N-Q 1 d318291dnq.htm NATIXIS FUNDS TRUST II N-Q NATIXIS FUNDS TRUST II N-Q

 

 

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.

NGAM Distribution, 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: November 30

Date of reporting period: February 29, 2012

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of February 29, 2012 (Unaudited)

ASG Growth Markets Fund

 

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Description

    Value (†)  

 

Common Stocks – 65.6% of Net Assets

  

   Brazil – 10.8%   
  11,300       Banco Bradesco S.A., Sponsored Preference ADR(b)    $ 204,982   
  3,100       Banco do Brasil S.A., Sponsored ADR      50,313   
  3,600       Banco Santander Brasil S.A., ADR      38,448   
  6,700       BM&FBovespa S.A.      44,829   
  2,600       BR Malls Participacoes S.A.      33,324   
  1,500       Braskem S.A., Sponsored ADR      27,690   
  5,200       BRF - Brasil Foods S.A., ADR      108,732   
  4,400       CCR S.A.      35,154   
  2,012       Centrais Eletricas Brasileiras S.A., Preference ADR      30,723   
  2,900       Centrais Eletricas Brasileiras S.A., Sponsored ADR      31,349   
  1,400       CETIP S.A. - Balcao Organizado de Ativos e Derivativos      26,088   
  500       Cia Brasileira de Distribuicao Grupo Pao de Acucar, Preference ADR      23,380   
  4,300       Cia de Bebidas das Americas, Preference ADR(b)      172,043   
  600       Cia de Saneamento Basico do Estado de Sao Paulo, ADR      45,072   
  3,300       Cia Energetica de Minas Gerais, Sponsored Preference ADR      75,339   
  1,300       Cia Hering      34,967   
  1,000       Cia Paranaense de Energia, Sponsored Preference ADR      24,880   
  1,200       Cielo S.A., Sponsored ADR      42,912   
  700       CPFL Energia S.A., ADR      22,687   
  800       EDP - Energias do Brasil S.A.      19,566   
  895       Embraer S.A., ADR      26,904   
  2,500       Fibria Celulose S.A., Sponsored ADR      23,025   
  4,100       Gerdau S.A., Sponsored Preference ADR      42,640   
  2,600       Gol Linhas Aereas Inteligentes S.A., Preference ADR      22,854   
  12,900       Itau Unibanco Holding S.A., Preference ADR(b)      271,545   
  1,100       Light S.A.      17,423   
  900       Odontoprev S.A.      15,671   
  1,876       OGX Petroleo e Gas Participacoes S.A., Sponsored ADR(c)      18,854   
  1,700       Oi S.A., ADR      34,000   
  7,423       Petroleo Brasileiro S.A., ADR(b)      221,502   
  11,000       Petroleo Brasileiro S.A., Sponsored Preference ADR(b)      313,390   
  2,100       Redecard S.A.      43,657   
  2,700       Souza Cruz S.A.      40,424   
  1,000       TAM S.A., Preference ADR      23,510   
  1,900       Tele Norte Leste      25,614   
  2,899       Tele Norte Leste, Preference ADR      31,135   
  1,800       Telefonica Brasil S.A., Preference ADR      52,974   
  2,100       Tim Participacoes S.A., ADR      63,105   
  1,100       Tractebel Energia S.A.      19,460   
  3,000       Ultrapar Participacoes S.A., Sponsored ADR      67,260   
  6,738       Vale S.A., Sponsored ADR(b)      169,393   
  10,821       Vale S.A., Sponsored Preference ADR(b)      265,980   
     

 

 

  

 

2,902,798

  

     

 

 

  
   Chile – 1.0%   
  319       Banco de Chile, ADR      30,465   
  500       Banco Santander Chile, ADR      40,505   
  600       Cia Cervecerias Unidas S.A., ADR      43,152   
  1,400       Corpbanca S.A., ADR      29,666   

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Description

    Value (†)  

 

Common Stocks – continued

  

   Chile – continued   
  900       Empresa Nacional de Electricidad S.A., Sponsored ADR    $ 47,556   
  2,000       Enersis S.A., Sponsored ADR      40,420   
  500       Sociedad Quimica y Minera de Chile S.A., Sponsored ADR      29,590   
     

 

 

  

 

261,354

  

     

 

 

  
   China – 15.1%   
  22,000       Agile Property Holdings Ltd.      29,349   
  84,000       Agricultural Bank of China Ltd., Class H      41,553   
  22,000       Air China Ltd., Class H      16,528   
  26,000       Angang Steel Co. Ltd., Class H      20,159   
  8,000       Anhui Conch Cement Co. Ltd., Class H      27,610   
  44,000       AviChina Industry & Technology Co. Ltd., Class H      22,477   
  363,000       Bank of China Ltd., Class H(b)      157,933   
  37,000       Bank of Communications Co. Ltd., Class H      30,343   
  58,000       Beijing Capital International Airport Co. Ltd., Class H      28,735   
  5,500       Beijing Enterprises Holdings Ltd.      34,822   
  20,000       Belle International Holdings Ltd.      32,675   
  24,000       Brilliance China Automotive Holdings Ltd.(c)      27,801   
  24,000       China BlueChemical Ltd., Class H      18,690   
  46,000       China Citic Bank Corp. Ltd., Class H      29,932   
  39,000       China Communications Construction Co. Ltd., Class H      39,790   
  339,000       China Construction Bank Corp., Class H(b)      284,219   
  39,000       China COSCO Holdings Co. Ltd., Class H      25,425   
  2,700       China Life Insurance Co. Ltd., ADR      125,145   
  10,000       China Mengniu Dairy Co. Ltd.      28,311   
  8,000       China Merchants Bank Co. Ltd., Class H      18,195   
  6,000       China Merchants Holdings International Co. Ltd.      20,633   
  22,500       China Minsheng Banking Corp. Ltd., Class H      21,745   
  34,500       China Mobile Ltd.(b)      367,202   
  14,000       China National Building Material Co. Ltd., Class H      20,083   
  10,000       China Oilfield Services Ltd., Class H      17,408   
  24,000       China Overseas Land & Investment Ltd.      49,770   
  1,299       China Petroleum & Chemical Corp., ADR(b)      147,164   
  10,000       China Resources Enterprise Ltd.      37,119   
  12,000       China Resources Gas Group Ltd.      18,582   
  10,000       China Resources Land Ltd.      18,935   
  10,000       China Resources Power Holdings Co. Ltd.      19,636   
  26,000       China Shanshui Cement Group Ltd.      23,953   
  21,000       China Shenhua Energy Co. Ltd., Class H      96,219   
  95,000       China Shipping Container Lines Co. Ltd., Class H(c)      32,251   
  8,400       China Taiping Insurance Holdings Co. Ltd.(c)      19,551   
  1,400       China Telecom Corp. Ltd., ADR      85,050   
  32,000       China Unicom Hong Kong Ltd.      57,116   
  13,500       China ZhengTong Auto Services Holdings Ltd.(c)      16,520   
  49,600       China Zhongwang Holdings Ltd.      21,697   
  1,151       CNOOC Ltd., ADR(b)      260,679   
  84,000       Country Garden Holdings Co. Ltd.      37,885   
  13,000       Dah Chong Hong Holdings Ltd.      18,288   
  14,000       Daphne International Holdings Ltd.      17,575   
  20,000       Dongfeng Motor Group Co. Ltd., Class H      38,864   
  32,000       Dongyue Group      32,703   
  6,000       ENN Energy Holdings Ltd.      20,399   
  68,000       Evergrande Real Estate Group Ltd.      42,847   

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Description

    Value (†)  

 

Common Stocks – continued

  

   China – continued   
  84,000       Franshion Properties China Ltd.    $ 22,346   
  112,000       GOME Electrical Appliances Holding Ltd.      33,849   
  11,000       Great Wall Motor Co. Ltd., Class H      22,034   
  54,000       Guangdong Investment Ltd.      35,358   
  25,200       Guangzhou R&F Properties Co. Ltd., Class H      33,112   
  17,000       Haier Electronics Group Co. Ltd.(c)      21,161   
  3,500       Hengan International Group Co. Ltd.      31,676   
  332,000       Industrial & Commercial Bank of China Ltd., Class H(b)      242,249   
  7,000       Inner Mongolia Yitai Coal Co., Class B      39,541   
  14,000       Kunlun Energy Co. Ltd.      23,383   
  46,000       Lee & Man Paper Manufacturing Ltd.      24,174   
  3,800       Lenovo Group Ltd., ADR      66,766   
  10,500       Longfor Properties Co. Ltd.      15,111   
  1,416       PetroChina Co. Ltd., ADR(b)      212,726   
  14,000       PICC Property & Casualty Co. Ltd., Class H      19,634   
  2,000       Ping An Insurance (Group) Co. of China Ltd., Class H      17,364   
  53,000       Poly Hong Kong Investments Ltd.      33,646   
  8,300       Semiconductor Manufacturing International Corp., ADR(c)      21,414   
  8,000       Shanghai Industrial Holdings Ltd.      28,987   
  25,500       Shimao Property Holdings Ltd.      33,134   
  66,500       Shui On Land Ltd.      28,522   
  34,500       Sino-Ocean Land Holdings Ltd.      19,716   
  86,000       Sinofert Holdings Ltd.      25,668   
  672       Sinopec Shanghai Petrochemical Co. Ltd., Sponsored ADR      25,334   
  47,000       Soho China Ltd.      34,143   
  4,800       Tencent Holdings Ltd.      124,551   
  12,000       Tingyi Cayman Islands Holding Corp.      35,357   
  4,000       Tsingtao Brewery Co. Ltd., Class H      21,532   
  33,000       Want Want China Holdings Ltd.      32,719   
  5,000       Weichai Power Co. Ltd., Class H      27,512   
  2,200       Yanzhou Coal Mining Co. Ltd., Sponsored ADR      54,252   
  17,000       Yingde Gases      18,752   
  10,500       Zhaojin Mining Industry Co. Ltd., Class H      21,621   
  5,600       ZTE Corp., Class H      16,682   
     

 

 

  

 

4,063,592

  

     

 

 

  
   Colombia – 0.5%   
  800       BanColombia S.A., Sponsored Preference ADR      51,120   
  1,700       Ecopetrol S.A., Sponsored ADR      98,923   
     

 

 

  

 

150,043

  

     

 

 

  
   Egypt – 0.1%   
  5,246       Commercial International Bank Egypt S.A.E., GDR      21,016   
     

 

 

  
   India – 1.4%   
  1,591       Axis Bank Ltd., GDR      38,456   
  1,900       HDFC Bank Ltd., ADR      65,265   
  1,410       ICICI Bank Ltd., Sponsored ADR      51,183   
  1,865       Infosys Ltd., Sponsored ADR(b)      107,573   
  2,418       Mahindra & Mahindra Ltd., Sponsored GDR      34,916   
  6,566       Satyam Computer Services Ltd., ADR(c)      17,400   
  396       State Bank of India, Sponsored GDR      35,929   

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Description

    Value (†)  

 

Common Stocks – continued

  

   India – continued   
  1,105       Tata Motors Ltd., Sponsored ADR    $ 30,166   
     

 

 

  

 

380,888

  

     

 

 

  
   Indonesia – 2.2%   
  125,500       Aneka Tambang Tbk PT      27,186   
  12,500       Astra International Tbk PT      97,865   
  58,000       Bank Central Asia Tbk PT      48,710   
  31,000       Bank Danamon Indonesia Tbk PT      15,342   
  68,000       Bank Mandiri Tbk PT      48,425   
  58,000       Bank Negara Indonesia Persero Tbk PT      24,223   
  107,000       Bank Rakyat Indonesia Persero Tbk PT      81,560   
  118,500       Charoen Pokphand Indonesia Tbk PT      35,027   
  4,000       Gudang Garam Tbk PT      25,081   
  55,000       Indofood Sukses Makmur Tbk PT      30,995   
  56,000       Perusahaan Gas Negara PT      23,184   
  16,500       Semen Gresik Persero Tbk PT      20,546   
  1,400       Telekomunikasi Indonesia Tbk PT, Sponsored ADR      43,246   
  9,000       Unilever Indonesia Tbk PT      19,169   
  7,500       United Tractors Tbk PT      24,036   
  36,000       XL Axiata Tbk PT      18,803   
     

 

 

  

 

583,398

  

     

 

 

  
   Korea – 11.4%   
  21       Amorepacific Corp.      19,249   
  450       Celltrion, Inc.      14,057   
  183       Cheil Industries, Inc.      15,592   
  93       CJ CheilJedang Corp.      26,664   
  438       Daelim Industrial Co. Ltd.      49,117   
  470       Dongbu Insurance Co. Ltd.      20,464   
  379       Doosan Heavy Industries and Construction Co. Ltd.      23,855   
  1,400       Doosan Infracore Co. Ltd.(c)      28,244   
  1,240       Hana Financial Group, Inc.      43,606   
  740       Hankook Tire Co. Ltd.      28,281   
  640       Hanwha Chem Corp.      15,903   
  100       Honam Petrochemical Corp.      31,523   
  3,180       Hynix Semiconductor, Inc.(c)      85,344   
  509       Hyosung Corp.      30,156   
  148       Hyundai Department Store Co. Ltd.      22,009   
  448       Hyundai Engineering & Construction Co. Ltd.      33,758   
  114       Hyundai Glovis Co. Ltd.      18,859   
  85       Hyundai Heavy Industries Co. Ltd.      25,713   
  1,000       Hyundai Hysco Co. Ltd.      33,942   
  680       Hyundai Marine & Fire Insurance Co. Ltd.      19,605   
  256       Hyundai Mipo Dockyard      35,636   
  378       Hyundai Mobis      96,241   
  957       Hyundai Motor Co.(b)      184,333   
  1,436       Hyundai Motor Co., GDR(c)      41,031   
  1,640       Hyundai Securities Co.      16,158   
  1,970       Industrial Bank of Korea      22,831   
  1,980       KB Financial Group, Inc., ADR      72,963   
  1,650       Kia Motors Corp.      104,029   
  1,600       Korea Electric Power Corp., Sponsored ADR(c)      17,840   
  3,610       Korea Exchange Bank      26,219   

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Description

    Value (†)  

 

Common Stocks – continued

  

   Korea – continued   
  170       Korea Kumho Petrochemical    $ 23,666   
  3,370       Korea Life Insurance Co. Ltd.      21,957   
  53       Korea Zinc Co. Ltd.(c)      20,687   
  475       Korean Air Lines Co. Ltd.(c)      22,392   
  1,370       KP Chemical Corp.      20,369   
  1,800       KT Corp., Sponsored ADR      26,478   
  492       KT&G Corp.      32,269   
  231       LG Chem Ltd.      82,056   
  71       LG Household & Health Care Ltd.      32,645   
  18       Lotte Confectionery Co. Ltd.      29,155   
  81       Lotte Shopping Co. Ltd.      27,268   
  150       Mando Corp.      22,482   
  105       NCSoft Corp.      25,964   
  159       NHN Corp.      33,141   
  39       Orion Corp.      24,789   
  1,200       POSCO, ADR      111,000   
  347       S-Oil Corp.      38,674   
  472       Samsung C&T Corp.      32,370   
  580       Samsung Card Co.      21,887   
  1,318       Samsung Electronics Co. Ltd., GDR(b)      713,385   
  355       Samsung Electronics Co. Ltd., Preference GDR      111,241   
  122       Samsung Engineering Co. Ltd.      25,668   
  109       Samsung Fire & Marine Insurance Co. Ltd.      20,511   
  1,230       Samsung Heavy Industries Co. Ltd.      44,696   
  1,500       Shinhan Financial Group Co. Ltd., ADR      116,490   
  203       SK C&C Co. Ltd.      22,708   
  127       SK Holdings Co. Ltd.      19,149   
  287       SK Innovation Co. Ltd.      47,362   
  2,940       SK Networks Co. Ltd.      28,161   
  1,900       SK Telecom Co. Ltd., ADR      27,455   
  2,680       Woori Finance Holdings Co. Ltd.      29,282   
     

 

 

  

 

3,058,579

  

     

 

 

  
   Malaysia – 3.0%   
  22,100       AirAsia Bhd      26,956   
  16,600       Alliance Financial Group Bhd      21,393   
  9,500       AMMB Holdings Bhd      19,400   
  21,700       Axiata Group Bhd      37,421   
  57,200       Berjaya Corp. Bhd      18,390   
  16,500       CIMB Group Holdings Bhd      39,312   
  29,000       DiGi.Com Bhd      38,901   
  16,500       Gamuda Bhd      20,053   
  8,300       Genting Bhd      29,325   
  23,200       Genting Malaysia Bhd      30,201   
  6,600       Hong Leong Bank Bhd      26,636   
  9,700       Hong Leong Financial Group Bhd      38,940   
  7,100       IJM Corp. Bhd      13,906   
  3,100       Kuala Lumpur Kepong Bhd      24,207   
  19,200       Malayan Banking Bhd      55,924   
  11,000       Maxis Bhd      21,726   
  25,500       MMC Corp. Bhd      23,296   
  9,800       Parkson Holdings Bhd      18,312   
  8,700       Petronas Chemicals Group Bhd      19,410   

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Description

    Value (†)  

 

Common Stocks – continued

  

   Malaysia – continued   
  5,300       Petronas Dagangan Bhd    $ 32,070   
  5,700       Petronas Gas Bhd      31,912   
  8,100       RHB Capital Bhd      21,453   
  11,600       Sime Darby Bhd      37,497   
  18,800       Telekom Malaysia Bhd      32,577   
  19,800       Tenaga Nasional Bhd      41,437   
  12,300       UMW Holdings Bhd      29,321   
  58,700       YTL Corp. Bhd      34,227   
  28,700       YTL Power International Bhd      17,805   
     

 

 

  

 

802,008

  

     

 

 

  
   Mexico – 3.3%   
  3,500       Alfa SAB de CV, Class A      46,867   
  11,043       America Movil SAB de CV, Series L, ADR(b)      264,369   
  3,400       Arca Continental SAB de CV      15,807   
  6,420       Cemex SAB de CV, Sponsored ADR(c)      49,306   
  300       Coca-Cola Femsa SAB de CV, Sponsored ADR      29,685   
  2,400       El Puerto de Liverpool SAB de CV      18,970   
  1,400       Fomento Economico Mexicano SAB de CV, Sponsored ADR      103,040   
  500       Grupo Aeroportuario del Pacifico SAB de CV, ADR      18,690   
  8,300       Grupo Bimbo SAB de CV, Series A      18,615   
  600       Grupo Elektra S.A. de CV      52,051   
  5,400       Grupo Financiero Banorte SAB de CV, Class O      21,867   
  12,431       Grupo Mexico SAB de CV, Series B      39,158   
  2,200       Grupo Modelo SAB de CV, Series C      14,383   
  2,300       Grupo Televisa SAB, Sponsored ADR      49,059   
  800       Industrias Penoles SAB de CV      39,435   
  3,100       Wal-Mart de Mexico SAB de CV, Series V, Sponsored ADR      96,751   
     

 

 

  

 

878,053

  

     

 

 

  
   Peru – 0.1%   
  200       Credicorp Ltd.      24,578   
     

 

 

  
   Philippines – 0.2%   
  700       Philippine Long Distance Telephone Co., Sponsored ADR      46,179   
     

 

 

  
   Russia – 5.2%   
  31,915       Gazprom OAO, Sponsored ADR(b)      422,542   
  3,124       Lukoil OAO, Sponsored ADR(b)      200,243   
  896       Magnit OJSC, Sponsored GDR      26,434   
  1,299       MMC Norilsk Nickel OJSC, ADR      25,718   
  1,228       Mobile Telesystems OJCS, Sponsored ADR      22,411   
  767       NovaTek OAO, Sponsored GDR      111,178   
  8,521       Rosneft Oil Co., GDR      65,821   
  2,083       Rostelecom OJSC, Sponsored ADR(c)      62,271   
  12,521       Sberbank of Russia, Sponsored ADR(b)(c)      171,957   
  8,609       Surgutneftegas OJSC, Sponsored Preference ADR      58,283   
  6,006       Surgutneftegas OJSC, Sponsored ADR      63,580   
  1,268       Tatneft, Sponsored ADR      50,609   
  2,392       Uralkali OJCS, Sponsored GDR      97,125   
  7,026       VTB Bank OJSC, GDR      35,535   
     

 

 

  

 

1,413,707

  

     

 

 

  

 

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Description

    Value (†)  

 

Common Stocks – continued

  

   South Africa – 5.7%   
  1,472       ABSA Group Ltd.    $ 31,230   
  2,488       Anglo American Platinum Ltd., ADR      32,170   
  1,200       AngloGold Ashanti Ltd., Sponsored ADR      50,940   
  4,887       Barloworld Ltd.      57,936   
  1,612       Bidvest Group Ltd.      37,553   
  1,032       Exxaro Resources Ltd.      28,823   
  24,136       FirstRand Ltd.      76,378   
  1,924       Foschini Group Ltd. (The)      30,231   
  4,365       Gold Fields Ltd., Sponsored ADR      67,090   
  8,104       Growthpoint Properties Ltd.      22,127   
  1,300       Harmony Gold Mining Co. Ltd., Sponsored ADR      16,536   
  952       Impala Platinum Holdings Ltd., Sponsored ADR      20,801   
  1,364       Imperial Holdings Ltd.      26,625   
  538       Kumba Iron Ore Ltd.      40,705   
  3,711       Liberty Holdings Ltd.      43,921   
  11,429       Life Healthcare Group Holdings Ltd.      33,014   
  827       Massmart Holdings Ltd.      19,267   
  7,764       MMI Holdings Ltd.      19,653   
  9,944       MTN Group Ltd.(b)      178,574   
  1,211       Naspers Ltd., N Shares      66,786   
  1,195       Nedbank Group Ltd.      25,502   
  1,446       Remgro Ltd.      25,551   
  1,959       Reunert Ltd.      18,097   
  10,827       RMB Holdings Ltd.      44,887   
  14,673       Sanlam Ltd.      60,203   
  2,800       Sasol Ltd., Sponsored ADR(b)      149,436   
  1,916       Shoprite Holdings Ltd.      34,651   
  5,666       Standard Bank Group Ltd.      83,298   
  9,876       Steinhoff International Holdings Ltd.(c)      35,169   
  1,125       Tiger Brands Ltd.      38,818   
  1,963       Truworths International Ltd.      21,065   
  3,066       Vodacom Group Ltd.      42,145   
  7,776       Woolworths Holdings Ltd.      46,631   
     

 

 

  

 

1,525,813

  

     

 

 

  
   Taiwan – 5.4%   
  21,000       Acer, Inc.      31,936   
  8,569       Advanced Semiconductor Engineering, Inc., ADR      41,817   
  6,000       Asustek Computer, Inc.      56,094   
  6,072       AU Optronics Corp., Sponsored ADR      32,242   
  4,000       Catcher Technology Co. Ltd.      29,100   
  15,000       Cathay Financial Holding Co. Ltd.      17,534   
  10,000       Cheng Shin Rubber Industry Co. Ltd.      24,595   
  51,000       China Steel Corp.      52,870   
  30,000       Chinatrust Financial Holding Co. Ltd.      20,283   
  3,100       Chunghwa Telecom Co. Ltd., ADR      94,271   
  28,000       Compal Electronics, Inc.      32,983   
  10,000       Far EasTone Telecommunications Co. Ltd.      20,944   
  16,000       Formosa Chemicals & Fibre Corp.      49,915   
  6,000       Formosa Petrochemical Corp.      19,725   
  24,000       Formosa Plastics Corp.      74,937   
  25,346       Hon Hai Precision Industry Co. Ltd., GDR      176,380   
  3,000       Hotai Motor Co. Ltd.      20,262   

$000,000,000 $000,000,000

Shares

     

Description

    Value (†)  
  Common Stocks – continued   
   Taiwan – continued   
  2,000       HTC Corp.    $ 44,654   
  38,000       Mega Financial Holding Co. Ltd.      29,424   
  24,000       Nan Ya Plastics Corp.      58,833   
  4,000       President Chain Store Corp.      21,107   
  10,000       Quanta Computer, Inc.      24,620   
  6,000       Radiant Opto-Electronics Corp.      26,576   
  5,000       Standard Foods Corp.      17,681   
  21,000       Taiwan Cement Corp.      26,862   
  11,000       Taiwan Mobile Co. Ltd.      33,739   
  25,229       Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR(b)      366,325   
  13,000       Uni-President Enterprises Corp.      19,823   
     

 

 

  
        1,465,532   
     

 

 

  
   Turkey – 0.2%   
  995       KOC Holding AS, ADR      20,547   
  10,700       Turkiye Garanti Bankasi AS, ADR      40,446   
     

 

 

  
        60,993   
     

 

 

  
   Total Common Stocks (Identified Cost $15,489,660)      17,638,531   
     

 

 

  

 

Preferred Stocks – 1.3%

   
   Brazil – 1.0%   
  1,300       Banco do Estado do Rio Grande do Sul, Class B      15,489   
  1,800       Cia Energetica de Sao Paulo, Class B      39,422   
  2,400       Eletropaulo Metropolitana Eletricidade de Sao Paulo S.A.      51,669   
  9,700       Itausa - Investimentos Itau S.A.      67,783   
  8,900       Klabin S.A.      44,260   
  1,500       Lojas Americanas S.A.      15,985   
  2,200       Metalurgica Gerdau S.A.      29,273   
  4,300       Suzano Papel e Celulose S.A., Class A      20,583   
     

 

 

  
        284,464   
     

 

 

  
   Korea – 0.3%   
  747       Hyundai Motor Co.      42,432   
  276       LG Chem Ltd.      30,590   
     

 

 

  
        73,022   
     

 

 

  
   Total Preferred Stocks (Identified Cost $309,699)      357,486   
     

 

 

  

Principal
Amount

              

 

Short-Term Investments – 27.0%

   
   Treasuries – 15.8%   
  $250,000       U.S. Treasury Bill, 0.015%, 3/01/2012(b)(d)      250,000   
  250,000       U.S. Treasury Bill, 0.015%, 3/08/2012(b)(d)      249,999   
  450,000       U.S. Treasury Bill, 0.030%, 3/22/2012(b)(d)      449,988   
  250,000       U.S. Treasury Bill, 0.045%, 4/19/2012(b)(d)      249,973   

Principal
Amount

     

Description

    Value (†)  
   Treasuries – continued   
  $290,000       U.S. Treasury Bill, 0.090%, 4/19/2012(b)(d)    $ 289,968   
  100,000       U.S. Treasury Bill, 0.090%, 5/03/2012(b)(d)      99,987   
  290,000       U.S. Treasury Bill, 0.110%, 5/17/2012(b)(d)      289,950   
  250,000       U.S. Treasury Bill, 0.050%, 5/31/2012(b)(d)      249,950   
  250,000       U.S. Treasury Bill, 0.025%, 6/21/2012(b)(d)      249,929   
  300,000       U.S. Treasury Bill, 0.090%, 6/28/2012(d)      299,906   
  250,000       U.S. Treasury Bill, 0.060%, 7/19/2012(b)(d)      249,898   
  250,000       U.S. Treasury Note, 1.375%, 3/15/2012(b)      250,117   
  250,000       U.S. Treasury Note, 4.500%, 4/30/2012(b)      251,807   
  250,000       U.S. Treasury Note, 1.875%, 6/15/2012(b)      251,269   
  300,000       U.S. Treasury Note, 0.625%, 7/31/2012(b)      300,621   
  250,000       U.S. Treasury Note, 1.375%, 10/15/2012(b)      251,875   
     

 

 

  
        4,235,237   
     

 

 

  
   Commercial Paper – 5.4%   
  225,000       Louis Dreyfus Corp., (Credit Support: US Bank NA), 0.400%, 3/05/2012(b)(d)      224,996   
  255,000       Tennessee State School Bond Authority, 0.200%, 3/12/2012(b)      255,005   
  100,000       Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.150%, 3/13/2012(b)      100,000   
  300,000       Grainger (WW), Inc., 0.100%, 3/20/2012(b)(d)      299,984   
  300,000       Cofco Capital Corp., (Credit Support: Rabobank), 0.350%, 3/20/2012(b)(d)      299,945   
  275,000       General Electric Co., 0.130%, 3/30/2012(b)(d)      274,977   
     

 

 

  
        1,454,907   
     

 

 

  
   Certificates of Deposit – 3.0%   
  300,000       BNP Paribas, 0.140%, 3/01/2012      300,000   
  250,000       Westpac Banking Corp. (NY), 0.405%, 5/02/2012(b)(e)      250,015   
  250,000       Canadian Imperial Bank of Commerce (NY), 0.334%, 7/25/2012(b)(e)      250,001   
     

 

 

  
        800,016   
     

 

 

  
   Financial Company Commercial Paper – 2.1%   
  300,000       Societe Generale North America, 0.170%, 3/01/2012(d)      300,000   
  250,000       ICICI Bank Ltd., (Credit Support: Bank of America), 0.550%, 4/02/2012(b)(d)      249,909   
     

 

 

  
        549,909   
     

 

 

  

 

Principal
Amount

   

Description

    Value (†)  
     Repurchase Agreements – 0.7%       
$198,522    Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/29/2012 at 0.000% to be repurchased at $198,522 on 3/01/2012 collateralized by $190,000 U.S. Treasury Note, 2.625% due 11/15/2020 valued at $205,940 including accrued interest(f)    $ 198,522   
     

 

 

  
   Total Short-Term Investments (Identified Cost $7,238,777)      7,238,591   
     

 

 

  
   Total Investments – 93.9% (Identified Cost $23,038,136)(a)      25,234,608   
   Other assets less liabilities – 6.1%      1,653,458   
     

 

 

  
   Net Assets – 100.0%    $ 26,888,066   
     

 

 

  

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Growth Markets 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 February 29, 2012, the value of the Fund’s investment in the Subsidiary was $1,055,433, representing 3.9% of the Fund’s net assets.

 

(†)

   

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 independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent 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) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser or 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 an independent pricing service does not price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Futures contracts are valued at their most recent settlement price.

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.

 

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. As of February 29, 2012, approximately 43% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees.

 

The books and records of the Fund are maintained in U.S. dollars. The values 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 February 29, 2012, the net unrealized appreciation on investments based on a cost of $23,038,136 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    $ 2,358,846   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (162,374 ) 
     

 

 

  
   Net unrealized appreciation    $ 2,196,472   
     

 

 

  

(b)

    All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or futures contracts.    

(c)

    Non-income producing security.   

     (d )    Interest rate represents discount rate at time of purchase; not a coupon rate.
     (e )    Variable rate security. Rate as of February 29, 2012 is disclosed.
     (f )    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/GDR

  

   An American Depositary Receipt or Global 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 and GDRs may be significantly influenced by trading on exchanges not located in the United States.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to 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 the 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. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At February 29, 2012, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell1

    Delivery
Date		    Currency    Units      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Buy

    3/21/2012    Australian Dollar      900,000       $ 963,129       $ (1,234 ) 

Sell

    3/21/2012    Australian Dollar      900,000         963,129         (58,424 ) 

Buy

    3/21/2012    Canadian Dollar      500,000         505,114         3,483   

Sell

    3/21/2012    Canadian Dollar      900,000         909,206         (32,385 ) 

Buy

    3/21/2012    Euro      375,000         499,649         (3,650 ) 

Sell

    3/21/2012    Euro      1,000,000         1,332,398         (13,261 ) 

Buy

    3/21/2012    New Zealand Dollar      2,100,000         1,750,065         12,271   

Sell

    3/21/2012    New Zealand Dollar      1,200,000         1,000,037         (81,501 ) 

Buy

    3/21/2012    Norwegian Krone      4,000,000         715,065         28,574   

Buy

    3/21/2012    Norwegian Krone      6,000,000         1,072,597         (5,791 ) 

Sell

    3/21/2012    Norwegian Krone      12,000,000         2,145,194         (121,114 ) 

Buy

    3/21/2012    Singapore Dollar      2,125,000         1,699,133         (6,935 ) 

Sell

    3/21/2012    Singapore Dollar      3,500,000         2,798,572         (109,801 ) 

Buy

    3/21/2012    Swedish Krona      4,000,000         604,064         (3,906 ) 

Sell

    3/21/2012    Swedish Krona      4,000,000         604,064         1,667   

Sell

    3/21/2012    Swiss Franc      125,000         138,194         (4,569 ) 

Buy

    3/21/2012    Turkish Lira      2,400,000         1,366,441         32,695   

Sell

    3/21/2012    Turkish Lira      3,600,000         2,049,662         (164,055 ) 
              

 

 

  

Total

  

    $ (527,936 ) 
              

 

 

  

1        Counterparty is UBS AG.

            

   

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 commodity, instrument or index 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 an amount of cash or short-term high-quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. 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. Exchange-traded futures are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced.

At February 29, 2012, open futures contracts purchased were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

E-mini Dow

      3/16/2012         15       $ 970,275       $ 53,470   

E-mini NASDAQ 100

      3/16/2012         3         157,380         9,915   

E-mini S&P 500

      3/16/2012         15         1,023,375         50,212   

Euribor

      6/18/2012         23         7,607,097         16,371   

Euro Schatz

      3/08/2012         70         10,297,875         39,636   

Eurodollar

      6/18/2012         1         248,875         400   

FTSE 100

      3/16/2012         6         558,692         (1,702 ) 

FTSE JSE Top 40

      3/15/2012         22         894,151         4,968   

German Euro BOBL

      3/08/2012         10         1,673,368         10,792   

Hang Seng

      3/29/2012         1         139,566         2,385   

Mini-Russell 2000

      3/16/2012         1         81,000         (840 ) 

MSCI Singapore

      3/29/2012         1         55,603         464   

SGX CNX Nifty

      3/29/2012         2         21,740         (658 ) 

2 Year U.S. Treasury Note

      6/29/2012         28         6,166,563         (437 ) 

5 Year U.S. Treasury Note

      6/29/2012         31         3,818,328         242   

10 Year Canada Government Bond

      6/20/2012         11         1,474,041         9,450   

10 Year Japan Government Bond

      3/09/2012         1         1,755,813         3,321   

10 Year U.S. Treasury Note

      6/20/2012         29         3,797,641         1,359   

30 Year U.S. Treasury Bond

      6/20/2012         2         283,312         484   
           

 

 

  

Total

  

    $ 199,832   
           

 

 

  

Commodity Futures2

    Expiration
Date		      Contracts      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Copper LME

      3/21/2012         1       $ 212,425       $ 12,421   

Gas Oil

      4/12/2012         5         501,875         (9,875 ) 

Gold

      4/26/2012         2         342,260         7,700   

Heating Oil

      3/30/2012         3         403,944         (7,446 ) 

Light Sweet Crude Oil

      3/20/2012         1         107,070         5,990   

Live Cattle

      4/30/2012         3         155,700         800   

Sugar

      4/30/2012         1         28,011         —     
           

 

 

  

Total

  

    $ 9,590   
           

 

 

  

At February 29, 2012, open futures contracts sold were as follows:

 

Financial Futures

    Expiration
Date		      Contracts      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

MSCI Taiwan

      3/29/2012         15       $ 432,750       $ (10,500 ) 

Nikkei 225

      3/09/2012         4         477,796         (54,127 ) 

S&P/TSX 60

      3/15/2012         3         435,272         (27,597 ) 

Sterling

      6/20/2012         13         2,561,170         (517 ) 
           

 

 

  

Total

  

    $ (92,741 ) 
           

 

 

  

Commodity Futures2

    Expiration
Date		      Contracts      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Coffee

      5/18/2012         2       $ 152,438       $ 2,250   

Copper High Grade

      5/29/2012         4         387,950         (5,650 ) 

Copper LME

      3/21/2012         1         212,425         (22,613 ) 

Corn

      5/14/2012         2         65,800         (2,775 ) 

Cotton

      5/08/2012         2         90,440         3,030   

KC Wheat

      5/14/2012         8         283,400         (9,200 ) 

Natural Gas

      3/28/2012         2         52,320         (1,940 ) 

Silver

      5/29/2012         1         173,210         (715 ) 

Soybean Meal

      5/14/2012         8         282,320         (16,800 ) 

Soybean Oil

      5/14/2012         8         261,456         (5,088 ) 

Wheat

      5/14/2012         9         300,600         (9,075 ) 
           

 

 

  

Total

  

    $ (68,576 ) 
           

 

 

  

 

2

Commodity futures are held by ASG Growth Markets 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 when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect 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 February 29, 2012, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Common Stocks

            

China

    $ 998,530       $ 3,065,062       $ —         $ 4,063,592   

Egypt

      —           21,016         —           21,016   

India

      271,587         109,301         —           380,888   

Indonesia

      43,246         540,152         —           583,398   

Korea

      372,226         2,686,353         —           3,058,579   

Malaysia

      —           802,008         —           802,008   

Russia

      80,694         1,333,013         —           1,413,707   

South Africa

      336,973         1,188,840         —           1,525,813   

Taiwan

      534,655         930,877         —           1,465,532   

All Other Common Stocks*

      4,323,998        —          —           4,323,998   
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Common Stocks

      6,961,909        10,676,622        —           17,638,531   
  

 

 

    

 

 

    

 

 

     

 

 

  

Preferred Stocks*

      284,464        73,022        —           357,486   

Short-Term Investments*

      —          7,238,591        —           7,238,591   
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Investments

      7,246,373        17,988,235        —           25,234,608   
  

 

 

    

 

 

    

 

 

     

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —          78,690        —           78,690   

Futures Contracts (unrealized appreciation)

      235,660        —          —           235,660   
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ 7,482,033      $ 18,066,925      $ —         $ 25,548,958   
  

 

 

    

 

 

    

 

 

     

 

 

  
Liability Valuation Inputs                          

Description

    Level 1     Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —        $ (606,626 )    $ —         $ (606,626 ) 

Futures Contracts (unrealized depreciation)

      (187,555 )      —          —           (187,555 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total

    $ (187,555 )    $ (606,626 )    $ —         $ (794,181 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Common stocks valued at $77,017 were transferred from Level 1 to Level 2 during the period ended February 29, 2012. At November 30, 2011, these securities were valued at the market price in the foreign market in accordance with the Fund’s valuation policies; at February 29, 2012, these securities were fair valued pursuant to procedures approved by the Board of Trustees.

All transfers are recognized at the beginning of the reporting period.

In May, 2011, Accounting Standards Update (“ASU”) No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” was issued and is effective for interim and annual periods beginning after December 15, 2011. The ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers; and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. Notwithstanding the projected regulatory implementation date of August 31, 2012 for the Fund, Management has already implemented disclosure of all transfers between Level 1 and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Fund’s financial statements.

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 and the Subsidiary used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to complement its equity portfolio with a portfolio of derivatives designed to enhance return and mitigate losses. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of one or more broad-based measures of emerging market equity index performance as well as identify the market exposures best suited to limit the volatility and risk of loss associated with the underlying equity portfolio. These market exposures, which are expected to vary over time, may include exposures to the returns of global equity and fixed income securities, commodities and currencies. During the period ended February 29, 2012, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. government bonds, short-term interest rates, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on foreign government bonds in accordance with these objectives.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of February 29, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Counterparty

    Derivatives     Collateral Pledged  

UBS AG

    $ (527,936 )    $ 650,000   

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of February 29, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $78,690 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of February 29, 2012:

 

Asset Derivatives

    Interest  Rate
Contracts		     Foreign
Exchange
Contracts		     Equity
Contracts		     Commodity
Contracts		  

Forwards (unrealized appreciation)

    $ —        $ 78,690      $ —        $ —     

Futures (unrealized appreciation)

      82,055        —          121,414        32,191   

Liability Derivatives

    Interest Rate
Contracts		     Foreign
Exchange
Contracts		     Equity
Contracts		     Commodity
Contracts		  

Forwards (unrealized depreciation)

    $ —        $ (606,626 )    $ —        $ —     

Futures (unrealized depreciation)

      (954 )      —          (95,424 )      (91,177 ) 

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

 

Industry Summary at February 29, 2012 (Unaudited)  

Commercial Banks

      11.4 % 

Oil, Gas & Consumable Fuels

      10.5   

Semiconductors & Semiconductor Equipment

      5.1   

Metals & Mining

      4.4   

Wireless Telecommunication Services

      4.3   

Chemicals

      2.7   

Automobiles

      2.3   

Diversified Telecommunication Services

      2.1   

Other Investments, less than 2% each

      24.1   

Short-Term Investments

      27.0   
  

 

 

  

Total Investments

      93.9   

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

      6.1   
  

 

 

  

Net Assets

      100.0 % 

 

Currency Exposure at February 29, 2012 (Unaudited)  

United States Dollar

      60.0 % 

Hong Kong Dollar

      11.3   

South Korean Won

      7.0   

South African Rand

      4.4   

Malaysian Ringgit

      3.0   

New Taiwan Dollar

      2.8   

Brazilian Real

      2.4   

Indonesian Rupiah

      2.0   

Mexican Peso

      1.0   
  

 

 

  

Total Investments

      93.9   

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

      6.1   
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

PORTFOLIO OF INVESTMENTS – as of February 29, 2012 (Unaudited)

Loomis Sayles Senior Floating Rate and Fixed Income Fund

 

00000000 00000000

Principal

Amount

     

Description

    Value (†)  

 

Senior Loans – 84.4% of Net Assets

  

       Aerospace & Defense – 0.5%  
$ 238,728       Wyle Services Corporation, Term Loan B, 5.750%, 3/27/2017(b)    $ 234,551   
     

 

 

  
   Automotive – 3.5%   
  597,000       Chrysler Group LLC, Term Loan B, 6.000%, 5/24/2017(b)      598,421   
  230,000       Diversified Machine, Inc., Term Loan B, 9.250%, 12/01/2016(b)      229,712   
  497,500       KAR Auction Services, Inc., Term Loan B, 5.000%, 5/19/2017(b)      496,878   
  199,500       Stackpole Powertrain International USA LLC, Term Loan B, 7.500%, 8/02/2017(b)      197,505   
     

 

 

  
        1,522,516   
     

 

 

  
   Banking – 1.6%   
  596,875       Clarke American Corp., Term Loan B, 2.793%, 6/30/2014(c)      545,395   
  155,000       US FT Holdco, Inc., Term Loan B, 7.502%, 11/30/2017(c)      154,096   
     

 

 

  
        699,491   
     

 

 

  
   Building Materials – 0.4%   
  198,995       CPG International, Inc., New Term Loan B, 6.000%, 2/18/2017(b)      188,050   
     

 

 

  
   Chemicals – 3.9%   
  185,000       AZ Chem US, Inc., Recap Term Loan, 7.250%, 12/22/2017(b)      186,491   
  347,527       Momentive Specialty Chemicals, Inc., Extended Term Loan C-1B, 4.063%, 5/05/2015(b)      342,640   
  148,068       Momentive Specialty Chemicals, Inc., Extended Term Loan C-2B, 4.375%, 5/05/2015(b)      145,986   
  348,246       Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)      342,876   
  350,000       PQ Corporation, 2nd Lien Term Loan, 6.750%, 7/30/2015(b)      327,425   
  50,000       Taminco Global Chemical Corporation, New Term Loan, 2/15/2019(d)      50,205   
  298,492       Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b)      296,084   
     

 

 

  
        1,691,707   
     

 

 

  
   Consumer Cyclical Services – 2.3%   
  130,673       Go Daddy Operating Company LLC, Term Loan, 7.000%, 12/17/2018(b)      131,632   
  250,000       Language Line LLC, 2nd Lien Term Loan, 10.500%, 12/20/2016(b)      245,207   
  298,500       SourceHov LLC, 1st Lien Term Loan, 6.625%, 4/28/2017(b)      270,516   
  186,286       SRA International, Inc., Term Loan B, 6.525%, 7/20/2018(c)      183,724   

Principal
Amount

     

Description

    Value (†)  

 

Senior Loans – continued

  

       Consumer Cyclical Services – continued  
$ 160,000       Sterling Infosystems, Inc., Term Loan A, 7.269%, 2/01/2018(c)    $ 159,600   
     

 

 

  
        990,679   
     

 

 

  
   Consumer Products – 2.6%   
  300,000       Advantage Sales & Marketing, Inc., 2nd Lien Term Loan, 9.250%, 6/18/2018(b)      296,439   
  72,000       Prestige Brands, Inc., Term Loan, 1/31/2019(d)      72,270   
  400,000       SRAM LLC, 2nd Lien Term Loan, 8.500%, 12/07/2018(b)      402,000   
  379,599       Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)      364,009   
     

 

 

  
        1,134,718   
     

 

 

  
   Diversified Manufacturing – 0.9%   
  397,990       Edwards (Cayman Islands II) Limited, Extended 1st Lien Term Loan, 5.500%, 5/31/2016(b)      388,291   
     

 

 

  
   Entertainment – 0.6%   
  248,744       Clubcorp Club Operations, Inc., Term Loan B, 6.000%, 11/30/2016(b)      249,443   
     

 

 

  
   Financial Other – 2.4%   
  260,000       Hamilton Lane Advisors LLC, Term Loan, 2/28/2018(d)      259,350   
  370,117       Harbourvest Partners LLC, Term Loan B, 6.250%, 12/16/2016(b)      370,351   
  435,000       Nuveen Investments, Inc., New 2nd Lien Term Loan, 2/28/2019(d)      438,806   
     

 

 

  
        1,068,507   
     

 

 

  
   Food & Beverage – 2.7%   
  298,500       Del Monte Foods Company, Term Loan, 4.500%, 3/08/2018(b)      292,736   
  309,000       DS Waters Enterprises L.P., 1st Lien Term Loan, 8/29/2017(d)      303,722   
  200,000       Milk Specialties Company, Term Loan B, 8.500%, 12/22/2017(b)      198,000   
  400,000       Wm. Bolthouse Farms, Inc., New 2nd Lien Term Loan, 9.500%, 8/11/2016(b)      399,876   
     

 

 

  
        1,194,334   
     

 

 

  
   Gaming – 0.7%   
  300,000       Boyd Gaming Corporation, Incremental Term Loan, 6.000%, 12/17/2015(b)      300,702   
     

 

 

  
   Health Insurance – 0.7%   
  312,925       Multiplan, Inc., New Term Loan B, 4.750%, 8/26/2017(b)      306,275   
     

 

 

  

 

Principal
Amount

     

Description

    Value (†)  

 

Senior Loans – continued

  

       Healthcare – 7.1%  
$ 299,417       ATI Physical Therapy, Term Loan, 7.500%, 3/11/2016(b)    $ 285,443   
  397,990       Convatec, Inc., Term Loan, 5.750%, 12/22/2016(b)      396,872   
  298,389       Education Management LLC, Extended Term Loan C2, 4.625%, 6/01/2016(b)      279,134   
  125,000       Emdeon, Inc., Term Loan B, 6.750%, 11/02/2018(b)      126,429   
  262,733       Gentiva Health Services, Inc., New Term Loan B, 4.750%, 8/17/2016(b)      250,319   
  199,000       Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(b)      191,239   
  150,000       Kinetic Concepts, Inc., Term Loan B, 7.000%, 5/04/2018(b)      152,437   
  300,000       National Healing Corporation, 1st Lien Term Loan, 8.250%, 11/30/2017(b)      289,500   
  400,000       Sheridan Holdings, Inc., 2nd Lien Term Loan, 5.994%, 6/15/2015(b)      385,000   
  105,000       Sophia L.P., Term Loan B, 6.250%, 7/19/2018(b)      106,094   
  298,500       Surgical Care Affiliates, Inc., Incremental Term Loan B, 5.500%, 6/29/2018(b)      278,599   
  398,000       Valitas Health Services, Inc., Term Loan B, 5.750%, 6/02/2017(b)      384,070   
     

 

 

  
        3,125,136   
     

 

 

  
   Industrial Other – 3.4%   
  397,990       Brickman Group Holdings, Inc., New Term Loan B, 7.250%, 10/14/2016(b)      400,975   
  386,201       Brock Holdings III, Inc., New Term Loan B, 6.000%, 3/16/2017(b)      381,856   
  300,000       Hupah Finance, Inc., Term Loan B, 1/21/2019(d)      299,814   
  91,500       Schaeffler AG, Term Loan C2, 1/27/2017(d)      91,767   
  300,000       Unifrax Corporation, New Term Loan, 7.000%, 11/28/2018(b)      302,430   
     

 

 

  
        1,476,842   
     

 

 

  
   Media Cable – 0.7%   
  298,500       Crown Media Holdings, Inc., Term Loan B, 5.750%, 7/14/2018(b)      298,127   
     

 

 

  
   Media Non-Cable – 5.4%   
  400,000       Cumulus Media, Inc., Term Loan, 5.750%, 9/17/2018(b)      400,332   
  740,437       Dex Media West LLC, New Term Loan, 7.129%, 10/24/2014(c)      422,790   
  118,080       Entercom Radio LLC, Term Loan B, 6.266%, 11/23/2018(c)      118,302   
  300,000       Hubbard Radio LLC, 2nd Lien Term Loan, 8.750%, 4/30/2018(b)      305,250   
  236,571      

Postmedia Network, Inc., Tranche C Term Loan,

6.250%, 7/13/2016(b)

      234,678   

Principal
Amount

     

Description

    Value (†)  

 

Senior Loans – continued

  

       Media Non-Cable – continued  
$ 848,051       SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)    $ 429,326   
  500,000       Univision Communications, Inc., Extended Term Loan, 4.494%, 3/31/2017(b)      464,325   
     

 

 

  
        2,375,003   
     

 

 

  
   Metals & Mining – 2.6%   
  180,089       American Rock Salt Holdings LLC, Term Loan, 5.500%, 4/25/2017(b)      167,355   
  300,000       Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(b)      300,642   
  130,000       Noranda Aluminum Acquisition Corporation, New Term Loan B, 2/24/2019(d)      130,082   
  14,118       Phoenix Services LLC, Delayed Draw Term Loan, 9.750%, 9/29/2017(b)      14,082   
  145,882       Phoenix Services LLC, Term Loan B, 9.750%, 9/29/2017(b)      145,518   
  400,000       Preferred Sands Holding Company LLC, Term Loan B, 7.500%, 12/15/2016(b)      389,000   
     

 

 

  
        1,146,679   
     

 

 

  
   Non-Captive Diversified – 1.0%   
  434,000       Flying Fortress, Inc., 1st Lien Term Loan, 6/30/2017(d)      432,646   
     

 

 

  
   Oil Field Services – 2.3%   
  227,327       Frac Tech International LLC, Term Loan B, 6.250%, 5/06/2016(b)      225,827   
  570,644       Hercules Offshore LLC, Term Loan B, 7.500%, 7/11/2013(b)      565,320   
  194,872       Utex Industries, Inc., Term Loan B, 6.526%, 12/15/2016(c)      193,410   
     

 

 

  
        984,557   
     

 

 

  
   Packaging – 0.5%   
  199,000       Husky Injection Molding Systems Ltd., Senior Debt B, 6.500%, 6/29/2018(b)      199,653   
     

 

 

  
   Paper – 1.5%   
  250,000       Hoffmaster Group, Inc., 2nd LienTerm Loan, 11.000%, 1/03/2019(b)      250,000   
  400,000       NewPage Corporation, DIP Term Loan, 8.000%, 3/07/2013(b)      403,000   
     

 

 

  
        653,000   
     

 

 

  
   Pharmaceuticals – 4.6%   
  402,000       Grifols, Inc., New Term Loan B, 6/01/2017(d)      401,441   
  323,687       Inc Research, Inc., Term Loan B, 7.000%, 7/12/2018(b)      323,082   
  297,750       inVentiv Health, Inc., Incremental Term Loan B3, 6.750%, 5/15/2018(b)      285,840   
  400,391       Pharmaceutical Product Development, Inc., Term Loan B, 6.250%, 12/05/2018(b)      403,894   

Principal
Amount

   

Description

    Value (†)  

Senior Loans – continued

  

     Pharmaceuticals – continued  
$597,000    Quintiles Transnational Corp., New Term Loan B, 5.000%, 6/08/2018(b)    $ 593,054   
     

 

 

  
        2,007,311   
     

 

 

  
   Property & Casualty Insurance – 2.8%   

400,000

    Applied Systems, Inc., 2nd Lien Term Loan, 9.250%, 6/08/2017(b)      394,668   

365,079

    N.E.W. Holdings I LLC, Secured Term Loan, 6.000%, 3/23/2016(b)      347,282   

497,489

    Vertafore, Inc., Term Loan, 5.250%, 7/29/2016(b)      493,260   
     

 

 

  
        1,235,210   
     

 

 

  
   Restaurants – 0.4%   

160,000

    NPC International, Inc., New Term Loan B, 6.750%, 12/28/2018(b)      160,950   
     

 

 

  
   Retailers – 3.9%   

250,000

    99 Cents Only Stores, Term Loan B, 7.000%, 1/11/2019(b)      251,608   

300,000

    BJ’s Wholesale Club, Inc., 2nd Lien Term Loan, 10.000%, 3/29/2019(b)      308,250   

397,990

    Gymboree Corporation, (The), New Term Loan, 5.000%, 2/23/2018(b)      374,210   

298,496

    Jo-Ann Stores, Inc., Term Loan, 4.750%, 3/16/2018(b)      294,475   

500,000

    Michaels Stores, Inc., Term Loan B2, 5.125%, 7/29/2016(b)      497,125   
     

 

 

  
        1,725,668   
     

 

 

  
   Supermarkets – 1.3%   

297,996

    Acosta, Inc., Term Loan, 4.750%, 3/01/2018(b)      295,761   

298,496

    Sprouts Farmers Markets Holdings LLC, Term Loan, 6.000%, 4/18/2018(b)      293,273   
     

 

 

  
        589,034   
     

 

 

  
   Technology – 16.2%   

476,810

    Aeroflex Incorporated, Term Loan B, 4.250%, 5/09/2018(b)      464,432   

300,000

    Aspect Software, Inc., New Term Loan B, 6.250%, 5/06/2016(b)      299,589   

200,000

    Blackboard, Inc., 2nd Lien Term Loan, 11.500%, 4/04/2019(b)      182,876   

120,000

    Blackboard, Inc., Term Loan B, 7.500%, 10/04/2018(b)      118,400   

353,262

    CDW LLC, Extended Term Loan, 4.000%, 7/14/2017(b)      345,250   

398,000

    Eagle Parent, Inc., New Term Loan, 5.000%, 5/16/2018(b)      390,537   

346,000

    Eastman Kodak Company, DIP Term Loan B, 7/20/2013(d)      350,218   

420,098

    Endurance International Group, Inc. (The), New Term Loan B, 7.750%, 12/22/2017(b)      420,098   

600,000

    First Data Corporation, Extended Term Loan B, 4.245%, 3/23/2018(b)      538,404   

Principal
Amount

     

Description

    Value (†)  

 

Senior Loans – continued

   
   Technology – continued   
  $400,000       Freescale Semiconductor, Inc., Extended Term Loan B, 4.518%, 12/01/2016(b)    $ 389,752   
  150,000       Genesys Telecom Holdings, U.S., Inc., Term Loan B, 6.750%, 1/31/2019(b)      150,713   
  161,000       Hyland Software, Inc., Add on Term Loan B, 12/16/2016(d)      159,390   
  190,000       Infor Enterprise Solutions Holdings, Inc., 2nd Lien Term Loan, 6.494%, 3/03/2014(b)      172,056   
  110,000       Infor Enterprise Solutions Holdings, Inc., Delayed Draw 2nd Lien, 6.494%, 3/03/2014(b)      99,612   
  400,000       Kronos, Inc., 2nd Lien Tranches B1, 10.579%, 6/11/2018(b)      402,668   
  398,000       Lawson Software, Inc., 1st Lien Term Loan, 6.750%, 7/05/2017(b)      400,404   
  434,000       NXP Semiconductors Netherlands B.V., Incremental Term Loan B, 3/19/2019(d)      426,270   
  210,000       Openlink International Intermediate, Inc., Initial Term Loan, 7.752%, 10/30/2017(c)      210,000   
  275,000       Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b)      275,688   
  300,000       Ship US Bidco, Inc., New Term Loan B2A, 5.250%, 11/30/2017(b)      298,500   
  75,000       Telx Group, Inc., Incremental Term Loan, 7.750%, 9/26/2017(b)      75,117   
  249,375       Telx Group, Inc., Term Loan B, 7.750%, 9/26/2017(b)      249,764   
  300,000       Wall Street Systems, Inc., 2nd Lien Term Loan, 9.000%, 6/20/2018(b)      294,000   
  400,000       Web.com Group, Inc., 2nd Lien Term Loan, 11.000%, 10/26/2018(b)      371,000   
     

 

 

  
        7,084,738   
     

 

 

  
   Utility Other – 0.7%   
  300,000       Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(b)      296,625   
     

 

 

  
   Wireless – 2.0%   
  600,000       Asurion LLC, New 2nd Lien Term Loan, 9.000%, 5/24/2019(b)      609,654   
  265,000       Hawaiian Telcom Communications, Inc., Term Loan B, 2/28/2017(d)      264,338   
     

 

 

  
        873,992   
     

 

 

  
   Wirelines – 5.2%   
  389,189       Covad Communications Group, Term Loan, 12.000%, 11/03/2015(b)      385,297   
  500,000       FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)      421,915   
  400,000       Global Tel*Link Corporation, New Term Loan B, 7.000%, 12/14/2017(b)      398,500   
  400,000       Level 3 Financing, Inc., Term Loan B2, 5.750%, 9/03/2018(b)      402,752   
  397,995       Sidera Networks, Inc., Term Loan, 5.500%, 8/26/2016(b)      391,599   

Principal
Amount

     

Description

    Value (†)  

 

Senior Loans – continued

   
   Wirelines – continued   
$     299,324       U.S. Telepacific Corporation, New Term Loan B, 5.750%, 2/23/2017(b)    $ 283,610   
     

 

 

  
        2,283,673   
     

 

 

  
   Total Senior Loans (Identified Cost $36,135,028)      36,918,108   
     

 

 

  

 

Bonds and Notes – 13.4%

   
   Chemicals – 1.0%   
  400,000       Momentive Performance Materials, Inc., 12.500%, 6/15/2014      427,000   
     

 

 

  
   Consumer Products – 0.9%   
  400,000       Affinion Group, Inc., 11.500%, 10/15/2015      375,000   
     

 

 

  
   Entertainment – 0.9%   
  400,000       AMC Entertainment, Inc., 8.000%, 3/01/2014      400,000   
     

 

 

  
   Gaming – 0.7%   
  300,000       MGM Resorts International, 7.625%, 1/15/2017      306,000   
     

 

 

  
   Healthcare – 0.9%   
  400,000       Select Medical Corp., 7.625%, 2/01/2015      399,000   
     

 

 

  
   Media Non-Cable – 1.9%   
  425,000       Clear Channel Communications, Inc., 5.750%, 1/15/2013      420,750   
  400,000       Intelsat Luxembourg S.A., 11.250%, 2/04/2017      412,500   
     

 

 

  
        833,250   
     

 

 

  
   Metals & Mining – 0.9%   
  400,000       Tube City IMS Corp., 9.750%, 2/01/2015      410,500   
     

 

 

  
   Non-Captive Diversified – 0.5%   
  212,756       CIT Group, Inc., 7.000%, 5/01/2016      213,022   
     

 

 

  
   Oil Field Services – 1.0%   
  400,000       McJunkin Red Man Corp., 9.500%, 12/15/2016      430,000   
     

 

 

  
   Pipelines – 0.9%   
  400,000       NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A      386,288   
     

 

 

  
   Technology – 0.9%   
  400,000       Lender Processing Services, Inc., 8.125%, 7/01/2016      417,000   
     

 

 

  
   Wireless – 2.1%   
  525,000       Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A      510,563   

Principal
Amount

        

Description

    Value (†)  

Bonds and Notes – continued

   

$400,000

    Nextel Communications, Inc., Series D, 7.375%, 8/01/2015    $ 395,000   
        

 

 

  
           905,563   
        

 

 

  
   Wirelines – 0.8%   

400,000

    Integra Telecom Holdings, Inc., 10.750%, 4/15/2016, 144A      348,000   
        

 

 

  
   Total Bonds and Notes (Identified Cost $5,597,753)      5,850,623   
        

 

 

  

Short-Term Investments – 3.4%

   

420,108

    Repurchase Agreement with Street Bank and Trust Company, dated 2/29/2012 at 0.000% to be repurchased at $420,108 on 3/01/2012 collateralized by $430,000 U.S. Treasury Bill, due 3/08/2012 valued at $429,997 including accrued interest(e)      420,108   

1,075,809

    Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/29/2012 at 0.000% to be repurchased at $1,075,809 on 3/01/2012 collateralized by $1,080,000 Federal Home Loan Mortgage Corp., 4.000% due 11/25/2026 valued at $1,097,789 including accrued interest(e)      1,075,809   
        

 

 

  
   Total Short-Term Investments (Identified Cost $1,495,917)      1,495,917   
        

 

 

  
   Total Investments – 101.2% (Identified Cost $43,228,698)(a)      44,264,648   
   Other assets less liabilities – (1.2)%      (542,624 ) 
        

 

 

  
   Net Assets – 100.0%    $ 43,722,024   
        

 

 

  

 

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent 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.

Senior loans are priced at bid prices supplied by an independent pricing service, if available.

Equity securities, including shares of closed-end investment compan ies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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.

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service does not price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. 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.

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 values 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. Amortization of premium on debt securities is excluded for tax purposes.):

At February 29, 2012, the net unrealized appreciation on investments based on a cost of $43,230,370 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    $ 1,176,778   
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (142,500 ) 
  

 

 

  
Net unrealized appreciation    $ 1,034,278   
  

 

 

  

 

(b) Variable rate security. Rate as of February 29, 2012 is disclosed.
(c) Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 29, 2012.
(d) Position is unsettled. Contract rate was not determined at February 29, 2012 and does not take effect until settlement date.
(e) 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.

 

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 29, 2012, the value of Rule 144A holdings amounted to $1,244,851 or 2.8% of net assets.

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 when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect 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 February 29, 2012, at value:

 

Asset Valuation Inputs  

Description

    Level 1      Level 2      Level 3      Total  

Senior Loans*

    $ —         $ 36,918,108       $ —         $ 36,918,108   

Bonds and Notes*

      —           5,850,623         —           5,850,623   

Short-Term Investments

      —           1,495,917         —           1,495,917   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —         $ 44,264,648       $ —         $ 44,264,648   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended February 29, 2012, there were no transfers between Levels 1, 2 and 3.

In May, 2011, Accounting Standards Update (“ASU”) No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” was issued and is effective for interim and annual periods beginning after December 15, 2011. The ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers; and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. Notwithstanding the projected regulatory implementation date of August 31, 2012 for the Fund, Management has already implemented disclosure of all transfers between Level 1 and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Fund’s financial statements.

Industry Summary at February 29, 2012 (Unaudited)  

Technology

      17.1 % 

Healthcare

      8.0   

Media Non-Cable

      7.3   

Wirelines

      6.0   

Chemicals

      4.9   

Pharmaceuticals

      4.6   

Wireless

      4.1   

Retailers

      3.9   

Metals & Mining

      3.5   

Automotive

      3.5   

Consumer Products

      3.5   

Industrial Other

      3.4   

Oil Field Services

      3.3   

Property & Casualty Insurance

      2.8   

Food & Beverage

      2.7   

Financial Other

      2.4   

Consumer Cyclical Services

      2.3   

Other Investments, less than 2% each

      14.5   

Short-Term Investments

      3.4   
  

 

 

  

Total Investments

      101.2   

Other assets less liabilities

      (1.2 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

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:   April 20, 2012

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:   April 20, 2012

 

By:   /s/ Michael C. Kardok
Name:   Michael C. Kardok
Title:   Treasurer
Date:   April 20, 2012