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: August 31, 2014
ITEM 1 | SCHEDULE OF INVESTMENTS |
PORTFOLIO OF INVESTMENTS as of August 31, 2014 (Unaudited)
Loomis Sayles Dividend Income Fund*
Shares |
Description |
Value () | ||||
Common Stocks 82.7% of Net Assets |
||||||
Aerospace & Defense 1.0% |
||||||
1,486 |
Northrop Grumman Corp. | $ | 189,049 | |||
|
|
|||||
Automobiles 1.6% |
||||||
9,179 |
General Motors Co. | 319,429 | ||||
|
|
|||||
Banks 6.9% |
||||||
10,517 |
Fifth Third Bancorp | 214,599 | ||||
8,599 |
JPMorgan Chase & Co. | 511,211 | ||||
3,496 |
PNC Financial Services Group, Inc. (The) | 296,286 | ||||
6,206 |
Wells Fargo & Co. | 319,237 | ||||
|
|
|||||
1,341,333 | ||||||
|
|
|||||
Beverages 1.9% |
||||||
3,944 |
PepsiCo, Inc. | 364,781 | ||||
|
|
|||||
Capital Markets 1.3% |
||||||
8,357 |
Federated Investors, Inc., Class B | 256,476 | ||||
|
|
|||||
Chemicals 3.3% |
||||||
4,379 |
E.I. du Pont de Nemours & Co. | 289,496 | ||||
11,873 |
Tronox Ltd., Class A | 360,464 | ||||
|
|
|||||
649,960 | ||||||
|
|
|||||
Communications Equipment 2.6% |
||||||
11,478 |
Cisco Systems, Inc. | 286,835 | ||||
3,721 |
Motorola Solutions, Inc.(b) | 221,028 | ||||
|
|
|||||
507,863 | ||||||
|
|
|||||
Diversified Consumer Services 1.6% |
||||||
9,118 |
H&R Block, Inc. | 305,726 | ||||
|
|
|||||
Diversified Telecommunication Services 2.0% |
||||||
7,627 |
Verizon Communications, Inc. | 379,977 | ||||
|
|
|||||
Electric Utilities 2.8% |
||||||
7,759 |
Northeast Utilities | 356,061 | ||||
5,569 |
Portland General Electric Co. | 191,963 | ||||
|
|
|||||
548,024 | ||||||
|
|
|||||
Electrical Equipment 2.0% |
||||||
5,689 |
Eaton Corp. PLC | 397,149 | ||||
|
|
|||||
Energy Equipment & Services 2.9% |
||||||
3,186 |
National Oilwell Varco, Inc. | 275,366 | ||||
10,464 |
Transocean Partners LLC(c) | 298,329 | ||||
|
|
|||||
573,695 | ||||||
|
|
|||||
Hotels, Restaurants & Leisure 1.2% |
||||||
10,973 |
SeaWorld Entertainment, Inc. | 228,129 | ||||
|
|
|||||
Industrial Conglomerates 1.4% |
||||||
10,752 |
General Electric Co. | 279,337 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Insurance 3.7% |
||||||
11,886 |
FNF Group(c) | $ | 336,493 | |||
7,040 |
MetLife, Inc. | 385,369 | ||||
|
|
|||||
721,862 | ||||||
|
|
|||||
Media 5.0% |
||||||
9,902 |
CBS Outdoor Americas, Inc. | 340,332 | ||||
4,581 |
Omnicom Group, Inc. | 329,878 | ||||
2,049 |
Time Warner Cable, Inc. | 303,108 | ||||
|
|
|||||
973,318 | ||||||
|
|
|||||
Multiline Retail 1.1% |
||||||
3,696 |
Kohls Corp. | 217,288 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 8.6% |
||||||
2,973 |
Chevron Corp.(b) | 384,855 | ||||
2,799 |
HollyFrontier Corp. | 140,034 | ||||
8,143 |
PBF Energy, Inc., Class A | 231,343 | ||||
7,290 |
Regency Energy Partners LP(c) | 240,424 | ||||
4,035 |
Royal Dutch Shell PLC, ADR | 342,370 | ||||
7,385 |
Southcross Energy Partners LP(c) | 163,282 | ||||
5,168 |
Viper Energy Partners LP(c) | 164,962 | ||||
|
|
|||||
1,667,270 | ||||||
|
|
|||||
Pharmaceuticals 13.9% |
||||||
5,543 |
AbbVie, Inc. | 306,417 | ||||
6,575 |
Bristol-Myers Squibb Co. | 333,024 | ||||
7,269 |
Eli Lilly & Co.(b) | 462,018 | ||||
6,684 |
GlaxoSmithKline PLC, Sponsored ADR | 328,184 | ||||
6,557 |
Merck & Co., Inc.(d) | 394,141 | ||||
16,446 |
Pfizer, Inc. | 483,348 | ||||
7,119 |
Sanofi, ADR | 389,409 | ||||
|
|
|||||
2,696,541 | ||||||
|
|
|||||
REITs - Diversified 1.1% |
||||||
6,413 |
Weyerhaeuser Co.(d) | 217,721 | ||||
|
|
|||||
REITs - Hotels 1.7% |
||||||
6,767 |
Ryman Hospitality Properties, Inc. | 336,658 | ||||
|
|
|||||
REITs - Office Property 1.6% |
||||||
12,315 |
Columbia Property Trust, Inc. | 316,126 | ||||
|
|
|||||
REITs - Shopping Centers 1.6% |
||||||
15,763 |
Washington Prime Group, Inc. | 307,694 | ||||
|
|
|||||
Road & Rail 1.7% |
||||||
3,007 |
Norfolk Southern Corp. | 321,749 | ||||
|
|
|||||
Software 4.1% |
||||||
9,684 |
Microsoft Corp. | 439,944 | ||||
14,324 |
Symantec Corp. | 347,787 | ||||
|
|
|||||
787,731 | ||||||
|
|
|||||
Technology Hardware, Storage & Peripherals 1.7% |
||||||
3,240 |
Apple, Inc. | 332,100 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Tobacco 1.9% | ||||||
4,255 |
Philip Morris International, Inc. | $ | 364,143 | |||
|
|
|||||
Transportation Infrastructure 1.1% | ||||||
3,011 |
Macquarie Infrastructure Co. LLC | 217,183 | ||||
|
|
|||||
Wireless Telecommunication Services 1.4% | ||||||
7,890 |
Vodafone Group PLC, Sponsored ADR | 270,943 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $13,090,806) |
16,089,255 | |||||
|
|
|||||
Principal Amount () |
||||||
Bonds and Notes 15.2% |
||||||
Non-Convertible Bonds 14.3% |
||||||
Banking 3.8% | ||||||
$ 300,000 |
BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(e) |
350,250 | ||||
100,000 |
Morgan Stanley, 8.000%, 5/09/2017, (AUD) |
103,458 | ||||
280,000 |
Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018 |
293,849 | ||||
|
|
|||||
747,557 | ||||||
|
|
|||||
Chemicals 0.7% | ||||||
150,000 |
Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(f) |
144,000 | ||||
|
|
|||||
Consumer Cyclical Services 0.2% | ||||||
45,000 |
ServiceMaster Co. (The), 7.450%, 8/15/2027 |
47,250 | ||||
|
|
|||||
Finance Companies 1.4% | ||||||
300,000 |
Navient LLC, Series A, MTN, 5.625%, 8/01/2033 |
263,250 | ||||
|
|
|||||
Healthcare 1.5% | ||||||
125,000 |
HCA, Inc., 7.500%, 12/15/2023 |
137,500 | ||||
150,000 |
HCA, Inc., 7.500%, 11/06/2033 |
157,125 | ||||
|
|
|||||
294,625 | ||||||
|
|
|||||
Home Construction 0.4% | ||||||
50,000 |
Pulte Group, Inc., 6.000%, 2/15/2035 |
47,250 | ||||
30,000 |
Pulte Group, Inc., 6.375%, 5/15/2033 |
30,000 | ||||
|
|
|||||
77,250 | ||||||
|
|
|||||
Media Entertainment 0.1% | ||||||
22,000 |
R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 |
24,805 | ||||
|
|
|||||
Metals & Mining 0.9% | ||||||
50,000 |
Alcoa, Inc., 5.900%, 2/01/2027 |
54,777 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Metals & Mining continued |
| |||||
$ 45,000 |
Alcoa, Inc., 6.750%, 1/15/2028 |
$ | 51,726 | |||
75,000 |
Cliffs Natural Resources, Inc., 6.250%, 10/01/2040 |
65,107 | ||||
|
|
|||||
171,610 | ||||||
|
|
|||||
Retailers 0.8% |
||||||
90,000 |
J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
76,950 | ||||
90,000 |
Nine West Holdings, Inc., 6.125%, 11/15/2034 |
73,800 | ||||
|
|
|||||
150,750 | ||||||
|
|
|||||
Supermarkets 2.0% |
||||||
400,000 |
New Albertsons, Inc., 8.000%, 5/01/2031 |
388,000 | ||||
|
|
|||||
Transportation Services 0.4% |
||||||
75,000 |
APL Ltd., 8.000%, 1/15/2024(f) |
69,750 | ||||
|
|
|||||
Wirelines 2.1% |
||||||
400,000 |
Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
400,000 | ||||
|
|
|||||
Total Non-Convertible Bonds (Identified Cost $2,442,689) |
2,778,847 | |||||
|
|
|||||
Convertible Bonds 0.9% |
||||||
Energy 0.9% |
||||||
185,000 |
Chesapeake Energy Corp., 2.750%, 11/15/2035 (Identified Cost $170,464) |
190,550 | ||||
|
|
|||||
Total Bonds and Notes (Identified Cost $2,613,153) |
2,969,397 | |||||
|
|
|||||
Shares |
||||||
Preferred Stocks 1.0% |
||||||
REITs - Diversified 1.0% |
||||||
3,251 |
Weyerhaeuser Co., Series A, 6.375% (Identified Cost $164,114) |
187,778 | ||||
|
|
|||||
Principal |
||||||
Short-Term Investments 0.8% |
||||||
$ 158,358 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/29/2014 at 0.000% to be repurchased at $158,358 on 9/02/2014 collateralized by $170,000 U.S. Treasury Note, 1.1250% due 4/30/2020 valued at $164,334 including accrued interest(g) (Identified Cost $158,358) |
158,358 | ||||
|
|
Description |
Value () | |||||
Total Investments 99.7% (Identified Cost $16,026,431)(a) |
$ | 19,404,788 | ||||
Other assets less liabilities 0.3% | 49,677 | |||||
|
|
|||||
Net Assets 100.0% | $ | 19,454,465 | ||||
|
|
|||||
Shares |
||||||
Written Options (0.0%) |
||||||
Options on Securities (0.0%) |
||||||
3,000 |
Coach, Inc., Put expiring September 20, 2014 at 34.00 | $ | (300 | ) | ||
3,000 |
SeaWorld Entertainment, Inc., Put expiring September 20, 2014 at 17.50 | (75 | ) | |||
|
|
|||||
Total Written Options (Premiums Received $3,245) |
$ | (375 | ) | |||
|
|
(*) | Formerly Loomis Sayles Capital Income Fund. |
() | 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.
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.
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 net asset value (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 that will be 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 August 31, 2014, the net unrealized appreciation on investments based on a cost of $16,026,434 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 |
$ | 3,529,032 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(150,678 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 3,378,354 | ||
|
|
(b) | A portion of this security has been pledged as collateral for outstanding options. |
(c) | Non-income producing security. |
(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 August 31, 2014, the value of these securities amounted to $213,750 or 1.1% 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 August 31, 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 August 31, 2014, the value of Rule 144A holdings amounted to $350,250 or 1.8% 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 August 31, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 16,089,255 | $ | | $ | | $ | 16,089,255 | ||||||||
Bonds and Notes* |
| 2,969,397 | | 2,969,397 | ||||||||||||
Preferred Stocks* |
187,778 | | | 187,778 | ||||||||||||
Short-Term Investments |
| 158,358 | | 158,358 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 16,277,033 | $ | 3,127,755 | $ | | $ | 19,404,788 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options |
$ | (375 | ) | $ | | $ | | $ | (375 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include option contracts.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use purchased call options, written call options and written put options for investment purposes. During the period ended August 31, 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 August 31, 2014:
Liabilities |
Options Written at value | |||
Exchange traded/cleared liability derivatives Equity contracts |
$ | (375 | ) |
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 August 31, 2014 (Unaudited)
Pharmaceuticals |
13.9 | % | ||
Oil, Gas & Consumable Fuels |
8.6 | |||
Banks |
6.9 | |||
Media |
5.0 | |||
Software |
4.1 | |||
Chemicals |
4.0 | |||
Banking |
3.8 | |||
Insurance |
3.7 | |||
Energy Equipment & Services |
2.9 | |||
Electric Utilities |
2.8 | |||
Communications Equipment |
2.6 | |||
REITs - Diversified |
2.1 | |||
Wirelines |
2.1 | |||
Electrical Equipment |
2.0 | |||
Supermarkets |
2.0 | |||
Diversified Telecommunication Services |
2.0 | |||
Other Investments, less than 2% each |
30.4 | |||
Short-Term Investments |
0.8 | |||
|
|
|||
Total Investments |
99.7 | |||
Other assets less liabilities (including open written options) |
0.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2014 (Unaudited)
Loomis Sayles Emerging Markets Opportunities Fund
Principal |
Description |
Value () | ||||
Bonds and Notes 82.7% of Net Assets |
||||||
Non-Convertible Bonds 81.4% |
||||||
Argentina 1.0% |
| |||||
$ 150,000 |
Argentina Bonar Bonds, Series X, 7.000%, 4/17/2017 |
$ | 125,571 | |||
200,000 |
YPF S.A., 8.750%, 4/04/2024, 144A |
208,000 | ||||
|
|
|||||
333,571 | ||||||
|
|
|||||
Barbados 0.6% |
| |||||
200,000 |
Columbus International, Inc., 7.375%, 3/30/2021, 144A |
217,750 | ||||
|
|
|||||
Brazil 9.7% |
| |||||
135,000 |
Banco do Brasil S.A., 6.000%, 1/22/2020, 144A |
148,838 | ||||
250,000 |
Banco Nacional de Desenvolvimento Economico e Social, 5.750%, 9/26/2023, 144A(b) |
271,875 | ||||
235,000 |
Banco Santander Brasil S.A., 4.625%, 2/13/2017(b) |
248,278 | ||||
250,000 |
Braskem Finance Ltd., 6.450%, 2/03/2024(b) |
269,125 | ||||
250,000 |
BRF S.A., 5.875%, 6/06/2022(b) |
276,562 | ||||
340,000 |
CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A |
334,900 | ||||
445,000 |
Itau Unibanco Holding S.A., 6.200%, 12/21/2021(b) |
479,087 | ||||
429,069 |
Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2022, 144A(b) |
461,249 | ||||
250,000 |
Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A |
266,276 | ||||
465,000 |
Telemar Norte Leste S.A., 5.500%, 10/23/2020(b) |
455,700 | ||||
200,000 |
Tupy Overseas S.A., 6.625%, 7/17/2024, 144A |
207,100 | ||||
|
|
|||||
3,418,990 | ||||||
|
|
|||||
Chile 3.3% |
| |||||
270,000 |
CFR International S.p.A., 5.125%, 12/06/2022(b) |
291,460 | ||||
260,000 |
Corpbanca, S.A., 3.125%, 1/15/2018 |
262,033 | ||||
320,000 |
GeoPark Latin America Ltd. Agencia en Chile, 7.500%, 2/11/2020 |
347,200 | ||||
240,000 |
VTR Finance BV, 6.875%, 1/15/2024 |
257,400 | ||||
|
|
|||||
1,158,093 | ||||||
|
|
|||||
China 6.6% |
| |||||
215,000 |
Baidu, Inc., 3.500%, 11/28/2022 |
212,341 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
China continued |
| |||||
$ 270,000 |
Bestgain Real Estate Ltd., 2.625%, 3/13/2018(b) |
$ | 261,082 | |||
250,000 |
China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(b) |
262,758 | ||||
230,000 |
China Shanshui Cement Group Ltd., 10.500%, 4/27/2017(b) |
247,250 | ||||
280,000 |
CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023(b) |
266,147 | ||||
255,000 |
Country Garden Holdings Co. Ltd., 7.250%, 4/04/2021, 144A(b) |
252,450 | ||||
225,000 |
ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A(b) |
252,792 | ||||
200,000 |
Kaisa Group Holdings Ltd., 8.875%, 3/19/2018, 144A |
207,750 | ||||
350,000 |
Tencent Holdings Ltd., 3.375%, 5/02/2019, 144A(b) |
357,421 | ||||
|
|
|||||
2,319,991 | ||||||
|
|
|||||
Colombia 3.0% |
| |||||
250,000 |
Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022(b) |
256,250 | ||||
230,000 |
Ecopetrol S.A., 5.875%, 9/18/2023(b) |
263,350 | ||||
235,000 |
Empresa de Energia de Bogota S.A. E.S.P., 6.125%, 11/10/2021(b) |
254,928 | ||||
260,000 |
Oleoducto Central S.A., 4.000%, 5/07/2021, 144A(b) |
263,120 | ||||
|
|
|||||
1,037,648 | ||||||
|
|
|||||
Croatia 0.6% |
| |||||
200,000 |
Agrokor d.d., 8.875%, 2/01/2020 |
222,020 | ||||
|
|
|||||
Hong Kong 1.9% |
| |||||
175,000 |
Noble Group Ltd., 6.750%, 1/29/2020 |
196,875 | ||||
265,000 |
PCCW-HKT Capital No. 5 Ltd., 3.750%, 3/08/2023 |
260,498 | ||||
200,000 |
Swire Pacific MTN Financing Ltd., EMTN, 4.500%, 10/09/2023 |
214,738 | ||||
|
|
|||||
672,111 | ||||||
|
|
|||||
Hungary 1.1% |
| |||||
350,000 |
Hungary Government International Bond, 5.375%, 3/25/2024(b) |
377,125 | ||||
|
|
|||||
India 3.8% |
| |||||
260,000 |
Bharti Airtel International Netherlands BV, 5.350%, 5/20/2024, 144A(b) |
279,167 | ||||
250,000 |
Greenko Dutch BV, 8.000%, 8/01/2019, 144A |
248,438 | ||||
115,000 |
ICICI Bank Ltd., 5.750%, 11/16/2020 |
127,322 | ||||
440,000 |
NTPC Ltd., EMTN, 5.625%, 7/14/2021 |
480,515 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
India continued |
| |||||
$ 200,000 |
Rolta Americas LLC, 8.875%, 7/24/2019, 144A |
$ | 207,500 | |||
|
|
|||||
1,342,942 | ||||||
|
|
|||||
Indonesia 4.7% |
| |||||
4,000,000,000 |
Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR) |
347,938 | ||||
200,000 |
Listrindo Capital BV, 6.950%, 2/21/2019, 144A |
214,500 | ||||
435,000 |
Pertamina Persero PT, EMTN, 4.300%, 5/20/2023(b) |
426,517 | ||||
385,000 |
Perusahaan Gas Negara Persero Tbk PT, 5.125%, 5/16/2024, 144A(b) |
397,513 | ||||
255,000 |
TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A(b) |
257,550 | ||||
|
|
|||||
1,644,018 | ||||||
|
|
|||||
Israel 0.7% |
| |||||
230,000 |
Israel Electric Corp. Ltd., 5.625%, 6/21/2018, 144A(b) |
245,447 | ||||
|
|
|||||
Jamaica 0.7% |
| |||||
250,000 |
Digicel Ltd., 6.000%, 4/15/2021, 144A(b) |
257,500 | ||||
|
|
|||||
Kenya 1.1% |
| |||||
345,000 |
Kenya Government International Bond, 6.875%, 6/24/2024, 144A |
372,600 | ||||
|
|
|||||
Korea 2.9% |
| |||||
240,000 |
GS Caltex Corp., 3.250%, 10/01/2018, 144A(b) |
247,275 | ||||
230,000 |
Korea Gas Corp., 4.250%, 11/02/2020(b) |
248,566 | ||||
200,000 |
Lotte Shopping Co. Ltd., 3.375%, 5/09/2017 |
207,398 | ||||
275,000 |
Woori Bank Co. Ltd., 5.875%, 4/13/2021(b) |
315,937 | ||||
|
|
|||||
1,019,176 | ||||||
|
|
|||||
Lithuania 0.7% |
| |||||
210,000 |
Lithuania Government International Bond, 6.625%, 2/01/2022(b) |
255,412 | ||||
|
|
|||||
Luxembourg 0.7% |
| |||||
240,000 |
Altice S.A., 7.750%, 5/15/2022, 144A(b) |
255,000 | ||||
|
|
|||||
Malaysia 1.0% |
| |||||
200,000 |
Malayan Banking Bhd, EMTN, (fixed rate to 9/20/2017, variable rate thereafter), 3.250%, 9/20/2022 |
202,425 | ||||
100,000 |
Petronas Capital Ltd., 7.875%, 5/22/2022, 144A | 131,536 | ||||
|
|
|||||
333,961 | ||||||
|
|
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Mexico 8.5% |
| |||||
$ 250,000 |
Alfa SAB de CV, 5.250%, 3/25/2024, 144A(b) |
$ | 270,000 | |||
195,000 |
Axtel SAB de CV, (Step to 9.000% on 1/31/2015), 8.000%, 1/31/2020, 144A(c) |
200,850 | ||||
225,000 |
BBVA Bancomer S.A., 6.750%, 9/30/2022(b) |
255,600 | ||||
245,000 |
Cemex Finance LLC, 6.000%, 4/01/2024, 144A(b) |
254,800 | ||||
200,000 |
Empresas ICA SAB de CV, 8.875%, 5/29/2024, 144A |
207,500 | ||||
260,000 |
Fermaca Enterprises S de RL de CV, 6.375%, 3/30/2038, 144A(b) |
279,500 | ||||
255,000 |
Fresnillo PLC, 5.500%, 11/13/2023, 144A(b) |
272,212 | ||||
245,000 |
Grupo Idesa S.A. de CV, 7.875%, 12/18/2020, 144A(b) |
264,600 | ||||
250,000 |
Grupo KUO SAB de CV, 6.250%, 12/04/2022(b) |
262,625 | ||||
235,000 |
Office Depot de Mexico S.A. de CV, 6.875%, 9/20/2020, 144A(b) |
250,275 | ||||
250,000 |
Tenedora Nemak S.A. de CV, 5.500%, 2/28/2023, 144A(b) |
257,500 | ||||
200,000 |
Unifin Financiera S.A.P.I. de CV SOFOM ENR, 6.250%, 7/22/2019, 144A |
200,200 | ||||
|
|
|||||
2,975,662 | ||||||
|
|
|||||
Morocco 0.7% |
| |||||
225,000 |
OCP S.A., 5.625%, 4/25/2024, 144A |
237,938 | ||||
|
|
|||||
Nigeria 0.6% |
| |||||
210,000 |
FBN Finance Co. BV, (fixed rate to 7/23/2019, variable rate thereafter), 8.000%, 7/23/2021, 144A |
210,000 | ||||
|
|
|||||
Panama 0.6% |
| |||||
140,000 |
Panama Government International Bond, 8.875%, 9/30/2027 |
206,850 | ||||
|
|
|||||
Paraguay 0.7% |
| |||||
240,000 |
Telefonica Celular del Paraguay, S.A., 6.750%, 12/13/2022 |
258,000 | ||||
|
|
|||||
Peru 1.2% |
| |||||
200,000 |
Corporacion Financiera de Desarrollo S.A., 4.750%, 2/08/2022 |
210,500 | ||||
185,000 |
Minsur S.A., 6.250%, 2/07/2024, 144A |
204,610 | ||||
|
|
|||||
415,110 | ||||||
|
|
|||||
Philippines 1.4% |
| |||||
240,000 |
Philippine Government International Bond, 4.200%, 1/21/2024(b) |
257,400 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Philippines continued |
| |||||
$ 205,000 |
Power Sector Assets and Liabilities Management Corp., 7.250%, 5/27/2019(b) |
$ | 244,975 | |||
|
|
|||||
502,375 | ||||||
|
|
|||||
Poland 1.0% |
| |||||
200,000 |
PKO Finance AB, 4.630%, 9/26/2022 |
208,500 | ||||
100,000 |
Play Finance 1 S.A., 6.500%, 8/01/2019, 144A, (EUR) |
139,279 | ||||
|
|
|||||
347,779 | ||||||
|
|
|||||
Qatar 0.9% |
| |||||
285,000 |
Ooredoo International Finance Ltd., 4.750%, 2/16/2021, 144A(b) |
312,075 | ||||
|
|
|||||
Russia 4.6% |
| |||||
420,000 |
Gazprom OAO Via Gaz Capital S.A., 4.950%, 2/06/2028(b) |
361,284 | ||||
400,000 |
Mobile Telesystems OJSC Via MTS International Funding Ltd., 5.000%, 5/30/2023, 144A(b) |
360,000 | ||||
300,000 |
Russian Foreign Bond-Eurobond, 5.000%, 4/29/2020, 144A(b) |
307,950 | ||||
280,850 |
Russian Foreign Bond-Eurobond, 7.500%, 3/31/2030 |
312,446 | ||||
260,000 |
VimpelCom Holdings BV, 6.255%, 3/01/2017(b) |
256,929 | ||||
|
|
|||||
1,598,609 | ||||||
|
|
|||||
South Africa 2.6% |
| |||||
185,000 |
Edcon Pty Ltd., 9.500%, 3/01/2018, (EUR) |
227,280 | ||||
200,000 |
Eskom Holdings SOC Ltd., 6.750%, 8/06/2023, 144A |
214,146 | ||||
175,000 |
Standard Bank PLC, GMTN, 8.125%, 12/02/2019 |
200,156 | ||||
275,000 |
Transnet SOC Ltd., 4.000%, 7/26/2022 |
261,993 | ||||
|
|
|||||
903,575 | ||||||
|
|
|||||
Sri Lanka 0.6% |
| |||||
200,000 |
Sri Lanka Government International Bond, 5.125%, 4/11/2019, 144A |
205,500 | ||||
|
|
|||||
Thailand 0.6% |
| |||||
205,000 |
PTT Global Chemical PCL, 4.250%, 9/19/2022 |
210,696 | ||||
|
|
|||||
Turkey 4.6% |
| |||||
195,000 |
Akbank TAS, 3.875%, 10/24/2017 |
197,808 | ||||
230,000 |
Arcelik AS, 5.000%, 4/03/2023, 144A |
220,225 | ||||
240,000 |
Coca-Cola Icecek AS, 4.750%, 10/01/2018, 144A(b) |
254,568 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Turkey continued |
| |||||
$ 275,000 |
TC Ziraat Bankasi, 4.250%, 7/03/2019, 144A |
$ | 273,955 | |||
265,000 |
Turk Telekomunikasyon AS, 3.750%, 6/19/2019, 144A |
264,496 | ||||
370,000 |
Turkey Government International Bond, 5.750%, 3/22/2024(b) |
410,885 | ||||
|
|
|||||
1,621,937 | ||||||
|
|
|||||
Ukraine 0.5% |
| |||||
200,000 |
Ukraine Government International Bond, 9.250%, 7/24/2017 |
184,500 | ||||
|
|
|||||
United Arab Emirates 3.7% |
| |||||
325,000 |
Abu Dhabi National Energy Co., 3.625%, 1/12/2023(b) |
329,875 | ||||
275,000 |
Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A(b) |
314,875 | ||||
290,000 |
DP World Ltd., EMTN, 6.850%, 7/02/2037(b) |
331,325 | ||||
260,000 |
Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A(b) |
320,450 | ||||
|
|
|||||
1,296,525 | ||||||
|
|
|||||
United States 1.4% |
| |||||
225,000 |
Central American Bottling Corp., 6.750%, 2/09/2022(b) |
241,312 | ||||
260,000 |
Kosmos Energy Ltd., 7.875%, 8/01/2021, 144A |
265,200 | ||||
|
|
|||||
506,512 | ||||||
|
|
|||||
Venezuela 2.4% |
| |||||
395,000 |
Petroleos de Venezuela S.A., 5.500%, 4/12/2037 |
208,362 | ||||
220,000 |
Petroleos de Venezuela S.A., 6.000%, 11/15/2026 |
126,720 | ||||
300,000 |
Petroleos de Venezuela S.A., Series 2015, 5.000%, 10/28/2015(b) |
279,000 | ||||
240,000 |
Venezuela Government International Bond, 12.750%, 8/23/2022 |
229,200 | ||||
|
|
|||||
843,282 | ||||||
|
|
|||||
Zambia 0.7% |
| |||||
200,000 |
Zambia Government International Bond, 8.500%, 4/14/2024, 144A |
232,000 | ||||
|
|
|||||
Total Non-Convertible Bonds (Identified Cost $27,563,097) |
28,552,280 | |||||
|
|
|||||
Convertible Bonds 1.3% |
||||||
Argentina 1.3% |
| |||||
395,000 |
MercadoLibre, Inc., 2.250%, 7/01/2019, 144A (Identified Cost $395,000) |
444,375 | ||||
|
|
Shares |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Total Bonds and Notes (Identified Cost $27,958,097) |
$ | 28,996,655 | ||||
|
|
|||||
Exchange Traded Funds 5.7% |
||||||
7,500 |
iShares China Large-Cap ETF | 303,525 | ||||
7,000 |
iShares MSCI Brazil Capped ETF | 375,900 | ||||
3,893 |
iShares MSCI Frontier 100 ETF | 148,479 | ||||
11,500 |
iShares MSCI Indonesia ETF | 330,625 | ||||
10,323 |
iShares MSCI South Korea Capped ETF | 685,447 | ||||
10,764 |
iShares MSCI Taiwan ETF | 177,714 | ||||
|
|
|||||
Total Exchange Traded Funds (Identified Cost $1,956,373) |
2,021,690 | |||||
|
|
|||||
Purchased Options 0.1% |
||||||
Options on Securities 0.1% |
| |||||
25,000 |
iShares MSCI Brazil Capped ETF, Put expiring October 18, 2014 at 50(d) (Identified Cost $25,212) |
21,500 | ||||
|
|
|||||
Principal |
Description |
Value () | ||||
Short-Term Investments 9.0% |
||||||
$ 3,153,061 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/29/2014 at 0.000% to be repurchased at $3,153,061 on 9/02/2014 collateralized by $3,330,000 U.S. Treasury Note, 1.125% due 4/30/2020 valued at $3,219,004 including accrued interest(e) (Identified Cost $3,153,061) |
3,153,061 | ||||
|
|
|||||
Total Investments 97.5% (Identified Cost $33,092,743)(a) |
34,192,906 | |||||
Other assets less liabilities 2.5% | 874,264 | |||||
|
|
|||||
Net Assets 100.0% | $ | 35,067,170 | ||||
|
|
() | 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. 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.
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.
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 (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations.
Over-the-counter (OTC) options on exchange-traded funds (ETFs) are valued at the mid price (between the bid price and the ask price) supplied by an independent pricing service, if available. Options on ETFs not priced through an independent pricing service are valued based on quotations obtained from broker-dealers.
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 net asset value (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 that will be 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 August 31, 2014, the net unrealized appreciation on investments based on a cost of $33,138,567 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 1,192,278 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(137,939 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,054,339 | ||
|
|
(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 option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. |
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option. |
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. |
(e) | 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 August 31, 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 August 31, 2014, the value of Rule 144A holdings amounted to $14,065,384 or 40.1% of net assets. | |
EMTN | Euro Medium Term Note | |
ETF | Exchange Traded Fund | |
GMTN | Global Medium Term Note | |
OJSC | Open Joint-Stock Company | |
EUR | Euro | |
IDR | Indonesian Rupiah |
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 August 31, 2014, the Fund had the following open bilateral credit default swap agreements:
Counterparty |
Reference |
(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) |
|||||||||||||||||||||||||
Sell Protection |
| |||||||||||||||||||||||||||||||||
Barclays Bank PLC |
CDX.EM* Series 21, 5-Year | 5.00 | % | 6/20/2019 | 2.76 | % | $ | 250,000 | $ | 29,018 | $ | 23,674 | $ | (5,344 | ) | $ | 2,535 | |||||||||||||||||
Barclays Bank PLC |
CDX.EM* Series 21, 5-Year | 5.00 | % | 6/20/2019 | 2.76 | % | 250,000 | 29,435 | 23,674 | (5,761 | ) | 2,535 | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
CDX.EM* Series 21, 5-Year | 5.00 | % | 6/20/2019 | 2.76 | % | 2,000,000 | 204,778 | 189,392 | (15,386 | ) | 20,667 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total |
|
$ | 236,740 | $ | (26,491 | ) | $ | 25,737 | ||||||||||||||||||||||||||
|
|
|
|
|
|
() | 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. |
* | CDX.EM is an index composed of emerging market credit default swaps. |
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 August 31, 2014, the Fund had the following open forward foreign currency contracts:
Contract to |
Delivery |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||
Sell1 |
9/17/2014 | Euro | 290,000 | $ | 381,075 | $ | 11,417 | |||||||||
Buy2 |
10/07/2014 | Indonesian Rupiah | 2,000,000,000 | 169,956 | 4,803 | |||||||||||
Buy1 |
11/28/2014 | Yuan Renminbi | 3,100,000 | 500,616 | (442 | ) | ||||||||||
|
|
|||||||||||||||
Total |
|
$ | 15,778 | |||||||||||||
|
|
1 | Counterparty is Barclays Bank PLC. |
2 | Counterparty is Citibank, N.A. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular 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 August 31, 2014, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
E-mini MSCI Emerging Markets Index |
9/19/2014 | 7 | $ | 380,030 | $ | 2,346 | ||||||||
5 Year U.S. Treasury Note |
12/31/2014 | 19 | 2,257,883 | 5,025 | ||||||||||
30 Year U.S. Treasury Bond |
12/19/2014 | 13 | 1,821,219 | 12,893 | ||||||||||
|
|
|||||||||||||
Total |
|
$ | 20,264 | |||||||||||
|
|
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 August 31, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 28,996,655 | $ | | $ | 28,996,655 | ||||||||
Exchange Traded Funds |
2,021,690 | | | 2,021,690 | ||||||||||||
Purchased Options* |
21,500 | | | 21,500 | ||||||||||||
Short-Term Investments |
| 3,153,061 | | 3,153,061 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
2,043,190 | 32,149,716 | | 34,192,906 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 16,220 | | 16,220 | ||||||||||||
Futures Contracts (unrealized appreciation) |
20,264 | | | 20,264 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,063,454 | $ | 32,165,936 | $ | | $ | 34,229,390 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
$ | | $ | (26,491 | ) | $ | | $ | (26,491 | ) | ||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (442 | ) | | (442 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | (26,933 | ) | $ | | $ | (26,933 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 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 forward foreign currency contracts, futures contracts, option 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, option contracts and swap agreements. During the period ended August 31, 2014, the Fund used forward foreign currency contracts, futures contracts, option 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 companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds they hold without having to sell the bonds. During the period ended August 31, 2014, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.
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 August 31, 2014, the Fund engaged in futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of August 31, 2014:
Assets |
Investments at value1 |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts2 |
Swap Agreements at value |
Total | |||||||||||||||
Over-the-counter asset derivatives |
||||||||||||||||||||
Foreign exchange contracts |
$ | | $ | 16,220 | $ | | $ | | $ | 16,220 | ||||||||||
Credit contracts |
| | | 236,740 | 236,740 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter asset derivatives |
$ | | $ | 16,220 | $ | | $ | 236,740 | $ | 252,960 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/cleared asset derivatives |
||||||||||||||||||||
Equity contracts |
$ | 21,500 | $ | | $ | 2,346 | $ | | $ | 23,846 | ||||||||||
Interest rate contracts |
| | 17,918 | | 17,918 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/cleared asset derivatives |
$ | 21,500 | $ | | $ | 20,264 | $ | | $ | 41,764 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total asset derivatives |
$ | 21,500 | $ | 16,220 | $ | 20,264 | $ | 236,740 | $ | 294,724 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities |
Options written at value |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts2 |
Swap Agreements at value |
Total | |||||||||||||||
Over-the-counter liability derivatives |
||||||||||||||||||||
Foreign exchange contracts |
$ | | $ | (442 | ) | $ | | $ | | $ | (442 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liability derivatives |
$ | | $ | (442 | ) | $ | | $ | | $ | (442 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
1 | Represents purchased options at value. |
2 | 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 August 31, 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 may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of August 31, 2014:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||
$ | 452,960 | $ | 263,126 |
Industry Summary at August 31, 2014 (Unaudited)
Government Owned - No Guarantee |
20.4 | % | ||
Sovereigns |
10.0 | |||
Banking |
8.0 | |||
Exchange Traded Funds |
5.7 | |||
Wirelines |
5.3 | |||
Wireless |
4.2 | |||
Technology |
3.5 | |||
Midstream |
2.9 | |||
Food & Beverage |
2.8 | |||
Home Construction |
2.6 | |||
Building Materials |
2.3 | |||
Chemicals |
2.2 | |||
Retailers |
2.0 | |||
Metals & Mining |
2.0 | |||
Other Investments, less than 2% each |
14.6 | |||
Short-Term Investments |
9.0 | |||
|
|
|||
Total Investments |
97.5 | |||
Other assets less liabilities (including swap agreements, forward foreign currency contracts and futures contracts) |
2.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2014 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal |
Description |
Value () | ||||
Senior Loans 88.3% of Net Assets |
||||||
Aerospace & Defense 1.1% |
||||||
$ 2,595,000 |
Camp International Holding Co., 2013 2nd Lien Term Loan, 8.250%, 11/30/2019(b) |
$ | 2,614,463 | |||
4,896,646 |
LM U.S. Corp Acquisition, Inc., 1st Lien Term Loan, 4.750%, 10/25/2019(b) |
4,873,681 | ||||
194,354 |
LM U.S. Corp Acquisition, Inc., Term Loan Canadian, 4.750%, 10/25/2019(b) |
193,442 | ||||
597,064 |
PRV Aerospace LLC, Term Loan B, 6.500%, 5/09/2018(b) |
595,571 | ||||
10,409,216 |
Sequa Corp., New Term Loan B, 5.250%, 6/19/2017(b) |
10,181,566 | ||||
|
|
|||||
18,458,723 | ||||||
|
|
|||||
Automotive 3.3% |
||||||
11,611,158 |
American Tire Distributors Holdings, Inc., Term Loan B, 5.750%, 6/01/2018(b) |
11,611,158 | ||||
9,009,725 |
Dayco Products LLC, New Term Loan B, 5.250%, 12/12/2019(b) |
9,009,725 | ||||
7,216,000 |
Henniges Automotive Holdings, Inc., Term Loan B, 6.000%, 6/12/2021(b) |
7,270,120 | ||||
3,415,000 |
IBC Capital Ltd., 1st Lien Term Loan, 8/05/2021(c) |
3,404,345 | ||||
8,451,000 |
IBC Capital Ltd., 2nd Lien Term Loan, 8/05/2022(c) |
8,429,872 | ||||
6,485,000 |
Key Safety Systems, Inc., New 1st Lien Term Loan, 8/29/2021(c) |
6,497,192 | ||||
8,920,000 |
Navistar International Corp., Term Loan B, 5.750%, 8/17/2017(b) |
8,994,304 | ||||
|
|
|||||
55,216,716 | ||||||
|
|
|||||
Banking 0.9% |
||||||
1,232,598 |
Harland Clarke Holdings Corp., Extended Term Loan B2, 5.484%, 6/30/2017(b) |
1,233,621 | ||||
11,525,236 |
Harland Clarke Holdings Corp., Term Loan B3, 7.000%, 5/22/2018(b) |
11,647,749 | ||||
2,127,075 |
Harland Clarke Holdings Corp., Term Loan B4, 6.000%, 8/04/2019(b) |
2,148,346 | ||||
|
|
|||||
15,029,716 | ||||||
|
|
|||||
Building Materials 3.0% |
||||||
6,658,624 |
C.H.I. Overhead Doors, Inc., Term Loan B, 5.501%, 3/18/2019(d) |
6,658,624 | ||||
6,063,750 |
Contech Construction Products, Inc., New Term Loan, 6.250%, 4/29/2019(b) |
6,063,750 | ||||
5,994,700 |
CPG International, Inc., New Term Loan, 4.750%, 9/30/2020(b) |
5,994,700 | ||||
8,372,018 |
GYP Holdings III Corp., 1st Lien Term Loan, 4.750%, 4/01/2021(b) |
8,267,367 | ||||
8,438,000 |
Munters Corp., Term Loan, 6.250%, 5/05/2021(b) |
8,438,000 | ||||
6,104,100 |
Quikrete Holdings, Inc., 2nd Lien Term Loan, 7.000%, 3/26/2021(b) |
6,165,141 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Building Materials continued |
||||||
$ 6,971,371 |
Roofing Supply Group LLC, Term Loan, 5/31/2019(c) |
$ | 6,904,585 | |||
989,378 |
Roofing Supply Group LLC, Term Loan, 5.000%, 5/31/2019(b) |
979,900 | ||||
|
|
|||||
49,472,067 | ||||||
|
|
|||||
Cable Satellite 0.9% |
||||||
6,262,530 |
ION Media Networks, Inc., Term Loan, 5.000%, 12/18/2020(b) |
6,270,358 | ||||
9,552,583 |
TWCC Holding Corp., 2nd Lien Term Loan, 7.000%, 6/26/2020(b) |
9,425,247 | ||||
|
|
|||||
15,695,605 | ||||||
|
|
|||||
Chemicals 2.9% |
||||||
11,000,000 |
Arysta LifeScience SPC LLC, 2nd Lien Term Loan, 8.250%, 11/30/2020(b) |
11,089,430 | ||||
4,881,000 |
AZ Chem U.S., Inc., 2nd Lien Term Loan, 7.500%, 6/12/2022(b) |
4,917,608 | ||||
5,701,000 |
Gemini HDPE LLC, Term Loan B, 4.750%, 8/07/2021(b) |
5,701,000 | ||||
6,800,000 |
Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(b) |
6,868,000 | ||||
2,440,165 |
Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b) |
2,428,720 | ||||
3,381,662 |
Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b) |
3,365,802 | ||||
3,303,400 |
Nexeo Solutions LLC, Term Loan B3, 5.000%, 9/08/2017(b) |
3,295,142 | ||||
9,915,445 |
Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b) |
9,921,691 | ||||
|
|
|||||
47,587,393 | ||||||
|
|
|||||
Construction Machinery 1.2% |
||||||
9,358,000 |
Neff Rental LLC, 2nd Lien Term Loan, 7.250%, 6/09/2021(b) |
9,363,896 | ||||
770,000 |
Onsite U.S. Finco LLC, Term Loan, 7/30/2021(c) |
756,525 | ||||
9,998,000 |
Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(b) |
9,823,035 | ||||
|
|
|||||
19,943,456 | ||||||
|
|
|||||
Consumer Cyclical Services 7.2% |
||||||
6,765,311 |
Active Network, Inc. (The), 1st Lien Term Loan, 5.500%, 11/13/2020(b) |
6,756,854 | ||||
10,157,997 |
Affinion Group, Inc., Term Loan B, 6.750%, 4/30/2018(b) |
10,056,417 | ||||
10,325,000 |
AlixPartners LLP, New 2nd Lien Term Loan, 9.000%, 7/10/2021(b) |
10,411,007 | ||||
8,764,000 |
Go Daddy Operating Co. LLC, New Term Loan B, 4.750%, 5/13/2021(b) |
8,735,517 | ||||
6,656,000 |
Inmar Holdings, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b) |
6,547,840 | ||||
4,155,000 |
Inmar Holdings, Inc., 2nd Lien Term Loan, 8.000%, 1/27/2022(b) |
4,123,838 | ||||
2,526,668 |
Mergermarket USA, Inc., 1st Lien Term Loan, 4.500%, 1/29/2021(b) |
2,469,817 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Consumer Cyclical Services continued |
||||||
$ 7,522,000 |
Mergermarket USA, Inc., 2nd Lien Term Loan, 7.500%, 2/04/2022(b) |
$ | 7,352,755 | |||
8,875,000 |
Miller Heiman, Inc., Term Loan B, 6.758%, 9/30/2019(d) |
8,675,313 | ||||
3,241,266 |
SGS Cayman LP, Term Loan, 7.250%, 3/06/2019(b) |
3,241,266 | ||||
11,000,000 |
SourceHov LLC, New 2nd Lien Term Loan, 8.750%, 4/30/2019(b) |
11,000,000 | ||||
6,239,000 |
Sterling Infosystems, Inc., Term Loan B, 5.500%, 5/13/2021(b) |
6,239,000 | ||||
11,085,625 |
STG-Fairway Acquisitions, Inc., Term Loan B, 6.250%, 2/28/2019(b) |
11,002,482 | ||||
7,177,088 |
Sutherland Global Services Private Ltd., Term Loan, 7.250%, 3/06/2019(b) |
7,177,088 | ||||
5,181,000 |
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.250%, 5/06/2021(b) |
5,125,978 | ||||
10,072,000 |
William Morris Endeavor Entertainment LLC, 2nd Lien Term Loan, 8.250%, 5/01/2022(b) |
9,870,560 | ||||
|
|
|||||
118,785,732 | ||||||
|
|
|||||
Consumer Products 3.7% |
||||||
8,225,806 |
Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.250%, 7/23/2021(b) |
8,140,258 | ||||
6,753,000 |
Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 7.500%, 7/25/2022(b) |
6,754,418 | ||||
274,194 |
Advantage Sales & Marketing, Inc., Delayed Draw Term Loan, 7/23/2021(c) |
271,342 | ||||
3,187,870 |
FGI Operating Co. LLC, Term Loan, 5.500%, 4/19/2019(b) |
3,199,824 | ||||
9,470,045 |
NYDJ Apparel LLC, Term Loan, 7.000%, 1/06/2020(b) |
8,949,193 | ||||
5,596,339 |
Polyconcept Investments BV, USD 1st Lien Term Loan, 6.000%, 6/27/2019(b) |
5,561,362 | ||||
8,225,026 |
Polymer Group, Inc., 1st Lien Term Loan, 5.250%, 12/19/2019(b) |
8,266,151 | ||||
213,084 |
Polymer Group, Inc., Delayed Draw Term Loan, 12/19/2019(c)(e) |
212,552 | ||||
5,471,000 |
Steinway Musical Instruments, Inc., 1st Lien Term Loan, 4.750%, 9/19/2019(b) |
5,460,769 | ||||
8,633,000 |
Visant Corp., New Term Loan, 7/25/2021(c) |
8,595,274 | ||||
6,088,818 |
Visant Corp., Term Loan B, 5.250%, 12/22/2016(b) |
6,056,486 | ||||
|
|
|||||
61,467,629 | ||||||
|
|
|||||
Diversified Manufacturing 1.1% |
||||||
11,866,000 |
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(b) |
12,058,822 | ||||
390,903 |
Douglas Dynamics Holdings, Inc., New Term Loan, 5.750%, 4/18/2018(b) |
389,926 | ||||
5,120,000 |
Electrical Components International, Inc., 2014 Term Loan B, 5.750%, 5/28/2021(b) |
5,171,200 | ||||
|
|
|||||
17,619,948 | ||||||
|
|
|||||
Electric 0.4% |
||||||
2,932,870 |
Mirion Technologies, Inc., Term Loan, 5.750%, 3/30/2018(b) |
2,932,870 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Electric continued |
||||||
$ 3,413,000 |
TerraForm Power Operating LLC, Term Loan, 4.750%, 7/23/2019(b) |
$ | 3,413,000 | |||
|
|
|||||
6,345,870 | ||||||
|
|
|||||
Environmental 1.7% |
||||||
11,989,000 |
Allflex Holdings III, Inc., New 2nd Lien Term Loan, 8.000%, 7/19/2021(b) |
11,991,997 | ||||
8,418,000 |
EnergySolutions LLC, New Term Loan, 6.750%, 5/29/2020(b) |
8,518,006 | ||||
3,456,630 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.750%, 1/15/2021(b) |
3,443,667 | ||||
3,369,000 |
WTG Holdings III Corp., 2nd Lien Term Loan, 8.500%, 1/15/2022(b) |
3,363,374 | ||||
|
|
|||||
27,317,044 | ||||||
|
|
|||||
Financial Other 1.2% |
||||||
250,000 |
Eze Castle Software, Inc., New 2nd Lien Term Loan, 4/04/2021(c) |
247,918 | ||||
3,487,882 |
Eze Castle Software, Inc., New 2nd Lien Term Loan, 7.250%, 4/04/2021(b) |
3,458,828 | ||||
6,738,000 |
Institutional Shareholder Services, Inc., Term Loan, 4.750%, 4/30/2021(b) |
6,704,310 | ||||
1,246,718 |
Interactive Data Corp., 2014 Term Loan, 4.750%, 5/02/2021(b) |
1,249,835 | ||||
7,765,000 |
Nuveen Investments, Inc., New 2nd Lien Term Loan, 6.500%, 2/28/2019(b) |
7,771,445 | ||||
|
|
|||||
19,432,336 | ||||||
|
|
|||||
Food & Beverage 2.4% |
||||||
550,000 |
CPM Acquisition Corp., 2nd Lien Term Loan, 10.250%, 3/01/2018(b) |
556,539 | ||||
7,412,000 |
Del Monte Foods, Inc., 2nd Lien Term Loan, 8.250%, 8/18/2021(b) |
7,096,990 | ||||
5,572,373 |
DS Waters of America, Inc., New Term Loan, 5.250%, 8/30/2020(b) |
5,586,304 | ||||
8,359,530 |
Lineage Logistics Holdings LLC, 2014 Term Loan, 4.500%, 4/07/2021(b) |
8,226,279 | ||||
1,427,004 |
Milk Specialties Co., New Term Loan B, 7.500%, 11/07/2018(b) |
1,418,086 | ||||
12,756,750 |
New HB Acquisition LLC, Term Loan, 6.750%, 4/09/2020(b) |
13,075,669 | ||||
4,632,887 |
Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(d) |
4,424,407 | ||||
|
|
|||||
40,384,274 | ||||||
|
|
|||||
Gaming 0.8% |
||||||
6,488,000 |
Amaya Holdings BV, 1st Lien Term Loan, 5.000%, 8/01/2021(b) |
6,424,742 | ||||
5,111,467 |
Amaya Holdings BV, 2nd Lien Term Loan, 8/01/2022(c) |
5,172,191 | ||||
1,707,000 |
Amaya Holdings BV, 2nd Lien Term Loan, 8.000%, 8/01/2022(b) |
1,727,279 | ||||
|
|
|||||
13,324,212 | ||||||
|
|
|||||
Healthcare 10.4% |
||||||
4,378,000 |
24 Hour Fitness Worldwide, Inc., New Term Loan B, 4.750%, 5/28/2021(b) |
4,388,945 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Healthcare continued |
||||||
$ 2,457,359 |
BioScrip, Inc., Delayed Draw Term Loan, 6.500%, 7/31/2020(b) |
$ | 2,460,431 | |||
4,095,598 |
BioScrip, Inc., Term Loan B, 6.500%, 7/31/2020(b) |
4,100,718 | ||||
6,258,315 |
CareCore National LLC, Term Loan B, 5.500%, 3/05/2021(b) |
6,270,081 | ||||
7,771,000 |
CDRH Parent, Inc., New 1st Lien Term Loan, 5.250%, 7/01/2021(b) |
7,790,427 | ||||
5,570,652 |
CHG Buyer Corp., 2nd Lien Term Loan, 9.000%, 11/19/2020(b) |
5,644,909 | ||||
5,794,000 |
Connolly Corp., 1st Lien Term Loan, 5.000%, 5/14/2021(b) |
5,819,378 | ||||
5,722,245 |
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.250%, 10/02/2019(b) |
5,729,398 | ||||
9,400,280 |
Edmentum, Inc., 2013 Term Loan, 5.500%, 5/17/2018(b) |
9,337,580 | ||||
2,906,000 |
Envision Acquisition Co. LLC, Incremental Delayed Draw Term Loan, 11/04/2020(c) |
2,920,529 | ||||
8,347,918 |
Envision Acquisition Co. LLC, Incremental Delayed Draw Term Loan, 5.750%, 11/04/2020(b) |
8,389,657 | ||||
9,373,000 |
Evergreen Skills Lux S.a.r.l., 2nd Lien Term Loan, 7.750%, 4/28/2022(b) |
9,156,296 | ||||
4,599,470 |
Herff Jones, Inc., Term Loan B, 5.500%, 6/25/2019(b) |
4,612,809 | ||||
7,525,140 |
Knowledge Universe Education LLC, Term Loan, 5.250%, 3/18/2021(b) |
7,581,578 | ||||
6,734,000 |
Learning Care Group (U.S.) No. 2, Inc., New Term Loan, 5.500%, 5/05/2021(b) |
6,731,172 | ||||
8,747,045 |
McGraw-Hill School Education Holdings LLC, Term Loan B, 6.250%, 12/18/2019(b) |
8,757,979 | ||||
6,150,300 |
MedSolutions Holdings, Inc., Term Loan B, 6.500%, 7/08/2019(b) |
6,154,175 | ||||
8,517,000 |
Millennium Laboratories, Inc., Term Loan B, 5.250%, 4/16/2021(b) |
8,525,006 | ||||
600,000 |
NVA Holdings, Inc., 2nd Lien Term Loan, 8/14/2022(c) |
600,750 | ||||
1,066,000 |
NVA Holdings, Inc., 2nd Lien Term Loan, 8.000%, 8/14/2022(b) |
1,067,332 | ||||
10,608,000 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(b) |
10,603,545 | ||||
4,611,000 |
PLATO, Inc., 2nd Lien Term Loan, 11.250%, 5/09/2019(b) |
4,611,000 | ||||
2,848,000 |
St. Georges University, New Term Loan, 5.750%, 8/07/2021(b) |
2,851,560 | ||||
9,981,489 |
Steward Health Care System LLC, Term Loan B, 6.750%, 4/12/2020(b) |
9,931,582 | ||||
7,450,000 |
Surgery Center Holdings, Inc., 2nd Lien Term Loan, 9.750%, 4/11/2020(b) |
7,338,250 | ||||
8,526,000 |
Surgery Center Holdings, Inc., New 1st Lien Term Loan, 7/24/2020(c) |
8,515,342 | ||||
12,628,000 |
TriZetto Corp., 2nd Lien Term Loan D, 8.500%, 3/28/2019(b) |
12,754,280 | ||||
|
|
|||||
172,644,709 | ||||||
|
|
|||||
Industrial Other 8.1% |
||||||
3,490,500 |
API Heat Transfer ThermaSys Corp., Term Loan, 5.250%, 5/03/2019(b) |
3,487,219 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Industrial Other continued |
||||||
$ 8,479,659 |
Aquilex Holdings LLC, New Term Loan, 5.000%, 12/31/2020(d) |
$ | 8,421,404 | |||
10,251,000 |
Brickman Group Ltd. LLC, 2nd Lien Term Loan, 7.500%, 12/17/2021(b) |
10,259,508 | ||||
7,944,069 |
Capital Safety North America Holdings, Inc., 2nd Lien Term Loan, 6.500%, 3/28/2022(b) |
7,936,124 | ||||
6,869,000 |
Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, 7.000%, 11/22/2021(b) |
6,891,874 | ||||
9,953,460 |
Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(b) |
10,015,669 | ||||
5,321,000 |
Element Materials Technology Group Holding CC1 Ltd., Term Loan B, 5.250%, 8/06/2021(b) |
5,321,000 | ||||
5,200,000 |
Filtration Group Corp., 2nd Lien Term Loan, 8.250%, 11/21/2021(b) |
5,236,400 | ||||
6,695,220 |
Hampton Rubber Co., 1st Lien Term Loan, 5.000%, 3/27/2021(b) |
6,711,958 | ||||
2,490,338 |
Marine Acquisition Corp., New Term Loan B, 5.250%, 1/30/2021(b) |
2,490,338 | ||||
2,354,727 |
McJunkin Red Man Corp., New Term Loan, 5.000%, 11/08/2019(b) |
2,354,727 | ||||
9,216,438 |
NES Global Talent Ltd., 1st Lien Term Loan, 6.500%, 10/03/2019(b) |
9,170,355 | ||||
7,158,474 |
New Breed, Inc., Term Loan B, 7.000%, 10/01/2019(b) |
7,140,578 | ||||
8,479,390 |
North American Lifting Holdings, Inc., 1st Lien Term Loan, 5.500%, 11/27/2020(b) |
8,521,787 | ||||
10,635,168 |
Nusil Technology LLC, New Term Loan, 5.250%, 4/07/2017(b) |
10,418,636 | ||||
7,680,000 |
Oxbow Carbon LLC, 2nd Lien Term Loan, 8.000%, 1/17/2020(b) |
7,788,826 | ||||
5,771,995 |
Redtop Acquisitions Ltd., USD 2nd Lien Term Loan, 8.250%, 6/03/2021(b) |
5,887,435 | ||||
8,883,360 |
Syncreon Global Finance (U.S.), Inc., Term Loan B, 5.250%, 10/28/2020(b) |
8,816,735 | ||||
7,016,000 |
Trojan Battery Co. LLC, 2013 Term Loan, 5.750%, 6/11/2021(b) |
6,998,460 | ||||
414,582 |
WireCo WorldGroup, Inc., New Term Loan, 6.000%, 2/15/2017(b) |
414,582 | ||||
|
|
|||||
134,283,615 | ||||||
|
|
|||||
Internet & Data 0.6% |
||||||
10,244,000 |
ALM Media Holdings, Inc., 1st Lien Term Loan, 5.500%, 7/31/2020(b) |
10,192,780 | ||||
|
|
|||||
Leisure 0.8% |
||||||
6,822,000 |
AMF Bowling Centers, Inc., Term Loan B, 8/12/2021(c) |
6,822,000 | ||||
5,990,955 |
World Triathlon Corp., Term Loan, 5.250%, 6/26/2021(b) |
5,975,978 | ||||
|
|
|||||
12,797,978 | ||||||
|
|
|||||
Lodging 1.0% |
||||||
8,485,000 |
ESH Hospitality, Inc., Term Loan, 5.000%, 6/24/2019(b) |
8,559,244 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Lodging continued |
||||||
$ 8,709,556 |
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.250%, 12/28/2020(b) |
$ | 8,731,329 | |||
|
|
|||||
17,290,573 | ||||||
|
|
|||||
Media Entertainment 4.5% |
||||||
5,046,161 |
Advanstar Communications, Inc., New 1st Lien Term Loan, 5.500%, 4/29/2019(b) |
5,027,238 | ||||
5,795,000 |
Advanstar Communications, Inc., New 2nd Lien Term Loan, 9.500%, 6/06/2020(b) |
5,780,512 | ||||
10,093,616 |
Clear Channel Communications, Inc., Term Loan D, 6.907%, 1/30/2019(b) |
9,937,972 | ||||
5,832,319 |
Deluxe Entertainment Services Group, Inc., Term Loan 2014, 6.500%, 2/28/2020(b) |
5,025,534 | ||||
1,410,855 |
Dex Media West LLC, New Term Loan, 8.000%, 12/30/2016(b) |
1,349,723 | ||||
7,636,734 |
Emerald Expositions Holding, Inc., Term Loan B, 4.750%, 6/17/2020(b) |
7,655,826 | ||||
7,588,000 |
Extreme Reach, Inc., 2nd Lien Term Loan, 10.500%, 1/24/2021(b) |
7,625,940 | ||||
3,392,000 |
Metro-Goldwyn-Mayer, Inc., 2nd Lien Term Loan, 5.125%, 6/26/2020(b) |
3,397,665 | ||||
5,577,850 |
Penton Media, Inc., New 1st Lien Term Loan, 5.500%, 10/03/2019(b) |
5,595,309 | ||||
6,456,000 |
Penton Media, Inc., New 2nd Lien Term Loan, 9.000%, 10/03/2020(b) |
6,464,070 | ||||
7,635,239 |
Springer Science+Business Media Deutschland GmbH, USD Term Loan B3, 8/16/2021(c) |
7,599,429 | ||||
8,694,198 |
YP LLC, USD Term Loan B, 8.000%, 6/04/2018(b) |
8,694,198 | ||||
|
|
|||||
74,153,416 | ||||||
|
|
|||||
Metals & Mining 1.9% |
||||||
10,788,930 |
Arch Coal, Inc., Term Loan B, 6.250%, 5/16/2018(b) |
10,488,351 | ||||
6,726,913 |
Bowie Resource Holdings LLC, 1st Lien Term Loan, 6.750%, 8/14/2020(b) |
6,726,913 | ||||
8,516,000 |
Essar Steel Algoma, Inc., ABL Term Loan, 9/20/2014(c) |
8,516,000 | ||||
1,178,080 |
Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b) |
1,183,970 | ||||
3,892,233 |
Murray Energy Corp., 1st Lien Term Loan, 5.250%, 12/05/2019(b) |
3,916,520 | ||||
|
|
|||||
30,831,754 | ||||||
|
|
|||||
Natural Gas 0.4% |
||||||
5,109,000 |
Southcross Holdings Borrower LP, Term Loan B, 7/16/2021(c) |
5,128,159 | ||||
1,510,000 |
Southcross Holdings Borrower LP, Term Loan B, 6.000%, 7/16/2021(b) |
1,515,662 | ||||
|
|
|||||
6,643,821 | ||||||
|
|
|||||
Oil Field Services 2.1% |
||||||
1,629,207 |
FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b) |
1,636,539 | ||||
10,132,000 |
KCA Deutag U.S. Finance LLC, Term Loan, 6.250%, 5/13/2020(b) |
10,087,723 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Oil Field Services continued |
||||||
$ 316,667 |
Pinnacle Holdco S.a.r.l, 2nd Lien Term Loan, 10.500%, 7/24/2020(b) |
$ | 318,091 | |||
2,605,562 |
Pinnacle Holdco S.a.r.l, Term Loan, 4.750%, 7/24/2019(b) |
2,595,140 | ||||
8,365,785 |
Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(b) |
8,459,900 | ||||
9,174,538 |
UTEX Industries, Inc., 1st Lien Term Loan 2014, 5.000%, 5/22/2021(b) |
9,174,538 | ||||
1,859,000 |
UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(b) |
1,886,885 | ||||
|
|
|||||
34,158,816 | ||||||
|
|
|||||
Other Utility 0.7% |
||||||
11,973,000 |
PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b) |
11,673,675 | ||||
|
|
|||||
Packaging 0.9% |
||||||
7,112,000 |
Hilex Poly Co. LLC, Term Loan, 5.000%, 6/30/2021(b) |
7,085,330 | ||||
3,412,000 |
Husky Injection Molding Systems Ltd., 2nd Lien Term Loan, 6/30/2022(c) |
3,412,000 | ||||
4,243,000 |
Husky Injection Molding Systems Ltd., 2nd Lien Term Loan, 7.250%, 6/30/2022(b) |
4,243,000 | ||||
|
|
|||||
14,740,330 | ||||||
|
|
|||||
Pharmaceuticals 0.9% |
||||||
6,566,555 |
eResearchTechnology, Inc., New Term Loan, 6.000%, 5/02/2018(b) |
6,566,555 | ||||
4,806,075 |
Medpace Holdings, Inc., 1st Lien Term Loan, 4.750%, 4/01/2021(b) |
4,818,091 | ||||
4,252,000 |
QoL meds LLC, Term Loan B, 5.500%, 7/15/2020(b) |
4,262,630 | ||||
|
|
|||||
15,647,276 | ||||||
|
|
|||||
Property & Casualty Insurance 2.5% |
||||||
7,539,826 |
AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b) |
7,525,727 | ||||
12,559,969 |
Applied Systems, Inc., New 2nd Lien Term Loan, 7.500%, 1/23/2022(b) |
12,635,329 | ||||
9,625,000 |
CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(b) |
8,662,500 | ||||
2,962,406 |
Cunningham Lindsey U.S., Inc., 1st Lien Term Loan, 5.000%, 12/10/2019(b) |
2,910,564 | ||||
701,591 |
Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 9.250%, 6/10/2020(b) |
700,054 | ||||
9,375,000 |
Mitchell International, Inc., New 2nd Lien Term Loan, 8.500%, 10/11/2021(b) |
9,439,500 | ||||
|
|
|||||
41,873,674 | ||||||
|
|
|||||
Restaurants 1.9% |
||||||
589,286 |
Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b) |
591,496 | ||||
5,972,000 |
Portillos Holdings LLC, 1st Lien Term Loan, 8/02/2021(c) |
5,957,070 | ||||
7,679,000 |
Portillos Holdings LLC, 2nd Lien Term Loan, 8/01/2022(c) |
7,669,401 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Restaurants continued |
||||||
$ 8,509,000 |
Red Lobster Management LLC, Term Loan B, 6.250%, 7/28/2021(b) |
$ | 8,530,272 | |||
7,927,416 |
Sagittarius Restaurants LLC, New Term Loan, 5.506%, 10/01/2018(d) |
7,897,688 | ||||
|
|
|||||
30,645,927 | ||||||
|
|
|||||
Retailers 2.8% |
||||||
10,530,000 |
BDF Acquisition Corp., 1st Lien Term Loan, 5.250%, 2/12/2021(b) |
10,319,400 | ||||
10,874,000 |
BJs Wholesale Club, Inc., New 2nd Lien Term Loan, 8.500%, 3/26/2020(b) |
10,977,303 | ||||
2,231,000 |
Davids Bridal, Inc., New Term Loan B, 10/11/2019(c) |
2,182,654 | ||||
2,130,697 |
Davids Bridal, Inc., New Term Loan B, 5.000%, 10/11/2019(b) |
2,084,525 | ||||
5,089,640 |
PFS Holding Corp., 1st Lien Term Loan, 4.500%, 1/31/2021(b) |
4,275,297 | ||||
4,903,233 |
Sportsmans Warehouse Holdings, Inc., First Out Term Loan, 7.250%, 8/16/2019(b) |
4,952,266 | ||||
5,022,000 |
Stuart Weitzman Acquisition Co. LLC, Term Loan, 4.500%, 4/08/2020(b) |
4,981,221 | ||||
2,505,708 |
Talbots, Inc. (The), 1st Lien Term Loan, 4.750%, 3/19/2020(b) |
2,486,915 | ||||
3,407,000 |
Talbots, Inc. (The), 2nd Lien Term Loan, 8.250%, 3/19/2021(b) |
3,372,930 | ||||
|
|
|||||
45,632,511 | ||||||
|
|
|||||
Supermarkets 1.6% |
||||||
11,026,000 |
Acosta Holdco, Inc., 2014 Term Loan, 7/31/2021(c) |
11,067,347 | ||||
12,900,000 |
Albertsons Holdings LLC, Term Loan B4, 8/25/2021(c) |
12,926,832 | ||||
2,751,046 |
Checkout Holding Corp., 1st Lien Term Loan, 4.500%, 4/09/2021(b) |
2,702,903 | ||||
|
|
|||||
26,697,082 | ||||||
|
|
|||||
Technology 10.0% |
||||||
8,270,273 |
Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(b) |
8,228,921 | ||||
3,561,000 |
Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(b) |
3,534,293 | ||||
10,000,000 |
Aricent Technologies, 1st Lien Term Loan, 5.500%, 4/14/2021(b) |
10,025,000 | ||||
7,450,000 |
Blue Coat Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/28/2020(b) |
7,617,625 | ||||
3,989,950 |
BMC Foreign Holding Co., Term Loan, 5.000%, 9/10/2020(b) |
3,973,112 | ||||
11,028,790 |
BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b) |
10,990,851 | ||||
7,222,898 |
DataPipe, Inc., 1st Lien Term Loan, 5.250%, 3/15/2019(b) |
7,096,497 | ||||
6,348,627 |
DataPipe, Inc., 2nd Lien Term Loan, 8.500%, 9/16/2019(b) |
6,221,654 | ||||
6,395,000 |
Deltek, Inc., 2nd Lien Term Loan, 10.000%, 10/10/2019(b) |
6,486,960 | ||||
7,457,645 |
EIG Investors Corp., 2013 Term Loan, 5.000%, 11/09/2019(b) |
7,457,645 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Technology continued |
||||||
$ 3,799,290 |
Help/Systems LLC, USD Term Loan B, 5.500%, 6/28/2019(b) |
$ | 3,761,297 | |||
8,761,970 |
Internap Network Services Corp., Term Loan, 6.000%, 11/26/2019(b) |
8,740,065 | ||||
4,191,000 |
IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b) |
3,855,720 | ||||
7,622,095 |
IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(b) |
7,126,659 | ||||
5,204,314 |
MH Sub I LLC, 1st Lien Term Loan, 5.000%, 7/08/2021(b) |
5,206,500 | ||||
4,243,000 |
MH Sub I LLC, 2nd Lien Term Loan, 8.500%, 7/08/2022(b) |
4,172,269 | ||||
565,686 |
MH Sub I LLC, Delayed Draw Term Loan, 2.000%, 7/08/2021(e) |
565,924 | ||||
4,651,000 |
MSC.Software Corp., 1st Lien Term Loan, 5.000%, 5/29/2020(b) |
4,639,373 | ||||
3,127,959 |
Openlink International Intermediate, Inc., 2017 Term Loan, 6.250%, 10/28/2017(b) |
3,126,020 | ||||
1,356,185 |
P2 Upstream Acquisition Co., 1st Lien Term Loan, 5.000%, 10/30/2020(b) |
1,357,880 | ||||
6,243,382 |
Presidio, Inc., 2017 Term Loan, 5.000%, 3/31/2017(b) |
6,232,456 | ||||
4,100,000 |
Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(b) |
4,115,375 | ||||
28,354 |
Rocket Software, Inc., New Term Loan, 5.750%, 2/08/2018(b) |
28,354 | ||||
7,047,338 |
SafeNet, Inc., New 1st Lien Term Loan, 5.500%, 3/05/2020(b) |
7,029,719 | ||||
4,280,273 |
Shield Finance Co. S.a.r.l., USD Term Loan, 5.000%, 1/29/2021(b) |
4,284,296 | ||||
418,069 |
Sirius Computer Solutions, Inc., Term Loan B, 7.000%, 11/30/2018(b) |
420,661 | ||||
6,048,401 |
SumTotal Systems LLC, 1st Lien Term Loan, 6.250%, 11/16/2018(b) |
6,048,401 | ||||
1,500,000 |
SumTotal Systems LLC, 2nd Lien Term Loan, 10.250%, 5/16/2019(b) |
1,522,500 | ||||
3,969,292 |
SurveyMonkey.com LLC, Term Loan B, 5.500%, 2/05/2019(b) |
3,979,215 | ||||
4,040,000 |
Telx Group, Inc. (The), 2nd Lien Term Loan, 7.500%, 4/09/2021(b) |
4,050,100 | ||||
3,582,908 |
Triple Point Technology, Inc., 1st Lien Term Loan, 5.250%, 7/10/2020(b) |
3,188,789 | ||||
10,850,000 |
Websense, Inc., 2nd Lien Term Loan, 8.250%, 12/24/2020(b) |
10,782,187 | ||||
|
|
|||||
165,866,318 | ||||||
|
|
|||||
Transportation Services 2.1% |
||||||
4,216,000 |
Alfred Fueling Systems, Inc., 1st Lien Term Loan, 4.750%, 6/20/2021(b) |
4,200,190 | ||||
9,526,256 |
FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(b) |
9,422,039 | ||||
1,096,000 |
OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b) |
1,101,480 | ||||
5,096,000 |
OSG International, Inc., Exit Term Loan B, 5.750%, 8/05/2019(b) |
5,102,370 | ||||
2,108,000 |
Vouvray U.S. Finance LLC, 1st Lien Term Loan, 5.000%, 6/27/2021(b) |
2,106,693 |
Principal |
Description |
Value () | ||||
Senior Loans continued |
||||||
Transportation Services continued |
||||||
$ 5,370,000 |
WP Mustang Holdings LLC, 1st Lien Term Loan B, 5.500%, 5/29/2021(b) |
$ | 5,413,658 | |||
7,486,380 |
YRC Worldwide, Inc., Term Loan, 8.000%, 2/12/2019(b) |
7,586,174 | ||||
|
|
|||||
34,932,604 | ||||||
|
|
|||||
Wireless 1.1% |
||||||
14,192,000 |
Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(b) |
14,631,952 | ||||
4,144,407 |
Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(b) |
4,154,768 | ||||
|
|
|||||
18,786,720 | ||||||
|
|
|||||
Wirelines 2.2% |
||||||
3,645,058 |
Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b) |
3,715,699 | ||||
4,733,000 |
Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/22/2020(b) |
4,803,995 | ||||
1,770,588 |
Integra Telecom, Inc., Term Loan B, 5.250%, 2/22/2019(b) |
1,770,039 | ||||
7,990,473 |
LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b) |
8,030,425 | ||||
436,000 |
MegaPath Group, Inc., Term Loan B, 10.500%, 12/20/2017(b) |
401,120 | ||||
10,597,000 |
Nextgen Networks Pty Ltd., USD Term Loan B, 5.000%, 5/31/2021(b) |
10,477,784 | ||||
7,312,856 |
U.S. Telepacific Corp., New Term Loan B, 5.750%, 2/23/2017(b) |
7,306,786 | ||||
|
|
|||||
36,505,848 | ||||||
|
|
|||||
Total Senior Loans (Identified Cost $1,465,566,058) |
1,462,080,148 | |||||
|
|
|||||
Bonds and Notes 10.8% |
||||||
Airlines 0.1% |
||||||
1,263,000 |
Allegiant Travel Co., 5.500%, 7/15/2019 |
1,310,363 | ||||
|
|
|||||
Building Materials 0.8% |
||||||
5,265,000 |
Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A |
5,238,675 | ||||
6,875,000 |
Building Materials Holding Corp., 9.000%, 9/15/2018, 144A |
7,425,000 | ||||
|
|
|||||
12,663,675 | ||||||
|
|
|||||
Cable Satellite 0.4% |
||||||
4,292,000 |
Intelsat Luxembourg S.A., 7.750%, 6/01/2021 |
4,528,060 | ||||
2,000,000 |
WideOpenWest Finance LLC/WideOpenWest Capital Corp., 10.250%, 7/15/2019 |
2,230,000 | ||||
|
|
|||||
6,758,060 | ||||||
|
|
|||||
Chemicals 2.1% |
||||||
11,660,000 |
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 |
12,097,250 | ||||
310,000 |
INEOS Group Holdings S.A., 5.875%, 2/15/2019, 144A |
317,750 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Chemicals continued |
||||||
$ 7,510,000 |
INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A |
$ | 7,754,075 | |||
2,297,000 |
Nexeo Solutions LLC/Nexeo Solutions Finance Corp., 8.375%, 3/01/2018 |
2,308,485 | ||||
11,075,000 |
Perstorp Holding AB, 11.000%, 8/15/2017, 144A |
11,822,562 | ||||
|
|
|||||
34,300,122 | ||||||
|
|
|||||
Consumer Cyclical Services 0.7% |
||||||
9,006,000 |
ServiceMaster Co. (The), 7.000%, 8/15/2020 |
9,613,905 | ||||
2,850,000 |
ServiceMaster Co. (The), 7.100%, 3/01/2018 |
2,992,500 | ||||
|
|
|||||
12,606,405 | ||||||
|
|
|||||
Consumer Products 0.2% |
||||||
3,100,000 |
Visant Corp., 10.000%, 10/01/2017 |
2,875,250 | ||||
|
|
|||||
Finance Companies 0.5% |
||||||
7,500,000 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017 |
8,062,500 | ||||
|
|
|||||
Financial Other 0.5% |
||||||
8,010,000 |
Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A |
8,330,400 | ||||
|
|
|||||
Food & Beverage 0.2% |
||||||
3,235,000 |
Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021 |
3,655,550 | ||||
|
|
|||||
Healthcare 0.4% |
||||||
5,700,000 |
Emdeon, Inc., 11.000%, 12/31/2019 |
6,441,000 | ||||
|
|
|||||
Home Construction 0.6% |
||||||
8,795,000 |
K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A |
8,904,937 | ||||
1,000,000 |
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/2017 |
1,090,000 | ||||
|
|
|||||
9,994,937 | ||||||
|
|
|||||
Independent Energy 0.8% |
||||||
2,225,000 |
Rex Energy Corp., 8.875%, 12/01/2020 |
2,436,375 | ||||
8,380,000 |
Sanchez Energy Corp., 7.750%, 6/15/2021 |
9,301,800 | ||||
2,350,000 |
Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A |
2,426,375 | ||||
|
|
|||||
14,164,550 | ||||||
|
|
|||||
Industrial Other 0.5% |
||||||
8,205,000 |
Permian Holdings, Inc., 10.500%, 1/15/2018, 144A |
8,369,100 | ||||
|
|
|||||
Metals & Mining 1.2% |
||||||
2,000,000 |
APERAM, 7.750%, 4/01/2018, 144A |
2,100,000 |
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Metals & Mining continued |
||||||
$ 10,025,000 |
Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
$ | 9,060,094 | |||
480,000 |
Emeco Pty Ltd., 9.875%, 3/15/2019, 144A |
482,400 | ||||
5,100,000 |
Rain CII Carbon LLC/CII Carbon Corp., 8.000%, 12/01/2018, 144A |
5,304,000 | ||||
3,000,000 |
Ryerson, Inc./Joseph T. Ryerson & Son, Inc., 9.000%, 10/15/2017 |
3,195,000 | ||||
|
|
|||||
20,141,494 | ||||||
|
|
|||||
Midstream 0.1% |
| |||||
2,628,000 |
NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019, 144A |
2,664,135 | ||||
|
|
|||||
Oil Field Services 0.2% |
| |||||
2,550,000 |
Hercules Offshore, Inc., 10.250%, 4/01/2019, 144A |
2,766,750 | ||||
|
|
|||||
Packaging 0.1% |
| |||||
1,280,000 |
Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 6.000%, 6/15/2017, 144A |
1,299,200 | ||||
|
|
|||||
Property & Casualty Insurance 0.0% |
| |||||
300,000 |
Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(f) |
316,500 | ||||
|
|
|||||
Technology 0.3% |
| |||||
4,347,000 |
Rolta Americas LLC, 8.875%, 7/24/2019, 144A |
4,510,013 | ||||
|
|
|||||
Wirelines 1.1% |
| |||||
12,300,000 |
FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A |
13,130,250 | ||||
4,000,000 |
Zayo Group LLC/Zayo Capital, Inc., 10.125%, 7/01/2020 |
4,550,000 | ||||
|
|
|||||
17,680,250 | ||||||
|
|
|||||
Total Bonds and Notes (Identified Cost $175,364,746) |
178,910,254 | |||||
|
|
|||||
Shares |
||||||
Preferred Stocks 0.3% |
||||||
Food & Beverage 0.3% |
||||||
89,216 |
Tyson Foods, Inc., 4.750% (Identified Cost $4,460,800) |
4,481,320 | ||||
|
|
|||||
Principal |
||||||
Short-Term Investments 6.3% |
||||||
$ 3,778,791 |
Repurchase Agreement with State Street Bank and Trust Company, dated 8/29/2014 at 0.000% to be repurchased at $3,778,791 on 9/02/2014 collateralized by $3,809,800 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $3,854,434 including accrued interest(g) | 3,778,791 |
Principal |
Description |
Value () | ||||
Short-Term Investments continued |
||||||
$ 101,508,638 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/29/2014 at 0.000% to be repurchased at $101,508,638 on 9/02/2014 collateralized by $107,110,000 U.S. Treasury Note, 1.125% due 4/30/2020 valued at $103,539,809 including accrued interest(g) | $ | 101,508,638 | |||
|
|
|||||
Total Short-Term Investments (Identified Cost $105,287,429) |
105,287,429 | |||||
|
|
|||||
Total Investments 105.7% (Identified Cost $1,750,679,033)(a) |
1,750,759,151 | |||||
Other assets less liabilities (5.7)% | (95,036,348 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 1,655,722,803 | ||||
|
|
() | 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 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. 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.
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.
Broker-dealer bid prices may be used to value debt and equity securities and senior loans 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 net asset value (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 that will be 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 August 31, 2014, the net unrealized depreciation on investments based on a cost of $1,752,147,272 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 |
$ | 9,319,456 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(10,707,577 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (1,388,121 | ) | |
|
|
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 August 31, 2014 is disclosed. |
(c) | Position is unsettled. Contract rate was not determined at August 31, 2014 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(d) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2014. |
(e) | Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. |
(f) | Perpetual bond with no specified maturity date. |
(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 August 31, 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 August 31, 2014, the value of Rule 144A holdings amounted to $102,222,216 or 6.2% of net assets. | |
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 August 31, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans* |
$ | | $ | 1,462,080,148 | $ | | $ | 1,462,080,148 | ||||||||
Bonds and Notes* |
| 178,910,254 | | 178,910,254 | ||||||||||||
Preferred Stocks* |
| 4,481,320 | | 4,481,320 | ||||||||||||
Short-Term Investments |
| 105,287,429 | | 105,287,429 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 1,750,759,151 | $ | | $ | 1,750,759,151 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2014, there were no transfers among Levels 1, 2 and 3.
Industry Summary at August 31, 2014 (Unaudited)
Healthcare |
10.8 | % | ||
Technology |
10.3 | |||
Industrial Other |
8.6 | |||
Consumer Cyclical Services |
7.9 | |||
Chemicals |
5.0 |
Media Entertainment |
4.5 | |||
Consumer Products |
3.9 | |||
Building Materials |
3.8 | |||
Automotive |
3.3 | |||
Wirelines |
3.3 | |||
Metals & Mining |
3.1 | |||
Food & Beverage |
2.9 | |||
Retailers |
2.8 | |||
Property & Casualty Insurance |
2.5 | |||
Oil Field Services |
2.3 | |||
Transportation Services |
2.1 | |||
Other Investments, less than 2% each |
22.3 | |||
Short-Term Investments |
6.3 | |||
|
|
|||
Total Investments |
105.7 | |||
Other assets less liabilities |
(5.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2014 (Unaudited)
Vaughan Nelson Select Fund
Shares |
Description |
Value () | ||||
Common Stocks 96.5% of Net Assets |
||||||
Aerospace & Defense 10.3% |
| |||||
16,325 |
General Dynamics Corp. | $ | 2,012,056 | |||
18,700 |
Honeywell International, Inc. | 1,780,801 | ||||
3,950 |
Precision Castparts Corp. | 964,037 | ||||
|
|
|||||
4,756,894 | ||||||
|
|
|||||
Banks 4.5% |
| |||||
40,125 |
Wells Fargo & Co. | 2,064,030 | ||||
|
|
|||||
Beverages 3.2% |
| |||||
13,050 |
Anheuser-Busch InBev, Sponsored ADR | 1,458,729 | ||||
|
|
|||||
Chemicals 2.0% |
| |||||
19,600 |
HB Fuller Co. | 921,984 | ||||
|
|
|||||
Consumer Finance 2.5% |
| |||||
13,925 |
Capital One Financial Corp. | 1,142,686 | ||||
|
|
|||||
Diversified Financial Services 6.0% |
| |||||
21,875 |
CME Group, Inc. | 1,674,531 | ||||
11,825 |
Moodys Corp. | 1,106,465 | ||||
|
|
|||||
2,780,996 | ||||||
|
|
|||||
Energy Equipment & Services 4.0% |
| |||||
16,975 |
Schlumberger Ltd. | 1,861,139 | ||||
|
|
|||||
Food & Staples Retailing 4.7% |
| |||||
35,500 |
Walgreen Co. | 2,148,460 | ||||
|
|
|||||
Health Care Equipment & Supplies 2.0% |
| |||||
14,150 |
Medtronic, Inc. | 903,478 | ||||
|
|
|||||
Health Care Providers & Services 5.7% |
| |||||
30,350 |
UnitedHealth Group, Inc. | 2,630,738 | ||||
|
|
|||||
Insurance 4.7% |
| |||||
39,000 |
American International Group, Inc. | 2,186,340 | ||||
|
|
|||||
Internet Software & Services 10.3% |
| |||||
46,575 |
eBay, Inc.(b) | 2,584,912 | ||||
2,025 |
Google, Inc., Class C(b) | 1,157,490 | ||||
1,750 |
Google, Inc., Class A(b) | 1,019,130 | ||||
|
|
|||||
4,761,532 | ||||||
|
|
|||||
IT Services 3.5% |
| |||||
21,450 |
MasterCard, Inc., Class A | 1,626,125 | ||||
|
|
|||||
Machinery 4.5% |
| |||||
14,250 |
Cummins, Inc. | 2,067,817 | ||||
|
|
|||||
Metals & Mining 1.6% |
| |||||
19,775 |
Freeport-McMoRan, Inc. | 719,217 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Oil, Gas & Consumable Fuels 6.4% |
| |||||
41,650 |
Cabot Oil & Gas Corp. | $ | 1,396,941 | |||
32,075 |
Oasis Petroleum, Inc.(b) | 1,577,769 | ||||
|
|
|||||
2,974,710 | ||||||
|
|
|||||
Pharmaceuticals 4.8% |
| |||||
27,450 |
Mallinckrodt PLC(b) | 2,236,900 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 3.2% |
| |||||
17,950 |
Avago Technologies Ltd. | 1,473,516 | ||||
|
|
|||||
Software 5.6% |
| |||||
56,675 |
Microsoft Corp. | 2,574,745 | ||||
|
|
|||||
Specialty Retail 2.8% |
| |||||
21,400 |
Cabelas, Inc.(b) | 1,305,828 | ||||
|
|
|||||
Textiles, Apparel & Luxury Goods 4.2% |
| |||||
19,150 |
Fossil Group, Inc.(b) | 1,939,704 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $40,255,148) |
44,535,568 | |||||
|
|
|||||
Principal |
||||||
Short-Term Investments 0.5% |
||||||
$ 248,203 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/29/2014 at 0.000% to be repurchased at $248,203 on 9/02/2014 collateralized by $230,000 U.S. Treasury Note, 3.500% due 5/15/2020 valued at $253,575 including accrued interest(c) (Identified Cost $248,203) |
248,203 | ||||
|
|
|||||
Total Investments 97.0% (Identified Cost $40,503,351)(a) |
44,783,771 | |||||
Other assets less liabilities 3.0% | 1,394,153 | |||||
|
|
|||||
Net Assets 100.0% | $ | 46,177,924 | ||||
|
|
() | 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. |
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 |
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 net asset value (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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At August 31, 2014, the net unrealized appreciation on investments based on a cost of $40,503,351 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 |
$ | 4,670,501 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(390,081 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 4,280,420 | ||
|
|
(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 August 31, 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 August 31, 2014, at value: |
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 44,535,568 | $ | | $ | | $ | 44,535,568 | ||||||||
Short-Term Investments |
| 248,203 | | 248,203 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 44,535,568 | $ | 248,203 | $ | | $ | 44,783,771 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2014, there were no transfers among Levels 1, 2 and 3.
Industry Summary at August 31, 2014 (Unaudited)
Internet Software & Services |
10.3 | % | ||
Aerospace & Defense |
10.3 | |||
Oil, Gas & Consumable Fuels |
6.4 | |||
Diversified Financial Services |
6.0 | |||
Health Care Providers & Services |
5.7 | |||
Software |
5.6 | |||
Pharmaceuticals |
4.8 | |||
Insurance |
4.7 | |||
Food & Staples Retailing |
4.7 | |||
Machinery |
4.5 | |||
Banks |
4.5 | |||
Textiles, Apparel & Luxury Goods |
4.2 | |||
Energy Equipment & Services |
4.0 | |||
IT Services |
3.5 | |||
Semiconductors & Semiconductor Equipment |
3.2 | |||
Beverages |
3.2 | |||
Specialty Retail |
2.8 | |||
Consumer Finance |
2.5 | |||
Chemicals |
2.0 | |||
Health Care Equipment & Supplies |
2.0 | |||
Metals & Mining |
1.6 | |||
Short-Term Investments |
0.5 | |||
|
|
|||
Total Investments |
97.0 | |||
Other assets less liabilities |
3.0 | |||
|
|
|||
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: | October 20, 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: |
October 20, 2014 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | October 20, 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: October 20, 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: October 20, 2014
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |