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, 2009

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

ASG GLOBAL ALTERNATIVES FUND — CONSOLIDATED PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2009 (Unaudited)

 

Principal
Amount		   

Description

    Value (†)
  Certificates of Deposit — 49.6% of Net Assets   
$ 900,000   

Chase Bank USA NA,

   
  

0.400%, 4/06/2009(b)

    $ 900,007
  900,000   

Bank of Nova Scotia,

   
  

0.560%, 4/06/2009

      900,007
  900,000   

Societe Generale,

   
  

0.750%, 4/08/2009

      900,030
  900,000   

Dexia Credit Local de France,

   
  

1.210%, 4/14/2009

      900,213
  900,000   

Bank of Ireland CT,

   
  

1.140%, 4/14/2009

      900,188
  900,000   

Landesbank Hessen Thueringen Girozent,

   
  

1.460%, 4/14/2009

      900,301
  900,000   

Australia & New Zealand Banking Group,

   
  

0.650%, 4/16/2009

      900,112
  900,000   

Standard Chartered PLC,

   
  

1.160%, 4/22/2009

      900,307
  500,000   

Banco Bilbao de Vizcaya,

   
  

3.600%, 4/23/2009

      500,955
  900,000   

Bayerische Hypo-Und Vereinsbank,

   
  

1.250%, 4/23/2009

      900,373
  900,000   

Bayerische Landesbank Girozentrale,

   
  

1.205%, 5/11/2009

      900,260
  900,000   

Landesbank Baden Wurtemburg NY,

   
  

1.160%, 5/12/2009

      900,220
  900,000   

Svenska Handelsbanken NY,

   
  

0.935%, 5/13/2009

      899,983
  900,000   

Rabobank Nederland,

   
  

0.750%, 6/09/2009(b)

      900,087
  900,000   

CALYON North America, Inc.,

   
  

2.700%, 6/10/2009(b)

      902,638
         
  

Total Certificates of Deposit

(Identified Cost $13,103,083)

      13,105,681
         
  Commercial Paper — 27.4%
  

Banking — 20.6%

   
  900,000   

Lloyd’s Bank PLC,

   
  

0.600%, 4/07/2009(c)

      899,910
  900,000   

Canadian Imperial Holdings, Inc.,

   
  

0.650%, 4/08/2009(c)

      899,886
  900,000   

ICICI Bank Ltd.,

   
  

(Credit Support: Bank of America),

   
  

1.200%, 4/16/2009(c)

      899,702
  900,000   

Commonwealth Bank of Australia,

   
  

0.545%, 4/23/2009(c)

      899,700
  900,000   

ING (US) Funding LLC,

   
  

0.470%, 4/23/2009(c)

      899,742
  950,000   

Royal Bank of Scotland,

   
  

0.970%, 5/15/2009(c)

      948,874
         
        5,447,814
         
  

Distribution/Wholesale — 3.4%

   
  900,000   

Louis Dreyfus Corp.,

   
  

(Credit Support: Barclays Bank),

   
  

1.420%, 4/29/2009(c)

      899,613
         
  

Education — 3.4%

   
  900,000   

Johns Hopkins University (The),

   
  

Series C,

   
  

0.600%, 5/21/2009

      900,000
         
  

Total Commercial Paper

(Identified Cost $7,246,668)

      7,247,427
         
  Time Deposits — 7.9%
  1,000,000   

BNP Paribas,

   
  

0.240%, 4/01/2009

      1,000,000
  1,000,000   

National Bank of Canada,

   
  

0.250%, 4/01/2009

      1,000,000
  100,000   

Royal Bank of Canada,

   
  

0.200%, 4/01/2009

      100,000
         
  

Total Time Deposits

(Identified Cost $2,100,000)

      2,100,000
         
  

Total Investments — 84.9%

(Identified Cost $22,449,751)(a)

      22,453,108
  

Other assets less liabilities — 15.1%

      3,996,270
         
  

Net Assets — 100.0%

    $ 26,449,378
         

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, 2009, the value of the Fund’s investment in the subsidiary was $2,923,791, representing 11.1% 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 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 priced at their most recent settlement price. Forward foreign currency contracts are “marked-to market” daily 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.

 

1

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

Investments as of March 31, 2009 (Unaudited)

 

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, 2009, the net unrealized appreciation on short term investments purchased with over 60 days to maturity based on a cost of $22,449,751 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

    $ 3,411  

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

      (54 )
        

Net unrealized appreciation

    $ 3,357  
        

At December 31, 2008, the Fund had a capital loss carryforward of approximately $783,520 which expires on December 31, 2016. At December 31, 2008, post-October capital loss deferrals were $44,398. These amounts 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 reflected in the Fund’s Statement of Assets and Liabilities. 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, 2009, the Fund had the following open forward foreign currency contracts:

 

Contract to Buy/Sell

   

Delivery
Date

   

Currency

    Units    Value    Unrealized
Appreciation
(Depreciation)		  

Buy1

    6/17/2009    Canadian Dollar    900,000    714,435    $ 7,066  

Buy1

    6/17/2009    Swiss Franc    125,000    109,997      1,110  

Buy1

    6/17/2009    Euro    2,375,000    3,155,722      126,314  

Sell1

    6/17/2009    Euro    625,000    830,453      27,219  

Buy1

    6/17/2009    British Pound    375,000    538,207      18,296  

Buy1

    6/17/2009    Japanese Yen    50,000,000    505,735      (3,961 )

Buy1

    6/17/2009    Swedish Krona    2,000,000    243,436      18,161  
                    

Total

                $ 194,205  
                    

 

1

Counterparty is UBS.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index (e.g., an interest-bearing security) for a specified price on a specified future date.

When the Fund 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 or short-term high-quality securities. This initial cash margin, if any, is reflected on the Statement of Assets and Liabilities as part of “Due from brokers”. 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, depending on the price fluctuations in the fair value of the contract and the value of the collateral held. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures have 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 are limited.

At March 31, 2009, open futures contracts purchased were as follows:

 

Financial Futures

   

Expiration
Date

    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Dax

    6/19/2009    1    $ 136,248    $ 1,976  

Euro Dollar

    6/15/2009    31      7,664,750      9,488  

FTSE 100

    6/19/2009    4      222,976      5,481  

German Euro Bund

    6/08/2009    7      1,157,224      6,005  

S&P 500 E Mini

    6/19/2009    4      158,950      150  

TOPIX

    6/12/2009    3      235,490      18,942  

UK Long Gilt

    6/26/2009    9      1,591,091      15,712  

10 Year Japan

            

Government Bond

    6/11/2009    1      1,395,666      (3,132 )

10 Year U.S. Treasury

            

Note

    6/19/2009    17      2,109,328      51,500  
                 

Total

             $ 106,122  
                 

 

2

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

Investments as of March 31, 2009 (Unaudited)

 

Commodity Futures

    Expiration
Date		    Contracts    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  

Aluminum

    6/17/2009    18    $ 623,813    $ 25,725  

Brent Crude Oil

    4/15/2009    10      492,300      25,360  

Copper

    6/17/2009    2      201,850      16,218  

Gas Oil

    5/12/2009    3      128,250      (10,125 )

Gold

    6/26/2009    1      92,500      (1,620 )

Heating Oil

    4/30/2009    4      229,807      (2,612 )

Light Sweet Crude Oil

    4/21/2009    11      546,260      16,170  

Natural Gas

    4/28/2009    7      264,320      (41,650 )

Nickel

    6/17/2009    2      118,044      1,884  

Zinc

    6/17/2009    3      98,813      4,269  
                 

Total

             $ 33,619  
                 

Fair Value Measurements

In accordance with standards established by the Financial Accounting Standards Board, the Fund has categorized the inputs utilized in determining the value of its investments. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 - quoted prices in active markets for identical investments;

 

  •  

Level 2 - prices determined using other significant observable inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar investments, 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 investment (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of investments 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.

Other financial instruments are derivative instruments not reflected in investments carried at value and include futures contracts and forward foreign currency contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2009:

 

Securities Purchased Valuation Inputs

    Investments in
Securities

Level 1 - Quoted Prices

    $ —  

Level 2 - Other Significant Observable Inputs

      22,453,108

Level 3 - Significant Unobservable Inputs

      —  
      

Total

    $ 22,453,108
      

Valuation Inputs

    Other Financial
Instruments

Level 1 - Quoted Prices

    $ 139,741

Level 2 - Other Significant Observable Inputs

      194,205

Level 3 - Significant Unobservable Inputs

      —  
      

Total

    $ 333,946
      

In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the Fund’s financial statement disclosures.

Derivatives

The Fund adopted Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”), effective January 1, 2009. FAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. 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 may use 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 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 following is a summary of derivative instruments for the Fund, as of March 31, 2009:

 

     Fair Value  

Asset Derivatives

   

Foreign exchange contracts

    $ 198,166  

Equity contracts

      26,550  

Interest rate contracts

      82,704  

Commodity contracts

      89,626  
        

Liability Derivatives

   

Foreign exchange contracts

    $ (3,961 )

Equity contracts

      —    

Interest rate contracts

      (3,132 )

Commodity contracts

      (56,007 )
        

Net Asset Summary at March 31, 2009 (Unaudited)

 

Certificates of Deposit

    49.6 %

Banking

    20.6  

Time Deposits

    7.9  

Education

    3.4  

Distribution/Wholesale

    3.4  
      

Total Investments

    84.9  

Other assets less liabilities (including open Forward Foreign Currency and Futures Contracts)

    15.1  
      

Net Assets

    100.0 %
      

 

3

DELAFIELD SELECT FUND — PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2009 (Unaudited)

 

Shares   

Description

    Value (†)  
  Common Stocks — 88.4% of Net Assets   
   Aerospace & Defense — 2.3%   
  13,500    Esterline Technologies Corp.(b)    $ 272,565  
           
   Chemicals — 6.6%   
  46,000    Ashland, Inc.      475,180  
  21,000    Cytec Industries, Inc.      315,420  
           
        790,600  
           
   Commercial Services & Supplies — 1.4%   
  10,000    Republic Services, Inc.      171,500  
           
   Electrical Equipment — 4.2%   
  13,000    Acuity Brands, Inc.      293,020  
  12,100    Brady Corp.      213,323  
           
        506,343  
           
   Electronic Equipment & Instruments — 13.6%   
  61,000    Checkpoint Systems, Inc.(b)      547,170  
  222,000    Flextronics International Ltd.(b)      641,580  
  130,000    Vishay Intertechnology, Inc.(b)      452,400  
           
        1,641,150  
           
   Health Care Technology — 2.8%   
  27,500    IMS Health, Inc.      342,925  
           
   Industrial Conglomerates — 3.8%   
  23,000    Carlisle Cos., Inc.      451,490  
           
   Internet Software & Services — 4.4%   
  24,000    j2 Global Communications, Inc.(b)      525,360  
           
   IT Services — 10.0%   
  23,300    Cognizant Technology Solutions Corp., Class A(b)      484,407  
  34,500    Genpact Ltd.(b)      305,670  
  90,000    Tier Technologies, Inc., Class B(b)      416,700  
           
        1,206,777  
           
   Life Sciences Tools & Services — 4.6%   
  15,500    Thermo Fisher Scientific, Inc.(b)      552,885  
           
   Machinery — 20.3%   
  65,000    Albany International Corp., Class A      588,250  
  54,000    Barnes Group, Inc.      577,260  
  32,000    Crane Co.      540,160  
  43,000    Federal Signal Corp.      226,610  
  31,400    Kennametal, Inc.      508,994  
           
        2,441,274  
           
   Paper & Forest Products — 2.7%   
  134,000    KapStone Paper and Packaging Corp.(b)      329,640  
           
   Specialty Retail — 9.1%   
  53,000    Collective Brands, Inc.(b)      516,220  
  55,000    Foot Locker, Inc.      576,400  
           
        1,092,620  
           
   Textiles, Apparel & Luxury Goods — 2.6%   
  34,000    Maidenform Brands, Inc.(b)      311,440  
           
  

Total Common Stocks

(Identified Cost $15,395,706)

     10,636,569  
           
Principal
Amount		   

Description

    Value (†)  
  Short-Term Investments — 15.9%   
$ 1,910,511   

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2009 at 0.000% to be repurchased at $1,910,511 on 4/01/2009, collateralized by $1,830,000 Federal National Mortgage Association, 7.250% due 1/15/2010 valued at $1,948,950 including accrued interest (c)

(Identified Cost $1,910,511)

    $ 1,910,511  
           
  

Total Investments — 104.3%

(Identified Cost $17,306,217)(a)

      12,547,080  
  

Other assets less liabilities — (4.3)%

      (521,002 )
           
  

Net Assets — 100.0%

    $ 12,026,078  
           

 

(†) 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 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 Markets 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 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 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.

 

1

DELAFIELD SELECT FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of March 31, 2009 (Unaudited)

 

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, 2009, the net unrealized depreciation on investments based on a cost of $17,306,217 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

    $ 319,808  

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

      (5,078,945 )
        

Net unrealized depreciation

    $ (4,759,137 )
        

 

(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. The 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 standards established by the Financial Accounting Standards Board, the Fund has categorized the inputs utilized in determining the value of its investments. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 - quoted prices in active markets for identical investments;

 

  •  

Level 2 - prices determined using other significant observable inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar investments, 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 investment (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of investments 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, 2009:

 

Valuation Inputs

    Investments in
Securities

Level 1 - Quoted Prices

    $ 12,547,080

Level 2 - Other Significant Observable Inputs

      —  

Level 3 - Significant Unobservable Inputs

      —  
      

Total

    $ 12,547,080
      

In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the Fund’s financial statement disclosures.

Derivatives

Management has evaluated the requirements of Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”), which became effective on January 1, 2009. FAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. Management has concluded that, since the Fund did not hold any derivative instruments during the 3 months ended March 31, 2009, no additional disclosures pursuant to FAS 161 are required at this time.

 

2

DELAFIELD SELECT FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of March 31, 2009 (Unaudited)

 

Net Asset Summary at March 31, 2009 (Unaudited)

 

Machinery

    20.3 %

Electronic Equipment & Instruments

    13.6  

IT Services

    10.0  

Specialty Retail

    9.1  

Chemicals

    6.6  

Life Sciences Tools & Services

    4.6  

Internet Software & Services

    4.4  

Electrical Equipment

    4.2  

Industrial Conglomerates

    3.8  

Health Care Technology

    2.8  

Paper & Forest Products

    2.7  

Textiles, Apparel & Luxury Goods

    2.6  

Aerospace & Defense

    2.3  

Commercial Services & Supplies

    1.4  

Short -Term Investments

    15.9  
      

Total Investments

    104.3  

Other assets less liabilities

    (4.3 )
      

Net Assets

    100.0 %
      

 

3

HARRIS ASSOCIATES LARGE CAP VALUE FUND — PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2009 (Unaudited)

 

Shares   

Description

    Value (†)
  Common Stocks — 95.2% of Net Assets   
  

Aerospace & Defense — 3.4%

   
  66,300   

Boeing Co. (The)

    $ 2,358,954
  19,700   

General Dynamics Corp.

      819,323
         
        3,178,277
         
  

Air Freight & Logistics — 3.0%

   
  62,000   

FedEx Corp.

      2,758,380
         
  

Automotive — 1.5%

   
  100,200   

Harley-Davidson, Inc.

      1,341,678
         
  

Capital Markets — 13.2%

   
  167,600   

Bank of New York Mellon Corp.

      4,734,700
  58,800   

Franklin Resources, Inc.

      3,167,556
  124,900   

Legg Mason, Inc.

      1,985,910
  100,000   

Morgan Stanley

      2,277,000
         
        12,165,166
         
  

Computers & Peripherals — 5.7%

   
  162,600   

Hewlett-Packard Co.

      5,212,956
         
  

Consumer Finance — 3.2%

   
  120,200   

American Express Co.

      1,638,326
  212,850   

Discover Financial Services

      1,343,083
         
        2,981,409
         
  

Diversified Financial Services — 7.4%

   
  242,000   

Bank of America Corp.

      1,650,440
  194,500   

JP Morgan Chase & Co.

      5,169,810
         
        6,820,250
         
  

Energy Equipment & Services — 1.3%

   
  41,000   

National-Oilwell Varco, Inc.(b)

      1,177,110
         
  

Food & Staples Retailing — 5.4%

   
  92,300   

CVS Caremark Corp.

      2,537,327
  93,300   

Walgreen Co.

      2,422,068
         
        4,959,395
         
  

Health Care Equipment & Supplies — 3.2%

   
  100,300   

Medtronic, Inc.

      2,955,841
         
  

Hotels, Restaurants & Leisure — 10.0%

   
  235,100   

Carnival Corp.

      5,078,160
  159,200   

Marriott International, Inc., Class A

      2,604,512
  8,300   

McDonald’s Corp.

      452,931
  84,300   

Starwood Hotels & Resorts Worldwide, Inc.

      1,070,610
         
        9,206,213
         
  

Household Durables — 1.0%

   
  38,200   

Fortune Brands, Inc.

      937,810
         
  

Machinery — 4.2%

   
  33,100   

Caterpillar, Inc.

      925,476
  96,400   

Illinois Tool Works, Inc.

      2,973,940
         
        3,899,416
         
  

Media — 9.7%

   
  134,500   

Comcast Corp., Special Class A

      1,731,015
  102,900   

Omnicom Group, Inc.

      2,407,860
  14,458   

Time Warner Cable, Inc.

      358,563
  57,600   

Time Warner, Inc.

      1,111,680
  75,900   

Viacom, Inc., Class B(b)

      1,319,142
  111,000   

Walt Disney Co. (The)

      2,015,760
         
        8,944,020
         
  

Oil, Gas & Consumable Fuels — 4.5%

   
  22,400   

Apache Corp.

      1,435,616
  234,800   

Williams Cos., Inc.

      2,672,024
         
        4,107,640
         
  

Paper & Forest Products — 2.1%

   
  69,100   

Weyerhaeuser Co.

      1,905,087
         
  

Pharmaceuticals — 0.9%

   
  35,800   

Schering-Plough Corp.

      843,090
         
  

Road & Rail — 2.6%

   
  57,300   

Union Pacific Corp.

      2,355,603
         
  

Semiconductors & Semiconductor Equipment — 9.2%

   
  431,300   

Intel Corp.

      6,491,065
  119,000   

Texas Instruments, Inc.

      1,964,690
         
        8,455,755
         
  

Specialty Retail — 2.5%

   
  60,000   

Best Buy Co., Inc.

      2,277,600
         
  

Textiles, Apparel & Luxury Goods — 1.2%

   
  22,700   

NIKE, Inc., Class B

      1,064,403
         
  

Total Common Stocks

(Identified Cost $139,215,599)

      87,547,099
         
Principal
Amount		          
  Short-Term Investments — 4.4%   
$ 4,096,352   

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2009 at 0.000% to be repurchased at $4,096,352 on 4/01/2009, collateralized by $4,035,000 Federal Home Loan Mortgage Corp., 4.270% due 12/03/2013 valued at $4,180,664, including accrued interest(c)

(Identified Cost $4,096,352)

      4,096,352
         
  

Total Investments — 99.6%

(Identified Cost $143,311,951)(a)

      91,643,451
  

Other assets less liabilities — 0.4%

      327,685
         
  

Net Assets — 100.0%

    $ 91,971,136
         

 

1

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

Investments as of March 31, 2009 (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 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 Markets 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 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.

 

(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, 2009, the net unrealized depreciation on investments based on a cost of $143,311,951 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

    $ 2,317,031  

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

      (53,985,531 )
        

Net unrealized depreciation

    $ (51,668,500 )
        

At December 31, 2008, the Fund had a capital loss carryforward of approximately $60,007,143 of which $25,407,834 expires on December 31, 2009, $24,633,843 expires on December 31, 2010 and $9,965,466 expires on December 31, 2011. At December 31, 2008 post-October capital loss deferrals were $5,652,406. 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. The 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 standards established by the Financial Accounting Standards Board, the Fund has categorized the inputs utilized in determining the value of its investments. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 - quoted prices in active markets for identical investments;

 

  •  

Level 2 - prices determined using other significant observable inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar investments, 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 investment (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of investments 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, 2009 (Unaudited)

 

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2009:

 

Valuation Inputs

    Investments in
Securities

Level 1 - Quoted Prices

    $ 91,643,451

Level 2 - Other Significant Observable Inputs

      —  

Level 3 - Significant Unobservable Inputs

      —  
      

Total

    $ 91,643,451
      

In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the Fund’s financial statement disclosures.

Derivatives

Management has evaluated the requirements of Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”), which became effective on January 1, 2009. FAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. Management has concluded that, since the Fund did not hold any derivative instruments during the three months ended March 31, 2009, no additional disclosures pursuant to FAS 161 are required at this time.

Net Asset Summary at March 31, 2009 (Unaudited)

 

Capital Markets

    13.2 %

Hotels, Restaurants & Leisure

    10.0  

Media

    9.7  

Semiconductors & Semiconductor Equipment

    9.2  

Diversified Financial Services

    7.4  

Computers & Peripherals

    5.7  

Food & Staples Retailing

    5.4  

Oil, Gas & Consumable Fuels

    4.5  

Machinery

    4.2  

Aerospace & Defense

    3.4  

Consumer Finance

    3.2  

Health Care Equipment & Supplies

    3.2  

Air Freight & Logistics

    3.0  

Road & Rail

    2.6  

Specialty Retail

    2.5  

Paper & Forest Products

    2.1  

Other Investments, less than 2% each

    5.9  

Short-Term Investments

    4.4  
      

Total Investments

    99.6  

Other assets less liabilities

    0.4  
      

Net Assets

    100.0 %
      

 

3

VAUGHAN NELSON VALUE OPPORTUNITY FUND — PORTFOLIO OF INVESTMENTS

Investments as of March 31, 2009 (Unaudited)

 

Shares   

Description

    Value (†)
Common Stocks — 95.1% of Net Assets   
   Aerospace & Defense — 1.1%   
175   

Alliant Techsystems, Inc.(b)

    $ 11,722
         
   Capital Markets — 3.9%   
375   

Jefferies Group, Inc.

      5,175
925   

Raymond James Financial, Inc.

      18,222
1,175   

TD Ameritrade Holding Corp.(b)

      16,227
         
        39,624
         
   Chemicals — 3.5%   
550   

Albemarle Corp.

      11,973
300   

FMC Corp.

      12,942
850   

Nalco Holding Co.

      11,110
         
        36,025
         
   Commercial Banks — 2.4%   
200   

Cullen/Frost Bankers, Inc.

      9,388
550   

Prosperity Bancshares, Inc.

      15,042
         
        24,430
         
   Commercial Services & Supplies — 2.7%
375   

Pitney Bowes, Inc.

      8,756
350   

R. R. Donnelley & Sons Co.

      2,566
625   

Waste Connections, Inc.(b)

      16,062
         
        27,384
         
   Communications Equipment — 2.1%   
875   

Nice Systems Ltd., Sponsored ADR(b)

      21,753
         
   Containers & Packaging — 3.0%   
1,550   

Owens-Illinois, Inc.(b)

      22,382
552   

Pactiv Corp.(b)

      8,054
         
        30,436
         
   Electrical Equipment — 0.6%   
300   

General Cable Corp.(b)

      5,946
         
   Electronic Equipment & Instruments — 0.5%
100   

Mettler-Toledo International, Inc.(b)

      5,133
   Energy Equipment & Services — 2.9%
2,625   

Cal Dive International, Inc.(b)

      17,771
375   

Dresser-Rand Group, Inc.(b)

      8,288
300   

Superior Energy Services, Inc.(b)

      3,867
         
        29,926
         
   Food & Staples Retailing — 1.8%   
850   

Kroger Co. (The)

      18,037
         
   Food Products — 8.8%   
825   

Archer-Daniels-Midland Co.

      22,918
1,700   

ConAgra Foods, Inc.

      28,679
425   

J.M. Smucker Co. (The)

      15,840
425   

Ralcorp Holdings, Inc.(b)

      22,899
         
        90,336
         
   Health Care Equipment & Supplies — 4.1%
125   

Becton, Dickinson and Co.

      8,405
100   

C.R. Bard, Inc.

      7,972
125   

Teleflex, Inc.

      4,886
575   

Zimmer Holdings, Inc.(b)

      20,988
         
        42,251
         
   Health Care Providers & Services — 6.2%
625   

DaVita, Inc.(b)

      27,469
450   

Henry Schein, Inc.(b)

      18,004
600   

MEDNAX, Inc.(b)

      17,682
         
        63,155
         
  

Hotels, Restaurants & Leisure — 0.7%

1,436   

Wendy’s/Arby’s Group, Inc., Class A

      7,223
         
  

Household Products — 2.7%

   
550   

Energizer Holdings, Inc.(b)

      27,329
         
  

Independent Power Producers & Energy Traders — 1.1%

   
1,700   

Calpine Corp.(b)

      11,577
         
  

Industrial Conglomerates — 0.5%

   
375   

McDermott International, Inc.(b)

      5,021
         
  

Insurance — 12.7%

   
675   

ACE Ltd.

      27,270
100   

Arch Capital Group Ltd.(b)

      5,386
875   

HCC Insurance Holdings, Inc.

      22,041
875   

IPC Holdings Ltd.

      23,660
350   

Reinsurance Group of America, Inc.

      11,336
925   

W.R. Berkley Corp.

      20,859
850   

Willis Group Holdings Ltd.

      18,700
         
        129,252
         
  

Internet Software & Services — 0.1%

   
50   

eBay, Inc.(b)

      628
         
  

IT Services — 1.0%

   
275   

Fiserv, Inc.(b)

      10,027
         
  

Leisure Equipment & Products — 0.9%

800   

Mattel, Inc.

      9,224
         
  

Life Sciences Tools & Services — 1.8%

525   

Thermo Fisher Scientific, Inc.(b)

      18,727
         
  

Machinery — 2.0%

   
150   

Eaton Corp.

      5,529
225   

Harsco Corp.

      4,988
75   

Kaydon Corp.

      2,050
175   

Lincoln Electric Holdings, Inc.

      5,546
250   

Terex Corp.(b)

      2,312
         
        20,425
         
  

Media — 1.3%

   
550   

Omnicom Group, Inc.

      12,870
         
  

Oil, Gas & Consumable Fuels — 2.8%

   
125   

Anadarko Petroleum Corp.

      4,861
525   

Petrohawk Energy Corp.(b)

      10,096
1,300   

SandRidge Energy, Inc.(b)

      8,567
175   

XTO Energy, Inc.

      5,358
         
        28,882
         
  

Professional Services — 1.0%

   
400   

Equifax, Inc.

      9,780
         
  

REITs — 3.2%

   
2,325   

Annaly Capital Management, Inc.

      32,248
         
  

Road & Rail — 0.3%

   
75   

Canadian National Railway Co.

      2,659
         
  

Software — 6.5%

   
950   

Amdocs Ltd.(b)

      17,594
300   

Check Point Software Technologies Ltd.(b)

      6,663

 

1

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

Investments as of March 31, 2009 (Unaudited)

 

Shares   

Description

    Value (†)
  

Software — continued

   
2,100   

Nuance Communications, Inc.(b)

    $ 22,806
650   

Sybase, Inc.(b)

      19,688
         
        66,751
         
  

Specialty Retail — 6.2%

   
25   

AutoZone, Inc.(b)

      4,066
500   

Best Buy Co., Inc.

      18,980
650   

GameStop Corp., Class A(b)

      18,213
225   

Ross Stores, Inc.

      8,073
750   

Staples, Inc.

      13,582
         
        62,914
         
  

Textiles, Apparel & Luxury Goods — 1.5%

575   

Phillips-Van Heusen Corp.

      13,041
50   

VF Corp.

      2,856
         
        15,897
         
  

Thrifts & Mortgage Finance — 3.0%

   
1,200   

New York Community Bancorp, Inc.

      13,404
975   

People’s United Financial, Inc.

      17,521
         
        30,925
         
  

Wireless Telecommunication Services — 2.2%

1,425   

Syniverse Holdings, Inc.(b)

      22,458
         
  

Total Common Stocks

(Identified Cost $1,056,895)

      970,975
         
Exchange Traded Funds — 1.8%   
750   

iShares Russell Midcap Value Index Fund

(Identified Cost $21,949)

      17,865
         
  

Total Investments — 96.9%

(Identified Cost $1,078,844)(a)

      988,840
  

Other assets less liabilities — 3.1%

      31,741
         
  

Net Assets — 100.0%

    $ 1,020,581
         

 

(†) 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 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 Markets 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 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, 2009 (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, 2009. the net unrealized depreciation on investments based on a cost of $1,078,844 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

    $ 38,062  
 

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

      (128,066 )
          
 

Net unrealized depreciation

    $ (90,004 )
          
  At December 31, 2008 post-October capital loss deferrals were $4,369. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.   

(b)

   Non-income producing security.  

ADR

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

REITs

   Real Estate Investment Trusts  

Fair Value Measurements

In accordance with standards established by the Financial Accounting Standards Board, the Fund has categorized the inputs utilized in determining the value of its investments. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 - quoted prices in active markets for identical investments;

 

  •  

Level 2 - prices determined using other significant observable inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar investments, 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 investment (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of investments 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, 2009:

 

Valuation Inputs

    Investments in
Securities

Level 1 - Quoted Prices

    $ 988,840

Level 2 - Other Significant Observable Inputs

      —  

Level 3 - Significant Unobservable Inputs

      —  
      

Total

    $ 988,840
      

In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the Fund’s financial statement disclosures.

Derivatives

Management has evaluated the requirements of Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (“FAS 161”), which became effective on January 1, 2009. FAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. Management has concluded that, since the Fund did not hold any derivative instruments during the three months ended March 31, 2009, no additional disclosures pursuant to FAS 161 are required at this time.

Net Asset Summary at March 31, 2009 (Unaudited)

 

Insurance

    12.7 %

Food Products

    8.8  

Software

    6.5  

Health Care Providers & Services

    6.2  

Specialty Retail

    6.2  

Health Care Equipment & Supplies

    4.1  

Capital Markets

    3.9  

Chemicals

    3.5  

REITs

    3.2  

Thrifts & Mortgage Finance

    3.0  

Containers & Packaging

    3.0  

Energy Equipment & Services

    2.9  

Oil, Gas & Consumable Fuels

    2.8  

Commercial Services & Supplies

    2.7  

Household Products

    2.7  

Commercial Banks

    2.4  

Wireless Telecommunication Services

    2.2  

Communications Equipment

    2.1  

Machinery

    2.0  

Other Investments, less than 2% each

    16.0  
      

Total Investments

    96.9  

Other assets less liabilities

    3.1  
      

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 Giunta

Name:   David Giunta
Title:   President and Chief Executive Officer
Date:   May 26, 2009

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 Giunta

Name:   David Giunta
Title:   President and Chief Executive Officer
Date:   May 26, 2009
By:  

/s/ Michael C. Kardok

Name:   Michael C. Kardok
Title:   Treasurer
Date:   May 26, 2009