UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-00242
Natixis Funds Trust II
(Exact name of registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
NGAM Distribution, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: November 30
Date of reporting period: February 28, 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 | Kohls 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 | Lowes Cos., Inc. | 376,276 | ||||||
|
|
|||||||
668,416 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 1.1% | ||||||||
18,611 | Peoples 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 |
||||||||
|
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 |
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 Albertsons, 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 |
||||||||
|
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. |
() | 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: |
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. |
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. |
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 issuers 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 Funds NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds 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 Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At February 28, 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 Funds 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 Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds 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 Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 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 Funds 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 Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at February 28, 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 |
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 |
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 |
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 |
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 |
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.
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.
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).
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 issuers 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 Funds NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds 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 (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 Funds 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) | 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 Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds 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 $8,423,260 or 33.3% of net assets. |
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 Funds 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 entitys 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 Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies 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 Funds or counterpartys 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 Funds 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 Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At February 28, 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
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 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 Funds 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
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts and swap agreements.
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 Funds 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. |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
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 Funds 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 Funds 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 Funds 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 | BJs Wholesale Club, Inc., New 2nd Lien Term Loan, 8.500%, 3/26/2020(b) |
11,156,072 | ||||||
7,530,000 | Bobs Discount Furniture LLC, Term Loan, 5.250%, 2/06/2021(b) |
7,511,175 | ||||||
2,207,754 | Davids 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 | Sportsmans 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 |
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 |
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 |
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 |
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 |
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 | ||||||
|
|
() | 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: |
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).
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 issuers 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 Funds NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds 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 Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At February 28, 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) | 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 Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds 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 $82,804,284 or 5.5% of net assets. |
REITs | Real Estate Investment Trusts |
USD | United States Dollar |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 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 Funds 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 | Moodys 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 |
||||||||
|
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 | ||||||
|
|
() | 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 subadviser 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 or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
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.
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 issuers 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 Funds NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds 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 Funds 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) | 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 Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds 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. |
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
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 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 Funds 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 registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. EXHIBITS
(a)(1) | Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. | |
(a)(2) | Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | April 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 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 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:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 22, 2014
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |