N-Q 1 dnq.txt 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: September 30, 2007 ITEM 1 SCHEDULE OF INVESTMENTS Harris Associates Large Cap Value Fund -- Portfolio of Investments Investments as of September 30, 2007 (Unaudited) Shares Description Value (+) ------ ----------- ------------ Common Stocks -- 95.6% of Net Assets Aerospace & Defense -- 2.3% 90,800 Raytheon Co. $ 5,794,856 ------------ Athletic Footwear -- 2.0% 83,400 NIKE, Inc., Class B 4,892,244 ------------ Banks -- 4.2% 235,700 Bank of New York Mellon Corp. 10,403,798 ------------ Beverages -- 2.2% 51,400 Coca-Cola Co. (The) 2,953,958 29,800 Diageo PLC, Sponsored ADR 2,614,354 ------------ 5,568,312 ------------ Chemicals -- 1.9% 108,600 Dow Chemical Co. (The) 4,676,316 ------------ Computers -- 10.8% 405,000 Dell, Inc.(b) 11,178,000 232,300 Hewlett-Packard Co. 11,566,217 755,900 Sun Microsystems, Inc.(b)(c) 4,240,599 ------------ 26,984,816 ------------ Diversified Financial Services -- 13.9% 116,900 American Express Co. 6,940,353 98,000 Capital One Financial Corp. 6,510,140 92,000 Citigroup, Inc. 4,293,640 49,550 Discover Financial Services 1,030,640 189,000 JPMorgan Chase & Co. 8,659,980 118,000 Morgan Stanley 7,434,000 ------------ 34,868,753 ------------ Health Care - Products -- 2.8% 30,300 Covidien, Ltd. 1,257,450 99,300 Medtronic, Inc. 5,601,513 ------------ 6,858,963 ------------ Home Builders -- 1.1% 70,900 Lennar Corp., Class A(c) 1,605,885 87,200 Pulte Homes, Inc.(c) 1,186,792 ------------ 2,792,677 ------------ Household Products & Wares -- 1.8% 55,900 Fortune Brands, Inc. 4,555,291 ------------ Insurance -- 1.1% 47,600 Aflac, Inc. 2,715,104 ------------ Leisure Time -- 5.8% 221,800 Carnival Corp. 10,741,774 83,000 Harley-Davidson, Inc. 3,835,430 ------------ 14,577,204 ------------ Manufacturing -- 0.4% 30,800 Tyco Electronics, Ltd. 1,091,244 ------------ Media -- 10.5% 40,310 Liberty Media Corp. - Capital, Series A(b) 5,031,898 512,700 Time Warner, Inc. 9,413,172 220,700 Viacom, Inc., Class B(b) 8,600,679 91,900 Walt Disney Co. (The) 3,160,441 ------------ 26,206,190 ------------ Office & Business Equipment -- 1.0% 144,900 Xerox Corp.(b) 2,512,566 ------------ Pharmaceuticals -- 1.0% 49,000 GlaxoSmithKline PLC, Sponsored ADR $ 2,606,800 ------------ Restaurants -- 4.7% 217,400 McDonald's Corp. 11,841,778 ------------ Retail -- 4.9% 85,900 Best Buy Co., Inc.(c) 3,953,118 202,500 Home Depot, Inc. 6,569,100 71,800 Limited Brands, Inc.(c) 1,643,502 ------------ 12,165,720 ------------ Savings & Loans -- 1.6% 112,400 Washington Mutual, Inc.(c) 3,968,844 ------------ Semiconductors -- 8.8% 613,200 Intel Corp. 15,857,352 171,000 Texas Instruments, Inc. 6,256,890 ------------ 22,114,242 ------------ Telecommunications -- 7.2% 410,300 Motorola, Inc. 7,602,859 546,000 Sprint Nextel Corp. 10,374,000 ------------ 17,976,859 ------------ Transportation -- 5.6% 22,600 FedEx Corp. 2,367,350 102,300 Union Pacific Corp. 11,566,038 ------------ 13,933,388 ------------ Total Common Stocks (Identified Cost $195,091,338) 239,105,965 ------------ Shares/ Principal Amount --------- Short-Term Investments -- 9.6% 12,545,142 State Street Securities Lending Quality Trust(d) 12,545,142 $11,357,732 Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/2007 at 3.750% to be repurchased at $11,361,282 on 10/1/2007, collateralized by $11,140,000 Federal Home Loan Mortgage Corp., 5.550% due 10/4/2016 valued at $11,585,600, including accrued interest(e) 11,357,732 ------------ Total Short-Term Investments (Identified Cost $23,902,874) 23,902,874 ------------ Total Investments -- 105.2% (Identified Cost $218,994,212)(a) 263,008,839 Other assets less liabilities -- (5.2)% (12,918,417) ------------ Net Assets -- 100% $250,090,422 ============ 1 Harris Associates Large Cap Value Fund -- Portfolio of Investments (continued) Investments as of September 30, 2007 (Unaudited) (+) Equity securities, including 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 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. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. 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 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. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact, if any, the adoption of FAS 157 will have on the Fund's financial statements. 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 September 30, 2007, the net unrealized appreciation on investments based on a cost of $218,994,212 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 $49,554,000 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (5,539,373) ----------- Net unrealized appreciation $44,014,627 =========== At December 31, 2006, the Fund had a capital loss carryforward of approximately $85,520,313 of which $50,921,004 expires on December 31, 2009, $24,633,843 expires on December 31, 2010 and $9,965,466 expires on December 31, 2011. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (b) Non-income producing security. 2 Harris Associates Large Cap Value Fund -- Portfolio of Investments (continued) Investments as of September 30, 2007 (Unaudited) (c) All or a portion of this security was on loan to brokers at September 30, 2007. The Fund has entered into an agreement with State Street Bank and Trust Company ("State Street Bank"), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at 102% of the market value of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value of loaned non-U.S. equities; and at least 100% of the market value of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at September 30, 2007 were $12,185,525 and $12,545,142, respectively. (d) Represents investment of securities lending collateral. (e) 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 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 on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. 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. Holdings at September 30, 2007 as a Percentage of Net Assets (unaudited) Diversified Financial Services 13.9% Computers 10.8 Media 10.5 Semiconductors 8.8 Telecommunications 7.2 Leisure Time 5.8 Transportation 5.6 Retail 4.9 Restaurants 4.7 Banks 4.2 Health Care - Products 2.8 Aerospace & Defense 2.3 Beverages 2.2 Athletic Footwear 2.0 Other, less than 2% each 9.9 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/ John T. Hailer --------------------------------- Name: John T. Hailer Title: President and Chief Executive Officer Date: November 28, 2007 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: November 28, 2007 By: /s/ Michael C. Kardok --------------------------------- Name: Michael C. Kardok Title: Treasurer Date: November 28, 2007