per share |
$ | 25.21 | $ | 43.56 | ||||
|
|
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2019 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF |
Natixis Seeyond International Minimum Volatility ETF |
|||||||
INVESTMENT INCOME |
||||||||
Interest |
$ | 423,568 | $ | 1,824 | ||||
Dividends |
| 527,531 | ||||||
Less net foreign taxes withheld |
(867 | ) | (53,176 | ) | ||||
|
|
|
|
|||||
422,701 | 476,179 | |||||||
|
|
|
|
|||||
Expenses |
||||||||
Management fees (Note 6) |
40,791 | 62,596 | ||||||
Administrative fees (Note 6) |
6,040 | 5,561 | ||||||
Trustees fees and expenses (Note 6) |
9,562 | 9,645 | ||||||
Transfer agent fees and expenses |
7,800 | 7,800 | ||||||
Audit and tax services fees |
21,165 | 21,165 | ||||||
Custodian fees and expenses |
14,857 | 15,975 | ||||||
Legal fees (Note 7) |
3,641 | 3,344 | ||||||
Registration fees |
903 | 1,024 | ||||||
Shareholder reporting expenses |
8,771 | 5,332 | ||||||
Miscellaneous expenses (Note 7) |
24,808 | 21,171 | ||||||
|
|
|
|
|||||
Total expenses |
138,338 | 153,613 | ||||||
Less waiver and/or expense reimbursement (Note 6) |
(86,669 | ) | (84,217 | ) | ||||
|
|
|
|
|||||
Net expenses |
51,669 | 69,396 | ||||||
|
|
|
|
|||||
Net investment income |
371,032 | 406,783 | ||||||
|
|
|
|
|||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS |
||||||||
Net realized gain (loss) on: |
||||||||
Investments |
148,541 | 15,449 | ||||||
Futures contracts |
(62,588 | ) | | |||||
Foreign currency transactions (Note 2c) |
| (167 | ) | |||||
Net change in unrealized appreciation (depreciation) on: |
||||||||
Investments |
562,075 | 2,473,593 | ||||||
Futures contracts |
5,868 | | ||||||
Foreign currency translations (Note 2c) |
| 946 | ||||||
|
|
|
|
|||||
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions |
653,896 | 2,489,821 | ||||||
|
|
|
|
|||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 1,024,928 | $ | 2,896,604 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 28
Table of Contents
Statements of Changes in Net Assets
Natixis Loomis Sayles Short Duration Income ETF |
||||||||
Six Months Ended June 30, 2019 (Unaudited) |
Year Ended December 31, 2018 |
|||||||
FROM OPERATIONS: |
| |||||||
Net investment income |
$ | 371,032 | $ | 578,170 | ||||
Net realized gain (loss) on investments and futures contracts |
85,953 | (107,928 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and futures contracts |
567,943 | (233,264 | ) | |||||
|
|
|
|
|||||
Net increase in net assets resulting from operations |
1,024,928 | 236,978 | ||||||
|
|
|
|
|||||
FROM DISTRIBUTIONS TO SHAREHOLDERS |
(375,100 | ) | (620,940 | ) | ||||
|
|
|
|
|||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
| 7,452,078 | ||||||
|
|
|
|
|||||
Net increase in net assets |
649,828 | 7,068,116 | ||||||
NET ASSETS |
| |||||||
Beginning of the period |
27,083,805 | 20,015,689 | ||||||
|
|
|
|
|||||
End of the period |
$ | 27,733,633 | $ | 27,083,805 | ||||
|
|
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis Seeyond International Minimum Volatility ETF |
||||||||
Six Months Ended June 30, 2019 (Unaudited) |
Year Ended December 31, 2018 |
|||||||
FROM OPERATIONS: |
| |||||||
Net investment income |
$ | 406,783 | $ | 464,457 | ||||
Net realized gain on investments and foreign currency transactions |
15,282 | 342,014 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations |
2,474,539 | (2,159,668 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
2,896,604 | (1,353,197 | ) | |||||
|
|
|
|
|||||
FROM DISTRIBUTIONS TO SHAREHOLDERS |
(459,180 | ) | (1,157,940 | ) | ||||
|
|
|
|
|||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) |
2,012,887 | 6,445,786 | ||||||
|
|
|
|
|||||
Net increase in net assets |
4,450,311 | 3,934,649 | ||||||
NET ASSETS |
| |||||||
Beginning of the period |
21,685,759 | 17,751,110 | ||||||
|
|
|
|
|||||
End of the period |
$ | 26,136,070 | $ | 21,685,759 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Natixis Loomis Sayles Short Duration Income ETF |
||||||||||||
Six Months Ended June 30, 2019 (Unaudited) |
Year Ended December 31, 2018 |
Period Ended December 31, 2017* |
||||||||||
Net asset value, beginning of the period |
$ | 24.62 | $ | 25.02 | $ | 25.00 | ||||||
|
|
|
|
|
|
|||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
| |||||||||||
Net investment income (loss)(a) |
0.34 | 0.61 | (0.00 | )(b) | ||||||||
Net realized and unrealized gain (loss) |
0.59 | (0.37 | ) | 0.02 | ||||||||
|
|
|
|
|
|
|||||||
Total from Investment Operations |
0.93 | 0.24 | 0.02 | |||||||||
|
|
|
|
|
|
|||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||
Net investment income |
(0.34 | ) | (0.64 | ) | | |||||||
|
|
|
|
|
|
|||||||
Net asset value, end of the period |
$ | 25.21 | $ | 24.62 | $ | 25.02 | ||||||
|
|
|
|
|
|
|||||||
Total return(c) |
3.80 | %(d) | 0.97 | % | 0.08 | %(d) | ||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||
Net assets, end of the period (000s) |
$ | 27,734 | $ | 27,084 | $ | 20,016 | ||||||
Net expenses(e) |
0.38 | %(f) | 0.38 | % | 0.38 | %(f) | ||||||
Gross expenses |
1.02 | %(f) | 1.09 | % | 14.21 | %(f) | ||||||
Net investment income (loss) |
2.73 | %(f) | 2.46 | % | (0.09 | )%(f) | ||||||
Portfolio turnover rate(g) |
52 | % | 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 assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. 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 Funds 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.
31 |
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Natixis Seeyond International Minimum Volatility ETF | ||||||||||||||||
Six Months Ended June 30, 2019 (Unaudited) |
Year Ended December 31, 2018 |
Year Ended December 31, 2017 |
Period Ended December 31, 2016* |
|||||||||||||
Net asset value, beginning of the period |
$ | 39.43 | $ | 44.38 | $ | 38.47 | $ | 39.91 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: |
||||||||||||||||
Net investment income(a) |
0.68 | 1.02 | 0.85 | 0.11 | ||||||||||||
Net realized and unrealized gain (loss) |
4.22 | (3.75 | ) | 7.66 | (1.43 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total from Investment Operations |
4.90 | (2.73 | ) | 8.51 | (1.32 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
LESS DISTRIBUTIONS FROM: |
||||||||||||||||
Net investment income |
(0.77 | ) | (1.01 | ) | (0.84 | ) | (0.12 | ) | ||||||||
Net realized capital gains |
| (1.21 | ) | (1.76 | ) | | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Distributions |
(0.77 | ) | (2.22 | ) | (2.60 | ) | (0.12 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value, end of the period |
$ | 43.56 | $ | 39.43 | $ | 44.38 | $ | 38.47 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total return(b) |
12.42 | %(c) | (6.17 | )% | 22.17 | % | (3.31 | )%(c) | ||||||||
RATIOS TO AVERAGE NET ASSETS: |
||||||||||||||||
Net assets, end of the period (000s) |
$ | 26,136 | $ | 21,686 | $ | 17,751 | $ | 13,464 | ||||||||
Net expenses(d) |
0.55 | %(e) | 0.55 | % | 0.55 | % | 0.55 | %(e) | ||||||||
Gross expenses |
1.23 | %(e) | 1.57 | % | 1.76 | % | 2.61 | %(e) | ||||||||
Net investment income |
3.25 | %(e) | 2.32 | % | 1.96 | % | 1.49 | %(e) | ||||||||
Portfolio turnover rate(f) |
25 | % | 135 | % | 93 | % | 20 | % |
* | From commencement of operations on October 25, 2016 through December 31, 2016. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. 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 Funds expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
See accompanying notes to financial statements.
| 32
Table of Contents
June 30, 2019 (Unaudited)
1. Organization. Natixis ETF Trust (the Trust) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The 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 Loomis Sayles Short Duration Income ETF (the Short Duration Income ETF)
Natixis Seeyond International Minimum Volatility ETF (the International Minimum Volatility ETF)
Each Fund is a diversified investment company.
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 Natixis ETF Trust.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds financial statements.
a. Valuation. Fund securities and other 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
33 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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. 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.
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 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 issuers 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 Funds 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.
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, is 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. Interest income is increased by the accretion of discount and decreased by the amortization of
| 34
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
premium, if applicable. 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
35 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) 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 Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
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 Funds 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 Trust treats 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, 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 Funds tax positions for the open tax years as of June 30, 2019 and has concluded that no provisions for income tax are required. The Funds federal tax return for the prior fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, managements 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 Funds 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 eligible to be reclaimed. 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 will be filed 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
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Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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 foreign currency gains and losses, distribution redesignations, taxable over-distribution, partnership basis adjustments, paydown gains and losses, premium amortization and passive foreign investment company adjustments. 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, passive foreign investment company adjustments, 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 year ended December 31, 2018 was as follows:
2018 Distributions Paid From: | ||||||||||||
Fund |
Ordinary Income |
Long-Term |
Total |
|||||||||
Short Duration Income ETF |
$ | 620,940 | $ | | $ | 620,940 | ||||||
International Minimum Volatility ETF |
514,660 | 643,280 | 1,157,940 |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
As of December 31, 2018, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:
Short Duration Income ETF |
International Minimum Volatility ETF |
|||||||
Capital loss carryforward: |
||||||||
Short-term: |
||||||||
No expiration date |
$ | (121,973 | ) | $ | | |||
Long-term: |
||||||||
No expiration date |
(20,556 | ) | | |||||
|
|
|
|
|||||
Total capital loss carryforward |
(142,529 | ) | | |||||
|
|
|
|
|||||
Late-year ordinary and post-October capital loss deferrals* |
$ | | $ | (335,603 | ) | |||
|
|
|
|
* | 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. As of December 31, 2018, International Minimum Volatility ETF is deferring capital losses. |
As of June 30, 2019, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Short |
International |
|||||||
Federal tax cost |
$ | 26,944,528 | $ | 24,062,619 | ||||
|
|
|
|
|||||
Gross tax appreciation |
$ | 412,961 | $ | 2,542,082 | ||||
Gross tax depreciation |
(90,071 | ) | (714,961 | ) | ||||
|
|
|
|
|||||
Net tax appreciation |
$ | 322,890 | $ | 1,827,121 | ||||
|
|
|
|
Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales and derivatives mark-to-market.
g. Repurchase Agreement. 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 Funds 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
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
the Funds ability to dispose of the underlying securities. As of June 30, 2019, the Funds did not hold any repurchase agreements.
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 Funds use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.
i. Indemnifications. Under the Trusts organizational documents, its 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.
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 Funds 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 Funds 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.
39 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
The following is a summary of the inputs used to value the Funds investments as of June 30, 2019, at value:
Short Duration Income ETF
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Bonds and Notes(a) |
$ | | $ | 27,286,624 | $ | | $ | 27,286,624 | ||||||||
Futures Contracts (unrealized appreciation) |
33,931 | | | 33,931 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 33,931 | $ | 27,286,624 | $ | | $ | 27,320,555 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (53,137 | ) | $ | | $ | | $ | (53,137 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
International Minimum Volatility ETF
Asset Valuation Inputs
Description |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stocks(a) |
$ | 25,889,740 | $ | | $ | | $ | 25,889,740 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2019, there were no transfers among Levels 1, 2 and 3.
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 Funds 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
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2019, Short Duration Income ETF used futures contracts to manage duration.
The following is a summary of derivative instruments for Short Duration Income ETF as of June 30, 2019, as reflected within the Statements of Assets and Liabilities:
Assets |
Unrealized appreciation on futures contracts1 |
|||
Exchange-traded asset derivatives |
||||
Interest rate contracts |
$ | 33,931 |
Liabilities |
Unrealized depreciation on futures contracts1 |
|||
Exchange-traded liability derivatives |
||||
Interest rate contracts |
$ | (53,137 | ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current days variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Short Duration Income ETF during the six months ended June 30, 2019, as reflected within the Statements of Operations, were as follows:
Net Realized Gain (Loss) on: |
Futures contracts |
|||
Interest rate contracts |
$ | (62,588 | ) |
Net Change in Unrealized |
Futures contracts |
|||
Interest rate contracts |
$ | 5,868 |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statements of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
The volume of futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2019:
Short Duration Income ETF |
Futures |
|||
Average Notional Amount Outstanding |
33.53% | |||
Highest Notional Amount Outstanding |
36.17% | |||
Lowest Notional Amount Outstanding |
30.76% | |||
Notional Amount Outstanding as of June 30, 2019 |
36.13% |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the averages above.
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 Funds net assets.
Counterparty risk is managed based on policies and procedures established by each Funds 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 exchanges 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 brokers customer accounts. While brokers are required to segregate customer margin 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 clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. Based on balances reflected on each Funds 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 of Loss - Gross |
Maximum Amount of Loss - Net |
||||||
Short Duration Income ETF |
$ | 25,000 | $ | 25,000 |
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
5. Purchases and Sales of Securities. For the six months ended June 30, 2019, purchases and sales of securities (excluding in-kind transactions and short-term investments and including paydowns) were as follows:
U.S. Government/Agency Securities |
Other Securities | |||||||||||||||
Fund |
Purchases |
Sales |
Purchases |
Sales |
||||||||||||
Short Duration Income ETF |
$ | 4,020,660 | $ | 3,499,560 | $ | 10,065,620 | $ | 10,651,137 | ||||||||
International Minimum Volatility ETF |
| | 6,081,357 | 6,172,586 |
For the six months ended June 30, 2019, in-kind transactions were as follows:
Fund |
In-Kind Purchases |
|||
International Minimum Volatility ETF |
$ | 2,002,413 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Natixis Advisors, L.P. (Natixis Advisors) serves as investment adviser to each Fund. Natixis Advisors is a wholly-owned subsidiary of Natixis Investment Managers, L.P. (Natixis), 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 Funds average daily net assets:
Fund |
Percentage of |
|||
Short Duration Income ETF |
0.30 | % | ||
International Minimum Volatility ETF |
0.50 | % |
Effective March 29, 2019, Natixis Advisors has entered into a personnel-sharing arrangement with Seeyond, a subsidiary of Ostrum Asset Management, which is part of Natixis Investment Managers. Pursuant to the personnel-sharing arrangement, certain employees of Seeyond, as participating affiliates, serve as associated persons of Natixis Advisors and, in this capacity, may, on behalf of Natixis Advisors, provide discretionary investment management services (including acting as portfolio managers), research and related services to International Minimum Volatility ETF.
Natixis Advisors has entered into a subadvisory agreement for Short Duration Income ETF with Loomis, Sayles & Company, L.P. (Loomis Sayles).
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis.
Under the terms of the subadvisory agreement, the Fund has agreed to pay Loomis Sayles a subadvisory fee at the annual rate of 0.15%, calculated daily and payable monthly, based on the Funds average daily net assets.
Payments to Natixis Advisors are reduced by the amount of payments to Loomis Sayles.
Prior to March 29, 2019, Ostrum US, a subsidiary of Ostrum Asset Management, served as subadvisor to International Minimum Volatility Fund. Under the terms of the subadvisory agreement, the Fund paid Ostrum US a subadvisory fee at the annual rate of 0.30%, calculated daily and payable monthly, based on the Funds average daily net assets.
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, 2021, 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 six months ended June 30, 2019, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Fund |
Expense Limit |
|||
Short Duration Income ETF |
0.38 | % | ||
International Minimum Volatility ETF |
0.55 | % |
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 a Funds expense limits, 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.
| 44
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the management fees and waiver of management fees for each Fund were as follows:
Fund |
Gross |
Contractual |
Net |
Percentage of |
||||||||||||||||
Gross |
Net |
|||||||||||||||||||
Short Duration Income ETF |
$ | 40,791 | $ | 40,791 | $ | | 0.30 | % | | % | ||||||||||
International Minimum Volatility ETF |
62,596 | 62,596 | | 0.50 | % | | % |
1 | Management fee waiver is subject to possible recovery until December 31, 2020. |
For the six months ended June 30, 2019, expenses have been reimbursed as follows:
Fund |
Reimbursements2 |
|||
Short Duration Income ETF |
$ | 45,734 | ||
International Minimum Volatility ETF |
21,489 |
2 | Expense reimbursement is subject to possible recovery until December 31, 2020. |
No expenses were recovered during the six months ended June 30, 2019 under the terms of the expense limitation agreement.
b. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and subcontracts 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 Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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 Trust of $10 million, which is reevaluated on an annual basis.
Effective October 1, 2018, State Street Bank agreed to reduce the fees it receives from Natixis Advisors for serving as sub-administrator to the Funds. Also, effective October 1, 2018, Natixis Advisors agreed to voluntarily waive fees paid by the Funds in an amount equal to the reduction in sub-administrative fees discussed above. The waiver is in effect through June 30, 2019.
45 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
For the six months ended June 30, 2019, the administrative fees for each Fund were as follows:
Fund |
Gross Administrative Fees |
Waiver of Administrative Fees |
Net Administrative Fees |
|||||||||
Short Duration Income ETF |
$ | 6,040 | $ | 144 | $ | 5,896 | ||||||
International Minimum Volatility ETF |
5,561 | 132 | 5,429 |
Effective July 1, 2019, 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 Natixis ETF Trust, 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 Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.
c. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $360,000. 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 $190,000. 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 and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $20,000. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $15,000. 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 Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the Plan) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustees deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in
| 46
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and The Trust as designated by the participating Trustees. Changes in the value of participants deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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 Loomis Sayles are also officers and/or Trustees of the Trust.
d. Affiliated Ownership. As of June 30, 2019, Natixis held shares of the Short Duration Income ETF and International Minimum Volatility ETF representing 75.45% and 46.90%, respectively, of the Funds net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.
7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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 Funds 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 an arrangement fee, an upfront fee, and certain other legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected as legal fees and/or miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
For the six months ended June 30, 2019, neither Fund had borrowings under this agreement.
8. Due from Custodian Bank. Represents reimbursement due from the custodian bank to International Minimum Volatility ETF of $13,134, related to a prior year expense overbilling.
9. Payable to Custodian Bank. The Funds custodian bank provides overdraft protection to the Funds in the event of a cash shortfall. Cash overdrafts bear interest at a rate per annum equal to the Federal Funds rate plus 2.00%. At June 30, 2019, the International Minimum Volatility ETF had foreign currency payables, at value, of $11,924 to the custodian bank for foreign currency overdrafts.
47 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
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. Foreign Securities Risk. Investments in foreign securities may be subject to greater political, economic, environmental, credit and information risks. The Funds investments in foreign securities also are subject to foreign currency fluctuations and other foreign currency-related risks. Foreign securities may be subject to higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Foreign securities held by the Funds may trade on foreign exchanges that are closed when the securities exchange on which the Funds shares trade is open, which may result in deviations between the current price of a foreign security and the last quoted price for that security (i.e., the Funds quote from the closed foreign market). This could result in premiums or discounts to NAV that may be greater than those experienced by other ETFs.
c. 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.
d. 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.
e. 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.
| 48
Table of Contents
Notes to Financial Statements (continued)
June 30, 2019 (Unaudited)
11. Capital Shares. Shares of the Funds may be acquired or redeemed directly from the Funds by Authorized Participants only in aggregations of 100,000 shares for Short Duration Income ETF and 50,000 shares for International Minimum Volatility 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 Funds 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:
|
Six Months Ended June 30, 2019 |
|
Year Ended December 31, 2018 |
|||||||||||||
Short Duration Income ETF |
Shares | Amount | Shares | Amount | ||||||||||||
Issued from the sale of shares |
| $ | | 300,000 | $ | 7,452,078 | ||||||||||
|
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Increase from capital share transactions |
| $ | | 300,000 | $ | 7,452,078 | ||||||||||
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|
Six Months Ended June 30, 2019 |
|
Year Ended December 31, 2018 |
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International Minimum Volatility ETF |
Shares | Amount | Shares | Amount | ||||||||||||
Issued from the sale of shares |
50,000 | $ | 2,012,887 | 150,000 | $ | 6,445,786 | ||||||||||
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Increase from capital share transactions |
50,000 | $ | 2,012,887 | 150,000 | $ | 6,445,786 | ||||||||||
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49 |
Table of Contents
Other Information
Premium/Discount Analysis (Unaudited)
Fund shares are bought and sold on the secondary market at current market prices. Premium/discount represents the difference between the market price (midpoint between the highest bid and lowest offer on the primary listing exchange) and net asset value (NAV) of Fund shares determined as of the close of the NYSE.
Premium/discount will fluctuate regularly based on the supply of, and demand for, shares of the Fund. Shareholders may pay more than NAV when they buy Fund shares and receive less than NAV when they sell shares.
The following information presents the frequency of distributions of premiums and discounts for the Funds, as stated in trading days. Trading days are presented by year, starting with the date the Fund began trading on the secondary market. Premium/discount ranges with no trading days are omitted.
The frequency distribution of premiums and discounts, for the International Minimum Volatility ETF, for the period from October 27, 2016 through June 30, 2019 is as follows:
Number of Days | ||||||||||||||||
Premium/Discount Range |
2019 | 2018 | 2017 | 2016 | ||||||||||||
Greater than 2.0% and Less than 2.5% |
| 1 | | | ||||||||||||
Greater than 1.5% and Less than 2.0% |
| 2 | | | ||||||||||||
Greater than 1.0% and Less than 1.5% |
2 | 8 | | 1 | ||||||||||||
Greater than 0.5% and Less than 1.0% |
16 | 92 | 8 | 1 | ||||||||||||
Greater than 0.0% and Less than 0.5% |
88 | 119 | 157 | 34 | ||||||||||||
At NAV |
| 1 | 11 | 2 | ||||||||||||
Less than 0.0% and Greater than -0.5% |
17 | 18 | 71 | 7 | ||||||||||||
Less than -0.5% and Greater than -1.0% |
1 | 8 | 4 | | ||||||||||||
Less than -1.0% and Greater than -1.5% |
| 1 | | | ||||||||||||
Less than -1.5% and Greater than -2.0% |
| 1 | | |
The frequency distribution of premiums and discounts, for the Short Duration Income ETF, for the period from December 28, 2017 through June 30, 2019 is as follows:
Number of Days | ||||||||||||
Premium/Discount Range |
2019 | 2018 | 2017 | |||||||||
Greater than 0.5% and Less than 1.0% |
| 1 | | |||||||||
Greater than 0.0% and Less than 0.5% |
64 | 221 | 1 | |||||||||
At NAV |
41 | 15 | 1 | |||||||||
Less than 0.0% and Greater than -0.5% |
19 | 14 | |
Data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results.
Information regarding premium/discount history on a daily basis is available from the Natixis Funds website.
| 50
Table of Contents
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Securities Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrants Board of Trustees.
Item 11. | Controls and Procedures. |
The Registrants principal executive officer and principal financial officer have concluded that the Registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrants internal control over financial reporting that occurred during the period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a) (1) |
Not applicable. | |||
(a) (2) |
Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively. | |||
(a) (3) |
Not applicable. | |||
(b) |
Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b). |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis ETF Trust | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 21, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 21, 2019 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | August 21, 2019 |
Exhibit (a)(2)(1)
Natixis ETF Trust
Exhibit to SEC Form N-CSR
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-CSR of Natixis ETF Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: August 21, 2019 | ||||||
/s/ David L. Giunta | ||||||
David L. Giunta | ||||||
President and Chief Executive Officer |
Exhibit (a)(2)(2)
Natixis ETF Trust
Exhibit to SEC Form N-CSR
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-CSR of Natixis ETF Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: August 21, 2019 | ||||||
/s/ Michael C. Kardok | ||||||
Michael C. Kardok | ||||||
Treasurer |
Exhibit (b)
Natixis ETF Trust
Section 906 Certification
In connection with the report on Form N-CSR for the period ended June 30, 2019 for the Registrant (the Report), the undersigned each hereby certifies to the best of his knowledge, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:
1. the Report complies with the requirements of Section 13(a) or 15(d) of the Securities and Exchange Act of 1934, as applicable; and
2. the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
By: | By: | |||
President & Chief Executive Officer | Treasurer | |||
Natixis ETF Trust | Natixis ETF Trust | |||
/s/ David L. Giunta |
/s/ Michael C. Kardok | |||
David L. Giunta | Michael C. Kardok | |||
Date: August 21, 2019 | Date: August 21, 2019 |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Natixis ETF Trust, and will be retained by the Natixis ETF Trust and furnished to the Securities and Exchange Commission or its staff upon request.
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