Natixis Funds Trust II

0001193125-14-162300.txt : 20140428 0001193125-14-162300.hdr.sgml : 20140428 20140428134227 ACCESSION NUMBER: 0001193125-14-162300 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20140228 FILED AS OF DATE: 20140428 DATE AS OF CHANGE: 20140428 EFFECTIVENESS DATE: 20140428 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Natixis Funds Trust II CENTRAL INDEX KEY: 0000052136 IRS NUMBER: 041990692 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-00242 FILM NUMBER: 14788706 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 800-283-1155 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: IXIS Advisor Funds Trust II DATE OF NAME CHANGE: 20050502 FORMER COMPANY: FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20010503 FORMER COMPANY: FORMER CONFORMED NAME: NVEST FUNDS TRUST II DATE OF NAME CHANGE: 20000202

0000052136 S000034097 Loomis Sayles Senior Floating Rate and Fixed Income Fund

C000105118 Class A LSFAX

C000105119 Class C LSFCX

C000105120 Class Y LSFYX

0000052136 S000036453 Loomis Sayles Capital Income Fund

C000111612 Class A LSCAX

C000111613 Class C LSCCX

C000111614 Class Y LSCYX

0000052136 S000037523 Vaughan Nelson Select Fund

C000115831 Class A VNSAX

C000115832 Class C VNSCX

C000115833 Class Y VNSYX

0000052136 S000044078 Loomis Sayles Emerging Markets Opportunities Fund

C000136785 Class A LEOAX

C000136786 Class C LEOCX

C000136787 Class N LEONX

C000136788 Class Y LEOYX

N-Q 1 d678958dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: November 30

Date of reporting period: February 28, 2014

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of February 28, 2014 (Unaudited)

Loomis Sayles Capital Income Fund


Shares		Description	Value (†)
	Common Stocks – 82.4% of Net Assets

		Aerospace & Defense – 1.4%
	2,564	Northrop Grumman Corp.	$	310,321


		Automobiles – 1.1%
	6,788	General Motors Co.(b)		245,726


		Beverages – 2.6%
	4,544	Coca-Cola Enterprises, Inc.		213,931
	4,894	PepsiCo, Inc.		391,863

				605,794


		Capital Markets – 1.1%
	9,135	Federated Investors, Inc., Class B		250,299


		Chemicals – 3.6%
	7,068	E.I. du Pont de Nemours & Co.		470,870
	15,229	Tronox Ltd., Class A		360,775

				831,645


		Commercial Banks – 3.0%
	3,934	PNC Financial Services Group, Inc. (The)		321,723
	8,053	Wells Fargo & Co.		373,820

				695,543


		Commercial Services & Supplies – 1.0%
	5,290	Waste Management, Inc.		219,535


		Communications Equipment – 2.8%
	12,084	Cisco Systems, Inc.		263,431
	5,702	Motorola Solutions, Inc.(c)		377,473

				640,904


		Computers & Peripherals – 1.7%
	748	Apple, Inc.		393,627


		Containers & Packaging – 1.5%
	10,453	Sealed Air Corp.		355,820


		Diversified Consumer Services – 1.5%
	10,767	H&R Block, Inc.		340,668


		Diversified Financial Services – 2.2%
	8,835	JPMorgan Chase & Co.		502,005


		Diversified Telecommunication Services – 1.9%
	9,298	Verizon Communications, Inc.		442,399


		Electric Utilities – 1.8%
	5,934	Northeast Utilities		263,766

	4,929	Portland General Electric Co.		156,742

				420,508


Shares		Description	Value (†)
	Common Stocks – continued

		Electrical Equipment – 1.7%
	5,239	Eaton Corp. PLC	$	391,406


		Energy Equipment & Services – 1.7%
	2,723	Diamond Offshore Drilling, Inc.		128,798
	3,354	National Oilwell Varco, Inc.		258,392

				387,190


		Food & Staples Retailing – 1.1%
	3,699	Walgreen Co.		251,347


		Industrial Conglomerates – 1.5%
	13,812	General Electric Co.		351,792


		Insurance – 3.1%
	7,749	MetLife, Inc.		392,642
	3,816	Travelers Cos., Inc. (The)		319,933

				712,575


		Machinery – 0.9%
	4,833	Terex Corp.		215,213


		Media – 4.1%
	4,993	Omnicom Group, Inc.		377,870
	2,466	Time Warner Cable, Inc.		346,103
	2,620	Viacom, Inc., Class B		229,853

				953,826


		Multiline Retail – 1.1%
	4,382	Kohl’s Corp.		246,224


		Oil, Gas & Consumable Fuels – 7.8%
	3,904	Chevron Corp.(c)		450,248
	2,947	HollyFrontier Corp.		134,295
	3,627	Occidental Petroleum Corp.		350,078
	9,614	Regency Energy Partners LP		252,368
	6,221	Total S.A., Sponsored ADR		403,743
	5,794	Valero Energy Partners LP		214,320

				1,805,052


		Pharmaceuticals – 12.6%
	6,658	AbbVie, Inc.		338,959
	6,350	Bristol-Myers Squibb Co.		341,440
	8,856	Eli Lilly & Co.(c)		527,906
	4,910	GlaxoSmithKline PLC, Sponsored ADR		274,665
	9,352	Merck & Co., Inc.(d)		532,971
	15,222	Pfizer, Inc.		488,778
	7,494	Sanofi, ADR		388,489

				2,893,208


		REITs - Diversified – 2.5%
	5,122	Plum Creek Timber Co., Inc.		221,731
	11,954	Weyerhaeuser Co.(d)		352,763

				574,494


Shares		Description	Value (†)
	Common Stocks – continued

		REITs - Hotels – 1.4%
	7,863	Ryman Hospitality Properties, Inc.	$	331,740


		REITs - Office Property – 2.2%
	18,917	Columbia Property Trust, Inc.		502,057


		Road & Rail – 1.6%
	3,984	Norfolk Southern Corp.		366,169


		Semiconductors & Semiconductor Equipment – 1.7%
	8,833	Texas Instruments, Inc.		397,132


		Software – 2.0%
	11,902	Microsoft Corp.		455,966


		Specialty Retail – 2.9%
	20,106	American Eagle Outfitters, Inc.		292,140
	7,521	Lowe’s Cos., Inc.		376,276

				668,416


		Thrifts & Mortgage Finance – 1.1%
	18,611	People’s United Financial, Inc.		263,718


		Tobacco – 1.7%
	4,784	Philip Morris International, Inc.		387,073


		Transportation Infrastructure – 1.0%
	4,122	Macquarie Infrastructure Co. LLC		223,330


		Wireless Telecommunication Services – 1.5%
	8,442	Vodafone Group PLC, Sponsored ADR		350,934

		Total Common Stocks (Identified Cost $15,510,236)		18,983,656


Principal Amount (‡)
	Bonds and Notes – 16.0%
	Non-Convertible Bonds – 14.9%

		Banking – 3.1%
	$300,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(e)	317,625
	100,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)	98,970
	280,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018	290,277

			706,872


		Brokerage – 0.5%
	100,000	Jefferies Group LLC, 6.875%, 4/15/2021	115,750


		Chemicals – 0.6%
	150,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(f)	143,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Consumer Cyclical Services – 0.2%
$	45,000	ServiceMaster Co. (The), 7.450%, 8/15/2027	$	40,275


		Government Sponsored – 0.2%
	40,000	Eksportfinans ASA, 2.000%, 9/15/2015		39,680


		Healthcare – 1.3%
	125,000	HCA, Inc., 7.500%, 12/15/2023		140,625
	150,000	HCA, Inc., 7.500%, 11/06/2033		153,000

				293,625


		Home Construction – 1.5%
	250,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		265,000
	50,000	Pulte Group, Inc., 6.000%, 2/15/2035		45,000
	30,000	Pulte Group, Inc., 6.375%, 5/15/2033		29,138

				339,138


		Media Non-Cable – 0.9%
	34,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		39,440
	150,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		175,125

				214,565


		Metals & Mining – 0.7%
	50,000	Alcoa, Inc., 5.900%, 2/01/2027		51,501
	45,000	Alcoa, Inc., 6.750%, 1/15/2028		49,119
	75,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		64,748

				165,368


		Non-Captive Consumer – 1.1%
	300,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		259,500


		Retailers – 0.3%
	100,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		72,250


		Supermarkets – 1.5%
	400,000	New Albertson’s, Inc., 8.000%, 5/01/2031		349,000


		Textile – 0.3%
	90,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		67,500


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Transportation Services – 0.3%
$	75,000	APL Ltd., 8.000%, 1/15/2024(f)	$	70,500


		Wirelines – 2.4%
	100,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		110,000
	70,000	Qwest Corp., 6.875%, 9/15/2033		69,541
	400,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		374,500

				554,041

		Total Non-Convertible Bonds (Identified Cost $3,140,370)		3,431,314

	Convertible Bonds – 1.1%

		Independent Energy – 0.8%
	185,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		193,325


		Non-Captive Diversified – 0.3%
	60,000	Jefferies Group LLC, 3.875%, 11/01/2029		63,600

		Total Convertible Bonds (Identified Cost $225,805)		256,925

		Total Bonds and Notes (Identified Cost $3,366,175)		3,688,239


Shares
	Preferred Stocks – 0.8%

		Construction Machinery – 0.0%
	74	Stanley Black & Decker, Inc., 6.250%		7,911


		REITs - Diversified – 0.8%
	3,251	Weyerhaeuser Co., Series A, 6.375%		177,049

		Total Preferred Stocks (Identified Cost $171,515)		184,960


Principal Amount (‡)
	Short-Term Investments – 2.6%
	$601,981	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2014 at 0.000% to be repurchased at $601,981 on 3/03/2014 collateralized by $630,000 Federal Home Loan Mortgage Corporation, 1.600% due 1/09/2020 valued at $614,250 including accrued interest(g) (Identified Cost $601,981)		601,981

		Total Investments – 101.8% (Identified Cost $19,649,907)(a)		23,458,836
		Other assets less liabilities – (1.8)%		(418,461	)

		Net Assets – 100.0%	$	23,040,375


Shares		Description	Value (†)
	Written Options – (0.0%)

		Options on Securities – (0.0%)
	2,500	Kellogg Co., Put expiring March 22, 2014 at 57.50	$	(250	)
	1,000	Northrop Grumman Corp., Call expiring March 22, 2014 at 120.00		(2,650	)
	600	Time Warner Cable, Inc., Call expiring March 22, 2014 at 140.00		(1,725	)
	1,200	Viacom, Inc., Call expiring March 22, 2014 at 90.00		(720	)
	2,500	Zoetis, Inc., Put expiring April 19, 2014 at 28.00		(563	)

		Total Written Options (Premiums Received $5,023)	$	(5,908	)

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.

(†)

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations 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 valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

At February 28, 2014, the net unrealized appreciation on investments based on a cost of $19,650,626 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	4,095,113
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(286,903	)

Net unrealized appreciation	$	3,808,210

(b)	Non-income producing security.

(c)	A portion of this security has been pledged as collateral for outstanding options.

(d)	All of this security has been designated to cover the Fund’s obligations under open outstanding options.

(e)	Perpetual bond with no specified maturity date.

(f)	Illiquid security. At February 28, 2014, the value of these securities amounted to $213,750 or 0.9% of net assets.

(g)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of February 28, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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, 2014, the value of Rule 144A holdings amounted to $317,625 or 1.4% 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 Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1 - quoted prices in active markets for identical assets or liabilities;

•

Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); 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 Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	18,983,656	$	—	$	—	$	18,983,656
Bonds and Notes*		—		3,688,239		—		3,688,239
Preferred Stocks*		184,960		—		—		184,960
Short-Term Investments		—		601,981		—		601,981

Total	$	19,168,616	$	4,290,220	$	—	$	23,458,836

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Written Options*	$	(5,908	)	$	—	$	—	$	(5,908	)

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

For the period ended February 28, 2014, there were no transfers among 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 contacts.

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, written call options and written put options for investment purposes. During the period ended February 28, 2014, the Fund engaged in written call option transactions for hedging purposes and written put and purchased call option transactions for investment purposes.

The following is a summary of derivative instruments for the Fund, as of February 28, 2014:


Liabilities	Options Written at value
Exchange traded/cleared liability derivatives
Equity contracts	$	(5,908	)

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

Industry Summary at February 28, 2014 (Unaudited)


Pharmaceuticals	12.6	%
Oil, Gas & Consumable Fuels	7.8
Chemicals	4.2
Media	4.1
REITs - Diversified	3.3
Insurance	3.1
Banking	3.1
Commercial Banks	3.0
Specialty Retail	2.9
Communications Equipment	2.8
Beverages	2.6
Wirelines	2.4
REITs - Office Property	2.2
Diversified Financial Services	2.2
Software	2.0
Other Investments, less than 2% each	40.9
Short-Term Investments	2.6

Total Investments	101.8
Other assets less liabilities (including open written options)	(1.8	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of February 28, 2014 (Unaudited)

Loomis Sayles Emerging Markets Opportunities Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 90.5% of Net Assets

		Argentina – 0.5%
	$125,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021	$	125,625


		Brazil – 10.1%
	135,000	Banco do Brasil S.A./Cayman, 6.000%, 1/22/2020, 144A		144,450
	235,000	Banco Santander Brasil S.A./Cayman Islands, 4.625%, 2/13/2017		244,400
	250,000	Braskem Finance Ltd., 6.450%, 2/03/2024		253,750
	285,000	Brazilian Government International Bond, 2.625%, 1/05/2023		251,370
	250,000	BRF S.A., 5.875%, 6/06/2022		252,500
	245,000	Itau Unibanco Holding S.A./Cayman Islands, 6.200%, 12/21/2021		251,431
	200,000	Marfrig Holding Europe BV, 9.875%, 7/24/2017, 144A		204,000
	241,227	Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2022, 144A		248,163
	200,000	Samarco Mineracao S.A., 5.750%, 10/24/2023, 144A		201,000
	260,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020		254,150
	225,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021		248,063

				2,553,277


		Chile – 1.0%
	270,000	CFR International S.p.A., 5.125%, 12/06/2022		256,358


		China – 7.5%
	215,000	Baidu, Inc., 3.500%, 11/28/2022		204,689
	270,000	Bestgain Real Estate Ltd., 2.625%, 3/13/2018		248,430
	250,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A		248,152
	230,000	China Shanshui Cement Group Ltd., 10.500%, 4/27/2017		246,675
	280,000	CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023		253,618
	255,000	Country Garden Holdings Co. Ltd., 7.250%, 4/04/2021, 144A		243,525
	225,000	ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A		243,220
	200,000	Kaisa Group Holdings Ltd., 8.875%, 3/19/2018, 144A		199,000

				1,887,309


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

		Colombia – 2.9%
	$250,000	Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022	$	241,875
	230,000	Ecopetrol S.A., 5.875%, 9/18/2023		249,550
	235,000	Empresa de Energia de Bogota S.A. E.S.P., 6.125%, 11/10/2021		250,980

				742,405


		Croatia – 0.9%
	200,000	Agrokor d.d., 8.875%, 2/01/2020		216,500


		Hong Kong – 1.5%
	200,000	Swire Pacific MTN Financing Ltd., EMTN, 4.500%, 10/09/2023		202,481
	175,000	Noble Group Ltd., 6.750%, 1/29/2020		188,125

				390,606


		Hungary – 1.5%
	340,000	Hungary Government International Bond, 6.375%, 3/29/2021(b)		372,300


		India – 2.9%
	205,000	Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A		197,517
	115,000	ICICI Bank Ltd., 5.750%, 11/16/2020		121,578
	200,000	NTPC Ltd., EMTN, 5.625%, 7/14/2021		205,709
	205,000	Vedanta Resources PLC, 6.000%, 1/31/2019, 144A		202,694

				727,498


		Indonesia – 4.9%
	200,000	Listrindo Capital BV, 6.950%, 2/21/2019, 144A		210,250
	435,000	Pertamina Persero PT, EMTN, 4.300%, 5/20/2023(b)		398,025
	380,000	Perusahaan Listrik Negara PT, 5.500%, 11/22/2021(b)		385,700
	255,000	TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A		249,900

				1,243,875


		Israel – 1.0%
	230,000	Israel Electric Corp. Ltd., 5.625%, 6/21/2018, 144A		244,488


		Jamaica – 1.0%
	250,000	Digicel Ltd., 6.000%, 4/15/2021, 144A		251,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

		Kenya – 1.4%
$	31,000,000	Kenya Infrastructure Bond, 12.000%, 9/18/2023, (KES)	$	365,639


		Korea – 4.0%
	240,000	GS Caltex Corp., 3.250%, 10/01/2018, 144A		242,936
	230,000	Korea Gas Corp., 4.250%, 11/02/2020		245,628
	200,000	Lotte Shopping Co. Ltd., 3.375%, 5/09/2017		207,200
	275,000	Woori Bank Co. Ltd., 5.875%, 4/13/2021		306,424

				1,002,188


		Lithuania – 1.0%
	210,000	Lithuania Government International Bond, 6.625%, 2/01/2022		249,375


		Luxembourg – 0.8%
	200,000	Altice Financing S.A., 6.500%, 1/15/2022, 144A		208,500


		Malaysia – 1.3%
	200,000	Malayan Banking Bhd, EMTN, (fixed rate to 9/20/2017, variable rate thereafter), 3.250%, 9/20/2022		199,848
	100,000	Petronas Capital Ltd., 7.875%, 5/22/2022, 144A		130,489

				330,337


		Mexico – 11.8%
	245,000	Alpek S.A. de CV, 5.375%, 8/08/2023, 144A		245,000
	195,000	Axtel SAB de CV, (Step to 9.000% on 1/31/2015), 8.000%, 1/31/2020, 144A^©		192,075
	250,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022		245,000
	225,000	BBVA Bancomer S.A., 6.750%, 9/30/2022		246,938
	245,000	Cemex SAB de CV, 6.500%, 12/10/2019, 144A		257,862
	375,000	Comision Federal de Electricidad, 4.875%, 1/15/2024, 144A(b)		379,687
	255,000	Fresnillo PLC, 5.500%, 11/13/2023, 144A		258,187
	245,000	Grupo Idesa S.A. de CV, 7.875%, 12/18/2020, 144A		251,737
	250,000	Grupo KUO SAB de CV, 6.250%, 12/04/2022		253,750
	235,000	Office Depot de Mexico S.A. de CV, 6.875%, 9/20/2020, 144A		246,163


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

		Mexico – continued
	$150,000	Sigma Alimentos S.A. de CV, 5.625%, 4/14/2018	$	165,000
	250,000	Tenedora Nemak S.A. de CV, 5.500%, 2/28/2023, 144A		248,750

				2,990,149


		Morocco – 0.8%
	200,000	BMCE Bank, 6.250%, 11/27/2018		204,020


		Netherlands – 0.8%
	200,000	GTB Finance BV, EMTN, 6.000%, 11/08/2018		196,500


		Panama – 0.8%
	140,000	Panama Government International Bond, 8.875%, 9/30/2027		190,575


		Peru – 1.5%
	200,000	Corp. Financiera de Desarrollo S.A., 4.750%, 2/08/2022		199,250
	185,000	Minsur S.A., 6.250%, 2/07/2024, 144A		190,550

				389,800



		Philippines – 1.0%
	205,000	Power Sector Assets and Liabilities Management Corp., 7.250%, 5/27/2019		245,488


		Poland – 0.6%
	100,000	Play Finance 1 S.A., 6.500%, 8/01/2019, 144A, (EUR)		145,456


		Qatar – 1.2%
	285,000	Qtel International Finance Ltd., 4.750%, 2/16/2021, 144A(b)		308,869


		Russia – 9.8%
	390,000	Gazprom OAO Via Gaz Capital S.A., 3.850%, 2/06/2020, 144A		378,300
	420,000	Gazprom OAO Via Gaz Capital S.A., 4.950%, 2/06/2028(b)		368,550
	350,000	Gazprombank OJSC Via GPB Eurobond Finance PLC, EMTN, 5.625%, 5/17/2017(b)		369,687
	400,000	Mobile Telesystems OJSC Via MTS International Funding Ltd., 5.000%, 5/30/2023, 144A(b)		370,500
	260,000	Sberbank of Russia Via SB Capital S.A., 5.125%, 10/29/2022		248,300
	340,000	VTB Bank OJSC Via VTB Capital S.A., 6.875%, 5/29/2018(b)		369,750
	345,000	Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.748%, 2/02/2021(b)		370,444

				2,475,531


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

		South Africa – 0.8%
$	200,000	Eskom Holdings SOC Ltd., 6.750%, 8/06/2023, 144A	$	208,290


		Sweden – 0.8%
	200,000	PKO Finance AB, 4.630%, 9/26/2022		201,250


		Thailand – 0.8%
	205,000	PTT Global Chemical PCL, 4.250%, 9/19/2022		194,415


		Turkey – 4.0%
	195,000	Akbank TAS, 3.875%, 10/24/2017		192,075
	230,000	Arcelik AS, 5.000%, 4/03/2023, 144A		201,825
	240,000	Coca-Cola Icecek AS, 4.750%, 10/01/2018, 144A		249,000
	370,000	Turkey Government International Bond, 5.750%, 3/22/2024(b)		377,400

				1,020,300


		Uganda – 2.4%
	1,500,000,000	Republic of Uganda Government Bond, 14.125%, 12/01/2016, (UGX)(b)		602,791


		Ukraine – 0.7%
	200,000	Ukraine Government International Bond, 9.250%, 7/24/2017		186,000


		United Arab Emirates – 5.0%
	325,000	Abu Dhabi National Energy Co., 3.625%, 1/12/2023(b)		317,687
	275,000	Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A		308,825
	290,000	DP World Ltd., EMTN, 6.850%, 7/02/2037		308,850
	260,000	Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A(b)		312,650

				1,248,012


		United Kingdom – 0.8%
	175,000	Standard Bank PLC, GMTN, 8.125%, 12/02/2019		200,375


		United States – 0.9%
	225,000	Central American Bottling Corp., 6.750%, 2/09/2022		234,562


		Venezuela – 1.8%
	395,000	Petroleos de Venezuela S.A., 5.500%, 4/12/2037		202,437
	300,000	Petroleos de Venezuela S.A., Series 2015, 5.000%, 10/28/2015		248,700

				451,137

		Total Bonds and Notes (Identified Cost $22,699,170)		22,861,050


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 7.1%
	$1,802,780	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2014 at 0.000% to be repurchased at $1,802,780 on 3/03/2014 collateralized by $1,860,000 U.S. Treasury Note, 0.625% due 9/30/2017 valued at $1,842,112 including accrued interest(d) (Identified Cost $1,802,780)	$	1,802,780

		Total Investments – 97.6% (Identified Cost $24,501,950)(a)		24,663,830
		Other assets less liabilities – 2.4%		593,641

		Net Assets – 100.0%	$	25,257,471

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Valuations from foreign markets are subject to the fair value policies described below.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

(a)	Federal Tax Information (Amortization of premium on debt securities is excluded for tax purposes.):

At February 28, 2014, the net unrealized appreciation on investments based on a cost of $24,506,534 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	$	216,178
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(58,882	)

Net unrealized appreciation	$	157,296

(b)	All of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swap agreements.

(c)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(d)

144A

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

OJSC	Open Joint-Stock Company

EUR

Euro

KES	Kenyan Shilling

UGX	Ugandan Shilling

Swap Agreements

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Swap agreements are valued daily, and fluctuations in value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as fees receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

At February 28, 2014, the Fund had the following open bilateral credit default swap agreements:

Sell Protection


Counterparty	Reference Obligation	(Pay)/ Receive Fixed Rate			Expiration Date		Implied Credit Spread^			Notional Value(‡)		Unamortized Up Front Premium Paid/(Received)		Market Value		Unrealized Appreciation (Depreciation)			Fees Receivable/ (Payable)
Barclays Bank PLC	CDX.NA.EM Series 20, 5-Year		5.00	%		12/20/2018		3.03	%		1,750,000		128,330	$	149,408	$	21,078		$	17,257
Morgan Stanley Capital Services, Inc.	CDX.NA.EM Series 20, 5-Year		5.00	%		12/20/2018		3.03	%		1,000,000		86,000		85,376		(624	)		9,861

Total														$	234,784	$	20,454		$	27,118

(‡)	Notional value stated in U.S. dollars unless otherwise noted.

Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At February 28, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency		Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		3/19/2014		Euro		100,000	$	138,029	$	(1,565	)

¹	Counterparty is Barclays Bank PLC.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker 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 depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, 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 are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s 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, 2014, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/19/2014		18	$	2,241,563	$	119

Fair Value Measurements

•

Level 1 - quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	22,861,050	$	—	$	22,861,050
Short-Term Investments		—		1,802,780		—		1,802,780

Total Investments		—		24,663,830		—		24,663,830


Bilateral Credit Default Swap Agreements (unrealized appreciation)		—		21,078		—		21,078
Futures Contracts (unrealized appreciation)		119		—		—		119

Total	$	119	$	24,684,908	$	—	$	24,685,027

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Bilateral Credit Default Swap Agreements (unrealized depreciation)	$	—	$	(624	)	$	—	$	(624	)
Forward Foreign Currency Contracts (unrealized depreciation)		—		(1,565	)		—		(1,565	)

Total	$	—	$	(2,189	)	$	—	$	(2,189	)

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

Since the Fund commenced operations during the period ended February 28, 2014, there are no transfers to recognize among Levels 1, 2 and 3.

Derivatives

The Fund seeks to provide high total investment return through a combination of high current income and capital appreciation. The Fund pursues its objective by generally obtaining its long investment exposures through direct cash investments and derivatives and short investment exposures substantially through derivatives, including forward foreign currency contracts, futures contracts and swap agreements. During the period ended February 28, 2014, the Fund used forward foreign currency contracts and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended February 28, 2014, the Fund engaged in futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of February 28, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts¹		Swap Agreements at value		Total
Over-the-counter asset derivatives
Credit contracts	$	—	$	—	$	234,784	$	234,784

Total over-the-counter asset derivatives	$	—	$	—	$	234,784	$	234,784

Exchange traded/cleared asset derivatives
Interest rate contracts	$	—	$	119	$	—	$	119

Total exchange traded/cleared asset derivatives		—		119		—		119

Total asset derivatives	$	—	$	119	$	234,784	$	234,903


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹		Swap Agreements at value		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(1,565	)	$	—	$	—	$	(1,565	)

Total over-the-counter liability derivatives	$	(1,565	)	$	—	$	—	$	(1,565	)

Total liability derivatives	$	(1,565	)	$	—	$	—	$	(1,565	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts.

Over-the-counter derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of February 28, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin for futures contracts or as collateral for over-the-counter derivatives may be subject to bankruptcy court proceedings. As of February 28, 2014, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at or pledged to counterparties for initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding is $334,784 and the amount of loss that the Fund would incur after taking into account master netting arrangements pursuant to ISDA agreements is $333,219.

Industry Summary at February 28, 2014 (Unaudited)


Government Owned - No Guarantee	27.1	%
Banking	9.5
Sovereigns	6.5
Wireless	5.7
Food & Beverage	5.2
Treasuries	3.8
Chemicals	3.8
Metals & Mining	3.3
Home Construction	2.8
Wirelines	2.6
Government Guaranteed	2.5
Building Materials	2.0
Other Investments, less than 2% each	15.7
Short-Term Investments	7.1

Total Investments	97.6
Other assets less liabilities (including swap agreements, open forward foreign currency contracts and futures contracts)	2.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of February 28, 2014 (Unaudited)

Loomis Sayles Senior Floating Rate and Fixed Income Fund


Principal Amount		Description	Value (†)
	Senior Loans – 90.2% of Net Assets

		Aerospace & Defense – 1.6%
	$3,035,898	Camp Systems International, Inc., 1st Lien Term Loan, 4.750%, 5/31/2019(b)	$	3,066,257
	2,595,000	Camp Systems International, Inc., 2nd Lien Term Loan 1, 8.250%, 11/30/2019(b)		2,643,656
	600,083	PRV Aerospace LLC, Term Loan B, 6.500%, 5/09/2018(b)		601,331
	10,462,054	Sequa Corp., New Term Loan B, 5.250%, 6/18/2017(b)		10,296,440
	987,449	SI Organization, Inc. (The), Term Loan B, 5.500%, 11/22/2016(b)		967,088
	5,873,069	WP CPP Holdings LLC, 1st Lien Term Loan, 4.750%, 12/27/2019(b)		5,906,135

				23,480,907


		Automotive – 1.8%
	5,455,314	Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.750%, 4/27/2020(b)		5,459,842
	9,055,000	Dayco Products LLC, New Term Loan B, 5.250%, 12/12/2019(b)		9,134,231
	8,920,000	Navistar International Corp., Term Loan B, 5.750%, 8/17/2017(b)		9,035,246
	3,213,715	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/28/2019(b)		3,233,801

				26,863,120


		Banking – 1.0%
	1,307,040	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.497%, 6/30/2017(b)		1,306,230
	11,672,995	Harland Clarke Holdings Corp., Term Loan B3, 7.000%, 5/22/2018(b)		11,789,725
	2,154,000	Harland Clarke Holdings Corp., Term Loan B4, 6.000%, 8/04/2019(b)		2,157,360

				15,253,315


		Building Materials – 1.5%
	2,800,000	Air Distribution Technologies, Inc., 2nd Lien Term Loan, 9.250%, 5/09/2020(b)		2,849,000
	6,094,375	Contech Construction Products, Inc., New Term Loan, 6.250%, 4/29/2019(b)		6,142,520
	6,024,900	CPG International, Inc., New Term Loan, 4.750%, 9/30/2020(b)		6,028,696
	6,104,100	Quikrete Holdings, Inc., 2nd Lien Term Loan, 7.000%, 3/26/2021(b)		6,279,593
	994,413	Roofing Supply Group LLC, Term Loan, 5.000%, 5/24/2019(b)		997,316

				22,297,125


		Chemicals – 3.9%
	11,000,000	Arysta LifeScience Corp., 2nd Lien Term Loan, 8.250%, 11/30/2020(b)		11,151,250
	3,887,138	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		3,770,524


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Chemicals – continued
$	682,280	AZ Chem US, Inc., Recap Term Loan, 5.250%, 12/22/2017(b)	$	685,691
	334,901	Emerald Performance Materials LLC, Term Loan B, 6.750%, 5/18/2018(b)		336,575
	6,800,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(b)		6,876,500
	555,486	Kleopatra Acquisition Corp., Term Loan B1, 4.250%, 12/21/2016(b)		560,346
	3,739,000	Kronos Worldwide, Inc., 2020 Term Loan B, 4.750%, 2/12/2020(b)		3,764,724
	3,141,526	Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b)		3,119,944
	4,241,303	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b)		4,212,166
	3,320,000	Nexeo Solutions LLC, Term Loan B3, 5.000%, 9/08/2017(b)		3,315,850
	9,067,340	OCI Beaumont LLC, Term Loan B2, 6.250%, 8/20/2019(b)		9,226,019
	11,966,729	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b)		11,887,509

				58,907,098


		Consumer Cyclical Services – 6.0%
	12,329,483	Affinion Group, Inc., Term Loan B, 6.750%, 10/09/2016(b)		12,169,200
	10,325,000	AlixPartners LLP, New 2nd Lien Term Loan, 9.000%, 7/10/2021(b)		10,531,500
	3,839,000	AVSC Holding Corp., 1st Lien Term Loan, 4.500%, 1/22/2021(b)		3,855,815
	4,656,000	Inmar, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b)		4,635,048
	4,155,000	Inmar, Inc., 2nd Lien Term Loan, 8.000%, 1/27/2022(b)		4,155,000
	2,533,000	Mergermarket Ltd., 1st Lien Term Loan, 4.500%, 1/29/2021(b)		2,536,166
	7,522,000	Mergermarket Ltd., 2nd Lien Term Loan, 7.500%, 2/04/2022(b)		7,540,805
	6,053,327	ServiceMaster Co., New Term Loan, 4.250%, 1/31/2017(b)		6,052,056
	3,327,699	SGS Cayman LP, Term Loan, 7.250%, 3/06/2019(b)		3,327,700
	712,741	SNL Financial LC, Term Loan, 4.500%, 10/23/2018(b)		715,414
	11,000,000	SourceHov LLC, New 2nd Lien Term Loan, 8.750%, 4/30/2019(b)		11,247,500
	2,516,000	Spin Holdco, Inc., New Term Loan B, 11/14/2019(c)		2,518,088
	950,173	Sterling Infosystems, Inc., Term Loan A, 5.756%, 2/01/2018(d)		947,797
	7,652,963	STG-Fairway Acquisitions, Inc., Term Loan B, 6.253%, 2/28/2019(d)		7,662,529
	7,368,477	Sutherland Global Services Private Ltd., Term Loan, 7.250%, 3/06/2019(b)		7,386,898
	3,823,000	The Active Network, Inc., 1st Lien Term Loan, 5.500%, 11/15/2020(b)		3,856,451


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Consumer Cyclical Services – continued
$	486,536	U.S. Security Holdings, Inc., New Term Loan, 6.000%, 7/28/2017(b)	$	487,144

				89,625,111


		Consumer Products – 3.6%
	754,286	Advantage Sales & Marketing, Inc., New 2nd Lien Term Loan, 8.250%, 6/17/2018(b)		763,247
	5,991,983	Catalina Marketing Corp., New Term Loan B, 5.250%, 10/11/2020(b)		6,019,426
	3,204,067	FGI Operating Co. LLC, Term Loan, 5.500%, 4/19/2019(b)		3,254,146
	547,930	HMK Intermediate Holdings LLC, Term Loan, 5.750%, 3/29/2019(b)		550,669
	10,860,780	Information Resources, Inc., Term Loan B, 4.750%, 9/30/2020(b)		10,896,947
	9,822,000	NYDJ Apparel LLC, Term Loan, 7.000%, 1/06/2020(b)		9,772,890
	5,641,477	Polyconcept Investments BV, USD 1st Lien Term Loan, 6.000%, 6/27/2019(b)		5,627,374
	6,083,000	Polymer Group, Inc., 1st Lien Term Loan B, 5.250%, 12/19/2019(b)		6,105,811
	777,053	Steinway Musical Instruments, Inc., 1st Lien Term Loan, 4.750%, 9/19/2019(b)		782,880
	3,700,000	Steinway Musical Instruments, Inc., 2nd Lien Term Loan, 9.250%, 9/18/2020(b)		3,811,000
	6,179,857	Visant Corp., Term Loan B, 5.250%, 12/22/2016(b)		6,092,968

				53,677,358


		Diversified Manufacturing – 1.2%
	10,866,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		11,110,485
	5,977,143	Doncasters Finance US LLC, USD Term Loan, 5.500%, 4/09/2020(b)		6,031,296
	392,925	Douglas Dynamics Holdings, Inc., New Term Loan, 5.750%, 4/18/2018(b)		393,416

				17,535,197


		Electric – 0.5%
	5,029,000	Atlantic Power LP, Term Loan B, 2/20/2021(c)		5,047,859
	2,947,854	Mirion Technologies, Inc., Term Loan, 5.750%, 3/30/2018(b)		2,966,278

				8,014,137


		Entertainment – 0.3%
	5,030,000	SMG (Stadium Management Group), 1st Lien Term Loan, 2/25/2020(c)		5,042,575


		Environmental – 1.0%
	10,639,000	Allflex Holdings III, Inc., New 2nd Lien Term Loan, 8.000%, 7/17/2021(b)		10,777,307
	3,474,000	WTG Holdings III Corp., 1st Lien Term Loan, 4.750%, 1/15/2021(b)		3,482,685


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Environmental – continued
$	869,000	WTG Holdings III Corp., 2nd Lien Term Loan, 8.500%, 1/15/2022(b)	$	879,324

				15,139,316


		Financial Other – 2.6%
	5,957,000	American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(b)		5,957,000
	5,098,000	Ascensus, Inc., 1st Lien Term Loan, 5.000%, 12/02/2019(b)		5,136,235
	1,788,859	Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b)		1,788,859
	4,382,000	Eze Castle Software, Inc., 2nd Lien Term Loan, 8.500%, 4/06/2021(b)		4,442,253
	481,760	Hamilton Lane Advisors LLC, Term Loan, 5.250%, 2/28/2018(b)		481,760
	7,291,856	ION Trading Technologies S.a.r.l., 1st Lien Term Loan, 4.500%, 5/22/2020(b)		7,331,961
	12,347,000	Nuveen Investments, Inc., New 2nd Lien Term Loan, 6.500%, 2/28/2019(b)		12,251,311
	1,000,000	Wall Street Systems, Inc., New 2nd Lien Term Loan, 9.250%, 10/25/2020(b)		1,006,250

				38,395,629


		Food & Beverage – 2.9%
	550,000	CPM Acquisition Corp., 2nd Lien Term Loan, 10.250%, 2/28/2018(b)		555,500
	2,579,535	CTI Foods Holding Co. LLC, New 1st Lien Term Loan, 4.500%, 6/29/2020(b)		2,580,618
	7,412,000	Del Monte Foods, Inc., 2nd Lien Term Loan, 8/18/2021(c)		7,476,855
	8,600,445	DS Waters of America, Inc., New Term Loan, 5.250%, 8/30/2020(b)		8,729,452
	1,434,334	Milk Specialties Co., New Term Loan B, 7.000%, 11/07/2018(b)		1,430,748
	17,913,000	New HB Acquisition LLC, Term Loan, 6.750%, 4/09/2020(b)		18,607,129
	4,656,345	Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(d)		4,633,063

				44,013,365


		Gaming – 0.5%
	7,054,000	Marina District Finance Co, Inc., Term Loan B, 6.750%, 8/15/2018(b)		7,112,760


		Health Insurance – 1.0%
	15,224,000	Sedgwick CMS Holdings, Inc., New 1st Lien Term Loan, 6/12/2018(c)		15,144,074


		Healthcare – 9.0%
	832,590	ATI Holdings, Inc., New Term Loan, 5.000%, 1/31/2020(b)		843,688
	2,865,570	BioScrip, Inc., Delayed Draw Term Loan, 7.250%, 7/31/2020(b)		2,878,121
	4,775,950	BioScrip, Inc., Term Loan B, 7.250%, 7/31/2020(b)		4,796,868
	6,274,000	CareCore National LLC, Term Loan B, 2/13/2021(c)		6,309,323


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Healthcare – continued
$	5,570,652	CHG Buyer Corp., 2nd Lien Term Loan, 9.000%, 11/19/2020(b)	$	5,640,285
	2,109,000	Connolly Holdings, Inc., New 1st Lien Term Loan, 5.000%, 1/24/2021(b)		2,129,204
	5,751,000	CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.250%, 10/02/2019(b)		5,779,755
	457,880	DJO Finance LLC, Term Loan B3, 4.750%, 9/15/2017(b)		460,170
	8,389,973	Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.750%, 11/04/2020(b)		8,452,897
	4,750,000	Healogics, Inc., 2nd Lien Term Loan, 9.250%, 2/05/2020(b)		4,845,000
	4,764,060	Herff Jones, Inc., Term Loan B, 5.500%, 6/25/2019(b)		4,803,745
	4,824,000	Leonardo Acquisition Corp., Term Loan, 4.250%, 1/31/2021(b)		4,836,060
	8,791,000	McGraw-Hill Global Education Holdings LLC, Term Loan B, 6.250%, 12/18/2019(b)		8,889,899
	6,312,150	MedSolutions Holdings, Inc., Term Loan B, 6.500%, 7/08/2019(b)		6,335,821
	2,529,000	National Mentor Holdings, Inc., Term Loan B, 4.750%, 1/31/2021(b)		2,551,129
	9,447,636	Plato Learning, Inc., New Term Loan, 5.500%, 5/17/2018(b)		9,506,684
	4,611,000	PLATO, Inc., 2nd Lien Term Loan, 11.250%, 5/09/2019(b)		4,611,000
	7,019,408	Renaissance Learning, Inc., 1st Lien Term Loan B, 5.000%, 10/16/2020(b)		7,050,152
	2,607,000	Sheridan Holdings, Inc., 2nd Lien Term Loan 2013, 8.250%, 12/18/2021(b)		2,665,658
	7,680,750	Springer Science+Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(b)		7,717,234
	8,665,467	Steward Health Care System LLC, Term Loan B, 6.750%, 4/12/2020(b)		8,611,308
	7,450,000	Surgery Center Holdings, Inc., 2nd Lien Term Loan, 9.750%, 4/11/2020(b)		7,338,250
	12,628,000	TriZetto Group, Inc. (The), 2nd Lien Term Loan D, 8.500%, 3/28/2019(b)		12,312,300
	4,297,525	Truven Health Analytics, Inc., Term Loan B, 4.500%, 6/06/2019(b)		4,306,120
	1,241,148	United Surgical Partners International, Inc., Incremental Term Loan, 4.750%, 4/03/2019(b)		1,248,384

				134,919,055


		Industrial Other – 11.2%
	5,033,000	Alliance Laundry Systems LLC, Refi Term Loan, 12/10/2018(c)		5,047,696
	3,535,250	API Heat Transfer ThermaSys Corp., Term Loan, 5.250%, 5/03/2019(b)		3,530,831
	5,214,000	Aquilex Holdings LLC, New Term Loan, 5.000%, 12/31/2020(b)		5,231,363
	8,586,480	ARSloane Acquisition LLC, Term Loan, 7.500%, 10/01/2019(b)		8,650,879
	8,929,073	Brand Energy & Infrastructure Services, Inc., New Term Loan B, 4.750%, 11/26/2020(b)		8,960,681
	10,251,000	Brickman Group Ltd. LLC, 2nd Lien Term Loan, 7.500%, 12/18/2021(b)		10,445,769


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Industrial Other – continued
$	4,030,801	Capital Safety North America Holdings, Inc., Term Loan, 4.500%, 1/21/2019(b)	$	4,030,801
	6,869,000	Crosby US Acquisition Corp., 2nd Lien Term Loan, 7.000%, 2/15/2022(b)		6,949,161
	7,550,000	Dexter Axle Co., New Term Loan, 2/28/2020(c)		7,521,688
	10,003,730	Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(b)		10,063,152
	1,561,000	Filtration Group Corp., 1st Lien Term Loan, 4.500%, 11/21/2020(b)		1,573,363
	5,200,000	Filtration Group Corp., 2nd Lien Term Loan, 8.250%, 11/21/2021(b)		5,310,500
	9,975,000	Gardner Denver, Inc., USD Term Loan, 4.250%, 7/30/2020(b)		9,928,915
	3,980,720	Intelligrated, Inc., 1st Lien Term Loan, 4.500%, 7/30/2018(b)		3,988,204
	2,506,000	Marine Acquisition Corp., New Term Loan B, 5.250%, 1/21/2021(b)		2,524,795
	5,534,529	McJunkin Red Man Corp., New Term Loan, 5.000%, 11/08/2019(b)		5,591,258
	7,542,563	NES Global Talent Ltd., 1st Lien Term Loan, 6.500%, 10/03/2019(b)		7,542,563
	4,720,474	New Breed, Inc., Term Loan B, 6.000%, 10/01/2019(b)		4,724,392
	8,944,124	Nusil Technology LLC, New Term Loan, 5.250%, 4/07/2017(b)		8,837,958
	7,680,000	Oxbow Carbon LLC, 2nd Lien Term Loan, 8.000%, 1/17/2020(b)		7,891,200
	2,834,895	Pacific Industrial Services US Finco LLC, USD 1st Lien Term Loan, 5.000%, 10/02/2018(b)		2,870,331
	1,879,000	Pacific Industrial Services US Finco LLC, USD 2nd Lien Term Loan, 8.750%, 4/02/2019(b)		1,925,975
	5,207,929	Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(b)		5,227,458
	1,500,000	Redtop Acquisitions Ltd., USD 1st Lien Term Loan, 4.500%, 12/03/2020(b)		1,508,745
	5,801,000	Redtop Acquisitions Ltd., USD 2nd Lien Term Loan, 8.250%, 6/03/2021(b)		5,917,020
	1,717,000	STS Operating, Inc., Term Loan, 4.750%, 2/12/2021(b)		1,721,293
	8,928,000	Syncreon Global Finance (US), Inc., Term Loan B, 5.250%, 10/28/2020(b)		8,950,320
	8,522,000	TNT Crane & Rigging, Inc., 1st Lien Term Loan, 5.500%, 11/27/2020(b)		8,543,305
	1,840,000	Virtuoso US LLC, USD Term Loan, 2/11/2021(c)		1,853,800
	420,675	WireCo WorldGroup, Inc., New Term Loan, 6.000%, 2/15/2017(b)		422,778

				167,286,194


		Lodging – 0.8%
	8,709,556	Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.250%, 12/28/2020(b)		8,883,747
	3,713,000	La Quinta Intermediate Holdings LLC, Term Loan B, 2/21/2021(c)		3,720,426

				12,604,173


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Media Cable – 0.9%
$	6,294,000	ION Media Networks, Inc., Term Loan, 5.000%, 12/18/2020(b)	$	6,349,073
	7,452,583	TWCC Holding Corp., 2nd Lien Term Loan, 7.000%, 6/26/2020(b)		7,210,374

				13,559,447


		Media Non-Cable – 5.6%
	5,071,711	Advanstar Communications, Inc., New 1st Lien Term Loan, 5.500%, 4/29/2019(b)		5,097,070
	5,795,000	Advanstar Communications, Inc., New 2nd Lien Term Loan, 9.500%, 6/06/2020(b)		5,814,297
	2,500,000	Clear Channel Communications, Inc., Term Loan D, 1/30/2019(c)		2,453,125
	7,593,616	Clear Channel Communications, Inc., Term Loan D, 6.905%, 1/30/2019(b)		7,451,236
	5,869,000	Deluxe Entertainment Services Group, Inc., Term Loan 2014, 2/28/2020(c)		5,878,801
	4,877,500	Dex Media West LLC, New Term Loan, 8.000%, 12/30/2016(b)		3,889,806
	11,170,410	Emerald Expositions Holding, Inc., Term Loan B, 5.500%, 6/17/2020(b)		11,216,991
	7,588,000	Extreme Reach, Inc., 2nd Lien Term Loan, 10.500%, 2/07/2021(b)		7,588,000
	10,293,545	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b)		9,806,042
	4,320,000	Hibu (USA) LLC, New Term Loan B1, 3.905%, 7/31/2014(b)		957,269
	5,681,843	Internet Brands, Inc., Term Loan, 6.250%, 3/18/2019(b)		5,696,047
	5,605,950	Penton Media, Inc., New 1st Lien Term Loan, 5.500%, 10/01/2019(b)		5,650,349
	2,181,000	Penton Media, Inc., New 2nd Lien Term Loan, 9.000%, 10/01/2020(b)		2,202,810
	9,754,466	YP LLC, USD Term Loan B, 8.015%, 6/04/2018(d)		9,809,384

				83,511,227


		Metals & Mining – 2.1%
	5,549,671	American Rock Salt Holdings LLC, Term Loan, 4.750%, 4/25/2017(b)		5,617,322
	10,843,850	Arch Coal, Inc., Term Loan B, 6.250%, 5/16/2018(b)		10,690,843
	6,901,638	Bowie Resource Holdings LLC, 1st Lien Term Loan, 6.750%, 8/14/2020(b)		6,970,654
	1,184,000	Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b)		1,190,903
	4,310,000	Murray Energy Corp., 1st Lien Term Loan, 5.250%, 5/24/2019(b)		4,348,790
	2,389,000	TMS International Corp., New Term Loan B, 4.500%, 10/16/2020(b)		2,412,890

				31,231,402


		Non-Captive Consumer – 0.4%
	5,518,000	Springleaf Financial Funding Co., Term Loan B2, 4.750%, 9/25/2019(b)		5,581,457


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Oil Field Services – 1.9%
$	10,095,000	FTS International, Inc., Term Loan B, 8.500%, 5/06/2016(b)	$	10,221,187
	450,000	Pinnacle Holdco S.a.r.l., 2nd Lien Term Loan, 10.500%, 7/24/2020(b)		451,687
	2,638,350	Pinnacle Holdco S.a.r.l., Term Loan, 4.750%, 7/24/2019(b)		2,641,648
	5,305,000	Seadrill Partners Finco LLC, Term Loan B, 4.000%, 2/21/2021(b)		5,319,377
	8,607,249	Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(b)		8,800,912
	1,500,000	Utex Industries, Inc., 2nd Lien Term Loan, 8.750%, 4/12/2021(b)		1,518,750

				28,953,561


		Other Utility – 0.8%
	11,973,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		11,853,270


		Packaging – 0.3%
	4,460,415	Pro Mach, Inc., New Term Loan B, 4.500%, 7/05/2017(b)		4,482,717


		Paper – 0.6%
	5,572,000	Appvion, Inc., Term Loan, 5.750%, 6/28/2019(b)		5,613,790
	2,000,000	Hoffmaster Group, Inc., 1st Lien Term Loan, 6.500%, 1/03/2018(b)		1,990,000
	250,000	Hoffmaster Group, Inc., 2nd Lien Term Loan, 11.000%, 1/03/2019(b)		250,000
	1,000,000	Hoffmaster Group, Inc., Add on 2nd Lien Term Loan, 10.250%, 1/03/2019(b)		998,750

				8,852,540


		Pharmaceuticals – 2.8%
	4,217,000	Akorn, Inc., Term Loan B, 8/27/2020(c)		4,243,356
	5,047,350	Amneal Pharmaceuticals LLC, New Term Loan, 5.753%, 11/01/2019(d)		5,072,587
	6,804,769	eResearchTechnology, Inc., New Term Loan, 6.000%, 5/02/2018(b)		6,813,275
	1,375,000	INC Research, Inc., Refi Term Loan B, 4.250%, 7/12/2018(b)		1,379,579
	7,968,809	inVentiv Health, Inc., Incremental Term Loan B3, 7.750%, 5/15/2018(b)		7,904,103
	4,907,000	Patheon, Inc., USD Term Loan, 3/11/2021(c)		4,891,690
	1,750,000	PharMedium Healthcare Corp., 1st Lien Term Loan, 4.250%, 1/28/2021(b)		1,751,452
	643,500	Phillips Plastics Corp., Term Loan B, 4.750%, 2/12/2017(b)		647,123
	9,675,551	PRA Holdings, Inc., New 1st Lien Term Loan, 5.000%, 9/23/2020(b)		9,678,453

				42,381,618


		Property & Casualty Insurance – 3.0%
	7,578,042	AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b)		7,625,405


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Property & Casualty Insurance – continued
$	9,243,478	Applied Systems, Inc., New 2nd Lien Term Loan, 1/23/2022(c)	$	9,435,280
	3,316,500	Applied Systems, Inc., New 2nd Lien Term Loan, 7.500%, 1/23/2022(b)		3,385,317
	9,625,000	Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(b)		9,276,094
	2,977,444	Cunningham Lindsey U.S., Inc., 1st Lien Term Loan, 5.000%, 12/10/2019(b)		2,962,556
	701,591	Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 9.250%, 6/10/2020(b)		700,714
	1,845,375	Hub International Ltd., Term Loan B, 4.750%, 10/02/2020(b)		1,860,747
	2,000,000	Mitchell International, Inc., New 2nd Lien Term Loan, 10/11/2021(c)		2,038,340
	7,375,000	Mitchell International, Inc., New 2nd Lien Term Loan, 8.500%, 10/11/2021(b)		7,516,379

				44,800,832


		REITs – 0.1%
	1,000,000	Capital Automotive LP, New 2nd Lien Term Loan, 6.000%, 4/30/2020(b)		1,032,500


		Restaurants – 0.9%
	2,154,623	ARG IH Corp., Term Loan B, 5.000%, 11/15/2020(b)		2,165,396
	298,489	Brasa Holdings, Inc., 1st Lien Term Loan, 5.750%, 7/19/2019(b)		301,226
	1,060,714	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b)		1,066,018
	6,614,000	Centerplate, Inc., Term Loan A, 4.750%, 11/26/2019(b)		6,652,560
	3,414,523	Sagittarius Restaurants LLC, New Term Loan, 6.266%, 10/01/2018(d)		3,420,225

				13,605,425


		Retailers – 3.0%
	10,874,000	BJ’s Wholesale Club, Inc., New 2nd Lien Term Loan, 8.500%, 3/26/2020(b)		11,156,072
	7,530,000	Bob’s Discount Furniture LLC, Term Loan, 5.250%, 2/06/2021(b)		7,511,175
	2,207,754	David’s Bridal, Inc., New Term Loan B, 5.000%, 10/11/2019(b)		2,218,793
	3,569,000	J Crew Group, Inc., New Term Loan B, 3/05/2021(c)		3,555,616
	8,254,313	Neiman Marcus Group, Inc. (The), New Term Loan B, 5.000%, 10/25/2020(b)		8,346,348
	5,016,000	Phillips Pet Food & Supplies, Term Loan, 4.500%, 1/31/2021(b)		5,038,973
	7,194,845	Sportsman’s Warehouse Holdings, Inc., First Out Term Loan, 7.250%, 8/16/2019(b)		7,302,768

				45,129,745


		Supermarkets – 0.6%
	3,423,000	Acosta, Inc., New Term Loan B, 3/02/2018(c)		3,434,980


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Supermarkets – continued
$	5,881,665	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(b)	$	5,900,780

				9,335,760


		Technology – 12.0%
	9,950,872	Alcatel-Lucent USA, Inc., USD Term Loan C, 1/30/2019(c)		10,034,260
	8,291,000	Aptean, Inc., 1st Lien Term Loan, 2/26/2020(c)		8,208,090
	1,911,000	Aptean, Inc., 2nd Lien Term Loan, 2/26/2021(c)		1,901,445
	7,484,395	Blackboard, Inc., Term Loan B3, 4.750%, 10/04/2018(b)		7,538,208
	7,450,000	Blue Coat Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/28/2020(b)		7,692,125
	4,010,000	BMC Software Finance, Inc., Term Loan, 5.000%, 9/10/2020(b)		4,018,902
	11,485,000	BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b)		11,511,301
	1,765,658	DataPipe, Inc., 1st Lien Term Loan, 5.750%, 3/15/2019(b)		1,773,391
	2,000,000	DataPipe, Inc., 2nd Lien Term Loan, 9.250%, 9/15/2019(b)		2,022,500
	13,438,228	Dell, Inc., USD Term Loan B, 4.500%, 4/29/2020(b)		13,397,376
	6,395,000	Deltek, Inc., 2nd Lien Term Loan, 10.000%, 10/10/2019(b)		6,490,925
	7,495,215	EIG Investors Corp., 2013 Term Loan, 5.000%, 11/09/2019(b)		7,542,060
	5,857,320	Epiq Systems, Inc., Term Loan B, 4.750%, 8/27/2020(b)		5,879,285
	7,585,195	Freescale Semiconductor, Inc., Term Loan B4, 5.000%, 2/28/2020(b)		7,610,074
	3,818,430	Help/Systems LLC, USD Term Loan B, 5.500%, 6/28/2020(b)		3,789,792
	8,806,000	Internap Network Services Corp., Term Loan, 6.000%, 11/26/2019(b)		8,850,030
	857,350	Ipreo Holdings LLC, Term Loan B4, 5.000%, 8/05/2017(b)		859,494
	4,191,000	IQOR US, Inc., 2nd Lien Term Loan, 4/01/2022(c)		4,086,225
	7,872,000	IQOR US, Inc., Term Loan B, 4/01/2021(c)		7,714,560
	9,754,000	Oberthur Technologies of America Corp., USD Term Loan B2, 5.750%, 10/18/2019(b)		9,843,444
	3,144,000	Openlink International Intermediate, Inc., 2017 Term Loan, 6.250%, 10/28/2017(b)		3,154,470
	1,363,000	P2 Upstream Acquisition Co., 1st Lien Term Loan, 5.000%, 10/30/2020(b)		1,374,926
	3,900,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b)		3,906,513
	28,995	Rocket Software, Inc., New Term Loan, 5.750%, 2/08/2018(b)		29,002
	7,065,000	SafeNet, Inc., New 1st Lien Term Loan, 3/05/2021(c)		6,998,709
	4,291,000	Shield Finance Co. S.a.r.l., USD Term Loan, 5.000%, 1/31/2021(b)		4,328,546


Principal Amount		Description	Value (†)
	Senior Loans – continued

		Technology – continued
$	434,108	Sirius Computer Solutions, Inc., Term Loan B, 7.000%, 11/30/2018(b)	$	439,534
	6,080,886	SumTotal Systems LLC, 1st Lien Term Loan, 6.253%, 11/16/2018(d)		6,050,482
	1,500,000	SumTotal Systems LLC, 2nd Lien Term Loan, 10.250%, 5/16/2019(b)		1,488,750
	4,067,253	SurveyMonkey.com LLC, Term Loan B, 5.500%, 2/05/2019(b)		4,077,421
	5,263,395	Telx Group, Inc., Term Loan B, 5.250%, 9/26/2017(b)		5,276,553
	875,000	Vision Solutions, Inc., 2nd Lien Term Loan, 9.500%, 7/23/2017(b)		879,375
	10,850,000	Websense, Inc., 2nd Lien Term Loan, 8.250%, 12/24/2020(b)		10,877,125

				179,644,893


		Transportation Services – 1.9%
	2,154,000	Drew Marine Partners LP, 1st Lien Term Loan, 4.500%, 11/19/2020(b)		2,164,770
	9,574,613	FleetPride Corp., 1st Lien Term Loan, 5.250%, 11/19/2019(b)		9,435,781
	7,885,000	Omnitracs, Inc., 1st Lien Term Loan, 6.000%, 11/25/2020(b)		7,960,538
	579,500	Road Infrastructure Investment LLC, Term Loan B, 6.250%, 3/30/2018(b)		582,398
	325,222	Wabash National Corp., Term Loan B, 4.500%, 5/08/2019(b)		326,636
	3,344,000	YRC Worldwide, Inc., Term Loan, 2/12/2019(c)		3,356,540
	4,180,000	YRC Worldwide, Inc., Term Loan, 8.000%, 2/12/2019(b)		4,195,675

				28,022,338


		Utility Other – 0.2%
	2,365,064	Sensus USA, Inc., 1st Lien Term Loan, 4.750%, 5/09/2017(d)		2,380,839
	700,000	Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(b)		702,331

				3,083,170


		Wireless – 0.6%
	2,097,000	Asurion LLC, New 2nd Lien Term Loan, 3/03/2021(c)		2,162,531
	4,165,804	Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(b)		4,171,762
	3,785,513	Triple Point Technology, Inc., 1st Lien Term Loan, 5.250%, 7/10/2020(b)		3,495,277

				9,829,570


		Wirelines – 2.1%
	9,217,428	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		9,455,515
	1,793,000	Fibertech Networks LLC, Term Loan B, 12/18/2019(c)		1,793,000
	578,160	Fibertech Networks LLC, Term Loan B, 4.500%, 12/18/2019(b)		578,160


Principal Amount	Description	Value (†)
Senior Loans – continued

	Wirelines – continued
$683,692	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)	$	686,467
4,733,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/22/2020(b)		4,852,508
1,779,553	Integra Telecom, Inc., Term Loan B, 5.250%, 2/22/2019(b)		1,795,568
4,625,473	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		4,679,452
437,817	MegaPath Group, Inc., Term Loan B, 10.500%, 12/20/2017(b)		402,791
7,346,635	U.S. Telepacific Corp., New Term Loan B, 5.750%, 2/23/2017(b)		7,392,552

			31,636,013

	Total Senior Loans (Identified Cost $1,345,683,266)		1,351,837,994

Bonds and Notes – 9.6%

	Aerospace & Defense – 0.3%
4,000,000	Ducommun, Inc., 9.750%, 7/15/2018		4,490,000


	Building Materials – 0.5%
5,000,000	Building Materials Holding Corp., 9.000%, 9/15/2018, 144A		5,500,000
1,623,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		1,785,300

			7,285,300


	Chemicals – 1.7%
7,000,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		7,297,500
310,000	INEOS Group Holdings S.A., 5.875%, 2/15/2019, 144A		319,300
7,510,000	INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A		7,772,850
1,510,000	Nexeo Solutions LLC / Nexeo Solutions Finance Corp., 8.375%, 3/01/2018		1,528,875
8,325,000	Perstorp Holding AB, 11.000%, 8/15/2017, 144A		8,959,781

			25,878,306


	Consumer Cyclical Services – 0.2%
2,850,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		2,828,625


	Consumer Products – 0.2%
3,100,000	Visant Corp., 10.000%, 10/01/2017		2,999,250


	Financial Other – 0.3%
4,760,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		4,855,200


	Food & Beverage – 0.2%
3,235,000	Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A		3,574,675


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Healthcare – 0.5%
$	5,700,000	Emdeon, Inc., 11.000%, 12/31/2019	$	6,583,500


		Home Construction – 1.1%
	5,040,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		5,436,900
	8,795,000	K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A		9,058,850
	1,000,000	K. Hovnanian Enterprises, Inc., 8.625%, 1/15/2017		1,122,500

				15,618,250


		Independent Energy – 0.9%
	2,225,000	Rex Energy Corp., 8.875%, 12/01/2020		2,458,625
	8,380,000	Sanchez Energy Corp., 7.750%, 6/15/2021, 144A		8,757,100
	2,350,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		2,461,625

				13,677,350


		Industrial Other – 0.4%
	6,475,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		6,572,125


		Media Cable – 0.2%
	2,000,000	WideOpenWest Finance LLC/WideOpenWest Capital Corp., 10.250%, 7/15/2019		2,290,000


		Media Non-Cable – 0.2%
	2,000,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		2,130,000


		Metals & Mining – 1.5%
	2,000,000	APERAM, 7.750%, 4/01/2018, 144A		2,110,000
	10,025,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		9,423,500
	5,100,000	Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/2018, 144A		5,329,500
	3,000,000	Ryerson, Inc./Joseph T. Ryerson & Son, Inc., 9.000%, 10/15/2017		3,270,000
	2,335,000	Westmoreland Escrow Corp., 10.750%, 2/01/2018, 144A		2,548,069

				22,681,069


		Non-Captive Diversified – 0.5%
	7,500,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		7,987,500


		Packaging – 0.6%
	1,280,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II, 6.000%, 6/15/2017, 144A		1,331,200
	6,600,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		7,441,500

				8,772,700


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Property & Casualty Insurance – 0.0%
$	300,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(e)	$	315,209

		Wirelines – 0.3%
	4,000,000	Zayo Group LLC/Zayo Capital, Inc., 10.125%, 7/01/2020		4,640,000

		Total Bonds and Notes (Identified Cost $139,684,206)		143,179,059


	Short-Term Investments – 8.6%
	10,707,714	Repurchase Agreement with State Street Bank and Trust Company, dated 2/28/2014 at 0.000% to be repurchased at $10,707,714 on 3/03/2014 collateralized by $11,565,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $10,923,307 including accrued interest(f)		10,707,714
	118,648,524	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2014 at 0.000% to be repurchased at $118,648,524 on 3/03/2014 collateralized by $79,000,000 Federal National Mortgage Association, 0.000% due 6/01/2017 valued at $74,260,000; $46,075,000 U.S. Treasury Note, 0.500% due 7/31/2017 valued at $45,441,469; $1,285,000 U.S. Treasury Note, 1.875% due 8/31/2017 valued at $1,326,763 including accrued interest(f)		118,648,524

		Total Short-Term Investments (Identified Cost $129,356,238)		129,356,238

		Total Investments – 108.4% (Identified Cost $1,614,723,710)(a)		1,624,373,291
		Other assets less liabilities – (8.4)%		(125,957,765	)

		Net Assets – 100.0%	$	1,498,415,526

(†)

Senior loans are valued at bid prices supplied by an independent pricing service, if available. Debt securities (other than short-term obligations purchase with an original or remaining maturity of sixty days or less) are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may 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. Short-Term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

At February 28, 2014, the net unrealized appreciation on investments based on a cost of $1,615,526,590 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	$	13,341,254
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,494,553	)

Net unrealized appreciation	$	8,846,701

At November 30, 2013, the Fund had a short-term capital loss carryforward of $1,856,583 with no expiration date and a long-term capital loss carryforward of $174,087 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of February 28, 2014 is disclosed.

(c)	Position is unsettled. Contract rate was not determined at February 28, 2014 and does not take effect until settlement date.

(d)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2014.

(e)	Perpetual bond with no specified maturity date.

(f)

144A

REITs

Real Estate Investment Trusts

USD	United States Dollar

Fair Value Measurements

•

Level 1 - quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Senior Loans*	$	—	$	1,351,837,994	$	—	$	1,351,837,994
Bonds and Notes*		—		143,179,059		—		143,179,059
Short-Term Investments		—		129,356,238		—		129,356,238

Total	$	—	$	1,624,373,291	$	—	$	1,624,373,291

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

For the period ended February 28, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at February 28, 2014 (Unaudited)


Technology	12.0	%
Industrial Other	11.6
Healthcare	9.5
Consumer Cyclical Services	6.2
Media Non-Cable	5.8
Chemicals	5.6
Consumer Products	3.8
Metals & Mining	3.6
Food & Beverage	3.1
Retailers	3.0
Property & Casualty Insurance	3.0
Financial Other	2.9
Pharmaceuticals	2.8
Wirelines	2.4
Building Materials	2.0
Other Investments, less than 2% each	22.5
Short-Term Investments	8.6

Total Investments	108.4
Other assets less liabilities	(8.4	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of February 28, 2014 (Unaudited)

Vaughan Nelson Select Fund


Shares		Description	Value (†)
	Common Stocks – 93.1% of Net Assets

		Aerospace & Defense – 8.0%
	7,200	General Dynamics Corp.	$	788,688
	13,225	Honeywell International, Inc.		1,248,969
	2,275	Precision Castparts Corp.		586,677

				2,624,334


		Beverages – 1.9%
	6,025	Anheuser-Busch InBev, Sponsored ADR		630,275


		Chemicals – 2.9%
	7,150	Praxair, Inc.		932,146


		Commercial Banks – 3.2%
	21,125	CIT Group, Inc.		1,028,365


		Consumer Finance – 2.9%
	12,950	Capital One Financial Corp.		950,919


		Containers & Packaging – 3.6%
	21,225	Ball Corp.		1,179,261


		Diversified Financial Services – 4.4%
	10,450	CME Group, Inc., Class A		771,419
	8,350	Moody’s Corp.		659,650

				1,431,069


		Energy Equipment & Services – 4.0%
	13,975	Schlumberger Ltd.		1,299,675


		Food & Staples Retailing – 4.9%
	23,775	Walgreen Co.		1,615,511


		Health Care Providers & Services – 5.1%
	21,450	UnitedHealth Group, Inc.		1,657,441


		Insurance – 4.2%
	27,675	American International Group, Inc.		1,377,385


		Internet Software & Services – 10.5%
	32,925	eBay, Inc.(b)		1,935,002
	1,225	Google, Inc., Class A(b)		1,489,171

				3,424,173


		IT Services – 3.6%
	15,150	MasterCard, Inc., Class A		1,177,458


		Machinery – 5.0%
	11,175	Cummins, Inc.		1,630,656


		Oil, Gas & Consumable Fuels – 5.2%
	28,550	Oasis Petroleum, Inc.(b)		1,243,923
	6,150	Phillips 66		460,389

				1,704,312


Shares		Description	Value (†)
	Common Stocks – continued

		Pharmaceuticals – 3.8%
	8,575	Valeant Pharmaceuticals International, Inc.(b)	$	1,242,175


		Road & Rail – 4.3%
	50,650	Hertz Global Holdings, Inc.(b)		1,418,706


		Semiconductors & Semiconductor Equipment – 2.4%
	12,700	Avago Technologies Ltd.		783,590


		Software – 9.0%
	40,225	Microsoft Corp.		1,541,020
	65,050	Symantec Corp.		1,397,274

				2,938,294

		Textiles, Apparel & Luxury Goods – 3.6%
	10,150	Fossil Group, Inc.(b)		1,166,337

		Trading Companies & Distributors – 0.6%
	1,775	DXP Enterprises, Inc.(b)		180,624

		Total Common Stocks (Identified Cost $26,493,758)		30,392,706


Principal Amount
	Short-Term Investments – 6.7%
$	2,184,011	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2014 at 0.000% to be repurchased at $2,184,011 on 3/03/2014 collateralized by $2,220,000 Federal National Mortgage Association, 1.670% due 11/20/2018 valued at $2,228,325 including accrued interest(c) (Identified Cost $2,184,011)		2,184,011

		Total Investments – 99.8% (Identified Cost $28,677,769)(a)		32,576,717
		Other assets less liabilities – 0.2%		55,845

		Net Assets – 100.0%	$	32,632,562

(†)

Broker-dealer bid prices may 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).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At February 28, 2014, the net unrealized appreciation on investments based on a cost of $28,677,769 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	$	3,986,209
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(87,261	)

Net unrealized appreciation	$	3,898,948

(b)	Non-income producing security.

(c)

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.

Fair Value Measurements

•

Level 1 - quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	30,392,706	$	—	$	—	$	30,392,706
Short-Term Investments		—		2,184,011		—		2,184,011

Total	$	30,392,706	$	2,184,011	$	—	$	32,576,717

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

For the period ended February 28, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at February 28, 2014 (Unaudited)


Internet Software & Services	10.5	%
Software	9.0
Aerospace & Defense	8.0
Oil, Gas & Consumable Fuels	5.2
Health Care Providers & Services	5.1
Machinery	5.0
Food & Staples Retailing	4.9
Diversified Financial Services	4.4
Road & Rail	4.3
Insurance	4.2
Energy Equipment & Services	4.0
Pharmaceuticals	3.8
Containers & Packaging	3.6
IT Services	3.6
Textiles, Apparel & Luxury Goods	3.6
Commercial Banks	3.2
Consumer Finance	2.9
Chemicals	2.9
Semiconductors & Semiconductor Equipment	2.4
Other Investments, less than 2% each	2.5
Short-Term Investments	6.7

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS



(a)(1)		Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

(a)(2)		Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Natixis Funds Trust II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		President and Chief Executive Officer
Date:		April 22, 2014

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 22, 2014

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		April 22, 2014

EX-99.CERT 2 d678958dex99cert.htm CERTIFICATION Certification

Exhibit (a)(1)

Natixis Funds Trust II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

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;

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;

The registrant’s 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:

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;

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;

Evaluated the effectiveness of the registrant’s 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

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

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 registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: April 22, 2014

/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:

I have reviewed this report on Form N-Q of Natixis Funds Trust II;

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: April 22, 2014

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer