N-Q 1 d18695_nq.txt IXIS ADVISOR 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: 811-242 IXIS Advisor 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. IXIS Asset Management 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: September 30 Date of reporting period: December 31, 2005 ITEM I SCHEDULE OF INVESTMENTS -------------------------------------------------------------------------------- Loomis Sayles Massachusetts Tax Free Income Fund -- PORTFOLIO OF INVESTMENTS -------------------------------------------------------------------------------- Investments as of December 31, 2005 (unaudited)
Principal Amount Description Value (a) ---------------------------------------------------------------- Tax Exempt Obligations -- 97.1% of Total Net Assets Highlands County, FL, Health Facilities Authority -- 1.4% $ 1,000,000 Adventis Health System, 5.875%, 11/15/2029 $ 1,080,510 ---------------- Marthas Vineyard, MA -- 1.3% 1,000,000 Land Bank Revenue, 5.000%, 5/01/2032, (AMBAC insured) 1,040,330 ---------------- Massachusetts -- 6.1% 4,000,000 State Refunding Series A, 6.500%, 11/01/2014, (AMBAC insured) 4,789,600 ---------------- Massachusetts Bay Transportation Authority -- 4.1% 2,500,000 Series A, 5.000%, 7/01/2032 2,566,825 630,000 Series A , Unrefunded, 5.250%, 7/01/2030 662,325 ---------------- 3,229,150 ---------------- Massachusetts Development Finance Agency -- 17.0% 2,000,000 Cambridge Street Development Series A, 5.125%, 2/01/2034, (MBIA insured) 2,096,000 1,000,000 Hampshire College, 5.625%, 10/01/2024 1,065,590 4,000,000 Mount Holyoke College, 5.250%, 7/01/2031 4,234,120 2,800,000 Refunding Springfield Resource Recovery-A, 5.625%, 6/01/2019 2,944,620 1,100,000 Visual and Performing Arts, 6.000%, 8/01/2021 1,316,194 1,500,000 WGBH Educational Foundation Series A, 5.375%, 1/01/2042, (AMBAC insured) 1,591,065 ---------------- 13,247,589 ---------------- Massachusetts Health & Educational Facilities Authority -- 33.9% 1,160,000 Baystate Medical Center Series F, 5.700%, 7/01/2027 1,224,229 2,000,000 Boston University, 5.000%, 10/01/2039 2,074,380 2,200,000 Catholic Health East, 5.500%, 11/15/2032 2,315,236 3,000,000 Harvard University Series N, 6.250%, 4/01/2020 3,727,140 2,845,000 Nichols College Series C, 6.000%, 10/01/2017 3,011,006 2,000,000 Partners Healthcare System Series B, 5.250%, 7/01/2029 2,090,740 2,500,000 Partners Healthcare System Series C, 5.750%, 7/01/2021 2,750,675 1,500,000 Tufts University Series I, 5.250%, 2/15/2030 1,583,700 1,000,000 University of Massachusetts Project Series C, 5.250%, 10/01/2031, (MBIA insured) 1,067,660 2,000,000 University of Massachusetts Series C, 5.125%, 10/01/2034, (FGIC insured) 2,105,080 2,000,000 Wellesley College Series F, 5.125%, 7/01/2039 2,068,840 Massachusetts Health & Educational Facilities Authority (continued) $ 1,315,000 Wheaton College Series E, 5.000%, 7/01/2017 $ 1,392,348 1,030,000 Williams College Series H, 5.000%, 7/01/2017 1,100,205 ---------------- 26,511,239 ---------------- Massachusetts Housing Finance Agency -- 1.8% 410,000 Single Family Mortgage Series 21, 7.125%, 6/01/2025 411,205 1,000,000 Single Family Mortgage Series A, 4.600%, 12/01/2015 1,013,550 ---------------- 1,424,755 ---------------- Massachusetts Port Authority -- 3.9% 1,750,000 Delta Air Lines, Inc. Project Series A, 5.500%, 1/01/2019, (AMBAC insured) 1,835,348 1,200,000 Series A, 5.000%, 7/01/2033, (MBIA insured) 1,234,704 ---------------- 3,070,052 ---------------- Massachusetts Water Resources Authority -- 6.4% 1,000,000 General Series A, 5.250%, 8/01/2020, (MBIA insured) 1,104,120 3,240,000 Series A, 6.500%, 7/15/2019, (FGIC insured) 3,918,003 ---------------- 5,022,123 ---------------- Michigan Hospital Finance Authority -- 2.1% 1,500,000 Oakwood Obligated Group, 5.500%, 11/01/2017 1,620,465 ---------------- New England Education Loan Marketing -- 4.0% 3,000,000 Student Loan Revenue Bond Sub-Issue H, 6.900%, 11/01/2009 3,169,110 ---------------- New Jersey Economic Development Authority -- 2.2% 1,610,000 Series A, 5.625%, 6/15/2018 1,690,725 ---------------- Puerto Rico Commonwealth Aqueduct & Sewer Authority -- 4.4% 3,000,000 Aqueduct & Sewer Authoriry, 6.250%, 7/01/2013 3,406,080 ---------------- Puerto Rico Public Finance Corporation -- 4.2% 3,000,000 Commonwealth Appropriation Series A, 5.750%, 8/01/2027 (c) 3,255,210 ---------------- Tennessee Housing Development Agency -- 1.3% 1,000,000 Series A, 5.200%, 7/01/2023 1,043,110 ---------------- University of Massachusetts Building Authority -- 3.0% 2,200,000 SR - Series 1, 5.250%, 11/01/2028, (AMBAC insured) 2,363,152 ---------------- Total Tax Exempt Obligations (Identified Cost $71,845,031) 75,963,200 ----------------
-------------------------------------------------------------------------------- Loomis Sayles Massachusetts Tax Free Income Fund -- PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------------------------------------------- Investments as of December 31, 2005 (unaudited)
Short-Term Investments -- 1.5% $ 1,197,776 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, date 12/30/2005 at 2.050% to repurchase at $1,198,049 on 1/03/2006, collateralized by $1,010,000 U.S. Treasury Note, 6.00% due 2/15/2026 valued at $1,221,778(d) $ 1,197,776 ---------------- Total Short-Term Investments -- 1.5% (Identified Cost $1,197,776) 1,197,776 ---------------- Total Investments -- 98.6% (Identified Cost $73,042,807)(b) 77,160,976 Other assets less liabilities-- 1.4% 1,065,386 ---------------- Total Net Assets -- 100% $ 78,226,362 ================
(a) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of less than sixty days) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service authorized 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. Short-term obligations with a remaining maturity of less than sixty days are stated at amortized cost, which approximates market value. Equity securities for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. The pricing service provides the last reported sale price for securities listed on an applicable securities exchange or, if no sale was reported and in the case of over-the-counter securities not so listed, the last reported bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking NOCP, at the most recent bid quotations on the NASDAQ National Market. All other securities and assets are valued at their fair value as determined in good faith by the Funds' investment adviser and subadviser, pursuant to the procedures approved by 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 equity 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 -------------------------------------------------------------------------------- Loomis Sayles Massachusetts Tax Free Income Fund -- PORTFOLIO OF INVESTMENTS (continued) -------------------------------------------------------------------------------- Investments as of December 31, 2005 (unaudited) the period. (b) 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, return of capital included in dividends received from the Fund's investments in REIT's and interest adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2005, the net unrealized appreciation on investments based on cost of $73,043,019 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 $ 4,210,911 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (92,742) ----------- Net unrealized appreciation $ 4,118,169 ===========
At September 30, 2005, the Fund had a capital loss carryover of approximately $2,423,984 of which $1,149,888 expires on September 30, 2007, $116,500 expires on September 30, 2008, $1,003,440 expires on September 30, 2010, and $154,156 expires on September 30, 2013. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) Variable rate security whose interest rate varies with changes in a designated base rate (such as the prime interest rate) on a specified date (such as coupon date or interest payment date.) (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's investment adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. The repurchase agreements are tri-party arrangements whereby the collateral is held at the custodian bank in a segregated account for the benefit of the Fund and 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. AMBAC American Municipal Bond Assurance Corporation FGIC Financial Guarantee Insurance Company MBIA Municipal Bond Investors Assurance Corporation 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 as required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended (the "Act") filed herewith. (a)(2) Certification for the principal financial officer as required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended (the "Act") 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. IXIS Advisor Funds Trust II By: /s/ John T. Hailer ---------------------------------------- Name: John T. Hailer Title: President and Chief Executive Officer Date: February 27, 2006 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/ John T. Hailer ---------------------------------------- Name: John T. Hailer Title: President and Chief Executive Officer Date: February 27, 2006 By: /s/ Michael C. Kardok ---------------------------------------- Name: Michael C. Kardok Title: Treasurer Date: February 27, 2006