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)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: November 30
Date of reporting period: February 28, 2013
ITEM 1. SCHEDULE OF INVESTMENTS
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of February 28, 2013 (Unaudited)
ASG Growth Markets Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 66.6% of Net Assets |
| ||||||
Brazil 9.3% | ||||||||
1,200 | Anhanguera Educacional Participacoes S.A. |
$ | 24,856 | |||||
2,300 | Arteris S.A. |
24,750 | ||||||
3,200 | Banco Bradesco S.A. |
56,939 | ||||||
11,300 | Banco Bradesco S.A., Sponsored Preference ADR(b) |
203,061 | ||||||
3,100 | Banco do Brasil S.A., Sponsored ADR |
41,137 | ||||||
4,659 | Banco Santander Brasil S.A., ADR |
34,057 | ||||||
6,700 | BM&FBovespa S.A. |
45,391 | ||||||
2,600 | BR Malls Participacoes S.A. |
33,626 | ||||||
1,500 | BR Properties S.A. |
18,642 | ||||||
1,500 | Braskem S.A., Sponsored ADR |
22,575 | ||||||
3,175 | BRF Brasil Foods S.A., ADR |
68,548 | ||||||
4,400 | CCR S.A. |
44,125 | ||||||
500 | Cia Brasileira de Distribuicao Grupo Pao de Acucar, Preference ADR |
25,340 | ||||||
654 | Cia de Bebidas das Americas, ADR |
28,940 | ||||||
4,340 | Cia de Bebidas das Americas, Preference ADR(b) |
192,609 | ||||||
1,200 | Cia de Saneamento Basico do Estado de Sao Paulo, ADR(c) |
58,032 | ||||||
900 | Cia de Saneamento de Minas Gerais-COPASA |
23,325 | ||||||
4,125 | Cia Energetica de Minas Gerais, Sponsored Preference ADR |
49,088 | ||||||
888 | Cia Paranaense de Energia, Sponsored Preference ADR |
13,249 | ||||||
1,440 | Cielo S.A., Sponsored ADR |
44,208 | ||||||
1,200 | Cosan S.A. Industria e Comercio |
28,287 | ||||||
796 | CPFL Energia S.A., ADR |
16,334 | ||||||
1,700 | EcoRodovias Infraestrutura e Logistica S.A. |
14,746 | ||||||
2,400 | EDP Energias do Brasil S.A. |
14,562 | ||||||
895 | Embraer S.A., ADR |
30,376 | ||||||
2,500 | Fibria Celulose S.A., Sponsored ADR(c) |
28,950 | ||||||
4,100 | Gerdau S.A., Sponsored Preference ADR |
34,112 | ||||||
3,400 | Hypermarcas S.A.(c) |
30,042 | ||||||
12,900 | Itau Unibanco Holding S.A., Preference ADR(b) |
227,814 | ||||||
1,200 | Localiza Rent a Car S.A. |
22,758 | ||||||
2,800 | Lojas Americanas S.A. |
24,331 | ||||||
700 | Lojas Renner S.A. |
26,651 | ||||||
600 | Multiplan Empreendimentos Imobiliarios S.A. |
17,172 | ||||||
900 | Multiplus S.A. |
16,755 | ||||||
900 | Natura Cosmeticos S.A. |
23,234 | ||||||
2,900 | Oi S.A. |
12,380 | ||||||
5,100 | Oi S.A., ADR |
18,819 | ||||||
6,898 | Petroleo Brasileiro S.A., ADR(b) |
101,194 | ||||||
10,426 | Petroleo Brasileiro S.A., Sponsored Preference ADR(b) |
174,427 | ||||||
3,400 | Raia Drogasil S.A. |
39,198 | ||||||
2,700 | Souza Cruz S.A. |
43,090 | ||||||
1,065 | Telefonica Brasil S.A., Preference ADR |
28,073 | ||||||
1,794 | Tim Participacoes S.A., ADR |
39,038 | ||||||
1,200 | Totvs S.A. |
26,523 | ||||||
3,000 | Ultrapar Participacoes S.A., Sponsored ADR |
77,970 | ||||||
6,738 | Vale S.A., Sponsored ADR(b) |
127,955 | ||||||
10,821 | Vale S.A., Sponsored Preference ADR(b) |
198,782 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Brazil continued |
||||||||
1,200 | WEG S.A. |
$ | 16,059 | |||||
|
|
|||||||
2,512,130 | ||||||||
|
|
|||||||
Chile 0.8% |
||||||||
325 | Banco de Chile, ADR |
32,360 | ||||||
909 | Banco Santander Chile, ADR |
26,416 | ||||||
1,500 | Cia Cervecerias Unidas S.A., ADR |
49,035 | ||||||
704 | Embotelladora Andina S.A., Series B, ADR |
29,462 | ||||||
900 | Empresa Nacional de Electricidad S.A., Sponsored ADR |
45,783 | ||||||
2,000 | Enersis S.A., Sponsored ADR |
37,180 | ||||||
1,008 | Enersis S.A., Sponsored ADR, Rights(c) |
202 | ||||||
|
|
|||||||
220,438 | ||||||||
|
|
|||||||
China 15.9% |
||||||||
22,000 | Agile Property Holdings Ltd. |
28,261 | ||||||
124,000 | Agricultural Bank of China Ltd., Class H |
63,850 | ||||||
4,000 | Anhui Conch Cement Co. Ltd., Class H |
14,560 | ||||||
450,000 | Bank of China Ltd., Class H(b) |
212,699 | ||||||
37,000 | Bank of Communications Co. Ltd., Class H |
29,246 | ||||||
11,500 | BBMG Corp., Class H |
10,115 | ||||||
58,000 | Beijing Capital International Airport Co. Ltd., Class H |
45,581 | ||||||
16,000 | Belle International Holdings Ltd. |
29,308 | ||||||
24,000 | China BlueChemical Ltd., Class H |
15,292 | ||||||
63,000 | China Citic Bank Corp. Ltd., Class H |
40,203 | ||||||
39,000 | China Communications Construction Co. Ltd., Class H |
36,877 | ||||||
44,000 | China Communications Services Corp. Ltd., Class H |
27,630 | ||||||
420,000 | China Construction Bank Corp., Class H(b) |
345,998 | ||||||
20,000 | China Foods Ltd. |
13,129 | ||||||
40,000 | China Gas Holdings Ltd. |
38,830 | ||||||
3,297 | China Life Insurance Co. Ltd., ADR |
145,299 | ||||||
10,000 | China Mengniu Dairy Co. Ltd. |
27,861 | ||||||
20,000 | China Merchants Bank Co. Ltd., Class H |
43,305 | ||||||
37,500 | China Minsheng Banking Corp. Ltd., Class H |
51,934 | ||||||
35,000 | China Mobile Ltd.(b) |
384,331 | ||||||
12,000 | China National Building Material Co. Ltd., Class H |
18,284 | ||||||
10,000 | China Oilfield Services Ltd., Class H |
21,221 | ||||||
24,000 | China Overseas Land & Investment Ltd. |
72,881 | ||||||
4,200 | China Pacific Insurance Group Co. Ltd., Class H |
15,488 | ||||||
1,003 | China Petroleum & Chemical Corp., ADR(b) |
113,901 | ||||||
28,000 | China Railway Construction Corp. Ltd., Class H |
29,316 | ||||||
57,000 | China Railway Group Ltd., Class H |
30,685 | ||||||
10,000 | China Resources Enterprise Ltd. |
32,587 | ||||||
12,000 | China Resources Gas Group Ltd. |
27,980 | ||||||
10,000 | China Resources Land Ltd. |
29,253 | ||||||
10,000 | China Resources Power Holdings Co. Ltd. |
27,243 | ||||||
14,000 | China Shenhua Energy Co. Ltd., Class H |
52,947 | ||||||
929 | China Telecom Corp. Ltd., ADR |
48,317 | ||||||
20,000 | China Unicom Hong Kong Ltd. |
29,122 | ||||||
13,800 | China Vanke Co. Ltd., Class B |
28,034 | ||||||
50,000 | Chongqing Rural Commercial Bank, Class H |
28,134 | ||||||
6,000 | CITIC Securities Co. Ltd., Class H |
15,182 | ||||||
1,105 | CNOOC Ltd., Sponsored ADR(b) |
215,431 | ||||||
53,125 | Country Garden Holdings Co. Ltd.(c) |
27,354 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
China continued |
||||||||
26,000 | CSR Corp. Ltd., Class H |
$ | 21,157 | |||||
26,000 | Dongfeng Motor Group Co. Ltd., Class H |
38,026 | ||||||
6,000 | ENN Energy Holdings Ltd. |
29,841 | ||||||
68,000 | Evergrande Real Estate Group Ltd. |
33,204 | ||||||
84,000 | Franshion Properties China Ltd. |
29,876 | ||||||
35,000 | Geely Automobile Holdings Ltd. |
19,154 | ||||||
134,000 | GOME Electrical Appliances Holding Ltd.(c) |
14,844 | ||||||
12,000 | Great Wall Motor Co. Ltd., Class H |
46,983 | ||||||
54,000 | Guangdong Investment Ltd. |
46,488 | ||||||
25,200 | Guangzhou R&F Properties Co. Ltd., Class H |
42,602 | ||||||
17,000 | Haier Electronics Group Co. Ltd.(c) |
30,754 | ||||||
1,500 | Hengan International Group Co. Ltd. |
15,157 | ||||||
33,000 | Huabao International Holdings Ltd. |
18,550 | ||||||
951 | Huaneng Power International, Inc., ADR |
38,658 | ||||||
385,000 | Industrial & Commercial Bank of China Ltd., Class H(b) |
276,014 | ||||||
7,000 | Inner Mongolia Yitai Coal Co., Class B |
40,322 | ||||||
22,000 | Jiangsu Expressway Co. Ltd., Class H |
22,186 | ||||||
10,000 | Jiangxi Copper Co. Ltd., Class H |
23,883 | ||||||
9,000 | Kingboard Chemical Holdings Ltd. |
27,348 | ||||||
14,000 | Kunlun Energy Co. Ltd. |
29,070 | ||||||
24,000 | Lee & Man Paper Manufacturing Ltd. |
17,927 | ||||||
3,800 | Lenovo Group Ltd., ADR |
85,044 | ||||||
16,000 | Longfor Properties Co. Ltd. |
28,490 | ||||||
1,125 | PetroChina Co. Ltd., ADR(b) |
154,102 | ||||||
5,500 | Ping An Insurance (Group) Co. of China Ltd., Class H |
46,031 | ||||||
53,000 | Poly Hong Kong Investments Ltd.(c) |
37,707 | ||||||
15,600 | Shanghai Pharmaceuticals Holding Co. Ltd., Class H |
33,556 | ||||||
25,500 | Shimao Property Holdings Ltd. |
51,255 | ||||||
56,000 | Shougang Fushan Resources Group Ltd. |
24,569 | ||||||
66,500 | Shui On Land Ltd. |
30,832 | ||||||
34,500 | Sino-Ocean Land Holdings Ltd. |
23,824 | ||||||
47,000 | Soho China Ltd. |
36,497 | ||||||
11,000 | Sun Art Retail Group Ltd. |
15,313 | ||||||
5,500 | Tencent Holdings Ltd. |
189,529 | ||||||
24,000 | Uni-President China Holdings Ltd. |
29,380 | ||||||
33,000 | Want Want China Holdings Ltd. |
46,182 | ||||||
6,000 | Weichai Power Co. Ltd., Class H |
22,635 | ||||||
1,714 | Yanzhou Coal Mining Co. Ltd., Sponsored ADR |
26,533 | ||||||
164,000 | Yuexiu Property Co. Ltd. |
56,828 | ||||||
28,000 | Zhejiang Expressway Co. Ltd., Class H |
23,533 | ||||||
5,000 | Zhuzhou CSR Times Electric Co. Ltd., Class H |
16,468 | ||||||
6,800 | Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H |
8,964 | ||||||
|
|
|||||||
4,316,985 | ||||||||
|
|
|||||||
Colombia 0.6% |
||||||||
800 | BanColombia S.A., Sponsored Preference ADR |
51,952 | ||||||
2,116 | Ecopetrol S.A., Sponsored ADR |
121,776 | ||||||
|
|
|||||||
173,728 | ||||||||
|
|
|||||||
Egypt 0.3% |
||||||||
6,664 | Commercial International Bank Egypt S.A.E., GDR |
33,320 | ||||||
13,295 | Orascom Telecom Holding S.A.E., GDR(c) |
42,012 | ||||||
|
|
|||||||
75,332 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
India 1.9% |
||||||||
1,943 | Axis Bank Ltd., GDR |
$ | 48,363 | |||||
3,058 | HDFC Bank Ltd., ADR |
116,357 | ||||||
1,612 | ICICI Bank Ltd., Sponsored ADR |
67,575 | ||||||
2,413 | Infosys Ltd., Sponsored ADR(b) |
130,133 | ||||||
549 | Larsen & Toubro Ltd., GDR |
14,019 | ||||||
1,347 | Mahindra & Mahindra Ltd., Sponsored GDR |
21,742 | ||||||
546 | State Bank of India, Sponsored GDR |
45,695 | ||||||
2,160 | Tata Motors Ltd., Sponsored ADR |
58,623 | ||||||
|
|
|||||||
502,507 | ||||||||
|
|
|||||||
Indonesia 2.5% |
||||||||
68,000 | Astra International Tbk PT |
55,903 | ||||||
47,500 | Bank Central Asia Tbk PT |
53,984 | ||||||
31,000 | Bank Danamon Indonesia Tbk PT |
20,186 | ||||||
57,000 | Bank Mandiri Persero Tbk PT |
59,191 | ||||||
87,000 | Bank Negara Indonesia Persero Tbk PT |
41,347 | ||||||
80,000 | Bank Rakyat Indonesia Persero Tbk PT |
78,083 | ||||||
65,000 | Charoen Pokphand Indonesia Tbk PT |
29,525 | ||||||
117,000 | Global Mediacom Tbk PT |
27,821 | ||||||
12,000 | Indocement Tunggal Prakarsa Tbk PT |
27,228 | ||||||
39,500 | Indofood Sukses Makmur Tbk PT |
29,780 | ||||||
41,500 | Indosat Tbk PT |
27,257 | ||||||
221,000 | Kalbe Farma Tbk PT |
29,454 | ||||||
95,000 | Media Nusantara Citra Tbk PT |
28,978 | ||||||
68,000 | Perusahaan Gas Negara Persero Tbk PT |
33,741 | ||||||
16,500 | Semen Gresik Persero Tbk PT |
29,603 | ||||||
9,500 | Tambang Batubara Bukit Asam Persero Tbk PT |
14,838 | ||||||
1,691 | Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR |
75,182 | ||||||
13,000 | United Tractors Tbk PT |
25,956 | ||||||
|
|
|||||||
688,057 | ||||||||
|
|
|||||||
Korea 12.2% |
||||||||
15 | Amorepacific Corp.(c) |
14,181 | ||||||
69 | AMOREPACIFIC Group(c) |
26,892 | ||||||
1,150 | BS Financial Group, Inc. |
16,609 | ||||||
670 | Celltrion, Inc. |
16,539 | ||||||
73 | CJ CheilJedang Corp. |
25,975 | ||||||
258 | CJ Corp. |
35,606 | ||||||
340 | Coway Co. Ltd.(c) |
15,662 | ||||||
331 | Daelim Industrial Co. Ltd. |
29,414 | ||||||
610 | Daewoo International Corp. |
21,507 | ||||||
470 | Dongbu Insurance Co. Ltd. |
20,540 | ||||||
115 | E-Mart Co. Ltd. |
23,462 | ||||||
302 | GS Holdings |
19,351 | ||||||
410 | Hana Financial Group, Inc. |
15,259 | ||||||
1,060 | Hanwha Chem Corp. |
19,353 | ||||||
810 | Hanwha Corp. |
26,041 | ||||||
100 | Honam Petrochemical Corp.(c) |
21,806 | ||||||
308 | Hyosung Corp. |
16,025 | ||||||
700 | Hyundai Development Co.(c) |
15,918 | ||||||
125 | Hyundai Glovis Co. Ltd. |
23,685 | ||||||
116 | Hyundai Heavy Industries Co. Ltd. |
22,862 | ||||||
610 | Hyundai Hysco Co. Ltd. |
20,299 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Korea continued |
||||||||
680 | Hyundai Marine & Fire Insurance Co. Ltd. |
$ | 19,715 | |||||
392 | Hyundai Mobis |
112,819 | ||||||
917 | Hyundai Motor Co.(b) |
183,465 | ||||||
1,436 | Hyundai Motor Co., GDR(c) |
47,645 | ||||||
2,670 | Hyundai Securities Co. |
21,893 | ||||||
133 | Hyundai Wia Corp. |
19,406 | ||||||
1,970 | Industrial Bank of Korea(c) |
23,739 | ||||||
520 | Kangwon Land, Inc. |
15,776 | ||||||
1,502 | KB Financial Group, Inc., ADR(c) |
53,216 | ||||||
1,370 | Kia Motors Corp. |
70,306 | ||||||
3,505 | Korea Electric Power Corp., Sponsored ADR(c) |
52,435 | ||||||
5,260 | Korea Exchange Bank(c) |
36,852 | ||||||
610 | Korea Gas Corp.(c) |
40,155 | ||||||
540 | Korea Investment Holdings Co. Ltd. |
22,858 | ||||||
3,370 | Korea Life Insurance Co. Ltd. |
22,593 | ||||||
84 | Korea Zinc Co. Ltd.(c) |
28,998 | ||||||
475 | Korean Air Lines Co. Ltd.(c) |
19,331 | ||||||
873 | KT Corp., Sponsored ADR(c) |
14,125 | ||||||
395 | KT&G Corp. |
28,162 | ||||||
170 | Kumho Petro Chemical Co. Ltd.(c) |
17,051 | ||||||
153 | LG Chem Ltd. |
41,620 | ||||||
390 | LG Corp. |
23,654 | ||||||
2,977 | LG Display Co. Ltd., ADR(c) |
41,380 | ||||||
576 | LG Electronics, Inc. |
41,472 | ||||||
71 | LG Household & Health Care Ltd. |
40,728 | ||||||
135 | LG Innotek Co. Ltd.(c) |
9,412 | ||||||
2,360 | LG Uplus Corp.(c) |
18,485 | ||||||
18 | Lotte Confectionery Co. Ltd.(c) |
30,390 | ||||||
81 | Lotte Shopping Co. Ltd. |
29,047 | ||||||
420 | Mirae Asset Securities Co. Ltd. |
16,762 | ||||||
198 | NHN Corp. |
47,944 | ||||||
39 | Orion Corp.(c) |
38,508 | ||||||
1,395 | POSCO, ADR |
112,563 | ||||||
294 | S1 Corp. |
18,852 | ||||||
454 | Samsung C&T Corp. |
27,595 | ||||||
580 | Samsung Card Co. |
20,803 | ||||||
207 | Samsung Electro-Mechanics Co. Ltd. |
18,157 | ||||||
1,239 | Samsung Electronics Co. Ltd., GDR(b) |
878,671 | ||||||
184 | Samsung Electronics Co. Ltd., Preference GDR |
73,887 | ||||||
167 | Samsung Fire & Marine Insurance Co. Ltd. |
35,145 | ||||||
1,230 | Samsung Heavy Industries Co. Ltd. |
43,637 | ||||||
574 | Samsung Life Insurance Co. Ltd. |
55,094 | ||||||
157 | Samsung SDI Co. Ltd. |
20,075 | ||||||
2,648 | Shinhan Financial Group Co. Ltd., ADR(c) |
102,901 | ||||||
210 | SK Holdings Co. Ltd. |
33,911 | ||||||
1,480 | SK Hynix, Inc.(c) |
36,018 | ||||||
196 | SK Innovation Co. Ltd. |
31,989 | ||||||
2,940 | SK Networks Co. Ltd. |
21,628 | ||||||
1,900 | SK Telecom Co. Ltd., ADR |
34,523 | ||||||
1,570 | Woori Finance Holdings Co. Ltd. |
18,982 | ||||||
1,520 | Woori Investment & Securities Co. Ltd. |
17,773 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Korea continued | ||||||||
123 | Yuhan Corp. |
$ | 20,243 | |||||
|
|
|||||||
3,299,375 | ||||||||
|
|
|||||||
Malaysia 2.9% | ||||||||
20,700 | AirAsia Bhd |
19,447 | ||||||
9,500 | AMMB Holdings Bhd |
19,427 | ||||||
21,700 | Axiata Group Bhd |
44,917 | ||||||
1,300 | British American Tobacco Malaysia Bhd |
25,639 | ||||||
22,100 | CIMB Group Holdings Bhd |
51,454 | ||||||
29,000 | DiGi.Com Bhd |
42,854 | ||||||
8,300 | Genting Bhd |
25,465 | ||||||
23,200 | Genting Malaysia Bhd |
27,752 | ||||||
5,100 | Hong Leong Bank Bhd |
24,037 | ||||||
6,700 | Hong Leong Financial Group Bhd |
31,071 | ||||||
12,400 | IJM Corp. Bhd |
20,586 | ||||||
7,800 | Lafarge Malayan Cement Bhd |
24,633 | ||||||
19,200 | Malayan Banking Bhd |
56,838 | ||||||
8,400 | Malaysia Airports Holdings Bhd |
14,868 | ||||||
15,100 | Maxis Bhd |
31,123 | ||||||
25,500 | MMC Corp. Bhd |
20,676 | ||||||
9,800 | Parkson Holdings Bhd |
14,635 | ||||||
3,600 | Petronas Dagangan Bhd |
27,398 | ||||||
5,700 | Petronas Gas Bhd |
33,823 | ||||||
3,100 | Public Bank Bhd |
16,143 | ||||||
8,100 | RHB Capital Bhd |
20,561 | ||||||
10,900 | Sime Darby Bhd |
32,483 | ||||||
18,800 | Telekom Malaysia Bhd |
32,362 | ||||||
15,700 | Tenaga Nasional Bhd |
35,278 | ||||||
12,300 | UMW Holdings Bhd |
50,939 | ||||||
77,546 | YTL Corp. Bhd |
41,339 | ||||||
|
|
|||||||
785,748 | ||||||||
|
|
|||||||
Mexico 4.0% | ||||||||
29,000 | Alfa SAB de CV, Class A |
69,771 | ||||||
10,967 | America Movil SAB de CV, Series L, ADR(b) |
229,101 | ||||||
2,200 | Arca Continental SAB de CV |
16,580 | ||||||
9,362 | Cemex SAB de CV, Sponsored ADR(c) |
100,548 | ||||||
352 | Coca-Cola Femsa SAB de CV, Sponsored ADR |
59,361 | ||||||
5,100 | Controladora Comercial Mexicana SAB de CV |
17,640 | ||||||
1,400 | Fomento Economico Mexicano SAB de CV, Sponsored ADR |
156,436 | ||||||
500 | Grupo Aeroportuario del Pacifico SAB de CV, ADR |
30,975 | ||||||
347 | Grupo Aeroportuario del Sureste SAB de CV, ADR |
45,759 | ||||||
8,300 | Grupo Bimbo SAB de CV, Series A |
22,641 | ||||||
4,800 | Grupo Carso SAB de CV, Series A1 |
23,239 | ||||||
11,400 | Grupo Financiero Banorte SAB de CV, Class O |
84,309 | ||||||
8,131 | Grupo Mexico SAB de CV, Series B |
31,882 | ||||||
2,746 | Grupo Televisa SAB, Sponsored ADR |
73,675 | ||||||
2,700 | Industrias CH SAB de CV, Series B(c) |
22,297 | ||||||
3,700 | Mexichem SAB de CV |
18,493 | ||||||
2,464 | Wal-Mart de Mexico SAB de CV, Series V, Sponsored ADR |
77,320 | ||||||
|
|
|||||||
1,080,027 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Peru 0.2% | ||||||||
334 | Credicorp Ltd. |
$ | 50,093 | |||||
|
|
|||||||
Philippines 0.2% | ||||||||
700 | Philippine Long Distance Telephone Co., Sponsored ADR |
49,945 | ||||||
|
|
|||||||
Russia 4.5% | ||||||||
29,095 | Gazprom OAO, Sponsored ADR(b) |
258,340 | ||||||
3,124 | Lukoil OAO, Sponsored ADR(b) |
201,641 | ||||||
1,209 | Magnit OJSC, Sponsored GDR |
51,135 | ||||||
592 | MegaFon OAO, GDR(c) |
17,087 | ||||||
1,838 | Mobile Telesystems OJSC, Sponsored ADR |
38,028 | ||||||
416 | NovaTek OAO, Sponsored GDR |
48,187 | ||||||
9,210 | Rosneft Oil Co., GDR |
72,784 | ||||||
1,192 | Rostelecom OJSC, Sponsored ADR |
28,718 | ||||||
14,740 | Sberbank of Russia, Sponsored ADR(b) |
202,546 | ||||||
6,006 | Surgutneftegas OJSC, Sponsored ADR |
56,551 | ||||||
11,284 | Surgutneftegas OJSC, Sponsored Preference ADR |
82,937 | ||||||
2,069 | Tatneft, Sponsored ADR |
85,765 | ||||||
1,088 | TMK OAO, GDR |
16,172 | ||||||
937 | Uralkali OJSC, Sponsored GDR |
35,482 | ||||||
7,026 | VTB Bank OJSC, GDR |
25,385 | ||||||
|
|
|||||||
1,220,758 | ||||||||
|
|
|||||||
South Africa 5.7% | ||||||||
1,472 | ABSA Group Ltd. |
26,508 | ||||||
6,484 | African Bank Investments Ltd. |
20,703 | ||||||
2,488 | Anglo American Platinum Ltd., ADR |
19,431 | ||||||
1,516 | AngloGold Ashanti Ltd., Sponsored ADR |
36,748 | ||||||
1,733 | Aspen Pharmacare Holdings Ltd.(c) |
31,331 | ||||||
551 | Assore Ltd. |
20,629 | ||||||
1,860 | Barloworld Ltd. |
19,025 | ||||||
1,612 | Bidvest Group Ltd. |
42,546 | ||||||
3,550 | Discovery Holdings Ltd. |
29,525 | ||||||
26,779 | FirstRand Ltd. |
91,417 | ||||||
3,742 | Gold Fields Ltd., Sponsored ADR |
31,021 | ||||||
8,104 | Growthpoint Properties Ltd. |
24,603 | ||||||
2,017 | Impala Platinum Holdings Ltd., Sponsored ADR |
30,779 | ||||||
2,485 | Imperial Holdings Ltd. |
56,973 | ||||||
2,021 | Investec Ltd. |
14,334 | ||||||
305 | Kumba Iron Ore Ltd. |
19,161 | ||||||
2,853 | Liberty Holdings Ltd. |
36,879 | ||||||
11,429 | Life Healthcare Group Holdings Ltd. |
42,790 | ||||||
7,764 | MMI Holdings Ltd. |
19,216 | ||||||
2,124 | Mr Price Group Ltd. |
27,241 | ||||||
9,419 | MTN Group Ltd.(b) |
183,190 | ||||||
1,711 | Naspers Ltd., N Shares |
110,485 | ||||||
1,195 | Nedbank Group Ltd. |
25,513 | ||||||
7,746 | Netcare Ltd. |
17,186 | ||||||
2,844 | Remgro Ltd. |
53,587 | ||||||
10,827 | RMB Holdings Ltd. |
49,032 | ||||||
9,111 | RMI Holdings |
22,921 | ||||||
14,673 | Sanlam Ltd. |
73,494 | ||||||
2,994 | Sasol Ltd., Sponsored ADR(b) |
127,993 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
South Africa continued | ||||||||
1,862 | Shoprite Holdings Ltd. |
$ | 35,417 | |||||
936 | Sibanye Gold Ltd., ADR(c) |
5,295 | ||||||
1,557 | Spar Group Ltd. (The) |
18,824 | ||||||
6,617 | Standard Bank Group Ltd. |
85,381 | ||||||
1,304 | Truworths International Ltd. |
13,430 | ||||||
1,768 | Vodacom Group Ltd. |
23,359 | ||||||
6,515 | Woolworths Holdings Ltd. |
46,637 | ||||||
|
|
|||||||
1,532,604 | ||||||||
|
|
|||||||
Taiwan 5.0% | ||||||||
21,000 | Acer, Inc.(c) |
18,935 | ||||||
7,588 | Advanced Semiconductor Engineering, Inc., ADR |
31,338 | ||||||
6,000 | Asustek Computer, Inc. |
73,492 | ||||||
15,750 | Cathay Financial Holding Co. Ltd. |
20,155 | ||||||
11,400 | Cheng Shin Rubber Industry Co. Ltd. |
31,079 | ||||||
16,000 | China Steel Corp. |
14,725 | ||||||
32,640 | Chinatrust Financial Holding Co. Ltd. |
19,483 | ||||||
2,681 | Chunghwa Telecom Co. Ltd., ADR |
83,165 | ||||||
38,000 | Compal Electronics, Inc. |
26,939 | ||||||
15,000 | CTCI Corp. |
30,029 | ||||||
8,000 | Delta Electronics, Inc. |
30,120 | ||||||
16,000 | Far EasTone Telecommunications Co. Ltd. |
37,202 | ||||||
10,000 | Formosa Chemicals & Fibre Corp. |
25,655 | ||||||
12,000 | Formosa Plastics Corp. |
30,546 | ||||||
21,699 | Fubon Financial Holding Co. Ltd. |
29,524 | ||||||
1,000 | Hermes Microvision, Inc. |
20,616 | ||||||
25,512 | Hon Hai Precision Industry Co. Ltd., GDR |
143,069 | ||||||
38,570 | Mega Financial Holding Co. Ltd. |
32,078 | ||||||
4,000 | Merida Industry Co. Ltd. |
19,610 | ||||||
18,000 | Nan Ya Plastics Corp. |
34,765 | ||||||
4,000 | President Chain Store Corp. |
22,175 | ||||||
14,000 | Taiwan Cement Corp. |
18,064 | ||||||
7,000 | Taiwan Mobile Co. Ltd. |
24,542 | ||||||
27,377 | Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR(b) |
499,630 | ||||||
20,330 | Uni-President Enterprises Corp. |
38,203 | ||||||
|
|
|||||||
1,355,139 | ||||||||
|
|
|||||||
Turkey 0.5% | ||||||||
983 | KOC Holding AS, ADR |
26,049 | ||||||
2,395 | Turkcell Iletisim Hizmetleri AS, ADR(c) |
39,541 | ||||||
15,852 | Turkiye Garanti Bankasi AS, ADR |
75,456 | ||||||
|
|
|||||||
141,046 | ||||||||
|
|
|||||||
United States 0.1% | ||||||||
698 | Southern Copper Corp. |
26,377 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $15,709,683) |
18,030,289 | |||||||
|
|
|||||||
|
Preferred Stocks 1.0% |
|||||||
Brazil 0.8% | ||||||||
2,000 | Banco do Estado do Rio Grande do Sul, Series B |
18,288 | ||||||
1,300 | Bradespar S.A. |
19,079 | ||||||
1,800 | Cia Energetica de Sao Paulo, Class B |
16,678 |
Shares |
Description |
Value () | ||||||
|
Preferred Stocks continued |
| ||||||
Brazil continued | ||||||||
10,670 | Itausa Investimentos Itau S.A. |
$ | 55,792 | |||||
8,900 | Klabin S.A. |
59,846 | ||||||
1,700 | Lojas Americanas S.A. |
15,511 | ||||||
3,100 | Marcopolo S.A. |
20,751 | ||||||
2,200 | Metalurgica Gerdau S.A. |
23,285 | ||||||
|
|
|||||||
229,230 | ||||||||
|
|
|||||||
Korea 0.2% | ||||||||
601 | Hyundai Motor Co. |
43,091 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $250,638) |
272,321 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 16.5% |
|||||||
Treasuries 9.1% | ||||||||
$ | 500,000 | U.S. Treasury Bill, 0.130%, 3/21/2013(b)(d) |
499,982 | |||||
200,000 | U.S. Treasury Bill, 0.070%, 3/28/2013(b)(d) |
199,990 | ||||||
200,000 | U.S. Treasury Bill, 0.145%, 4/11/2013(b)(d) |
199,980 | ||||||
250,000 | U.S. Treasury Bill, 0.050%, 4/25/2013(b)(d) |
249,965 | ||||||
200,000 | U.S. Treasury Bill, 0.090%, 5/16/2013(b)(d) |
199,958 | ||||||
300,000 | U.S. Treasury Bill, 0.130%, 6/06/2013(b)(d) |
299,895 | ||||||
200,000 | U.S. Treasury Bill, 0.120%, 6/27/2013(b)(d) |
199,926 | ||||||
350,000 | U.S. Treasury Bill, 0.090%, 7/25/2013(b)(d) |
349,840 | ||||||
250,000 | U.S. Treasury Bill, 0.105%, 8/01/2013(b)(d) |
249,875 | ||||||
|
|
|||||||
2,449,411 | ||||||||
|
|
|||||||
Commercial Paper 3.0% | ||||||||
200,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.390%, 3/07/2013(b)(d) |
199,987 | ||||||
200,000 | Tennessee School Bond Authority, 0.190%, 3/12/2013(b) |
200,002 | ||||||
200,000 | General Electric Co., 0.110%, 3/20/2013(b)(d) |
199,990 | ||||||
200,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013(b) |
200,000 | ||||||
|
|
|||||||
799,979 | ||||||||
|
|
|||||||
Certificates of Deposit 2.2% | ||||||||
100,000 | BNP Paribas, 0.120%, 3/01/2013 |
100,000 | ||||||
200,000 | Royal Bank of Canada, 0.150%, 3/01/2013 |
200,000 | ||||||
150,000 | Norinchukin Bank, 0.380%, 7/12/2013(b) |
150,039 |
Principal |
Description |
Value () | ||||||
Certificates of Deposit continued | ||||||||
$ | 150,000 | Westpac Banking Corp. (NY), 0.328%, 11/06/2013(b)(e) |
$ | 150,010 | ||||
|
|
|||||||
600,049 | ||||||||
|
|
|||||||
Corporate Notes 1.5% | ||||||||
200,000 | PepsiCo, Inc., 0.372%, 5/10/2013(b)(e) |
200,104 | ||||||
200,000 | Johnson & Johnson, 0.290%, 5/15/2013(b)(e) |
200,036 | ||||||
|
|
|||||||
400,140 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 0.7% | ||||||||
200,000 | Societe Generale North America, 0.370%, 7/02/2013(b)(d) |
199,767 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $4,449,288) |
4,449,346 | |||||||
|
|
|||||||
Total Investments 84.1% (Identified Cost $20,409,609)(a) |
22,751,956 | |||||||
Other assets less liabilities 15.9% |
4,314,189 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 27,066,145 | ||||||
|
|
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 28, 2013, the value of the Funds investment in the Subsidiary was $2,072,787, representing 7.7% of the Funds 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 securitys 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 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 an independent pricing service is unable to 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 Funds 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 closing 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 on a daily basis 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. At February 28, 2013, approximately 48% 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 Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At February 28, 2013, the net unrealized appreciation on investments based on a cost of $20,409,609 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 |
$ | 3,057,378 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(715,031 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 2,342,347 | ||
|
|
At November 30, 2012, the Fund had a short-term capital loss carryforward of $1,614,268 with no expiration date and a long-term capital loss carryforward of $133,784 with no expiration date. 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 has been designated to cover the Funds 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 28, 2013 is disclosed. |
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 Funds 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 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. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At February 28, 2013, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||
Buy |
3/20/2013 | Australian Dollar | 1,100,000 | $ | 1,122,226 | $ | (21,395 | ) | ||||||||
Buy |
3/20/2013 | Canadian Dollar | 2,700,000 | 2,617,077 | (113,777 | ) | ||||||||||
Sell |
3/20/2013 | Canadian Dollar | 1,800,000 | 1,744,718 | 35,778 | |||||||||||
Buy |
3/20/2013 | Euro | 1,000,000 | 1,305,699 | 14,563 | |||||||||||
Buy |
3/20/2013 | Euro | 500,000 | 652,850 | (6,288 | ) | ||||||||||
Sell |
3/20/2013 | Euro | 375,000 | 489,637 | 15,816 | |||||||||||
Sell |
3/21/2013 | Japanese Yen | 12,500,000 | 134,873 | 16,459 | |||||||||||
Buy |
3/20/2013 | New Zealand Dollar | 3,200,000 | 2,642,645 | (15,796 | ) | ||||||||||
Buy |
3/20/2013 | Norwegian Krone | 16,000,000 | 2,785,476 | (21,481 | ) | ||||||||||
Sell |
3/20/2013 | Norwegian Krone | 4,000,000 | 696,369 | 5,438 | |||||||||||
Buy |
3/20/2013 | Singapore Dollar | 6,375,000 | 5,147,750 | (73,333 | ) | ||||||||||
Sell |
3/20/2013 | Singapore Dollar | 2,000,000 | 1,614,980 | (295 | ) | ||||||||||
Buy |
3/20/2013 | Swedish Krona | 2,000,000 | 309,133 | 10,460 | |||||||||||
Buy |
3/20/2013 | Turkish Lira | 6,600,000 | 3,660,393 | 19,200 | |||||||||||
Buy |
3/20/2013 | Turkish Lira | 1,500,000 | 831,907 | (20,437 | ) | ||||||||||
Sell |
3/20/2013 | Turkish Lira | 2,700,000 | 1,497,433 | (405 | ) | ||||||||||
|
|
|||||||||||||||
Total |
$ | (155,493 | ) | |||||||||||||
|
|
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 Funds or the Subsidiarys 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 contracts are standardized 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; however, in the event that a counterparty enters into bankruptcy, a Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At February 28, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
3/15/2013 | 15 | $ | 1,333,423 | $ | (11,280 | ) | |||||||||
DAX |
3/15/2013 | 1 | 252,967 | 5,810 | ||||||||||||
E-mini Dow |
3/15/2013 | 7 | 491,330 | 6,440 | ||||||||||||
E-mini NASDAQ 100 |
3/15/2013 | 11 | 602,360 | 16,005 | ||||||||||||
E-mini S&P 500® |
3/15/2013 | 5 | 378,325 | 10,945 | ||||||||||||
Euribor |
9/16/2013 | 45 | 14,655,854 | 22,341 | ||||||||||||
Eurodollar |
9/16/2013 | 11 | 2,740,925 | 137 | ||||||||||||
FTSE 100 Index |
3/15/2013 | 20 | 1,929,233 | 125,938 | ||||||||||||
FTSE/JSE Top 40 Index |
3/20/2013 | 53 | 2,064,874 | 27,415 | ||||||||||||
German Euro BOBL |
3/07/2013 | 28 | 4,663,736 | 13,591 | ||||||||||||
Hang Seng Index® |
3/27/2013 | 10 | 1,480,994 | 15,279 | ||||||||||||
Mini-Russell 2000 |
3/15/2013 | 14 | 1,274,280 | 108,080 | ||||||||||||
MSCI Singapore |
3/27/2013 | 38 | 2,265,762 | (13,194 | ) | |||||||||||
MSCI Taiwan Index |
3/28/2013 | 58 | 1,644,880 | (10,440 | ) | |||||||||||
Nikkei 225 |
3/08/2013 | 12 | 1,488,834 | 218,923 | ||||||||||||
OMXS30® |
3/15/2013 | 98 | 1,813,426 | 45,686 | ||||||||||||
S&P/TSX 60 Index |
3/14/2013 | 16 | 2,289,105 | 80,399 | ||||||||||||
S&P CNX Nifty Futures Index |
3/28/2013 | 252 | 2,902,032 | (36,184 | ) | |||||||||||
Sterling |
9/18/2013 | 189 | 35,686,196 | 37,850 | ||||||||||||
TOPIX |
3/08/2013 | 9 | 942,820 | 81,562 | ||||||||||||
2 Year U.S. Treasury Note |
6/28/2013 | 26 | 5,732,187 | | ||||||||||||
5 Year U.S. Treasury Note |
6/28/2013 | 64 | 7,935,000 | 8,008 | ||||||||||||
10 Year Canada Government Bond |
6/19/2013 | 1 | 129,910 | 1,920 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 755,231 | ||||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
3/20/2013 | 8 | $ | 393,900 | $ | (18,245 | ) | |||||||||
Brent Crude Oil |
3/14/2013 | 4 | 445,520 | (19,800 | ) | |||||||||||
Copper High Grade |
5/29/2013 | 12 | 1,064,250 | (6,600 | ) | |||||||||||
Copper LME |
3/20/2013 | 5 | 974,031 | (38,531 | ) | |||||||||||
Cotton |
5/08/2013 | 1 | 42,645 | 1,100 | ||||||||||||
Gas Oil |
4/11/2013 | 14 | 1,314,600 | (72,800 | ) | |||||||||||
Heating Oil |
3/28/2013 | 2 | 248,665 | (21,093 | ) | |||||||||||
KC Wheat |
5/14/2013 | 1 | 37,638 | (1,750 | ) | |||||||||||
Silver |
5/29/2013 | 1 | 142,160 | (1,635 | ) | |||||||||||
Zinc |
3/20/2013 | 7 | 358,094 | (12,294 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (191,648 | ) | |||||||||||||
|
|
At February 28, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Euro Schatz |
3/07/2013 | 183 | $ | 26,456,314 | $ | (84,978 | ) | |||||||||
10 Year U.S. Treasury Note |
6/19/2013 | 11 | 1,447,016 | (2,148 | ) | |||||||||||
30 Year U.S. Treasury Bond |
6/19/2013 | 16 | 2,300,500 | (34,875 | ) | |||||||||||
|
|
|||||||||||||||
Total |
$ | (122,001 | ) | |||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
3/20/2013 | 8 | $ | 393,900 | $ | 21,445 | ||||||||||
Cocoa |
5/15/2013 | 13 | 277,550 | 10,420 | ||||||||||||
Coffee |
5/20/2013 | 2 | 107,400 | (19 | ) | |||||||||||
Copper LME |
3/20/2013 | 5 | 974,031 | 23,502 | ||||||||||||
Live Cattle |
4/30/2013 | 3 | 155,820 | 510 | ||||||||||||
Soybean |
5/14/2013 | 9 | 653,513 | (15,075 | ) | |||||||||||
Soybean Oil |
5/14/2013 | 11 | 324,192 | 4,818 | ||||||||||||
Sugar |
4/30/2013 | 6 | 123,581 | (2,150 | ) | |||||||||||
Wheat |
5/14/2013 | 21 | 750,225 | 32,375 | ||||||||||||
Zinc |
3/20/2013 | 2 | 102,312 | 4,044 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 79,870 | ||||||||||||||
|
|
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 Funds 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.); and |
| 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 Funds 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 Funds investments as of February 28, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
China |
$ | 827,285 | $ | 3,489,700 | $ | | $ | 4,316,985 | ||||||||
India |
372,688 | 129,819 | | 502,507 | ||||||||||||
Indonesia |
75,182 | 612,875 | | 688,057 | ||||||||||||
Korea |
439,305 | 2,860,070 | | 3,299,375 | ||||||||||||
Malaysia |
149,811 | 635,937 | | 785,748 | ||||||||||||
Russia |
120,965 | 1,099,793 | | 1,220,758 | ||||||||||||
South Africa |
331,874 | 1,200,730 | | 1,532,604 | ||||||||||||
Taiwan |
614,133 | 741,006 | | 1,355,139 | ||||||||||||
All Other Common Stocks* |
4,329,116 | | | 4,329,116 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
7,260,359 | 10,769,930 | | 18,030,289 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks* |
229,230 | 43,091 | | 272,321 | ||||||||||||
Short-Term Investments* |
| 4,449,346 | | 4,449,346 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
7,489,589 | 15,262,367 | | 22,751,956 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 117,714 | | 117,714 | ||||||||||||
Futures Contracts (unrealized appreciation) |
924,543 | | | 924,543 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 8,414,132 | $ | 15,380,081 | $ | | $ | 23,794,213 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (273,207 | ) | $ | | $ | (273,207 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(403,091 | ) | | | (403,091 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (403,091 | ) | $ | (273,207 | ) | $ | | $ | (676,298 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
Common stocks valued at $323,312 were transferred from Level 2 to Level 1 during the period ended February 28, 2013. At November 30, 2012, these securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the securities; at February 28, 2013, these securities were valued at the market price in the foreign market in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
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 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, in particular, futures and forward contracts, 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 28, 2013, the Fund used long and short contracts on U.S. equity market indices, U.S. and foreign government bonds, short-term interest rates, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on foreign equity market indices 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 a 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 28, 2013, 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 |
$ | (155,493 | ) | $ | 761,951 |
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 these derivative contracts to one net amount payable by either the Fund or the counterparty. As of February 28, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $3,122,830 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $3,005,116.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts, is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the fund and the counterparties. 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. This risk of loss to a fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund as of February 28, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized appreciation) |
$ | | $ | 117,714 | $ | | $ | | ||||||||
Futures (unrealized appreciation) |
83,847 | | 742,482 | 98,214 | ||||||||||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
Equity Contracts |
Commodity Contracts |
||||||||||||
Forwards (unrealized depreciation) |
$ | | $ | (273,207 | ) | $ | | $ | | |||||||
Futures (unrealized depreciation) |
(122,001 | ) | | (71,098 | ) | (209,992 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds 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 28, 2013 (Unaudited)
Commercial Banks |
12.9 | % | ||
Oil, Gas & Consumable Fuels |
8.0 | |||
Semiconductors & Semiconductor Equipment |
5.7 | |||
Wireless Telecommunication Services |
4.8 | |||
Metals & Mining |
3.2 | |||
Real Estate Management & Development |
2.4 | |||
Automobiles |
2.3 | |||
Insurance |
2.1 | |||
Other Investments, less than 2% each |
26.2 | |||
Short-Term Investments |
16.5 | |||
|
|
|||
Total Investments |
84.1 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
15.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at February 28, 2013 (Unaudited)
United States Dollar |
47.8 | % | ||
Hong Kong Dollar |
12.8 | |||
South Korean Won |
7.1 | |||
South African Rand |
4.7 | |||
Brazilian Real |
3.2 | |||
Malaysian Ringgit |
2.9 | |||
Indonesian Rupiah |
2.3 | |||
New Taiwan Dollar |
2.2 | |||
Mexican Peso |
1.1 | |||
|
|
|||
Total Investments |
84.1 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
15.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2013 (Unaudited)
Loomis Sayles Capital Income Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 80.9% of Net Assets |
| ||||||
Aerospace & Defense 3.1% |
||||||||
4,690 | Honeywell International, Inc. |
$ | 328,769 | |||||
4,435 | Northrop Grumman Corp. |
291,291 | ||||||
|
|
|||||||
620,060 | ||||||||
|
|
|||||||
Beverages 3.0% |
||||||||
7,655 | Coca-Cola Enterprises, Inc. |
273,896 | ||||||
4,224 | PepsiCo, Inc. |
320,052 | ||||||
|
|
|||||||
593,948 | ||||||||
|
|
|||||||
Capital Markets 2.4% |
||||||||
9,036 | Bank of New York Mellon Corp. (The) |
245,237 | ||||||
9,828 | Federated Investors, Inc., Class B |
228,206 | ||||||
|
|
|||||||
473,443 | ||||||||
|
|
|||||||
Chemicals 3.0% |
||||||||
7,721 | E.I. du Pont de Nemours & Co. |
369,836 | ||||||
11,533 | Tronox Ltd., Class A |
236,888 | ||||||
|
|
|||||||
606,724 | ||||||||
|
|
|||||||
Commercial Banks 1.6% |
||||||||
5,049 | PNC Financial Services Group, Inc. |
315,007 | ||||||
|
|
|||||||
Commercial Services & Supplies 1.3% |
||||||||
6,967 | Waste Management, Inc. |
260,008 | ||||||
|
|
|||||||
Communications Equipment 1.6% |
||||||||
5,186 | Motorola Solutions, Inc.(b) |
322,621 | ||||||
|
|
|||||||
Computers & Peripherals 1.1% |
||||||||
503 | Apple, Inc. |
222,024 | ||||||
|
|
|||||||
Construction Materials 1.4% |
||||||||
2,812 | Martin Marietta Materials, Inc. |
273,130 | ||||||
|
|
|||||||
Containers & Packaging 1.3% |
||||||||
11,599 | Sealed Air Corp. |
257,614 | ||||||
|
|
|||||||
Diversified Consumer Services 1.9% |
||||||||
15,371 | H&R Block, Inc. |
382,123 | ||||||
|
|
|||||||
Diversified Financial Services 2.3% |
||||||||
9,256 | JPMorgan Chase & Co. |
452,804 | ||||||
|
|
|||||||
Diversified Telecommunication Services 2.6% |
||||||||
6,930 | AT&T, Inc. |
248,856 | ||||||
8,051 | CenturyLink, Inc. |
279,128 | ||||||
|
|
|||||||
527,984 | ||||||||
|
|
|||||||
Electric Utilities 3.0% |
||||||||
7,803 | FirstEnergy Corp. |
308,062 | ||||||
9,213 | PPL Corp. |
283,945 | ||||||
|
|
|||||||
592,007 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Electrical Equipment 1.7% |
||||||||
5,438 | Eaton Corp. PLC |
$ | 336,993 | |||||
|
|
|||||||
Energy Equipment & Services 2.3% |
||||||||
4,387 | Diamond Offshore Drilling, Inc. |
305,686 | ||||||
3,029 | Transocean Ltd.(c) |
158,417 | ||||||
|
|
|||||||
464,103 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.6% |
||||||||
7,572 | Walgreen Co. |
309,998 | ||||||
|
|
|||||||
Gas Utilities 1.8% |
||||||||
6,125 | National Fuel Gas Co. |
356,414 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 1.2% |
||||||||
3,472 | Baxter International, Inc.(d) |
234,707 | ||||||
|
|
|||||||
Health Care Providers & Services 0.8% |
||||||||
4,472 | HCA Holdings, Inc. |
165,866 | ||||||
|
|
|||||||
Industrial Conglomerates 1.5% |
||||||||
12,887 | General Electric Co.(d) |
299,236 | ||||||
|
|
|||||||
Insurance 4.3% |
||||||||
9,316 | MetLife, Inc. |
330,159 | ||||||
3,051 | Travelers Cos., Inc. (The) |
245,361 | ||||||
11,318 | Unum Group |
276,952 | ||||||
|
|
|||||||
852,472 | ||||||||
|
|
|||||||
Media 2.7% |
||||||||
7,095 | Comcast Corp., Class A |
282,310 | ||||||
4,356 | Viacom, Inc., Class B |
254,652 | ||||||
|
|
|||||||
536,962 | ||||||||
|
|
|||||||
Multiline Retail 1.3% |
||||||||
5,575 | Kohls Corp. |
257,007 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 7.4% |
||||||||
3,065 | Chevron Corp. |
359,065 | ||||||
3,549 | ExxonMobil Corp. |
317,813 | ||||||
7,885 | Kinder Morgan, Inc. |
292,297 | ||||||
8,645 | Regency Energy Partners LP |
205,665 | ||||||
5,774 | Total S.A., Sponsored ADR |
288,815 | ||||||
|
|
|||||||
1,463,655 | ||||||||
|
|
|||||||
Pharmaceuticals 9.6% |
||||||||
6,832 | AbbVie, Inc. |
252,237 | ||||||
10,459 | Bristol-Myers Squibb Co. |
386,669 | ||||||
5,282 | GlaxoSmithKline PLC, Sponsored ADR |
232,567 | ||||||
9,104 | Merck & Co., Inc. |
389,014 | ||||||
12,306 | Pfizer, Inc. |
336,815 | ||||||
6,405 | Sanofi, ADR |
302,380 | ||||||
|
|
|||||||
1,899,682 | ||||||||
|
|
|||||||
REITs Diversified 2.5% |
||||||||
11,200 | Duke Realty Corp. |
180,992 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
REITs Diversified continued |
||||||||
10,939 | Weyerhaeuser Co. |
$ | 321,716 | |||||
|
|
|||||||
502,708 | ||||||||
|
|
|||||||
Road & Rail 2.0% |
||||||||
5,493 | Norfolk Southern Corp. |
401,264 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.7% |
||||||||
9,653 | Texas Instruments, Inc. |
331,774 | ||||||
|
|
|||||||
Software 1.6% |
||||||||
11,310 | Microsoft Corp. |
314,418 | ||||||
|
|
|||||||
Specialty Retail 3.0% |
||||||||
11,749 | American Eagle Outfitters, Inc. |
242,969 | ||||||
9,208 | Lowes Cos., Inc. |
351,285 | ||||||
|
|
|||||||
594,254 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 1.3% |
||||||||
20,022 | Peoples United Financial, Inc. |
262,288 | ||||||
|
|
|||||||
Tobacco 1.4% |
||||||||
7,282 | Lorillard, Inc. |
280,648 | ||||||
|
|
|||||||
Wireless Telecommunication Services 1.6% |
||||||||
12,547 | Vodafone Group PLC, Sponsored ADR |
315,432 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $14,456,401) |
16,079,378 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Bonds and Notes 18.9% |
| ||||||
|
Non-Convertible Bonds 17.7% |
| ||||||
Banking 3.6% |
||||||||
$ | 300,000 | BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A |
311,250 | |||||
100,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) |
112,840 | ||||||
280,000 | Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018 |
283,245 | ||||||
|
|
|||||||
707,335 | ||||||||
|
|
|||||||
Brokerage 0.6% |
||||||||
100,000 | Jefferies Group, Inc., 6.875%, 4/15/2021 |
115,750 | ||||||
|
|
|||||||
Electric 2.1% |
||||||||
400,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
418,000 | ||||||
|
|
|||||||
Government Sponsored 1.1% |
||||||||
240,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
230,400 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Healthcare 1.4% |
||||||||
$ | 125,000 | HCA, Inc., 7.500%, 12/15/2023 |
$ | 133,125 | ||||
150,000 | HCA, Inc., 7.500%, 11/06/2033 |
151,500 | ||||||
|
|
|||||||
284,625 | ||||||||
|
|
|||||||
Home Construction 1.6% |
||||||||
300,000 | Beazer Homes USA, Inc., 9.125%, 6/15/2018 |
320,250 | ||||||
|
|
|||||||
Media Non-Cable 1.2% |
||||||||
80,000 | R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 |
83,600 | ||||||
150,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 |
157,875 | ||||||
|
|
|||||||
241,475 | ||||||||
|
|
|||||||
Non-Captive Consumer 1.4% |
||||||||
300,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
274,500 | ||||||
|
|
|||||||
Retailers 0.8% |
||||||||
125,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
94,062 | ||||||
70,000 | J.C. Penney Corp., Inc., 7.400%, 4/01/2037 |
57,225 | ||||||
|
|
|||||||
151,287 | ||||||||
|
|
|||||||
Supermarket 1.5% |
||||||||
400,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
292,000 | ||||||
|
|
|||||||
Wirelines 2.4% |
||||||||
100,000 | Level 3 Financing, Inc., 8.125%, 7/01/2019 |
109,000 | ||||||
400,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
366,656 | ||||||
|
|
|||||||
475,656 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $3,231,250) |
3,511,278 | |||||||
|
|
|||||||
|
Convertible Bonds 1.2% |
| ||||||
Brokerage 0.3% |
||||||||
60,000 | Jefferies Group, Inc., 3.875%, 11/01/2029 |
60,750 | ||||||
|
|
|||||||
Independent Energy 0.9% |
||||||||
185,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
184,306 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $225,154) |
245,056 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $3,456,404) |
3,756,334 | |||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Short-Term Investments 0.7% |
| ||||||
$132,476 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2013 at 0.000% to be repurchased at $132,476 on 3/01/2013 collateralized by $130,000 U.S. Treasury Note, 2.500% due 4/30/2015 valued at $137,344 including accrued interest(e) (Identified Cost $132,476) |
$ | 132,476 | |||||
|
|
|||||||
Total Investments 100.5% (Identified Cost $18,045,281)(a) |
19,968,188 | |||||||
Other assets less liabilities (0.5)% |
(105,790 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 19,862,398 | ||||||
|
|
|||||||
Shares |
||||||||
|
Written Options (0.0%) |
| ||||||
Options on Securities (0.0%) |
||||||||
1,000 | AbbVie, Inc., Put expiring May 18, 2013 at 32.50(f) |
$ | (300 | ) | ||||
2,000 | Coach, Inc., Put expiring May 18, 2013 at 45(f) |
(3,100 | ) | |||||
1,500 | H&R Block, Inc., Call expiring April 20, 2013 at 24(f) |
(2,063 | ) | |||||
|
|
|||||||
Total Written Options (Premiums Received $3,932) |
$ | (5,463 | ) | |||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | 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 approved by the Board of Trustees. Such independent pricing services generally use the securitys 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 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 is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. 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 Funds 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 closing 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 on a daily basis 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 Funds 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 28, 2013, the net unrealized appreciation on investments based on a cost of $18,045,588 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 |
$ | 2,173,780 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(251,180 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,922,600 | ||
|
|
(b) | A portion of this security has been pledged as collateral for outstanding options. |
(c) | Non-income producing security. |
(d) | This security has been designated to cover the Funds obligations under open outstanding options. |
(e) | It is the Funds 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 Funds ability to dispose of the underlying securities. |
(f) | The Fund may enter into option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. |
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. For the period ended February 28, 2013, the Fund was not party to any over-the-counter options.
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 28, 2013, the value of Rule 144A holdings amounted to $729,250 or 3.7% of net assets. |
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 may be significantly influenced by trading on exchanges not located in the United States. |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
AUD | Australian Dollar |
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 Funds 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.); and |
| 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 Funds 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 Funds investments as of February 28, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 16,079,378 | $ | | $ | | $ | 16,079,378 | ||||||||
Bonds and Notes* |
| 3,756,334 | | 3,756,334 | ||||||||||||
Short-Term Investments |
| 132,476 | | 132,476 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 16,079,378 | $ | 3,888,810 | $ | | $ | 19,968,188 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (5,463 | ) | $ | | $ | | $ | (5,463 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3.
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 used during the period include option contracts.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use purchased call options and written put options for investment purposes. During the period ended February 28, 2013, the Fund engaged in written call option transactions for hedging purposes and written put option transactions for investment purposes.
The following is a summary of derivative instruments for the Fund as of February 28, 2013:
Liability Derivatives |
Equity Contracts | |||
Written Options (at value) |
$ | (5,463 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds 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 28, 2013 (Unaudited)
Pharmaceuticals |
9.6 | % | ||
Oil, Gas & Consumable Fuels |
7.4 | |||
Insurance |
4.3 | |||
Banking |
3.6 | |||
Aerospace & Defense |
3.1 | |||
Chemicals |
3.0 | |||
Specialty Retail |
3.0 | |||
Beverages |
3.0 | |||
Electric Utilities |
3.0 | |||
Media |
2.7 | |||
Diversified Telecommunication Services |
2.6 | |||
REITs Diversified |
2.5 | |||
Wirelines |
2.4 | |||
Capital Markets |
2.4 | |||
Energy Equipment & Services |
2.3 | |||
Diversified Financial Services |
2.3 | |||
Electric |
2.1 | |||
Road & Rail |
2.0 | |||
Other Investments, less than 2% each |
38.5 | |||
Short-Term Investments |
0.7 | |||
|
|
|||
Total Investments |
100.5 | |||
Other assets less liabilities (including open written options) |
(0.5 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2013 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal |
Description |
Value () | ||||||
|
Senior Loans 82.0% of Net Assets |
| ||||||
Aerospace & Defense 2.7% |
||||||||
$ | 600,000 | Camp International Holding Company, New 1st Lien Term Loan, 5/31/2019(b) |
$ | 604,752 | ||||
498,750 | Camp International Holding Company, New 1st Lien Term Loan, 5.250%, 5/31/2019(c) |
502,700 | ||||||
450,000 | Camp International Holding Company, New 2nd Lien Term Loan, 10.000%, 11/29/2019(c) |
460,971 | ||||||
281,000 | DigitalGlobe, Inc., New Term Loan B, 3.750%, 1/31/2020(c) |
282,141 | ||||||
727,000 | Engility Corporation, Term Loan, 5.750%, 7/13/2017(c) |
719,730 | ||||||
613,393 | PRV Aerospace LLC, Term Loan B, 6.500%, 5/09/2018(c) |
615,693 | ||||||
1,487,000 | Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(c) |
1,504,041 | ||||||
997,455 | SI Organization, Inc. (The), New Term Loan B, 4.500%, 11/22/2016(c) |
994,134 | ||||||
324,000 | Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(c) |
324,810 | ||||||
997,468 | TASC, Inc., New Term Loan B, 4.500%, 12/18/2015(c) |
994,556 | ||||||
850,000 | WP CCP Holdings LLC, 1st Lien Term Loan, 12/27/2019(b) |
854,250 | ||||||
852,000 | WP CCP Holdings LLC, 1st Lien Term Loan, 5.750%, 12/27/2019(c) |
856,260 | ||||||
236,263 | Wyle Services Corporation, Term Loan B, 5.000%, 3/27/2017(c) |
236,755 | ||||||
|
|
|||||||
8,950,793 | ||||||||
|
|
|||||||
Airlines 0.4% |
||||||||
1,260,000 | Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(c) |
1,274,175 | ||||||
|
|
|||||||
Automotive 1.5% |
||||||||
145,460 | August LuxUK Holding Company S.A.R.L., Luxco Term Loan, 6.250%, 4/27/2018(c) |
146,551 | ||||||
111,895 | August U.S. Holding Company, Inc., Term Loan B, 6.250%, 4/27/2018(c) |
112,734 | ||||||
721,391 | Grede LLC, Term Loan B, 7.000%, 4/03/2017(c) |
724,998 | ||||||
1,516,703 | Navistar International Corporation, Term Loan B, 7.000%, 8/17/2017(c) |
1,533,386 | ||||||
834,000 | Remy International, Inc., New Term Loan B, 3/05/2020(b) |
835,043 | ||||||
574,779 | TI Group Automotive Systems LLC, New Term Loan, 6.750%, 3/14/2018(c) |
577,653 | ||||||
1,100,000 | Transtar Holding Company, New 2nd Lien Term Loan, 9.750%, 10/09/2019(c) |
1,127,500 | ||||||
|
|
|||||||
5,057,865 | ||||||||
|
|
|||||||
Banking 1.0% |
||||||||
1,000,000 | Harland Clarke Holdings Corp., Extended Term Loan B2, 6/30/2017(b) |
979,380 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Banking continued |
||||||||
$ | 1,284,633 | Harland Clarke Holdings Corp., Extended Term Loan B2, 5.454%, 6/30/2017(c) |
$ | 1,258,144 | ||||
500,000 | US FT Holdco, Inc., Term Loan B, 11/30/2017(b) |
502,815 | ||||||
548,615 | US FT Holdco, Inc., Term Loan B, 5.750%, 11/30/2017(c) |
551,703 | ||||||
|
|
|||||||
3,292,042 | ||||||||
|
|
|||||||
Building Materials 2.4% |
||||||||
633,413 | CPG International, Inc., Term Loan, 5.750%, 9/18/2019(c) |
638,163 | ||||||
250,000 | Custom Building Products, Inc., Term Loan B, 12/12/2019(b) |
251,875 | ||||||
2,378,000 | Custom Building Products, Inc., Term Loan B, 6.000%, 12/12/2019(c) |
2,395,835 | ||||||
1,000,000 | QS0001 Corp., 2nd Lien Term Loan, 9/29/2016(b) |
1,025,000 | ||||||
1,200,000 | QS0001 Corp., 2nd Lien Term Loan, 9.250%, 9/29/2016(c) |
1,230,000 | ||||||
1,004,483 | Roofing Supply Group LLC, Term Loan, 5.000%, 5/24/2019(c) |
1,014,527 | ||||||
1,406,226 | Wilsonart International Holdings LLC, Term Loan B, 5.500%, 10/31/2019(c) |
1,420,992 | ||||||
|
|
|||||||
7,976,392 | ||||||||
|
|
|||||||
Chemicals 3.7% |
||||||||
1,137,642 | Ascend Performance Materials LLC, Term Loan B, 4/10/2018(b) |
1,149,018 | ||||||
1,180,959 | Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(c) |
1,192,769 | ||||||
790,281 | AZ Chem US, Inc., Recap Term Loan, 5.250%, 12/22/2017(c) |
797,939 | ||||||
338,300 | Emerald Performance Materials LLC, Term Loan B, 6.750%, 5/18/2018(c) |
338,300 | ||||||
581,000 | Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(c) |
586,810 | ||||||
790,164 | Ineos US Finance LLC, 6 year Term Loan, 6.500%, 5/04/2018(c) |
806,339 | ||||||
720,051 | Kleopatra Acquisition Corp., Term Loan B1, 5.750%, 12/21/2016(c) |
730,175 | ||||||
112,500 | Kronos Worldwide, Inc., Term Loan B, 7.000%, 6/13/2018(c) |
113,415 | ||||||
208,478 | Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(c) |
207,827 | ||||||
901,749 | Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(c) |
898,936 | ||||||
740,085 | PL Propylene LLC, Term Loan B, 7.000%, 3/27/2017(c) |
753,037 | ||||||
1,423,000 | Taminco NV, USD Term Loan B2, 4.250%, 2/15/2019(c) |
1,432,121 | ||||||
1,025,000 | U.S. Coatings Acquisition, Inc., Term Loan, 4.750%, 2/03/2020(c) |
1,037,443 | ||||||
2,036,081 | Univar, Inc., Term Loan B, 5.000%, 6/30/2017(c) |
2,026,532 | ||||||
|
|
|||||||
12,070,661 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Consumer Cyclical Services 4.0% |
||||||||
$ | 450,000 | AlixPartners LLP, 2nd Lien Term Loan, 10.750%, 12/27/2019(c) |
$ | 457,596 | ||||
513,697 | Allied Security Holdings LLC, 1st Lien Term Loan, 5.250%, 2/03/2017(c) |
516,265 | ||||||
297,413 | Catalina Marketing Corporation, 2017 Term Loan B, 5.704%, 9/29/2017(c) |
297,859 | ||||||
2,135,000 | First Advantage Corporation, Term Loan B, 2/13/2019(b) |
2,124,325 | ||||||
211,470 | Garda World Security Corp., Term Loan B, 4.500%, 11/13/2019(c) |
213,454 | ||||||
1,214,655 | Go Daddy Operating Company LLC, New Term Loan, 5.500%, 12/17/2018(c) |
1,213,744 | ||||||
1,681,000 | Go Daddy Operating Company LLC, Reprice Term Loan B2, 12/17/2018(b) |
1,677,319 | ||||||
914,329 | Inmar, Inc., New Term Loan B, 6.500%, 8/04/2017(c) |
916,981 | ||||||
446,218 | RE/MAX International, Inc., New Term Loan, 5.500%, 4/15/2016(c) |
447,892 | ||||||
728,000 | SNL Financial LC, New Term Loan B, 5.500%, 10/23/2018(c) |
729,514 | ||||||
1,241,523 | SourceHov LLC, 1st Lien Term Loan, 6.625%, 4/28/2017(c) |
1,230,349 | ||||||
1,225,000 | Southern Graphics, Inc., Term Loan, 5.000%, 10/17/2019(c) |
1,240,312 | ||||||
863,300 | SRA International, Inc., Term Loan B, 6.500%, 7/20/2018(c) |
833,801 | ||||||
457,459 | Sterling Infosystems, Inc., Term Loan A, 5.756%, 2/01/2018(d) |
457,459 | ||||||
491,512 | U.S. Security Holdings, Inc., New Term Loan, 6.000%, 7/28/2017(c) |
494,279 | ||||||
335,315 | West Corporation, Term Loan B8, 6/29/2018(b) |
336,294 | ||||||
|
|
|||||||
13,187,443 | ||||||||
|
|
|||||||
Consumer Products 2.3% |
||||||||
685,714 | Advantage Sales & Marketing, Inc., New 2nd Lien Term Loan, 6/18/2018(b) |
690,857 | ||||||
750,000 | FGI Operating Company LLC, Term Loan, 4/19/2019(b) |
748,125 | ||||||
2,486,550 | FGI Operating Company LLC, Term Loan, 5.500%, 4/19/2019(c) |
2,480,333 | ||||||
553,507 | HMK Intermediate Holdings LLC, Term Loan, 7.250%, 3/29/2019(c) |
557,658 | ||||||
1,512,000 | Serta Simmons Holdings LLC, Term Loan, 5.000%, 10/01/2019(c) |
1,528,330 | ||||||
400,000 | SRAM LLC, 2nd Lien Term Loan, 8.500%, 12/07/2018(c) |
405,500 | ||||||
634,000 | Tempur-Pedic International, Inc., New Term Loan B, 11/20/2019(b) |
641,925 | ||||||
434,380 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(c) |
411,710 | ||||||
|
|
|||||||
7,464,438 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.8% |
||||||||
1,569,000 | Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(c) |
1,590,574 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Diversified Manufacturing continued |
||||||||
$ | 396,968 | Douglas Dynamics Holdings, Inc., New Term Loan, 5.750%, 4/18/2018(c) |
$ | 394,241 | ||||
470,792 | Edwards (Cayman Islands II) Limited, Extended 1st Lien Term Loan, 5.500%, 5/31/2016(c) |
470,989 | ||||||
|
|
|||||||
2,455,804 | ||||||||
|
|
|||||||
Electric 1.3% |
||||||||
1,032,413 | Calpine Corporation, Term Loan B3, 4/02/2018(b) |
1,039,082 | ||||||
1,032,771 | Mirion Technologies, Inc., 1st Lien Term Loan, 6.250%, 3/30/2018(c) |
1,037,295 | ||||||
3,000,000 | Texas Competitive Electric Holdings Company LLC, Extended Term Loan, 4.731%, 10/10/2017(d) |
2,046,660 | ||||||
|
|
|||||||
4,123,037 | ||||||||
|
|
|||||||
Entertainment 0.3% |
||||||||
437,257 | ClubCorp Club Operations, Inc., Term Loan B, 5.000%, 11/30/2016(c) |
444,362 | ||||||
218,900 | SMG (Stadium Management Group), New Term Loan B, 5.500%, 6/07/2018(c) |
219,995 | ||||||
234,000 | WMG Acquisition Corp., Term Loan, 5.250%, 11/01/2018(c) |
236,632 | ||||||
|
|
|||||||
900,989 | ||||||||
|
|
|||||||
Financial Other 2.2% |
||||||||
800,000 | Connolly Holdings, Inc., 2nd Lien Term Loan, 10.500%, 7/15/2019(c) |
811,000 | ||||||
250,250 | Hamilton Lane Advisors LLC, Term Loan, 6.500%, 2/28/2018(c) |
250,876 | ||||||
667,696 | Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(c) |
671,035 | ||||||
831,922 | Ipreo Holdings LLC, Term Loan B2, 6.500%, 8/05/2017(c) |
840,241 | ||||||
35,646 | Ipreo Holdings LLC, Term Loan B3, 6.500%, 8/05/2017(c) |
35,958 | ||||||
1,000,000 | Nuveen Investments, Inc., New 2nd Lien Term Loan, 2/28/2019(b) |
1,020,000 | ||||||
1,377,000 | Nuveen Investments, Inc., New 2nd Lien Term Loan, 8.250%, 2/28/2019(c) |
1,404,540 | ||||||
419,000 | Transfirst Holdings, Inc., 1st Lien Term Loan, 6.250%, 12/27/2017(c) |
423,978 | ||||||
636,070 | Triple Point Technology, Inc., New 1st Lien Term Loan, 6.250%, 10/27/2017(c) |
636,865 | ||||||
1,000,000 | Wall Street Systems, Inc., New 2nd Lien Term Loan, 9.250%, 10/26/2020(c) |
1,001,670 | ||||||
|
|
|||||||
7,096,163 | ||||||||
|
|
|||||||
Food & Beverage 1.5% |
||||||||
2,065,367 | Arctic Glacier USA, Inc., Term Loan B, 8.500%, 7/19/2018(c) |
2,091,184 | ||||||
550,000 | CPM Acquisition Corp., 2nd Lien Term Loan, 10.250%, 2/28/2018(c) |
550,000 | ||||||
455,558 | DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(c) |
464,669 | ||||||
1,466,000 | Milk Specialties Company, New Term Loan B, 7.000%, 11/07/2018(c) |
1,471,497 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Food & Beverage continued |
||||||||
$ | 268,125 | OSI Restaurant Partners LLC, New Term Loan B, 4.750%, 10/25/2019(c) |
$ | 271,447 | ||||
|
|
|||||||
4,848,797 | ||||||||
|
|
|||||||
Gaming 0.2% |
||||||||
450,000 | Peninsula Gaming LLC, Term Loan, 5.750%, 11/20/2017(c) |
456,471 | ||||||
266,983 | Tropicana Entertainment, Inc., Term Loan B, 7.500%, 3/16/2018(c) |
268,096 | ||||||
|
|
|||||||
724,567 | ||||||||
|
|
|||||||
Healthcare 9.3% |
||||||||
1,000,000 | AssuraMed Holding, Inc., 2nd Lien Term Loan, 9.250%, 4/24/2020(c) |
1,019,170 | ||||||
841,000 | ATI Holdings, Inc., New Term Loan, 5.750%, 12/20/2019(c) |
847,307 | ||||||
700,000 | Aurora Diagnostics LLC, Term Loan B, 5/26/2016(b) |
675,500 | ||||||
1,455,556 | Aurora Diagnostics LLC, Term Loan B, 6.250%, 5/26/2016(c) |
1,404,611 | ||||||
774,000 | Bright Horizons Family Solutions, Inc., New Term Loan B, 4.000%, 1/30/2020(c) |
777,870 | ||||||
1,000,000 | CHG Buyer Corporation, 2nd Lien Term Loan, 9.000%, 11/19/2020(c) |
1,022,500 | ||||||
668,660 | Convatec, Inc., Term Loan, 5.000%, 12/22/2016(c) |
675,628 | ||||||
462,505 | DJO Finance LLC, Term Loan B3, 6.250%, 9/15/2017(c) |
466,265 | ||||||
997,462 | Emergency Medical Services Corporation, Term Loan, 4.000%, 5/25/2018(c) |
998,709 | ||||||
496,000 | Equinox Holdings, Inc., 1st Lien Term Loan, 5.500%, 1/31/2020(c) |
500,960 | ||||||
1,500,000 | Gentiva Health Services, Inc., New Term Loan B, 8/17/2016(b) |
1,504,695 | ||||||
500,000 | Healogics, Inc., 2nd Lien Term Loan, 2/05/2020(b) |
511,250 | ||||||
2,000,000 | Healogics, Inc., 2nd Lien Term Loan, 9.250%, 2/05/2020(c) |
2,045,000 | ||||||
519,314 | Kindred Healthcare, Inc., Add on Term Loan B, 5.250%, 6/01/2018(c) |
518,276 | ||||||
807,167 | Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(c) |
805,553 | ||||||
654,348 | Kinetic Concepts, Inc., Term Loan C1, 5.500%, 5/04/2018(c) |
662,422 | ||||||
179,100 | Physiotherapy Associates Holdings, Inc., 1st Lien Term Loan, 6.005%, 4/30/2018(d) |
179,399 | ||||||
350,000 | PLATO, Inc., 2nd Lien Term Loan, 11.250%, 5/09/2019(c) |
346,500 | ||||||
2,199,531 | PLATO, Inc., New 1st Lien Term Loan, 5/17/2018(b) |
2,205,030 | ||||||
400,000 | Press Ganey Associates, Inc., 2nd Lien Term Loan, 8.250%, 10/18/2018(c) |
403,000 | ||||||
801,990 | Renaissance Learning, Inc., New Term Loan B, 5.750%, 11/13/2018(c) |
806,505 | ||||||
1,750,000 | Rural/Metro Corporation, Term Loan, 6/29/2018(b) |
1,756,195 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Healthcare continued |
||||||||
$ | 897,722 | Rural/Metro Corporation, Term Loan, 5.750%, 6/29/2018(c) |
$ | 900,899 | ||||
1,243,000 | Sage Products, Inc., Refi Term Loan B, 4.250%, 12/13/2019(c) |
1,243,000 | ||||||
450,000 | Sheridan Holdings, Inc., New 2nd Lien Term Loan, 9.000%, 7/01/2019(c) |
456,750 | ||||||
295,500 | Surgical Care Affiliates, Inc., Incremental Term Loan B, 5.500%, 6/29/2018(c) |
295,500 | ||||||
1,920,000 | TriZetto Group, Inc., (The), 2nd Lien Term Loan D, 8.500%, 3/27/2019(c) |
1,922,400 | ||||||
435,788 | TriZetto Group, Inc., (The), Term Loan B, 4.750%, 5/02/2018(c) |
435,060 | ||||||
912,707 | Truven Health Analytics, Inc., New Term Loan B, 5.750%, 6/06/2019(c) |
921,268 | ||||||
1,537,000 | United Surgical Partners International, Inc., Incremental Term Loan, 4/03/2019(b) |
1,540,366 | ||||||
797,526 | United Surgical Partners International, Inc., Incremental Term Loan, 6.000%, 4/03/2019(c) |
799,273 | ||||||
455,000 | United Surgical Partners International, Inc., Refi Term Loan, 4/03/2019(b) |
453,863 | ||||||
1,191,975 | Valitas Health Services, Inc., Term Loan B, 5.750%, 6/02/2017(c) |
1,192,964 | ||||||
|
|
|||||||
30,293,688 | ||||||||
|
|
|||||||
Industrial Other 7.6% |
||||||||
768,000 | ADS Waste Holdings, Inc., New Term Loan B, 4.250%, 10/09/2019(c) |
768,722 | ||||||
1,341,000 | Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(c) |
1,354,169 | ||||||
700,000 | Brand Energy & Infrastructure Services, Inc., New 2nd Lien Term Loan, 10/23/2019(b) |
692,419 | ||||||
1,850,000 | Brand Energy & Infrastructure Services, Inc., New 2nd Lien Term Loan, 11.000%, 10/23/2019(c) |
1,829,965 | ||||||
1,465,000 | Capital Safety North America Holdings, Inc., Term Loan, 4.500%, 1/21/2019(c) |
1,465,000 | ||||||
1,406,000 | Dematic S.A., Term Loan, 5.250%, 3/28/2019(c) |
1,415,223 | ||||||
1,905,000 | Dexter Axle Company, Term Loan B, 6.000%, 11/01/2018(c) |
1,924,050 | ||||||
782,000 | GCA Services Group, Inc., Term Loan B, 5.250%, 11/01/2019(c) |
782,000 | ||||||
472,990 | Generac Power Systems, Inc., New Term Loan B, 6.250%, 2/08/2019(c) |
482,114 | ||||||
1,718,000 | Intelligrated, Inc., 1st Lien Term Loan, 4.500%, 7/30/2018(c) |
1,718,000 | ||||||
2,055,191 | Jimmy Sanders Incorporated, Term Loan, 6.750%, 11/14/2018(c) |
2,060,329 | ||||||
300,000 | McJunkin Red Man Corporation, Term Loan B, 11/08/2019(b) |
301,875 | ||||||
2,166,823 | McJunkin Red Man Corporation, Term Loan B, 6.250%, 11/08/2019(c) |
2,180,365 | ||||||
550,000 | New Breed, Inc., Term Loan B, 10/01/2019(b) |
551,375 | ||||||
804,000 | New Breed, Inc., Term Loan B, 6.000%, 10/01/2019(c) |
806,010 | ||||||
568,923 | Nusil Technology LLC, New Term Loan, 4/07/2017(b) |
571,944 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Industrial Other continued |
||||||||
$ | 241,305 | ON Assignment, Inc., Term Loan B, 5.000%, 5/15/2019(c) |
$ | 243,411 | ||||
354,113 | Rexnord LLC, REFI Term Loan B, 4.500%, 4/02/2018(c) |
356,322 | ||||||
1,200,000 | Schaeffler AG, USD Term Loan B2, 1/27/2017(b) |
1,199,700 | ||||||
894,321 | Schaeffler AG, USD Term Loan B2, 6.000%, 1/27/2017(c) |
894,097 | ||||||
891,000 | Silver II US Holdings LLC, Term Loan, 4.000%, 12/13/2019(c) |
891,000 | ||||||
281,185 | Tank Holding Corp., Refi Term Loan, 4.250%, 7/09/2019(d) |
282,007 | ||||||
424,365 | TriNet Group, Inc., Term Loan B, 6.500%, 10/24/2018(c) |
427,547 | ||||||
1,216,000 | WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(c) |
1,227,151 | ||||||
424,935 | WireCo WorldGroup, Inc., New Term Loan, 6.000%, 2/15/2017(c) |
429,184 | ||||||
|
|
|||||||
24,853,979 | ||||||||
|
|
|||||||
Media Cable 1.6% |
||||||||
270,500 | Crown Media Holdings, Inc., Term Loan B, 5.750%, 7/14/2018(c) |
271,176 | ||||||
800,000 | ION Media Networks, Inc., Term Loan B, 7/24/2018(b) |
804,000 | ||||||
1,234,000 | ION Media Networks, Inc., Term Loan B, 7.250%, 7/24/2018(c) |
1,240,170 | ||||||
2,963,000 | Virgin Media Investment Holdings Limited, USD Term Loan B, 2/19/2020(b) |
2,945,311 | ||||||
|
|
|||||||
5,260,657 | ||||||||
|
|
|||||||
Media Non-Cable 4.0% |
||||||||
2,000,000 | Clear Channel Communications, Inc., Term Loan B, 1/29/2016(b) |
1,710,500 | ||||||
500,000 | Dex Media West LLC, New Term Loan, 10/24/2014(b) |
381,070 | ||||||
2,538,530 | Dex Media West LLC, New Term Loan, 7.000%, 10/24/2014(c) |
1,934,715 | ||||||
192,104 | Entercom Radio LLC, Term Loan B, 5.021%, 11/23/2018(d) |
194,185 | ||||||
1,419,000 | Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(c) |
1,430,040 | ||||||
1,332,000 | Nine Entertainment Group Limited, Term Loan B, 3.500%, 2/05/2020(c) |
1,330,894 | ||||||
569,152 | Rovi Solutions Corporation, Term Loan B2, 4.000%, 3/29/2019(c) |
571,287 | ||||||
500,000 | SuperMedia, Inc., Exit Term Loan, 12/31/2015(b) |
369,375 | ||||||
2,583,189 | SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c) |
1,908,331 | ||||||
1,300,000 | Tribune Company, Exit Term Loan, 4.000%, 12/31/2019(c) |
1,305,148 | ||||||
2,046,295 | Univision Communications, Inc., Refi Term Loan C2, 3/02/2020(b) |
2,048,853 | ||||||
|
|
|||||||
13,184,398 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Metals & Mining 4.4% |
||||||||
$ | 2,445,183 | American Rock Salt Holdings LLC, Term Loan, 5.500%, 4/25/2017(c) |
$ | 2,421,172 | ||||
550,000 | Arch Coal, Inc., Term Loan B, 5/16/2018(b) |
559,487 | ||||||
1,100,700 | Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(c) |
1,119,687 | ||||||
391,726 | Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(c) |
392,074 | ||||||
1,200,000 | FMG America Finance, Inc., Term Loan, 10/18/2017(b) |
1,214,376 | ||||||
1,207,154 | FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(c) |
1,221,616 | ||||||
363,636 | Metal Services LLC, Term Loan, 6/30/2017(b) |
366,818 | ||||||
681,000 | Metal Services LLC, Term Loan, 7.750%, 6/30/2017(c) |
686,959 | ||||||
2,188,750 | Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 10/04/2013(c) |
2,198,337 | ||||||
639,396 | Preferred Proppants LLC, Term Loan B, 7.500%, 12/15/2016(c) |
594,638 | ||||||
299,735 | Tube City IMS Corporation, Term Loan, 3/20/2019(b) |
302,358 | ||||||
299,735 | Tube City IMS Corporation, Term Loan, 5.750%, 3/20/2019(c) |
302,358 | ||||||
561,472 | United Distribution Group, Inc., Term Loan, 7.500%, 10/09/2018(c) |
544,628 | ||||||
1,500,000 | Walter Energy, Inc., Term Loan B, 4/02/2018(b) |
1,502,580 | ||||||
1,000,000 | Walter Energy, Inc., Term Loan B, 5.750%, 4/02/2018(c) |
1,001,720 | ||||||
|
|
|||||||
14,428,808 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.5% |
||||||||
165,573 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 4.750%, 7/16/2018(c) |
168,471 | ||||||
1,401,921 | Istar Financial, Inc., Term Loan, 4.500%, 10/16/2017(c) |
1,402,804 | ||||||
|
|
|||||||
1,571,275 | ||||||||
|
|
|||||||
Oil Field Services 0.7% |
||||||||
450,000 | Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(c) |
455,850 | ||||||
1,665,000 | Pinnacle Holdco S.A.R.L., Term Loan, 7/24/2019(b) |
1,672,076 | ||||||
139,341 | Utex Industries, Inc., Add on Term Loan B, 7.000%, 12/15/2016(c) |
140,038 | ||||||
183,507 | Utex Industries, Inc., Term Loan B, 7.010%, 12/15/2016(d) |
184,425 | ||||||
|
|
|||||||
2,452,389 | ||||||||
|
|
|||||||
Packaging 1.5% |
||||||||
1,737,311 | BWAY Corporation, Term Loan B, 4.500%, 8/07/2017(c) |
1,752,825 | ||||||
318,141 | Husky Injection Molding Systems Ltd., New Term Loan B, 5.750%, 6/29/2018(c) |
321,402 | ||||||
1,239,941 | Pro Mach, Inc., New Term Loan B, 7/06/2017(b) |
1,245,112 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Packaging continued |
||||||||
$ | 265,000 | Pro Mach, Inc., New Term Loan B, 5.000%, 7/06/2017(c) |
$ | 266,105 | ||||
997,500 | Reynolds Group Holdings, Inc., New Dollar Term Loan, 4.750%, 9/28/2018(c) |
1,008,512 | ||||||
223,875 | TricorBraun, Inc., New Term Loan B, 5.500%, 5/03/2018(c) |
225,975 | ||||||
|
|
|||||||
4,819,931 | ||||||||
|
|
|||||||
Paper 0.1% |
||||||||
250,000 | Hoffmaster Group, Inc., 2nd Lien Term Loan, 11.000%, 1/03/2019(c) |
250,000 | ||||||
|
|
|||||||
Pharmaceuticals 3.1% |
||||||||
1,383,000 | Inc Research, Inc., Refi Term Loan B, 6.000%, 7/12/2018(c) |
1,389,915 | ||||||
1,300,000 | inVentiv Health, Inc., Combined Term Loan, 8/04/2016(b) |
1,278,875 | ||||||
661,187 | inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(c) |
650,443 | ||||||
375,699 | inVentiv Health, Inc., Incremental Term Loan B3, 7.750%, 5/15/2018(c) |
369,436 | ||||||
1,655,328 | Par Pharmaceutical Companies, Inc., Refi Term Loan B, 4.250%, 9/28/2019(c) |
1,653,258 | ||||||
1,815,000 | Pharmaceutical Product Development, Inc., New Term Loan B, 4.250%, 12/05/2018(c) |
1,825,218 | ||||||
550,000 | Phillips Plastics Corporation, Term Loan, 2/10/2017(b) |
550,688 | ||||||
650,000 | Phillips Plastics Corporation, Term Loan B, 2/17/2017(b) |
648,375 | ||||||
1,000,000 | PRA Holdings, Inc., 2nd Lien Term Loan, 6/10/2019(b) |
1,007,500 | ||||||
900,000 | PRA Holdings, Inc., 2nd Lien Term Loan, 10.500%, 6/10/2019(c) |
906,750 | ||||||
|
|
|||||||
10,280,458 | ||||||||
|
|
|||||||
Pipelines 0.2% |
||||||||
621,964 | NGPL PipeCo LLC, Term Loan B, 6.750%, 9/15/2017(c) |
633,514 | ||||||
|
|
|||||||
Property & Casualty Insurance 2.6% |
||||||||
2,176,082 | Alliant Holdings I, Inc., New Term Loan B, 5.000%, 12/20/2019(c) |
2,192,402 | ||||||
1,480,000 | AmWINS Group, Inc., New Term Loan, 9/06/2019(b) |
1,484,396 | ||||||
600,000 | Applied Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/08/2017(c) |
601,500 | ||||||
1,445,000 | CCC Information Services, Inc., Term Loan, 5.250%, 12/20/2019(c) |
1,453,670 | ||||||
1,989,000 | Compass Investors, Inc., Term Loan, 5.250%, 12/27/2019(c) |
2,001,431 | ||||||
900,000 | Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 9.250%, 6/10/2020(c) |
919,692 | ||||||
|
|
|||||||
8,653,091 | ||||||||
|
|
|||||||
Restaurants 1.0% |
||||||||
169,575 | Brasa Holdings, Inc., 1st Lien Term Loan, 7.500%, 7/19/2019(c) |
170,423 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Restaurants continued | ||||||||
$ | 1,650,000 | Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(c) |
$ | 1,650,000 | ||||
355,110 | Centerplate, Inc., Term Loan B, 5.753%, 10/15/2018(d) |
357,109 | ||||||
411,888 | Landrys, Inc., Term Loan B, 4.750%, 4/24/2018(c) |
413,506 | ||||||
310,434 | P.F. Changs China Bistro, Inc., Term Loan B, 5.250%, 7/02/2019(c) |
314,315 | ||||||
281,099 | Sagittarius Restaurants LLC, Term Loan B, 7.511%, 5/18/2015(d) |
281,568 | ||||||
|
|
|||||||
3,186,921 | ||||||||
|
|
|||||||
Retailers 2.9% | ||||||||
500,000 | BJs Wholesale Club, Inc., 2nd Lien Term Loan, 9.750%, 3/26/2020(c) |
516,565 | ||||||
700,000 | Davids Bridal, Inc., New Term Loan B, 10/11/2019(b) |
707,175 | ||||||
1,530,055 | Davids Bridal, Inc., New Term Loan B, 5.000%, 10/11/2019(c) |
1,545,738 | ||||||
1,674,803 | Evergreen Acqco 1 LP, New Term Loan, 5.000%, 7/09/2019(c) |
1,688,938 | ||||||
381,849 | Gymboree Corporation, (The), Initial Term Loan, 5.000%, 2/23/2018(c) |
366,655 | ||||||
597,000 | Harbor Freight Tools USA, Inc., Term Loan B, 5.500%, 11/14/2017(c) |
602,970 | ||||||
1,858,000 | Party City Holdings, Inc., Refi Term Loan B, 4.250%, 7/29/2019(c) |
1,856,606 | ||||||
446,625 | RGIS Services LLC, Term Loan C, 5.500%, 10/18/2017(c) |
449,787 | ||||||
1,064,000 | Rite Aid Corporation, Term Loan 6, 7/22/2013(b) |
1,066,054 | ||||||
580,539 | Sportsmans Warehouse Holdings, Inc., Term Loan B, 8.500%, 11/13/2018(c) |
581,990 | ||||||
|
|
|||||||
9,382,478 | ||||||||
|
|
|||||||
Supermarkets 0.8% | ||||||||
685,000 | Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(c) |
690,480 | ||||||
295,489 | Sprouts Farmers Markets Holdings LLC, Term Loan, 6.000%, 4/18/2018(c) |
296,842 | ||||||
1,100,000 | Supervalu, Inc., New Term Loan B, 3/21/2019(b) |
1,112,375 | ||||||
434,446 | Supervalu, Inc., Term Loan B, 8.000%, 8/30/2018(c) |
440,150 | ||||||
|
|
|||||||
2,539,847 | ||||||||
|
|
|||||||
Technology 10.1% | ||||||||
170,000 | Alcatel-Lucent, USD Term Loan B, 6.250%, 8/01/2016(c) |
171,777 | ||||||
1,500,000 | Alcatel-Lucent, USD Term Loan C, 1/30/2019(b) |
1,516,500 | ||||||
2,124,000 | Alcatel-Lucent, USD Term Loan C, 7.250%, 1/30/2019(c) |
2,147,364 | ||||||
212,431 | Aspect Software, Inc., New Term Loan B, 7.000%, 5/06/2016(c) |
214,024 | ||||||
200,000 | Blackboard, Inc., 2nd Lien Term Loan, 11.500%, 4/04/2019(c) |
195,400 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Technology continued | ||||||||
$ | 1,900,000 | Blackboard, Inc., Term Loan B2, 10/04/2018(b) |
$ | 1,914,250 | ||||
1,620,852 | Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(c) |
1,633,009 | ||||||
1,275,000 | CompuCom Systems, Inc., 2nd Lien Term Loan, 10.250%, 10/04/2019(c) |
1,300,500 | ||||||
278,303 | Consona Holdings, Inc., Term Loan B, 7.250%, 8/06/2018(c) |
278,650 | ||||||
750,000 | Deltek, Inc., 1st Lien Term Loan, 10/10/2018(b) |
755,220 | ||||||
712,819 | Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(c) |
717,780 | ||||||
500,000 | Deltek, Inc., 2nd Lien Term Loan, 10.000%, 10/10/2019(c) |
510,625 | ||||||
546,964 | Eastman Kodak Company, DIP Term Loan B, 8.500%, 7/19/2013(c) |
546,734 | ||||||
2,250,000 | EIG Investors Corp., New 2nd Lien Term Loan, 10.250%, 11/08/2019(c) |
2,250,000 | ||||||
600,000 | First Data Corporation, 2017 Term Loan B, 5.202%, 3/24/2017(c) |
600,612 | ||||||
600,000 | First Data Corporation, Extended 2017 US Term Loan, 5.202%, 3/24/2017(c) |
600,612 | ||||||
850,000 | Freescale Semiconductor, Inc., Extended Term Loan B, 4.452%, 12/01/2016(c) |
850,000 | ||||||
2,237,000 | Freescale Semiconductor, Inc., Term Loan B4, 2/28/2020(b) |
2,228,052 | ||||||
880,000 | Genesys Telecom Holdings, U.S., Inc., Senior Debt B, 4.000%, 2/07/2020(c) |
882,754 | ||||||
1,000,000 | Infor (US), Inc., Term Loan B2, 4/05/2018(b) |
1,010,830 | ||||||
808,673 | Infor (US), Inc., Term Loan B2, 5.250%, 4/05/2018(c) |
817,431 | ||||||
1,430,745 | NXP B.V., Incremental Term Loan B, 5.250%, 3/19/2019(c) |
1,445,053 | ||||||
689,000 | NXP B.V., Term Loan C, 4.750%, 1/11/2020(c) |
699,549 | ||||||
207,900 | Openlink International Intermediate, Inc., Initial Term Loan, 7.750%, 10/30/2017(c) |
207,640 | ||||||
2,400,000 | Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(c) |
2,380,008 | ||||||
29,290 | Rocket Software, Inc., New Term Loan, 5.750%, 2/08/2018(c) |
29,382 | ||||||
384,070 | Shield Finance Co. S.A.R.L., New Term Loan B, 6.500%, 5/10/2019(c) |
385,510 | ||||||
523,923 | Sirius Computer Solutions, Inc., Term Loan B, 7.000%, 11/30/2018(c) |
530,472 | ||||||
1,500,000 | SumTotal Systems LLC, 2nd Lien Term Loan, 10.250%, 5/16/2019(c) |
1,481,250 | ||||||
480,000 | SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(c) |
483,600 | ||||||
2,703,000 | SurveyMonkey.com LLC, Term Loan B, 5.500%, 2/05/2019(c) |
2,711,460 | ||||||
440,531 | Telx Group, Inc., Term Loan B, 6.250%, 9/26/2017(c) |
444,201 | ||||||
875,000 | Vision Solutions, Inc., 2nd Lien Term Loan, 9.500%, 7/23/2017(c) |
848,750 |
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Technology continued | ||||||||
$ | 373,333 | Web.com Group, Inc., 2nd Lien Term Loan, 11.000%, 10/26/2018(c) |
$ | 382,977 | ||||
|
|
|||||||
33,171,976 | ||||||||
|
|
|||||||
Transportation Services 0.7% | ||||||||
1,393,000 | FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(c) |
1,409,103 | ||||||
354,323 | Road Infrastructure Investment LLC, Term Loan B, 6.250%, 3/30/2018(c) |
355,208 | ||||||
412,198 | Wabash National Corporation, Term Loan B, 6.000%, 5/02/2019(c) |
414,948 | ||||||
|
|
|||||||
2,179,259 | ||||||||
|
|
|||||||
Utility Other 0.2% | ||||||||
700,000 | Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(c) |
700,441 | ||||||
|
|
|||||||
Wireless 1.0% | ||||||||
2,642,915 | Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(c) |
2,650,633 | ||||||
399,000 | Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(c) |
406,481 | ||||||
234,000 | SBA Finance, Add on Term Loan, 3.750%, 9/27/2019(c) |
235,170 | ||||||
|
|
|||||||
3,292,284 | ||||||||
|
|
|||||||
Wirelines 5.4% | ||||||||
2,324,000 | Consolidated Communications, Inc., Term Loan B3, 5.250%, 12/31/2018(c) |
2,346,520 | ||||||
2,250,000 | Fairpoint Communications, Inc., Refi Term Loan, 2/14/2019(b) |
2,220,930 | ||||||
3,000,000 | Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(c) |
2,961,240 | ||||||
478,000 | Fibertech Networks LLC, New Term Loan, 5.750%, 12/18/2019(c) |
479,993 | ||||||
1,300,000 | Global Tel*Link Corporation, New Term Loan B, 12/14/2017(b) |
1,301,625 | ||||||
451,613 | Global Tel*Link Corporation, New Term Loan B, 6.000%, 12/14/2017(c) |
452,177 | ||||||
1,233,000 | Integra Telecom, Inc., Refi 2nd Lien Term Loan, 2/21/2020(b) |
1,260,743 | ||||||
1,947,310 | Integra Telecom, Inc., Refi Term Loan, 2/22/2019(b) |
1,968,730 | ||||||
1,947,000 | Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(c) |
1,962,576 | ||||||
517,750 | MegaPath Group, Inc., Term Loan B, 7.500%, 12/20/2017(c) |
491,863 | ||||||
393,985 | Sidera Networks, Inc., Term Loan, 6.000%, 8/26/2016(c) |
393,000 | ||||||
893,619 | U.S. Telepacific Corporation, New Term Loan B, 5.750%, 2/23/2017(c) |
891,009 | ||||||
911,740 | Zayo Group LLC, New Term Loan B, 5.250%, 7/02/2019(c) |
914,703 | ||||||
|
|
|||||||
17,645,109 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $266,397,182) |
268,203,669 | |||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 11.7% |
|||||||
Building Materials 0.4% | ||||||||
$ | 1,100,000 | Ply Gem Industries, Inc., 9.375%, 4/15/2017 |
$ | 1,189,375 | ||||
|
|
|||||||
Chemicals 0.6% | ||||||||
2,000,000 | INEOS Group Holdings, S.A., 8.500%, 2/15/2016, 144A |
2,032,500 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.8% | ||||||||
350,000 | ServiceMaster Co. (The), 7.100%, 3/01/2018 |
344,313 | ||||||
2,000,000 | West Corp., 8.625%, 10/01/2018 |
2,130,000 | ||||||
|
|
|||||||
2,474,313 | ||||||||
|
|
|||||||
Consumer Products 0.6% | ||||||||
2,100,000 | Visant Corp., 10.000%, 10/01/2017 |
1,895,250 | ||||||
|
|
|||||||
Electric 0.3% | ||||||||
1,000,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e) |
957,500 | ||||||
|
|
|||||||
Entertainment 0.4% | ||||||||
1,000,000 | ClubCorp Club Operations, Inc., 10.000%, 12/01/2018 |
1,123,750 | ||||||
|
|
|||||||
Gaming 0.7% | ||||||||
2,000,000 | Marina District Finance Co., Inc., 9.500%, 10/15/2015 |
2,056,250 | ||||||
300,000 | MGM Resorts International, 7.625%, 1/15/2017 |
330,750 | ||||||
|
|
|||||||
2,387,000 | ||||||||
|
|
|||||||
Healthcare 0.5% | ||||||||
1,050,000 | Alere, Inc., 9.000%, 5/15/2016 |
1,102,500 | ||||||
400,000 | Surgical Care Affiliates, Inc., 10.000%, 7/15/2017, 144A |
414,000 | ||||||
|
|
|||||||
1,516,500 | ||||||||
|
|
|||||||
Media Non-Cable 0.7% | ||||||||
2,375,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 |
2,315,625 | ||||||
|
|
|||||||
Metals & Mining 1.0% | ||||||||
1,500,000 | Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A |
1,443,750 | ||||||
1,000,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A |
820,000 | ||||||
1,000,000 | Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.000%, 10/15/2017, 144A |
1,095,000 | ||||||
|
|
|||||||
3,358,750 | ||||||||
|
|
|||||||
Non-Captive Consumer 0.3% | ||||||||
1,100,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
1,089,000 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Non-Captive Diversified 0.6% |
||||||||
$ | 2,000,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A |
$ | 2,050,000 | ||||
|
|
|||||||
Oil Field Services 1.1% |
||||||||
1,200,000 | Hercules Offshore, Inc., 10.500%, 10/15/2017, 144A |
1,302,000 | ||||||
1,700,000 | Parker Drilling Co., 9.125%, 4/01/2018 |
1,840,250 | ||||||
475,000 | Permian Holdings, Inc., 10.500%, 1/15/2018, 144A |
486,875 | ||||||
|
|
|||||||
3,629,125 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.1% |
||||||||
300,000 | White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A |
314,210 | ||||||
|
|
|||||||
Supermarkets 1.1% |
||||||||
1,600,000 | SUPERVALU, Inc., 7.500%, 11/15/2014 |
1,606,016 | ||||||
2,000,000 | SUPERVALU, Inc., 8.000%, 5/01/2016 |
2,002,500 | ||||||
|
|
|||||||
3,608,516 | ||||||||
|
|
|||||||
Technology 0.1% |
||||||||
400,000 | First Data Corp., 9.875%, 9/24/2015 |
411,500 | ||||||
|
|
|||||||
Wireless 1.4% |
||||||||
1,000,000 | Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A |
1,082,500 | ||||||
2,500,000 | NII Capital Corp., 10.000%, 8/15/2016 |
2,212,500 | ||||||
1,100,000 | Wind Acquisition Finance, S.A., 11.750%, 7/15/2017, 144A |
1,157,750 | ||||||
|
|
|||||||
4,452,750 | ||||||||
|
|
|||||||
Wirelines 1.0% |
||||||||
1,000,000 | Integra Telecom Holdings, Inc., 10.750%, 4/15/2016, 144A |
1,060,000 | ||||||
2,000,000 | Level 3 Communications, Inc., 11.875%, 2/01/2019 |
2,310,000 | ||||||
|
|
|||||||
3,370,000 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $37,516,866) |
38,175,664 | |||||||
|
|
|||||||
|
Short-Term Investments 20.1% |
|||||||
853,191 | Repurchase Agreement with State Street Bank and Trust Company, dated 2/28/2013 at 0.010% to be repurchased at $853,191 on 3/01/2013 collateralized by $895,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $896,244 including accrued interest(f) |
853,191 | ||||||
64,729,176 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2013 at 0.000% to be repurchased at $64,729,176 on 3/01/2013 collateralized by $66,060,000 U.S. Treasury Bill, due 5/23/2013 valued at $66,026,970 including accrued interest(f) |
64,729,176 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $65,582,367) |
65,582,367 | |||||||
|
|
Description |
Value () | |||||
Total Investments 113.8% (Identified Cost $369,496,415)(a) |
$ | 371,961,700 | ||||
Other assets less liabilities (13.8)% |
(44,974,651 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 326,987,049 | ||||
|
|
() | Senior loans are priced at bid prices supplied by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, if available. 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 an independent pricing service, 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 senior loans and debt securities where an independent pricing service is unable to 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 Funds 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 closing 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 on a daily basis 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 Funds 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 28, 2013, the net unrealized appreciation on investments based on a cost of $369,541,181 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 |
$ | 2,978,036 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(557,517 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 2,420,519 | ||
|
|
At November 30, 2012, late-year ordinary and post-October capital loss deferrals were $25,568. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Position is unsettled. Contract rate was not determined at February 28, 2013 and does not take effect until settlement date. |
(c) | Variable rate security. Rate as of February 28, 2013 is disclosed. |
(d) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2013. |
(e) | All or a portion of interest payment is paid-in-kind. |
(f) | It is the Funds 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 Funds 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 28, 2013, the value of Rule 144A holdings amounted to $14,216,085 or 4.3% of net assets. |
MTN | Medium Term Note |
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 Funds 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.); and |
| 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 Funds 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 Funds investments as of February 28, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans* |
$ | | $ | 268,203,669 | $ | | $ | 268,203,669 | ||||||||
Bonds and Notes* |
| 38,175,664 | | 38,175,664 | ||||||||||||
Short-Term Investments |
| 65,582,367 | | 65,582,367 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 371,961,700 | $ | | $ | 371,961,700 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3.
Unfunded Loan Commitments
As of February 28, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:
Borrower |
Unfunded Loan Commitment | |||
Syniverse Holdings, Inc. |
$ | 2,335,000 |
Industry Summary at February 28, 2013 (Unaudited)
Technology |
10.2 | % | ||
Healthcare |
9.8 | |||
Industrial Other |
7.6 | |||
Wirelines |
6.4 | |||
Metals & Mining |
5.4 | |||
Consumer Cyclical Services |
4.8 | |||
Media Non-Cable |
4.7 | |||
Chemicals |
4.3 | |||
Pharmaceuticals |
3.1 | |||
Retailers |
2.9 | |||
Consumer Products |
2.9 | |||
Building Materials |
2.8 | |||
Property & Casualty Insurance |
2.7 | |||
Aerospace & Defense |
2.7 | |||
Wireless |
2.4 | |||
Financial Other |
2.2 | |||
Other Investments, less than 2% each |
18.8 | |||
Short-Term Investments |
20.1 | |||
|
|
|||
Total Investments |
113.8 | |||
Other assets less liabilities |
(13.8 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2013 (Unaudited)
Vaughan Nelson Select Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 92.0% of Net Assets |
| ||||||
Aerospace & Defense 6.7% |
||||||||
8,175 | Honeywell International, Inc. |
$ | 573,068 | |||||
2,175 | Precision Castparts Corp. |
405,833 | ||||||
|
|
|||||||
978,901 | ||||||||
|
|
|||||||
Capital Markets 2.5% |
||||||||
13,000 | SEI Investments Co. |
367,510 | ||||||
|
|
|||||||
Chemicals 2.4% |
||||||||
3,100 | Praxair, Inc. |
350,455 | ||||||
|
|
|||||||
Commercial Banks 3.0% |
||||||||
10,400 | CIT Group, Inc.(b) |
435,344 | ||||||
|
|
|||||||
Commercial Services & Supplies 2.9% |
||||||||
13,450 | Republic Services, Inc. |
422,868 | ||||||
|
|
|||||||
Consumer Finance 0.0% |
||||||||
50 | Capital One Financial Corp. |
2,552 | ||||||
|
|
|||||||
Containers & Packaging 2.9% |
||||||||
9,550 | Ball Corp. |
424,115 | ||||||
|
|
|||||||
Diversified Financial Services 6.5% |
||||||||
12,000 | CME Group, Inc., Class A |
717,840 | ||||||
4,800 | Moodys Corp. |
230,688 | ||||||
|
|
|||||||
948,528 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 2.2% |
||||||||
12,525 | Cogent Communications Group, Inc. |
315,004 | ||||||
|
|
|||||||
Energy Equipment & Services 2.9% |
||||||||
5,425 | Oil States International, Inc.(b) |
413,114 | ||||||
|
|
|||||||
Food Products 1.8% |
||||||||
3,500 | H.J. Heinz Co. |
253,505 | ||||||
|
|
|||||||
Household Durables 3.7% |
||||||||
12,675 | Harman International Industries, Inc. |
538,054 | ||||||
|
|
|||||||
Industrial Conglomerates 5.1% |
||||||||
7,175 | 3M Co. |
746,200 | ||||||
|
|
|||||||
Insurance 3.2% |
||||||||
16,050 | XL Group PLC |
459,672 | ||||||
|
|
|||||||
Internet Software & Services 5.9% |
||||||||
1,075 | Google, Inc., Class A(b) |
861,290 | ||||||
|
|
|||||||
IT Services 4.4% |
||||||||
1,225 | MasterCard, Inc., Class A |
634,329 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 5.9% |
||||||||
9,100 | Phillips 66 |
572,936 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Oil, Gas & Consumable Fuels continued |
||||||||
9,475 | QEP Resources, Inc. |
$ | 288,608 | |||||
|
|
|||||||
861,544 | ||||||||
|
|
|||||||
Pharmaceuticals 3.7% |
||||||||
8,000 | Valeant Pharmaceuticals International, Inc.(b) |
539,680 | ||||||
|
|
|||||||
Professional Services 5.4% |
||||||||
11,875 | Towers Watson & Co., Class A |
790,519 | ||||||
|
|
|||||||
REITs Diversified 4.0% |
||||||||
15,075 | Corrections Corp. of America |
578,126 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 3.6% |
||||||||
15,325 | Avago Technologies Ltd. |
524,421 | ||||||
|
|
|||||||
Software 8.2% |
||||||||
11,625 | MICROS Systems, Inc.(b) |
497,550 | ||||||
29,550 | Symantec Corp.(b) |
692,652 | ||||||
|
|
|||||||
1,190,202 | ||||||||
|
|
|||||||
Specialty Retail 5.1% |
||||||||
9,700 | Advance Auto Parts, Inc. |
740,498 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $12,228,072) |
13,376,431 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 10.7% |
| ||||||
$ | 1,555,463 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2013 at 0.000% to be repurchased at $1,555,463 on 3/01/2013 collateralized by $1,445,000 U.S. Treasury Note, 4.250% due 8/15/2015 valued at $1,586,851 including accrued interest(c) (Identified Cost $1,555,463) |
1,555,463 | |||||
|
|
|||||||
Total Investments 102.7% (Identified Cost $13,783,535)(a) |
14,931,894 | |||||||
Other assets less liabilities (2.7)% |
(389,762 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 14,542,132 | ||||||
|
|
() | 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 securitys 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 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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 Funds investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At February 28, 2013, the net unrealized appreciation on investments based on a cost of $13,783,535 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 |
$ | 1,218,460 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(70,101 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,148,359 | ||
|
|
(b) | Non-income producing security. |
(c) | It is the Funds 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 Funds ability to dispose of the underlying securities. |
REITs | Real Estate Investment Trusts |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds 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.); and |
| 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 Funds 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 Funds investments as of February 28, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 13,376,431 | $ | | $ | | $ | 13,376,431 | ||||||||
Short-Term Investments |
| 1,555,463 | | 1,555,463 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 13,376,431 | $ | 1,555,463 | $ | | $ | 14,931,894 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at February 28, 2013 (Unaudited)
Software |
8.2 | % | ||
Aerospace & Defense |
6.7 | |||
Diversified Financial Services |
6.5 | |||
Oil, Gas & Consumable Fuels |
5.9 | |||
Internet Software & Services |
5.9 | |||
Professional Services |
5.4 | |||
Industrial Conglomerates |
5.1 | |||
Specialty Retail |
5.1 | |||
IT Services |
4.4 | |||
REITs Diversified |
4.0 | |||
Pharmaceuticals |
3.7 | |||
Household Durables |
3.7 | |||
Semiconductors & Semiconductor Equipment |
3.6 | |||
Insurance |
3.2 | |||
Commercial Banks |
3.0 | |||
Containers & Packaging |
2.9 | |||
Commercial Services & Supplies |
2.9 | |||
Energy Equipment & Services |
2.9 | |||
Capital Markets |
2.5 | |||
Chemicals |
2.4 | |||
Diversified Telecommunication Services |
2.2 | |||
Other Investments, less than 2% each |
1.8 | |||
Short-Term Investments |
10.7 | |||
|
|
|||
Total Investments |
102.7 | |||
Other assets less liabilities |
(2.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
ITEM 2. | CONTROLS AND PROCEDURES. |
The registrants principal executive officer and principal financial officer have concluded that the registrants 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 Commissions 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 registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants 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 19, 2013 |
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 19, 2013 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | April 19, 2013 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 19, 2013
/s/ David L. Giunta |
David L. Giunta |
President and Chief Executive Officer |
Exhibit (a)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 19, 2013
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |