-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Q+He4QWsSlcY/2xN1czQQAmwhgLuBEGAYRhFkeL7NUhZx848rxQVKvBmqUYu6Rn7 j7eF8a0Xeld/wdDPdSm+MA== 0000950130-10-000966.txt : 20100528 0000950130-10-000966.hdr.sgml : 20100528 20100528122332 ACCESSION NUMBER: 0000950130-10-000966 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20100331 FILED AS OF DATE: 20100528 DATE AS OF CHANGE: 20100528 EFFECTIVENESS DATE: 20100528 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 10865287 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202 0000052136 S000008033 Harris Associates Large Cap Value Fund C000021802 Class A NEFOX C000021803 Class B NEGBX C000021804 Class C NECOX C000021805 Class Y NEOYX 0000052136 S000023548 ASG Global Alternatives Fund C000069269 Class A GAFAX C000069270 Class C GAFCX C000069271 Class Y GAFYX 0000052136 S000023783 Vaughan Nelson Value Opportunity Fund C000069913 Class A VNVAX C000069914 Class C VNVCX C000069915 Class Y VNVYX 0000052136 S000026209 ASG Diversifying Strategies Fund C000078682 Class A DSFAX C000078683 Class C DSFCX C000078684 Class Y DSFYX N-Q 1 dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

 

 

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

 

 

 

399 Boylston Street, Boston, Massachusetts   02116
(Address of principal executive offices)   (Zip code)

Coleen Downs Dinneen, Esq.

Natixis Distributors, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: December 31

Date of reporting period: March 31, 2010

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2010 (Unaudited)

 

Principal
Amount		   

Description

    Value (†)

 

Certificates of Deposit — 52.8% of Net Assets

   
$ 400,000   

CALYON (NY),

0.360%, 4/01/2010(b)

    $ 400,002
  500,000   

Unicredit Bank AG (NY),

0.230%, 4/08/2010

      500,001
  300,000   

Svenska Handelsbanken (NY),

0.190%, 4/13/2010(b)

      299,993
  1,200,000   

Skandinaviska Enskilda Banken (NY),

0.280%, 4/13/2010

      1,200,013
  1,200,000   

Dexia Credit Local SA (NY),

0.240%, 4/19/2010

      1,200,006
  400,000   

Nordea Bank Finland (NY),

0.180%, 4/20/2010(b)

      399,984
  500,000   

Canadian Imperial Bank of Commerce (NY),

0.170%, 4/21/2010(b)

      499,977
  700,000   

Unicredit Bank AG (NY),

0.250%, 4/22/2010(b)

      700,004
  1,300,000   

Royal Bank of Scotland, CT,

0.210%, 5/07/2010

      1,299,934
  1,200,000   

KBC Bank NV (NY),

0.225%, 5/11/2010(b)

      1,199,924
  800,000   

Standard Chartered Bank (NY),

0.450%, 5/13/2010(b)

      800,162
  400,000   

Standard Chartered Bank (NY),

0.290%, 5/17/2010

      400,005
  400,000   

Toronto Dominion Bank (NY),

0.330%, 5/17/2010

      400,051
  300,000   

Societe Generale (NY),

0.215%, 5/19/2010

      299,990
  600,000   

Westpac Banking Corp. (NY),

0.250%, 5/24/2010(b)

      600,027
  600,000   

Svenska Handelsbanken (NY),

0.205%, 5/26/2010(b)

      599,930
  1,200,000   

Credit Industriel et Commercial (NY),

0.320%, 5/28/2010(b)

      1,200,077
  300,000   

Bank of Nova Scotia (Houston),

0.200%, 6/01/2010

      299,974
  500,000   

Svenska Handelsbanken (NY),

0.200%, 6/01/2010

      499,914
  700,000   

Canadian Imperial Bank of Commerce (NY),

0.180%, 6/03/2010(b)

      699,851
  650,000   

Rabobank Nederland NV (NY),

0.240%, 6/14/2010(b)

      649,945
  400,000   

Bank of Nova Scotia (Houston),

0.905%, 6/28/2010(b)

      400,646
  900,000   

Toronto Dominion Bank (NY),

0.260%, 6/30/2010(b)

      900,295
  650,000   

Rabobank Nederland NV (NY),

0.230%, 7/06/2010(b)

      649,860
  800,000   

CALYON (NY),

0.320%, 7/07/2010(b)

      799,978
  700,000   

Societe Generale (NY),

0.295%, 7/13/2010(b)

      699,989
  1,350,000   

Banco Bilbao de Vizcaya ARG (NY),

0.305%, 7/29/2010(b)

      1,349,842
  700,000   

Bank of Nova Scotia (Houston),

0.290%, 8/03/2010(b)

      699,951
  1,200,000   

Landesbank Hessen Thueringen Girozentrale,

0.630%, 9/13/2010(b)

      1,201,159
         
  

Total Certificates of Deposit

(Identified Cost $20,850,656)

      20,851,484
         

 

Commercial Paper — 11.6%

  

Banking — 3.2%

   
  400,000   

CBA (Delaware) Finance,

0.220%, 4/12/2010(b)(c)

      399,987
  100,000   

Societe Generale North America,

0.240%, 4/16/2010(c)

      99,991
  450,000   

Bank of America Corp.,

0.310%, 5/19/2010(b)(c)

      449,881
  300,000   

ICICI Bank Ltd.,

(Credit Support: Bank of America),

0.550%, 6/24/2010(b)(c)

      299,784
         
        1,249,643
         
  

Distribution/Wholesale — 2.5%

   
  1,000,000   

Louis Dreyfus Corp.,

Credit Support: Barclays Bank),

0.350%, 4/01/2010(b)(c)

      999,996
         
  

Education — 5.9%

   
  150,000   

Tennessee State School Bond Authority,

0.250%, 6/02/2010(b)

      150,000
  1,000,000   

Tennessee State School Bond Authority,

0.240%, 6/09/2010(b)

      1,000,000
  1,200,000   

Johns Hopkins University (The),

Series C,

0.200%, 6/14/2010

      1,200,000
         
        2,350,000
         
  

Total Commercial Paper

(Identified Cost $4,599,392)

      4,599,639
         

 

Time Deposits — 9.9%

   
  1,400,000   

BNP Paribas,

0.120%, 4/01/2010

      1,400,000
  1,400,000   

Citibank,

0.120%, 4/01/2010

      1,400,000
  1,100,000   

National Bank of Canada,

0.120%, 4/01/2010

      1,100,000
         
  

Total Time Deposits

(Identified Cost $3,900,000)

      3,900,000
         
  

Total Investments — 74.3%

(Identified Cost $29,350,048)(a)

      29,351,123
  

Other assets less liabilities—25.7%

      10,167,442
         
  

Net Assets — 100.0%

    $ 39,518,565
         

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Diversifying Strategies Cayman Fund, Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2010, the value of the Fund’s investment in the subsidiary was $5,083,640, representing 12.9% of the Fund’s net assets.

 

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

 

(†) Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Futures contracts are valued at their most recent settlement price. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

 

(a) Federal Tax Information:

At March 31, 2010, the net unrealized appreciation on short term investments based on a cost of $29,350,048 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

    $ 2,093   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

      (1,018 ) 
        

Net unrealized appreciation

    $ 1,075   
        

Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost.

At December 31, 2009, post-October capital loss deferrals were $355,846. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b) All or a portion of this security is held as collateral for open futures and forward foreign currency contracts.

 

(c) Interest rate represents discount rate at time of purchase; not a coupon rate.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts to gain exposure to foreign currencies and may also use forward foreign currency contracts for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates. A contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

 

2

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

At March 31, 2010, the Fund had the following open forward foreign currency contracts:

 

Contract to Buy/Sell(1)

    Delivery
Date		    Currency    Units    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Buy

    6/16/2010    Australian Dollar    7,100,000    $ 6,463,668    $ 34,188   

Buy

    6/16/2010    Australian Dollar    2,200,000      2,002,827      (8,690 ) 

Sell

    6/16/2010    Australian Dollar    3,100,000      2,822,165      (23,412 ) 

Buy

    6/16/2010    British Pound    5,687,500      8,627,097      127,526   

Sell

    6/16/2010    British Pound    3,500,000      5,308,982      (62,095 ) 

Buy

    6/16/2010    Canadian Dollar    7,200,000      7,088,511      78,060   

Buy

    6/16/2010    Euro    2,625,000      3,545,615      831   

Buy

    6/16/2010    Euro    2,500,000      3,376,776      (24,974 ) 

Sell

    6/16/2010    Euro    2,500,000      3,376,776      54,053   

Buy

    6/16/2010    Japanese Yen    525,000,000      5,617,753      (175,194 ) 

Sell

    6/16/2010    Japanese Yen    175,000,000      1,872,584      66,368   

Buy

    6/16/2010    New Zealand Dollar    2,500,000      1,767,455      16,794   

Buy

    6/16/2010    New Zealand Dollar    1,700,000      1,201,870      (6,978 ) 

Sell

    6/16/2010    New Zealand Dollar    5,000,000      3,534,911      (21,231 ) 

Buy

    6/16/2010    Norwegian Krone    6,000,000      1,006,172      5,816   

Buy

    6/16/2010    Norwegian Krone    14,000,000      2,347,735      (21,799 ) 

Sell

    6/16/2010    Norwegian Krone    12,000,000      2,012,344      34,953   

Sell

    6/16/2010    Norwegian Krone    6,000,000      1,006,172      (20,510 ) 

Buy

    6/16/2010    Swedish Krona    4,000,000      554,057      3,158   

Buy

    6/16/2010    Swedish Krona    12,000,000      1,662,170      (17,013 ) 

Sell

    6/16/2010    Swedish Krona    8,000,000      1,108,114      12,931   

Sell

    6/16/2010    Swedish Krona    4,000,000      554,057      (1,985 ) 

Buy

    6/16/2010    Swiss Franc    3,875,000      3,677,265      15,313   

Buy

    6/16/2010    Swiss Franc    1,500,000      1,423,457      (2,359 ) 

Sell

    6/16/2010    Swiss Franc    11,250,000      10,675,929      (129,571 ) 
                    

Total

       $ (65,820 ) 
                    
              

 

(1)

Counterparty is UBS.

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular security or commodity or group or index of securities, commodities, currencies or other assets for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker as “initial margin” an amount of cash, foreign currency, or short-term high-quality securities. 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 the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of the collateral held. 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 the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchanged-traded futures are standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are limited.

At March 31, 2010, open futures contracts purchased were as follows:

 

Financial Futures

    Expiration
Date		    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

AEX

    4/16/2010    6    $ 555,117    $ 5,024   

ASX SPI 200

    6/17/2010    1      111,930      (596 ) 

CAC 40

    4/16/2010    4      214,564      (27 ) 

E-Mini Dow

    6/18/2010    8      431,880      60   

E-Mini NASDAQ 100

    6/18/2010    8      312,920      200   

EURIBOR

    9/13/2010    130      43,507,660      23,535   

Euro Dollar

    9/13/2010    536      133,283,100      80,400   

Euro Schatz

    6/8/2010    32      4,699,183      1,837   

Euro STOXX 50

    6/18/2010    6      231,042      2,999   

FTSE JSE Top 40

    6/17/2010    63      2,249,101      1,124   

German Euro BOBL

    6/8/2010    48      7,590,440      12,858   

Hang Seng

    4/29/2010    24      3,281,193      63,058   

IBEX 35

    4/16/2010    5      732,154      (7,935 ) 

OMXS30

    4/16/2010    149      2,099,652      15,993   

S&P CNX Nifty

    4/29/2010    193      2,031,904      6,485   

S&P TSE 60

    6/18/2010    55      7,612,760      38,655   

Sterling

    9/15/2010    18      3,384,668      342   

UK Long Gilt

    6/28/2010    8      1,393,064      364   

2 Year U.S. Treasury Note

    6/30/2010    5      1,084,766      234   

3 Year Australia Government Bond

    6/15/2010    16      1,492,746      2,838   

10 Year Canada Government Bond

    6/21/2010    3      347,039      295   

10 Year Japan Government Bond

    6/10/2010    7      10,349,128      (2,246 ) 

10 Year U.S. Treasury Note

    6/21/2010    225      26,156,250      (162,688 ) 
                 

Total

             $ 82,809   
                 

Commodity Futures(2)

    Expiration
Date		    Contracts    Notional Value    Unrealized
Appreciation
(Depreciation)		  

Aluminum

    6/16/2010    7    $ 405,781    $ 12,906   

Brent Crude Oil

    5/14/2010    21      1,748,250      72,450   

Coffee

    5/18/2010    1      51,056      (1,050 ) 

Copper

    6/16/2010    9      1,752,413      76,163   

Cotton

    5/6/2010    8      322,200      (2,695 ) 

Gas Oil

    5/12/2010    8      544,800      14,200   

Gasoline

    4/30/2010    6      581,414      23,864   

Gold

    6/28/2010    17      1,894,650      17,680   

Heating Oil

    4/30/2010    5      457,590      17,136   

Light Sweet Crude Oil

    4/20/2010    34      2,847,840      45,560   

Live Cattle

    6/30/2010    10      374,200      4,840   

Natural Gas

    4/28/2010    21      812,490      (75,600 ) 

Nickel

    6/16/2010    6      900,000      103,500   

Silver

    5/26/2010    1      87,630      3,455   

Soybean Meal

    5/14/2010    3      79,740      (2,760 ) 

Zinc

    6/16/2010    27      1,600,594      14,344   
                 

Total

             $ 323,993   
                 

 

3

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

At March 31, 2010, open futures contracts sold were as follows:

 

Financial Futures

    Expiration
Date		    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Dax

    6/18/2010    41    $ 8,502,395    $ (76,987 ) 

E-Mini S&P 500

    6/18/2010    67      3,903,420      (51,632 ) 

FTSE MIB

    6/18/2010    11      1,663,259      27,013   

FTSE 100

    6/18/2010    44      3,746,128      (4,340 ) 

German Euro Bund

    6/8/2010    67      11,162,383      (3,620 ) 

MSCI Singapore

    4/29/2010    23      1,117,981      —     

MSCI Taiwan

    4/29/2010    6      169,320      (120 ) 

Nikkei 225

    6/11/2010    27      3,205,690      (5,134 ) 

Russell 2000 Mini

    6/18/2010    12      813,120      9,000   

TOPIX

    6/11/2010    35      3,659,482      (164,724 ) 

5 Year U.S. Treasury Note

    6/30/2010    16      1,837,500      (1,750 ) 

10 Year Australia Government Bond

    6/15/2010    23      2,144,688      (801 ) 

30 Year U.S. Treasury Bond

    6/21/2010    1      116,125      94   
                 

Total

             $ (273,001 ) 
                 

Commodity Futures(2)

    Expiration
Date		    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Corn

    5/14/2010    14    $ 241,500    $ 13,675   

Soybean

    5/14/2010    1      47,050      (62 ) 

Soybean Oil

    5/14/2010    1      22,986      36   

Sugar

    4/30/2010    1      18,581      515   

Wheat

    5/14/2010    4      90,100      —     

KC Wheat

    5/14/2010    5      115,438      8,850   
                 

Total

             $ 23,014   
                 

 

(2)

Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

Level 3 - prices determined using significant unobservable inputs for situations where 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2010, at value:

Asset Valuation Inputs

 

Description*

    Level 1    Level 2    Level 3    Total

Investments in Securities

    $ —      $ 29,351,123    $ —      $ 29,351,123

Forward Foreign Currency Contracts (unrealized appreciation)

      —        449,991      —        449,991

Futures Contracts (unrealized appreciation)

      721,582      —        —        721,582
                           

Total

    $ 721,582    $ 29,801,114    $ —      $ 30,522,696
                           

Liability Valuation Inputs

 

Description*

    Level 1     Level 2     Level 3    Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —        $ (515,811 )    $ —      $ (515,811 ) 

Futures Contracts (unrealized depreciation)

      (564,767 )      —          —        (564,767 ) 
                               

Total

    $ (564,767 )    $ (515,811 )    $ —      $ (1,080,578 ) 
                               

 

* Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included above.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund currently uses include forward foreign currency contracts and futures contracts.

The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management.

The Fund is party to an agreement with a counterparty that governs transactions in forward foreign currency contracts. The agreement contains contingent features that allow the counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such contingent features were to be triggered, the counterparty could request immediate settlement of open contracts at current fair value.

The following is a summary of derivative instruments for the Fund, as of March 31, 2010:

 

Asset Derivatives

    Forwards    Futures

Foreign exchange contracts

    $ 449,991    $ —  

Equity contracts

      —        169,611

Interest rate contracts

      —        122,797

Commodity contracts

      —        429,174

 

4

ASG DIVERSIFYING STRATEGIES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

Liability Derivatives

    Forwards     Futures  

Foreign exchange contracts

    $ (515,811 )    $ —     

Equity contracts

      —          (311,495 ) 

Interest rate contracts

      —          (171,105 ) 

Commodity contracts

      —          (82,167 ) 

Industry Summary at March 31, 2010 (Unaudited)

 

Banking (including Certificates of Deposit and Time Deposits)

    65.9 % 

Education

    5.9   

Distribution/Wholesale

    2.5   
      

Total Investments

    74.3   

Other assets less liabilities (including open forward foreign currency and futures contracts)

    25.7   
      

Net Assets

    100.0 % 
      

 

5

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2010 (Unaudited)

 

Principal
Amount		   

Description

    Value (†)

 

Certificates of Deposit — 63.6% of Net Assets

   
$ 5,000,000   

CALYON (NY),

0.360%, 4/01/2010

    $ 5,000,020
  6,600,000   

Unicredit Bank AG (NY),

0.230%, 4/08/2010

      6,600,013
  5,000,000   

Svenska Handelsbanken (NY),

0.190%, 4/13/2010

      4,999,890
  11,000,000   

Skandinaviska Enskilda Banken (NY),

0.280%, 4/13/2010

      11,000,121
  900,000   

CALYON (NY), 0.350%,

4/15/2010

      900,052
  13,000,000   

Dexia Credit Local SA (NY),

0.240%, 4/19/2010

      13,000,065
  4,600,000   

Nordea Bank Finland (NY), 0.180%,

4/20/2010(b)

      4,599,821
  9,000,000   

Canadian Imperial Bank of Commerce (NY),

0.170%, 4/21/2010

      8,999,577
  4,900,000   

Unicredit Bank AG (NY),

0.250%, 4/22/2010

      4,900,029
  12,000,000   

Royal Bank of Scotland, CT,

0.210%, 5/07/2010

      11,999,388
  12,200,000   

KBC Bank NV (NY),

0.225%, 5/11/2010

      12,199,231
  2,000,000   

Bank of Nova Scotia (Houston),

1.100%, 5/11/2010

      2,001,976
  425,000   

Standard Chartered Bank (NY),

0.450%, 5/13/2010

      425,086
  10,500,000   

Standard Chartered Bank (NY),

0.290%, 5/17/2010

      10,500,136
  2,000,000   

Toronto Dominion Bank (NY),

0.330%, 5/17/2010

      2,000,255
  3,700,000   

Societe Generale (NY),

0.215%, 5/19/2010

      3,699,874
  7,000,000   

Westpac Banking Corp. (NY),

0.250%, 5/24/2010(b)

      7,000,315
  3,000,000   

Svenska Handelsbanken (NY),

0.205%, 5/26/2010

      2,999,649
  11,100,000   

Credit Industriel et Commercial (NY),

0.320%, 5/28/2010

      11,100,710
  3,300,000   

Bank of Nova Scotia (Houston),

0.200%, 6/01/2010

      3,299,716
  4,000,000   

Svenska Handelsbanken (NY),

0.200%, 6/01/2010

      3,999,312
  2,700,000   

Credit Industriel et Commercial (NY),

0.320%, 6/01/2010

      2,700,092
  3,000,000   

Canadian Imperial Bank of Commerce (NY),

0.180%, 6/03/2010(b)

      2,999,361
  5,000,000   

Landesbank Hessen Thueringen Girozentrale,

0.350%, 6/24/2010

      5,000,590
  9,000,000   

Toronto Dominion Bank (NY),

0.260%, 6/30/2010(b)

      9,002,952
  12,500,000   

Rabobank Nederland NV (NY),

0.230%, 7/06/2010

      12,497,312
  5,300,000   

CALYON (NY),

0.320%, 7/07/2010

      5,299,852
  4,000,000   

Societe Generale (NY),

0.295%, 7/13/2010

      3,999,940
  13,000,000   

Lloyds TSB Bank PLC (NY),

0.345%, 7/22/2010

      13,000,195
  7,150,000   

Banco Bilbao de Vizcaya ARG (NY),

0.305%, 7/29/2010(b)

      7,149,163
  6,000,000   

Bank of Nova Scotia (Houston),

0.290%, 8/03/2010(b)

      5,999,580
  7,600,000   

Landesbank Hessen Thueringen Girozentrale,

0.630%, 9/13/2010

      7,607,342
         
  

Total Certificates of Deposit

(Identified Cost $206,481,013)

      206,481,615
         

 

Commercial Paper — 16.4%

   
  

Banking — 9.4%

   
  4,200,000   

CBA (Delaware) Finance,

0.220%, 4/12/2010(c)

      4,199,861
  1,000,000   

ICICI Bank Ltd.,

(Credit Support: Bank of America),

0.880%, 4/14/2010(b)(c)

      999,901
  3,000,000   

Societe Generale North America,

0.240%, 4/16/2010(c)

      2,999,733
  500,000   

Bank of America Corp.,

0.310%, 5/19/2010(c)

      499,868
  9,000,000   

Bank of America Corp.,

0.240%, 6/16/2010(c)

      8,995,959
  8,400,000   

Nordea North America, Inc.,

0.210%, 6/22/2010(c)

      8,395,447
  2,300,000   

ICICI Bank Ltd.,

(Credit Support: Bank of America),

0.550%, 6/24/2010(b)(c)

      2,298,344
  2,200,000   

Bank of Nova Scotia,

0.330%, 9/21/2010(c)

      2,197,342
         
        30,586,455
         
  

Distribution/Wholesale — 3.1%

   
  10,000,000   

Louis Dreyfus Corp.,

(Credit Support: Barclays Bank),

0.350%, 4/01/2010(c)

      9,999,960
         
  

Education — 3.9%

   
  3,500,000   

Tennessee State School Bond Authority,

0.250%, 6/02/2010

      3,500,000
  8,000,000   

Tennessee State School Bond Authority,

0.240%, 6/09/2010

      8,000,000
  1,000,000   

Johns Hopkins University (The),

Series C,

0.200%, 6/14/2010

      1,000,000
         
        12,500,000
         
  

Total Commercial Paper

(Identified Cost $53,083,875)

      53,086,415
         

 

Time Deposits — 6.7%

   
  8,800,000   

BNP Paribas,

0.120%, 4/01/2010

      8,800,000
  13,000,000   

Citibank,

0.120%, 4/01/2010

      13,000,000
         
  

Total Time Deposits

(Identified Cost $21,800,000)

      21,800,000
         

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

Principal
Amount

   

Description

    Value (†)

 

Medium Term Notes — 0.3%

   
     Cosmetics & Personal Care — 0.3%     
$ 900,000   

Procter & Gamble International Funding,

0.259%, 5/07/2010(b)(d)

(Identified Cost $900,000)

    $ 899,987
         
  

Total Investments — 87.0%

(Identified Cost $282,264,888)(a)

      282,268,017
  

Other assets less liabilities—13.0%

      42,334,377
         
  

Net Assets — 100.0%

    $ 324,602,394
         

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund, Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of March 31, 2010, the value of the Fund’s investment in the subsidiary was $26,333,224, representing 8.1% of the Fund’s net assets.

 

(†) Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Futures contracts are valued at their most recent settlement price. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

 

(a) Federal Tax Information:

At March 31, 2010, the net unrealized appreciation on short term investments based on a cost of $282,264,888 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

    $ 14,816   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

      (11,687 ) 
        

Net unrealized appreciation

    $ 3,129   
        

Only short-term obligations purchased with an original or remaining maturity of more than 60 days are valued at other than amortized cost.

At December 31, 2009, post-October capital loss deferrals were $703,795. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b) All or a portion of this security is held as collateral for open futures and forward foreign currency contracts.

 

(c) Interest rate represents discount rate at time of purchase; not a coupon rate.

 

(d) Floating rate note. Rate shown is as of March 31, 2010.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts to gain exposure to foreign currencies and may also use forward foreign currency contracts for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates. A contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

At March 31, 2010, the Fund had the following open forward foreign currency contracts:

 

Contract to Buy(1)

    Delivery
Date		    Currency    Units    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Buy

    06/16/2010    British Pound    6,187,500    $ 9,385,523$      135,146   

Buy

    06/16/2010    Canadian Dollar    11,500,000      11,321,928      114,112   

Buy

    06/16/2010    Euro    1,375,000      1,857,227      435   

Buy

    06/16/2010    Euro    25,125,000      33,936,601      (273,341 ) 

Buy

    06/16/2010    Japanese Yen    2,412,500,000      25,814,911      (792,384 ) 

Buy

    06/16/2010    Swedish Krona    28,000,000      3,878,397      (46,628 ) 

Buy

    06/16/2010    Swiss Franc    8,875,000      8,422,122      134,639   
                    

Total

                $ (728,021 ) 
                    

 

(1)

Counterparty is UBS.

 

2

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular security or commodity or group or index of securities, commodities, currencies or other assets for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker as “initial margin” an amount of cash, foreign currency, or short-term high-quality securities. 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 the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of the collateral held. 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 the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchanged-traded futures are standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are limited.

At March 31, 2010, open futures contracts purchased were as follows:

 

Financial Futures

    Expiration
Date		    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Dax

    6/18/2010    65    $ 13,479,407    $ 300,047   

Euro Dollar

    9/13/2010    2,379      591,568,088      337,025   

FTSE 100

    6/18/2010    192      16,346,742      36,587   

German Euro Bund

    6/8/2010    89      14,827,643      68,829   

S&P 500 E Mini

    6/18/2010    242      14,098,920      283,615   

TOPIX

    6/11/2010    83      8,678,201      561,087   

UK Long Gilt

    6/28/2010    120      20,895,962      240,569   

10 Year Japan Government Bond

    6/10/2010    20      29,568,938      (203,444 ) 

10 Year U.S. Treasury Note

    6/21/2010    194      22,552,500      (127,899 ) 
                 

Total

             $ 1,496,416   
                 

Commodity Futures(2)

    Expiration
Date		    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Aluminum

    6/16/2010    30    $ 1,739,063    $ 55,313   

Brent Crude Oil

    5/14/2010    73      6,077,250      251,850   

Copper

    6/16/2010    46      8,956,775      393,750   

Gas Oil

    5/12/2010    33      2,247,300      58,575   

Gold

    6/28/2010    82      9,138,900      85,280   

Heating Oil

    4/30/2010    40      3,660,720      137,088   

Light Sweet

            

Crude Oil

    4/20/2010    73      6,114,480      97,820   

Natural Gas

    4/28/2010    65      2,514,850      (234,000 ) 

Nickel

    6/16/2010    24      3,600,000      414,000   

Zinc

    6/16/2010    238      14,108,937      156,237   
                 

Total

             $ 1,415,913   
                 

 

(2)

Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

Level 3 - prices determined using significant unobservable inputs for situations where 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2010, at value:

Asset Valuation Inputs

 

Description*

    Level 1    Level 2    Level 3    Total

Investments in Securities

    $ —      $ 282,268,017    $ —      $ 282,268,017

Forward Foreign

            

Currency Contracts (unrealized appreciation)

      —        384,332      —        384,332

Futures Contracts (unrealized appreciation)

      3,477,672      —        —        3,477,672
                           

Total

    $ 3,477,672    $ 282,652,349    $ —      $ 286,130,021
                           

 

3

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

Liability Valuation Inputs

 

Description*

    Level 1     Level 2     Level 3    Total  

Forward Foreign

          

Currency Contracts (unrealized depreciation)

    $ —        $ (1,112,353 )    $ —      $ (1,112,353 ) 

Futures Contracts (unrealized depreciation)

      (565,343 )      —          —        (565,343 ) 
                               

Total

    $ (565,343 )    $ (1,112,353 )    $ —      $ (1,677,696 ) 
                               

 

* Major categories of the Fund’s investments, forward foreign currency contracts and futures contracts are included above.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund currently uses include forward foreign currency contracts and futures contracts.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments.

The Fund is party to an agreement with a counterparty that governs transactions in forward foreign currency contracts. The agreement contains contingent features that allow the counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such contingent features were to be triggered, the counterparty could request immediate settlement of open contracts at current fair value.

The following is a summary of derivative instruments for the Fund, as of March 31, 2010:

 

Asset Derivatives

    Forwards     Futures  

Foreign exchange contracts

    $ 384,332      $ —     

Equity contracts

      —          1,181,336   

Interest rate contracts

      —          646,423   

Commodity contracts

      —          1,649,913   

Liability Derivatives

    Forwards     Futures  

Foreign exchange contracts

    $ (1,112,353 )    $ —     

Equity contracts

      —          —     

Interest rate contracts

      —          (331,343 ) 

Commodity contracts

      —          (234,000 ) 

Industry Summary at March 31, 2010 (Unaudited)

 

Banking (including Certificates of Deposit and Time Deposits)

    79.7 % 

Education

    3.9   

Distribution/Wholesale

    3.1   

Cosmetics & Personal Care

    0.3   
      

Total Investments

    87.0   

Other assets less liabilities (including open forward foreign currency and futures contracts)

    13.0   
      

Net Assets

    100.0 % 
      

 

4

HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2010 (Unaudited)

 

Shares   

Description

    Value (†)  

 

Common Stocks — 94.4% of Net Assets

   
  

Aerospace & Defense — 6.2%

   
  73,600   

Boeing Co. (The)

    $ 5,344,096   
  18,000   

General Dynamics Corp.

      1,389,600   
  26,600   

Lockheed Martin Corp.

      2,213,652   
           
        8,947,348   
           
  

Air Freight & Logistics — 0.8%

   
  12,200   

FedEx Corp.

      1,139,480   
           
  

Capital Markets — 6.9%

   
  176,200   

Bank of New York Mellon Corp.

      5,441,056   
  40,900   

Franklin Resources, Inc.

      4,535,810   
           
        9,976,866   
           
  

Chemicals — 1.4%

   
  27,700   

Monsanto Co.

      1,978,334   
           
  

Computers & Peripherals — 4.6%

   
  125,800   

Hewlett-Packard Co.

      6,686,270   
           
  

Consumer Finance — 2.0%

   
  195,850   

Discover Financial Services

      2,918,165   
           
  

Diversified Financial Services — 4.5%

   
  4,500   

CME Group, Inc., Class A

      1,422,495   
  115,000   

JPMorgan Chase & Co.

      5,146,250   
           
        6,568,745   
           
  

Electrical Equipment — 1.6%

   
  42,500   

Rockwell Automation, Inc.

      2,395,300   
           
  

Energy Equipment & Services — 2.5%

   
  37,800   

National-Oilwell Varco, Inc.

      1,533,924   
  24,200   

Transocean Ltd.(b)

      2,090,396   
           
        3,624,320   
           
  

Food & Staples Retailing — 6.6%

   
  183,800   

Kroger Co. (The)

      3,981,108   
  173,200   

Safeway, Inc.

      4,305,752   
  34,500   

Walgreen Co.

      1,279,605   
           
        9,566,465   
           
  

Food Products — 1.2%

   
  19,700   

General Mills, Inc.

      1,394,563   
  20,500   

Sara Lee Corp.

      285,565   
           
        1,680,128   
           
  

Health Care Equipment & Supplies — 4.5%

   
  64,000   

Baxter International, Inc.

      3,724,800   
  61,900   

Medtronic, Inc.

      2,787,357   
           
        6,512,157   
           
  

Hotels, Restaurants & Leisure — 11.3%

   
  209,300   

Carnival Corp.

      8,137,584   
  144,400   

Marriott International, Inc., Class A

      4,551,488   
  21,000   

McDonald’s Corp.

      1,401,120   
  49,200   

Starwood Hotels & Resorts Worldwide, Inc.

      2,294,688   
           
        16,384,880   
           
  

Household Products — 1.0%

   
  17,000   

Colgate-Palmolive Co.

      1,449,420   
           
  

Insurance — 1.0%

   
  44,400   

Allstate Corp. (The)

      1,434,564   
           
  

Machinery — 6.3%

   
  78,500   

Caterpillar, Inc.

      4,933,725   
  88,000   

Illinois Tool Works, Inc.

      4,167,680   
           
        9,101,405   
           
  

Media — 6.6%

   
  218,200   

Comcast Corp., Special Class A

      3,921,054   
  109,700   

Omnicom Group, Inc.

      4,257,457   
  42,400   

Walt Disney Co. (The)

      1,480,184   
           
        9,658,695   
           
  

Oil, Gas & Consumable Fuels — 5.9%

   
  36,000   

Apache Corp.

      3,654,000   
  215,300   

Williams Cos., Inc.

      4,973,430   
           
        8,627,430   
           
  

Pharmaceuticals — 1.8%

   
  24,500   

Abbott Laboratories

      1,290,660   
  21,500   

Johnson & Johnson

      1,401,800   
           
        2,692,460   
           
  

Road & Rail — 2.6%

   
  52,500   

Union Pacific Corp.

      3,848,250   
           
  

Semiconductors & Semiconductor Equipment — 10.2%

   
  348,700   

Applied Materials, Inc.

      4,700,476   
  396,300   

Intel Corp.

      8,821,638   
  54,000   

Texas Instruments, Inc.

      1,321,380   
           
        14,843,494   
           
  

Software — 1.5%

   
  73,700   

Microsoft Corp.

      2,157,199   
           
  

Specialty Retail — 2.7%

   
  93,100   

Best Buy Co., Inc.

      3,960,474   
           
  

Textiles, Apparel & Luxury Goods — 0.7%

   
  14,500   

NIKE, Inc., Class B

      1,065,750   
           
  

Total Common Stocks

(Identified Cost $133,743,524)

      137,217,599   
           
Principal
Amount		            

 

Short-Term Investments — 5.7%

   
$ 8,272,887   

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2010 at 0.000% to be repurchased at $8,272,887 on 4/01/2010, collateralized by $7,835,000 Federal Home Loan Mortgage Corp., 4.375% due 7/17/2015 valued at $8,442,213 including accrued interest(c)

(Identified Cost $8,272,887)

      8,272,887   
           
  

Total Investments — 100.1%

(Identified Cost $142,016,411)(a)

      145,490,486   
  

Other assets less liabilities—(0.1)%

      (216,358 ) 
           
  

Net Assets — 100.0%

    $ 145,274,128   
           

 

1

HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

 

(†) Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At March 31, 2010, the net unrealized appreciation on investments based on a cost of $142,016,411 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

    $ 7,634,990   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

      (4,160,915 ) 
        

Net unrealized appreciation

    $ 3,474,075   
        

At December 31, 2009, the Fund had a capital loss carryforward of $43,802,336 of which $24,633,843 expires on December 31, 2010, $9,965,466 expires on December 31, 2011 and $9,203,027 expires on December 31, 2017. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b) Non-income producing security.

 

(c) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

Level 3 - prices determined using significant unobservable inputs for situations where 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 the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

 

2

HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2010, at value:

Asset Valuation Inputs

 

 

Description*

    Level 1    Level 2    Level 3    Total

Common Stocks

    $ 137,217,599    $ —      $ —      $ 137,217,599

Short-Term Investments

      —        8,272,887      —        8,272,887
                           

Total

    $ 137,217,599    $ 8,272,887    $ —      $ 145,490,486
                           

 

* Major categories of the Fund’s investments are included above.

Industry Summary at March 31, 2010 (Unaudited)

 

Hotels, Restaurants & Leisure

    11.3 % 

Semiconductors & Semiconductor Equipment

    10.2   

Capital Markets

    6.9   

Media

    6.6   

Food & Staples Retailing

    6.6   

Machinery

    6.3   

Aerospace & Defense

    6.2   

Oil, Gas & Consumable Fuels

    5.9   

Computers & Peripherals

    4.6   

Diversified Financial Services

    4.5   

Health Care Equipment & Supplies

    4.5   

Specialty Retail

    2.7   

Road & Rail

    2.6   

Energy Equipment & Services

    2.5   

Consumer Finance

    2.0   

Other Investments, less than 2% each

    11.0   

Short-Term Investments

    5.7   
      

Total Investments

    100.1   

Other assets less liabilities

    (0.1 ) 
      

Net Assets

    100.0 % 
      

 

3

VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2010 (Unaudited)

 

Shares   

Description

    Value (†)

Common Stocks — 92.0% of Net Assets

     Auto Components — 0.9%     
12,400    Tenneco, Inc.(b)    $ 293,260
         
   Capital Markets — 5.4%   
54,475    Apollo Investment Corp.      693,467
68,700    MF Global Holdings Ltd.(b)      554,409
22,700    TD Ameritrade Holding Corp.(b)      432,662
         
        1,680,538
         
   Chemicals — 5.7%   
5,000    Albemarle Corp.      213,150
18,000    Cabot Corp.      547,200
19,850    Celanese Corp., Series A      632,222
6,425    FMC Corp.      388,970
         
        1,781,542
         
   Commercial Banks — 3.4%   
23,875    Associated Banc-Corp      329,475
53,150    Fifth Third Bancorp      722,308
         
        1,051,783
         
   Commercial Services & Supplies — 2.9%   
12,025    Avery Dennison Corp.      437,830
21,675    R. R. Donnelley & Sons Co.      462,762
         
        900,592
         
   Communications Equipment — 2.7%   
18,575    CommScope, Inc.(b)      520,472
10,650    Polycom, Inc.(b)      325,677
         
        846,149
         
   Computers & Peripherals — 2.0%   
34,075    Seagate Technology(b)      622,210
         
   Consumer Finance — 1.5%   
30,550    Discover Financial Services      455,195
         
   Containers & Packaging — 3.6%   
24,575    Owens-Illinois, Inc.(b)      873,395
10,277    Pactiv Corp.(b)      258,775
         
        1,132,170
         
   Diversified Consumer Services — 0.6%   
10,350    H&R Block, Inc.      184,230
         
   Electrical Equipment — 1.4%   
31,775    GrafTech International Ltd.(b)      434,364
         
   Electronic Equipment, Instruments & Components — 2.7%   
62,375    Flextronics International Ltd.(b)      489,020
17,025    Molex, Inc.      355,142
         
        844,162
         
   Energy Equipment & Services — 2.9%   
8,575    Dresser-Rand Group, Inc.(b)      269,426
22,650    Superior Energy Services, Inc.(b)      476,103
9,175    Weatherford International Ltd.(b)      145,516
         
        891,045
         
   Food Products — 1.4%   
6,425    Ralcorp Holdings, Inc.(b)      435,487
         
   Health Care Equipment & Supplies — 1.9%   
10,300    Zimmer Holdings, Inc.(b)      609,760
         
     Health Care Providers & Services — 1.6%     
7,800    DaVita, Inc.(b)      494,520
         
   Hotels, Restaurants & Leisure — 3.0%   
12,950    Bally Technologies, Inc.(b)      524,993
9,375    Darden Restaurants, Inc.      417,562
         
        942,555
         
   Household Durables — 2.0%   
4,550    Fortune Brands, Inc.      220,720
11,975    Jarden Corp.      398,648
         
        619,368
         
   Household Products — 1.2%   
5,975    Energizer Holdings, Inc.(b)      374,991
         
   Industrial Conglomerates — 0.6%   
6,825    McDermott International, Inc.(b)      183,729
         
   Insurance — 7.4%   
7,100    ACE Ltd.      371,330
17,750    Assured Guaranty Ltd.      389,967
5,500    Reinsurance Group of America, Inc.      288,860
15,600    Willis Group Holdings PLC      488,124
41,150    XL Capital Ltd., Class A      777,735
         
        2,316,016
         
   IT Services — 1.3%   
13,925    Amdocs Ltd.(b)      419,282
         
   Life Sciences Tools & Services — 1.4%   
8,375    Thermo Fisher Scientific, Inc.(b)      430,810
         
   Machinery — 4.2%   
27,225    Actuant Corp., Class A      532,249
14,750    Barnes Group, Inc.      286,887
7,250    Kennametal, Inc.      203,870
4,225    SPX Corp.      280,202
         
        1,303,208
         
   Marine — 0.5%   
4,275    Kirby Corp.(b)      163,091
         
   Media — 1.5%   
11,925    Omnicom Group, Inc.      462,809
         
   Metals & Mining — 0.9%   
21,000    Thompson Creek Metals Co., Inc.(b)      284,130
         
   Multiline Retail — 0.9%   
13,200    Macy’s, Inc.      287,364
         
   Oil, Gas & Consumable Fuels — 4.4%   
5,775    Concho Resources, Inc.(b)      290,829
36,400    El Paso Corp.      394,576
14,000    Petrohawk Energy Corp.(b)      283,920
8,375    Range Resources Corp.      392,536
         
        1,361,861
         
   Paper & Forest Products — 0.8%   
5,775    Weyerhaeuser Co.      261,434
         
   Professional Services — 1.1%   
7,150    Towers Watson & Co., Class A      339,625
         
   REITs — 4.8%   
16,225    Annaly Capital Management, Inc.      278,745
30,289    DiamondRock Hospitality Co.(b)      306,222
28,298    Host Hotels & Resorts, Inc.      414,566

 

1

VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

Shares   

Description

    Value (†)
     REITs — continued     
21,525    LaSalle Hotel Properties    $ 501,532
         
        1,501,065
         
   Road & Rail — 0.7%   
6,125    Con-way, Inc.      215,110
         
   Semiconductors & Semiconductor Equipment — 1.0%   
5,950    Altera Corp.      144,645
10,250    Skyworks Solutions, Inc.(b)      159,900
         
        304,545
         
   Software — 3.8%   
13,100    Nice Systems Ltd., Sponsored ADR(b)      415,925
45,450    Nuance Communications, Inc.(b)      756,288
         
        1,172,213
         
   Specialty Retail — 3.9%   
7,600    Best Buy Co., Inc.      323,304
8,775    GameStop Corp., Class A(b)      192,260
13,625    Gymboree Corp. (The)(b)      703,459
         
        1,219,023
         
   Textiles, Apparel & Luxury Goods — 2.7%   
8,050    Phillips-Van Heusen Corp.      461,748
4,700    VF Corp.      376,705
         
        838,453
         
   Thrifts & Mortgage Finance — 0.6%   
12,175    People’s United Financial, Inc.      190,417
         
   Trading Companies & Distributors — 1.1%   
10,300    WESCO International, Inc.(b)      357,513
         
   Wireless Telecommunication Services — 1.6%   
26,325    Syniverse Holdings, Inc.(b)      512,548
         
  

Total Common Stocks

(Identified Cost $26,837,936)

      28,718,167
         

Principal
Amount

          
Short-Term Investments — 5.7%
$1,788,566   

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2010 at 0.000% to be repurchased at $1,788,566 on 4/01/2010, collateralized by $1,790,000 Federal Home Loan Bank, 4.375% due 9/17/2010 valued at $1,826,695 including accrued interest(c)

(Identified Cost $1,788,566)

      1,788,566
         
  

Total Investments — 97.7%

(Identified Cost $28,626,502)(a)

      30,506,733
   Other assets less liabilities—2.3%      727,197
         
   Net Assets — 100.0%    $ 31,233,930
         

 

(†) Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and the subadviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and the subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

2

VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIO OF INVESTMENTS (continued)

 

Investments as of March 31, 2010 (Unaudited)

 

(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At March 31, 2010, the net unrealized appreciation on investments based on a cost of $28,626,502 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

    $ 2,023,237   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

      (143,006 ) 
        

Net unrealized appreciation

    $ 1,880,231   
        

 

(b) Non-income producing security.

 

(c) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

 

ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States.

 

REITs Real Estate Investment Trusts

Fair Value Measurements

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

 

  •  

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

 

  •  

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

 

  •  

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

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

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2010, at value:

Asset Valuation Inputs

 

Description*

    Level 1    Level 2    Level 3    Total

Common Stocks

    $ 28,718,167    $ —      $ —      $ 28,718,167

Short-Term Investments

      —        1,788,566      —        1,788,566
                           

Total

    $ 28,718,167    $ 1,788,566    $ —      $ 30,506,733
                           

 

* Major categories of the Fund’s investments are included above.

Industry Summary at March 31, 2010 (Unaudited)

 

Insurance

    7.4 % 

Chemicals

    5.7   

Capital Markets

    5.4   

REITs

    4.8   

Oil, Gas & Consumable Fuels

    4.4   

Machinery

    4.2   

Specialty Retail

    3.9   

Software

    3.8   

Containers & Packaging

    3.6   

Commercial Banks

    3.4   

Hotels, Restaurants & Leisure

    3.0   

Commercial Services & Supplies

    2.9   

Energy Equipment & Services

    2.9   

Communications Equipment

    2.7   

Electronic Equipment, Instruments & Components

    2.7   

Textiles, Apparel & Luxury Goods

    2.7   

Computers & Peripherals

    2.0   

Household Durables

    2.0   

Other Investments, less than 2% each

    24.5   

Short-Term Investments

    5.7   
      

Total Investments

    97.7   

Other assets less liabilities

    2.3   
      

Net Assets

    100.0 % 
      

 

3

ITEM 2. CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's 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 registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS

 

(a)(1)

   Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

(a)(2)

   Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

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 Funds Trust II
By:   /S/    DAVID L. GIUNTA      
Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   May 20, 2010

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:   May 20, 2010

 

By:   /S/    MICHAEL C. KARDOK      
Name:   Michael C. Kardok
Title:   Treasurer
Date:   May 20, 2010
 EX-99.CERT 2 dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

 

  1. I have reviewed this report on Form N-Q of Natixis Funds Trust II;

 

  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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

  4. The registrant’s 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 registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

 

  d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

  5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting.

Date: May 20, 2010

 

/s/ David L. Giunta

David L. Giunta
President and Chief Executive Officer

Exhibit (a)(2)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

 

  1. I have reviewed this report on Form N-Q of Natixis Funds Trust II;

 

  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 schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

  4. The registrant’s 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 registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

 

  d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

  5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting.

Date: May 20, 2010

 

/s/ Michael C. Kardok

Michael C. Kardok
Treasurer
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