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)
Russell L. Kane, 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) 449-2822
Date of fiscal year end: November 30
Date of reporting period: August 31, 2016
ITEM 1 | SCHEDULE OF INVESTMENTS |
PORTFOLIO OF INVESTMENTS as of August 31, 2016 (Unaudited)
Loomis Sayles Dividend Income Fund
Shares |
Description |
Value () | ||||
Common Stocks 89.7% of Net Assets | ||||||
Aerospace & Defense 1.9% | ||||||
6,536 | United Technologies Corp. | $ | 695,627 | |||
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|
|||||
Automobiles 2.9% | ||||||
20,723 | General Motors Co.(b) | 661,478 | ||||
7,416 | Harley-Davidson, Inc. | 390,823 | ||||
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|
|||||
1,052,301 | ||||||
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|
|||||
Banks 8.6% | ||||||
20,263 | BB&T Corp. | 780,126 | ||||
23,265 | Fifth Third Bancorp | 469,022 | ||||
14,492 | JPMorgan Chase & Co.(c) | 978,210 | ||||
16,883 | Wells Fargo & Co. | 857,656 | ||||
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|
|||||
3,085,014 | ||||||
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|
|||||
Beverages 1.7% | ||||||
5,759 | PepsiCo, Inc. | 614,773 | ||||
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|
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Biotechnology 2.8% | ||||||
15,510 | AbbVie, Inc. | 994,191 | ||||
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Chemicals 2.5% | ||||||
16,700 | Dow Chemical Co. (The) | 895,788 | ||||
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Communications Equipment 2.7% | ||||||
30,485 | Cisco Systems, Inc. | 958,449 | ||||
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|
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Containers & Packaging 2.1% | ||||||
15,470 | International Paper Co. | 750,140 | ||||
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|
|||||
Diversified Telecommunication Services 2.4% | ||||||
16,289 | Verizon Communications, Inc.(c) | 852,403 | ||||
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Electric Utilities 5.9% | ||||||
5,827 | Entergy Corp. | 455,671 | ||||
12,891 | PG&E Corp.(b) | 798,469 | ||||
24,729 | PPL Corp. | 860,075 | ||||
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2,114,215 | ||||||
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Electrical Equipment 2.1% | ||||||
11,433 | Eaton Corp. PLC(c) | 760,752 | ||||
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Food Products 1.3% | ||||||
4,790 | Hershey Co. (The) | 478,473 | ||||
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|||||
Hotels, Restaurants & Leisure 1.5% | ||||||
40,567 | SeaWorld Entertainment, Inc.(b) | 527,777 | ||||
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|||||
Industrial Conglomerates 2.1% | ||||||
24,393 | General Electric Co.(b)(c) | 762,037 | ||||
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Insurance 3.3% | ||||||
15,619 | MetLife, Inc. | 677,864 |
Shares |
Description |
Value () | ||||
Common Stocks continued | ||||||
Insurance continued | ||||||
25,877 | Old Republic International Corp. | $ | 497,615 | |||
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1,175,479 | ||||||
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|||||
Leisure Products 1.2% | ||||||
12,635 | Mattel, Inc. | 418,598 | ||||
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|
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Media 0.9% | ||||||
3,704 | Omnicom Group, Inc. | 319,026 | ||||
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|
|||||
Multiline Retail 1.1% | ||||||
9,295 | Kohls Corp. | 412,512 | ||||
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Oil, Gas & Consumable Fuels 7.1% | ||||||
7,861 | Chevron Corp.(c) | 790,659 | ||||
10,420 | Energy Transfer Partners LP | 416,175 | ||||
21,701 | PBF Energy, Inc., Class A | 475,252 | ||||
16,899 | Royal Dutch Shell PLC, B Shares, Sponsored ADR | 873,509 | ||||
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2,555,595 | ||||||
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|||||
Pharmaceuticals 11.2% | ||||||
4,429 | Eli Lilly & Co. | 344,355 | ||||
25,365 | GlaxoSmithKline PLC, Sponsored ADR | 1,102,363 | ||||
15,758 | Merck & Co., Inc.(b) | 989,445 | ||||
31,199 | Pfizer, Inc.(c) | 1,085,725 | ||||
12,930 | Sanofi, Sponsored ADR | 497,417 | ||||
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4,019,305 | ||||||
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REITs - Diversified 3.5% | ||||||
28,098 | Outfront Media, Inc. | 627,147 | ||||
20,387 | Weyerhaeuser Co. | 649,326 | ||||
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|||||
1,276,473 | ||||||
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REITs - Hotels 4.0% | ||||||
42,267 | Host Hotels & Resorts, Inc. | 753,198 | ||||
13,135 | Ryman Hospitality Properties, Inc. | 708,765 | ||||
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1,461,963 | ||||||
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Road & Rail 2.3% | ||||||
8,754 | Norfolk Southern Corp. | 822,001 | ||||
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Semiconductors & Semiconductor Equipment 2.6% | ||||||
14,673 | QUALCOMM, Inc. | 925,426 | ||||
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Software 2.8% | ||||||
17,320 | Microsoft Corp. | 995,207 | ||||
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Technology Hardware, Storage & Peripherals 1.6% | ||||||
5,432 | Apple, Inc. | 576,335 | ||||
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Tobacco 3.7% | ||||||
4,168 | British American Tobacco PLC, Sponsored ADR | 517,624 | ||||
8,223 | Philip Morris International, Inc.(c) | 821,724 | ||||
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|
|||||
1,339,348 | ||||||
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|
Shares |
Description |
Value () | ||||
Common Stocks continued | ||||||
Transportation Infrastructure 1.9% | ||||||
8,662 | Macquarie Infrastructure Corp. | $ | 692,440 | |||
|
|
|||||
Wireless Telecommunication Services 2.0% | ||||||
23,997 | Vodafone Group PLC, Sponsored ADR | 735,508 | ||||
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|||||
Total Common Stocks (Identified Cost $30,448,471) |
32,267,156 | |||||
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|
|||||
Preferred Stocks 4.4% | ||||||
Integrated Energy 1.3% | ||||||
7,222 | Hess Corp., 8.000% |
477,663 | ||||
|
|
|||||
Pharmaceuticals 3.1% | ||||||
742 | Allergan PLC, Series A, 5.500% |
617,834 | ||||
589 | Teva Pharmaceutical Industries Ltd., 7.000% |
502,417 | ||||
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|
|||||
1,120,251 | ||||||
|
|
|||||
Total Preferred Stocks (Identified Cost $1,659,249) |
1,597,914 | |||||
|
|
|||||
Principal Amount |
||||||
Bonds and Notes 2.8% | ||||||
Consumer Cyclical Services 0.1% | ||||||
$ 45,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 |
47,475 | ||||
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|
|||||
Electric 0.3% | ||||||
100,000 | AES Corp. (The), 5.500%, 4/15/2025 |
102,875 | ||||
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|
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Finance Companies 0.9% | ||||||
370,000 | Navient LLC, Series A, MTN, 5.625%, 8/01/2033(d)(e) |
303,400 | ||||
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|
|||||
Healthcare 0.5% | ||||||
150,000 | HCA, Inc., 7.500%, 11/06/2033 |
164,250 | ||||
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|
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Independent Energy 0.1% | ||||||
50,000 | WPX Energy, Inc., 5.250%, 1/15/2017 |
50,250 | ||||
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|
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Supermarkets 0.8% | ||||||
280,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
283,500 | ||||
|
|
|||||
Transportation Services 0.1% | ||||||
75,000 | APL Ltd., 8.000%, 1/15/2024(d)(e) |
49,500 | ||||
|
|
|||||
Total Bonds and Notes (Identified Cost $938,722) |
1,001,250 | |||||
|
|
Principal Amount |
Description |
Value () | ||||
Short-Term Investments 3.1% | ||||||
$ 1,135,106 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2016 at 0.030% to be repurchased at $1,135,107 on 9/01/2016 collateralized by $1,085,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $1,162,306 including accrued interest(f) (Identified Cost $1,135,106) |
$ | 1,135,106 | |||
|
|
|||||
Total Investments 100.0% (Identified Cost $34,181,548)(a) |
36,001,426 | |||||
Other assets less liabilities (0.0)% | (16,970 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 35,984,456 | ||||
|
|
|||||
Shares |
||||||
Written Options (0.0%) | ||||||
Options on Securities (0.0%) | ||||||
3,000 | Deere & Co., Put , expiring September 16, 2016 at 70(g) | $ | (330 | ) | ||
5,000 | Fifth Third Bancorp, Call , expiring October 21, 2016 at 20(g) | (3,525 | ) | |||
3,700 | Omnicom Group, Inc., Call , expiring October 21, 2016 at 87.5000(g) | (4,810 | ) | |||
|
|
|||||
Total Written Options (Premiums Received $6,561) |
$ | (8,665 | ) | |||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
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.
Illiquid securities for which market quotations are readily available and have been substantiated by the adviser are considered and classified as fair valued securities.
As of August 31, 2016, securities held by the Fund were fair valued as follows:
Securities classified as fair valued |
Percentage of Net Assets | |
$352,900 |
1.0% |
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, 2016, the net unrealized appreciation on investments based on a cost of $34,181,548 for federal income tax purposes was as follows: |
||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 2,752,545 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(932,667 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,819,878 | ||
|
|
(b) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(c) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(d) | Illiquid security. |
(e) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At August 31, 2016, the value of these securities amounted to $352,900 or 1.0% of net assets. |
(f) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of August 31, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(g) | The Fund may enter into option contracts. When a 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 or index 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. |
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 |
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, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 32,267,156 | $ | | $ | | $ | 32,267,156 | ||||||||
Preferred Stocks |
||||||||||||||||
Pharmaceuticals |
617,834 | 502,417 | | 1,120,251 | ||||||||||||
Integrated Energy |
477,663 | | | 477,663 | ||||||||||||
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|
|
|
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|
|
|||||||||
Total Preferred Stocks |
1,095,497 | 502,417 | | 1,597,914 | ||||||||||||
|
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|
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Bonds and Notes* |
| 1,001,250 | | 1,001,250 | ||||||||||||
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|
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Short-Term Investments |
| 1,135,106 | | 1,135,106 | ||||||||||||
|
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|
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|
|
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Total |
$ | 33,362,653 | $ | 2,638,773 | $ | | $ | 36,001,426 | ||||||||
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|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (8,665 | ) | $ | | $ | | $ | (8,665 | ) | ||||||
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* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2016 there were no transfers among Levels 1, 2 and 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair values as of November 30, 2015 and/or August 31, 2016:
Asset Valuation Inputs
Investments in Securities |
Balance as of November 30, 2015 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of August 31, 2016 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at August 31, 2016 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Chemicals |
$ | 48,840 | $ | 862 | $ | (66,223 | ) | $ | 90,021 | $ | | $ | (73,500 | ) | $ | | $ | | $ | | $ | | ||||||||||||||||||
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Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. 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, 2016, the Fund engaged in written call option transactions for hedging purposes and written put option transactions for investment purposes.
The following is a summary of derivative instruments for the Fund, as of August 31, 2016:
Liabilities |
Options written at value | |||
Exchange-traded/cleared liability derivatives Equity contracts |
$ | (8,665 | ) |
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.
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. 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
$500,143 |
$500,143 |
Industry Summary at August 31, 2016 (Unaudited) | ||||
Pharmaceuticals |
14.3 | % | ||
Banks |
8.6 | |||
Oil, Gas & Consumable Fuels |
7.1 | |||
Electric Utilities |
5.9 | |||
REITs - Hotels |
4.0 | |||
Tobacco |
3.7 | |||
REITs - Diversified |
3.5 | |||
Insurance |
3.3 | |||
Automobiles |
2.9 | |||
Software |
2.8 | |||
Biotechnology |
2.8 | |||
Communications Equipment |
2.7 | |||
Semiconductors & Semiconductor Equipment |
2.6 | |||
Chemicals |
2.5 | |||
Diversified Telecommunication Services |
2.4 | |||
Road & Rail |
2.3 | |||
Industrial Conglomerates |
2.1 | |||
Electrical Equipment |
2.1 | |||
Containers & Packaging |
2.1 | |||
Wireless Telecommunication Services |
2.0 | |||
Other Investments, less than 2% each |
17.2 | |||
Short-Term Investments |
3.1 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities (including open written options) |
(0.0 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2016 (Unaudited)
Loomis Sayles Emerging Markets Opportunities Fund
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes 94.0% of Net Assets |
||||||
Argentina 2.2% | ||||||
$ 150,000 |
Argentina Bonar Bonds, Series X, 7.000%, 4/17/2017 |
$ | 153,834 | |||
365,000 |
Republic of Argentina, 6.250%, 4/22/2019, 144A |
388,404 | ||||
|
|
|||||
542,238 | ||||||
|
|
|||||
Barbados 0.8% | ||||||
200,000 |
Columbus International, Inc., 7.375%, 3/30/2021, 144A |
214,000 | ||||
|
|
|||||
Brazil 3.9% | ||||||
250,000 |
Itau Unibanco Holding S.A., EMTN, 2.850%, 5/26/2018 |
249,975 | ||||
130,000 |
Petrobras Global Finance BV, 4.875%, 3/17/2020 |
127,400 | ||||
150,000 |
Petrobras Global Finance BV, 5.375%, 1/27/2021 |
144,562 | ||||
250,000 |
Republic of Brazil, 5.875%, 1/15/2019 |
272,500 | ||||
200,000 |
Tupy Overseas S.A., 6.625%, 7/17/2024, 144A |
201,200 | ||||
|
|
|||||
995,637 | ||||||
|
|
|||||
Chile 2.8% | ||||||
200,000 |
Cencosud S.A., 5.150%, 2/12/2025, 144A |
215,420 | ||||
237,753 |
Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025 |
228,837 | ||||
240,000 |
VTR Finance BV, 6.875%, 1/15/2024 |
251,928 | ||||
|
|
|||||
696,185 | ||||||
|
|
|||||
China 6.0% | ||||||
215,000 |
Baidu, Inc., 3.500%, 11/28/2022(b) |
225,782 | ||||
270,000 |
Bestgain Real Estate Ltd., 2.625%, 3/13/2018(b) |
270,133 | ||||
250,000 |
China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(b) |
271,897 | ||||
280,000 |
CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023(b) |
285,439 | ||||
225,000 |
ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A(b) |
255,022 | ||||
200,000 |
Tencent Holdings Ltd., 3.375%, 5/02/2019, 144A(b) |
207,504 | ||||
|
|
|||||
1,515,777 | ||||||
|
|
|||||
Colombia 3.2% | ||||||
235,000 |
Colombia Government International Bond, 7.375%, 1/27/2017(b) |
240,405 | ||||
235,000 |
Empresa de Energia de Bogota S.A. E.S.P., 6.125%, 11/10/2021(b) |
244,106 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued | ||||||
Colombia continued | ||||||
$ 260,000 |
Oleoducto Central S.A., 4.000%, 5/07/2021, 144A(b) |
$ | 264,030 | |||
100,000 |
Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(c) |
17,500 | ||||
275,000 |
Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A(c) |
48,125 | ||||
|
|
|||||
814,166 | ||||||
|
|
|||||
Croatia 2.7% | ||||||
200,000 |
Agrokor d.d., 8.875%, 2/01/2020 |
211,700 | ||||
200,000 |
Hrvatska Elektroprivreda, 5.875%, 10/23/2022, 144A |
216,750 | ||||
240,000 |
Republic of Croatia, 6.250%, 4/27/2017, 144A |
246,912 | ||||
|
|
|||||
675,362 | ||||||
|
|
|||||
Guatemala 0.9% | ||||||
225,000 |
Central American Bottling Corp., 6.750%, 2/09/2022 |
233,438 | ||||
|
|
|||||
Hong Kong 2.0% | ||||||
265,000 |
PCCW-HKT Capital No. 5 Ltd., 3.750%, 3/08/2023(b) |
282,782 | ||||
200,000 |
Swire Pacific MTN Financing Ltd., EMTN, 4.500%, 10/09/2023(b) |
226,075 | ||||
|
|
|||||
508,857 | ||||||
|
|
|||||
Hungary 2.6% | ||||||
240,000 |
Hungary Government International Bond, 4.125%, 2/19/2018 |
247,932 | ||||
400,000 |
Magyar Export-Import Bank Zrt, 4.000%, 1/30/2020, 144A |
412,080 | ||||
|
|
|||||
660,012 | ||||||
|
|
|||||
India 4.9% | ||||||
260,000 |
Bharti Airtel International BV, 5.350%, 5/20/2024, 144A(b) |
290,193 | ||||
200,000 |
Greenko Investment Co., 4.875%, 8/16/2023, 144A |
197,773 | ||||
200,000 |
HT Global IT Solutions Holdings Ltd., 7.000%, 7/14/2021, 144A |
210,000 | ||||
220,000 |
NTPC Ltd., EMTN, 5.625%, 7/14/2021(b) |
249,782 | ||||
250,000 |
Reliance Industries Ltd., 4.125%, 1/28/2025, 144A(b) |
264,280 | ||||
200,000 |
Rolta Americas LLC, 8.875%, 7/24/2019, 144A(c) |
21,750 | ||||
|
|
|||||
1,233,778 | ||||||
|
|
|||||
Indonesia 6.0% | ||||||
3,100,000,000 |
Indonesia Treasury Bond, 8.250%, 7/15/2021, (IDR) |
247,486 | ||||
200,000 |
Listrindo Capital BV, 6.950%, 2/21/2019, 144A |
207,022 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Indonesia continued | ||||||
$ 340,000 |
Pelabuhan Indonesia III PT, 4.875%, 10/01/2024, 144A(b) |
$ | 368,560 | |||
215,000 |
Pertamina Persero PT, EMTN, 4.300%, 5/20/2023(b) |
224,143 | ||||
250,000 |
Republic of Indonesia, 6.875%, 1/17/2018, 144A(b) |
267,924 | ||||
200,000 |
TBG Global Pte Ltd., 4.625%, 4/03/2018 |
203,240 | ||||
|
|
|||||
1,518,375 | ||||||
|
|
|||||
Israel 1.7% | ||||||
230,000 |
Israel Electric Corp. Ltd., 5.625%, 6/21/2018, 144A(b) |
243,540 | ||||
190,000 |
Teva Pharmaceutical Finance Netherlands III BV, 2.200%, 7/21/2021 |
190,197 | ||||
|
|
|||||
433,737 | ||||||
|
|
|||||
Jamaica 0.9% | ||||||
250,000 |
Digicel Ltd., 6.000%, 4/15/2021, 144A |
228,438 | ||||
|
|
|||||
Korea 4.9% | ||||||
240,000 |
GS Caltex Corp., 3.250%, 10/01/2018, 144A(b) |
246,718 | ||||
200,000 |
Kia Motors Corp., 2.625%, 4/21/2021, 144A |
206,562 | ||||
230,000 |
Korea Gas Corp., 4.250%, 11/02/2020(b) |
253,725 | ||||
200,000 |
Lotte Shopping Co. Ltd., 3.375%, 5/09/2017(b) |
202,080 | ||||
275,000 |
Woori Bank, 5.875%, 4/13/2021(b) |
315,203 | ||||
|
|
|||||
1,224,288 | ||||||
|
|
|||||
Malaysia 3.3% | ||||||
245,000 |
Export-Import Bank of Malaysia Bhd, EMTN, 2.875%, 12/14/2017 |
249,230 | ||||
200,000 |
Malayan Banking Bhd, EMTN, (fixed rate to 9/20/2017, variable rate thereafter), 3.250%, 9/20/2022(b) |
202,360 | ||||
970,000 |
Malaysia Government Bond, 3.620%, 11/30/2021, (MYR) |
243,989 | ||||
100,000 |
Petronas Capital Ltd., 7.875%, 5/22/2022, 144A(b) |
130,338 | ||||
|
|
|||||
825,917 | ||||||
|
|
|||||
Mexico 12.1% | ||||||
250,000 |
Alfa SAB de CV, 5.250%, 3/25/2024, 144A(b) |
275,000 | ||||
225,000 |
BBVA Bancomer S.A., 6.750%, 9/30/2022(b) |
255,533 | ||||
255,000 |
Fresnillo PLC, 5.500%, 11/13/2023, 144A(b) |
284,325 | ||||
250,000 |
Grupo KUO SAB de CV, 6.250%, 12/04/2022 |
262,187 | ||||
131,980() |
Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)(b) |
703,834 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Mexico continued | ||||||
55,000() |
Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
$ | 303,313 | |||
240,000 |
Mexico Government International Bond, 5.625%, 1/15/2017(b) |
243,600 | ||||
250,000 |
Nemak SAB de CV, 5.500%, 2/28/2023, 144A |
261,250 | ||||
235,000 |
Office Depot de Mexico S.A. de CV, 6.875%, 9/20/2020, 144A |
250,569 | ||||
200,000 |
Unifin Financiera SAB de CV SOFOM ENR, 6.250%, 7/22/2019, 144A |
200,500 | ||||
|
|
|||||
3,040,111 | ||||||
|
|
|||||
Morocco 1.0% | ||||||
225,000 |
OCP S.A., 5.625%, 4/25/2024, 144A(b) |
247,734 | ||||
|
|
|||||
Netherlands 1.0% | ||||||
245,000 |
GTH Finance BV, 6.250%, 4/26/2020, 144A |
257,556 | ||||
|
|
|||||
Paraguay 1.0% | ||||||
240,000 |
Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022 |
249,000 | ||||
|
|
|||||
Peru 1.6% | ||||||
190,000 |
InRetail Consumer, 5.250%, 10/10/2021, 144A |
197,600 | ||||
195,000 |
Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A |
203,677 | ||||
|
|
|||||
401,277 | ||||||
|
|
|||||
Philippines 3.0% | ||||||
240,000 |
Philippine Government International Bond, 4.200%, 1/21/2024(b) |
275,134 | ||||
240,000 |
Power Sector Assets and Liabilities Management Corp., 6.875%, 11/02/2016 |
242,112 | ||||
205,000 |
Power Sector Assets and Liabilities Management Corp., 7.250%, 5/27/2019(b) |
234,725 | ||||
|
|
|||||
751,971 | ||||||
|
|
|||||
Poland 1.0% | ||||||
220,000 |
Republic of Poland, 6.375%, 7/15/2019 |
249,476 | ||||
|
|
|||||
Qatar 1.3% | ||||||
285,000 |
Ooredoo International Finance Ltd., 4.750%, 2/16/2021, 144A(b) |
315,278 | ||||
|
|
|||||
Russia 4.5% | ||||||
265,000 |
Gazprom OAO Via Gaz Capital S.A., 3.850%, 2/06/2020, 144A(b) |
265,477 | ||||
245,000 |
MMC Norilsk Nickel OJSC via MMC Finance Ltd., 5.550%, 10/28/2020(b) |
260,967 | ||||
21,400,000 |
Russian Federal Bond - OFZ, Series 6214, 6.400%, 5/27/2020, (RUB) |
305,670 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Russia continued | ||||||
$ 242,950 |
Russian Foreign Bond-Eurobond, 7.500%, 3/31/2030(b) |
$ | 295,184 | |||
|
|
|||||
1,127,298 | ||||||
|
|
|||||
Singapore 1.2% | ||||||
300,000 |
BOC Aviation Ltd., 3.000%, 3/30/2020, 144A(b) |
306,607 | ||||
|
|
|||||
South Africa 3.6% | ||||||
125,000 |
AngloGold Ashanti Holdings PLC, 5.375%, 4/15/2020 |
131,312 | ||||
200,000 |
Myriad International Holdings BV, 5.500%, 7/21/2025, 144A |
211,604 | ||||
250,000 |
Republic of South Africa, 6.875%, 5/27/2019(b) |
278,750 | ||||
3,950,000 |
South Africa Government Bond, Series R186, 10.500%, 12/21/2026, (ZAR) |
294,004 | ||||
|
|
|||||
915,670 | ||||||
|
|
|||||
Supranational 0.8% | ||||||
200,000 |
Banque Quest Africaine de Developpement, 5.500%, 5/06/2021, 144A |
210,900 | ||||
|
|
|||||
Thailand 0.9% | ||||||
205,000 |
PTT Global Chemical PCL, 4.250%, 9/19/2022(b) |
226,278 | ||||
|
|
|||||
Turkey 7.8% | ||||||
200,000 |
Akbank TAS, 4.000%, 1/24/2020, 144A(b) |
198,440 | ||||
240,000 |
Coca-Cola Icecek AS, 4.750%, 10/01/2018, 144A(b) |
248,667 | ||||
200,000 |
Export Credit Bank of Turkey, 5.375%, 2/08/2021, 144A |
205,246 | ||||
250,000 |
Republic of Turkey, 7.000%, 3/11/2019(b) |
272,625 | ||||
275,000 |
TC Ziraat Bankasi AS, 4.750%, 4/29/2021, 144A |
274,337 | ||||
265,000 |
Turk Telekomunikasyon AS, 3.750%, 6/19/2019, 144A(b) |
267,650 | ||||
880,000 |
Turkey Government Bond, 9.500%, 1/12/2022, (TRY) |
300,052 | ||||
200,000 |
Turkiye Is Bankasi AS, 5.375%, 10/06/2021, 144A |
202,932 | ||||
|
|
|||||
1,969,949 | ||||||
|
|
|||||
United Arab Emirates 3.4% | ||||||
275,000 |
Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A(b) |
315,164 | ||||
230,000 |
DP World Ltd., 3.250%, 5/18/2020, 144A(b) |
237,710 | ||||
260,000 |
Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A(b) |
306,995 | ||||
|
|
|||||
859,869 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
United States 1.0% | ||||||
$ 260,000 |
Kosmos Energy Ltd., 7.875%, 8/01/2021, 144A |
$ | 249,600 | |||
|
|
|||||
Total Bonds and Notes (Identified Cost $23,236,259) |
23,698,779 | |||||
|
|
|||||
Senior Loans 0.4% |
||||||
United States 0.4% | ||||||
55,000 |
Coral U.S. Co-Borrower LLC, Term Loan B1, 5.500%, 12/30/2022(d) |
55,298 | ||||
45,000 |
Coral U.S. Co-Borrower LLC, Term Loan B2, 5.830%, 12/30/2022(d) |
45,244 | ||||
|
|
|||||
100,542 | ||||||
|
|
|||||
Total Senior Loans (Identified Cost $98,141) |
100,542 | |||||
|
|
|||||
Shares/Units of |
||||||
Purchased Options 0.1% |
||||||
Options on Securities 0.1% | ||||||
16,000 |
iShares® MSCI Brazil Capped ETF, Put expiring September 16, 2016 at 25(e) | 240 | ||||
30,000 |
iShares® MSCI Emerging Markets ETF, Call expiring November 18, 2016 at 38(e) | 21,150 | ||||
20,000 |
iShares® MSCI Emerging Markets ETF, Put expiring September 16, 2016 at 34(e) | 1,800 | ||||
|
|
|||||
(Identified Cost $79,337) | 23,190 | |||||
|
|
|||||
Over-the-Counter Options on Currency 0.0% | ||||||
800,000 |
RUB Call expiring September 01, 2016 at 73.7936(e)(f) (Identified Cost $13,744) |
| ||||
|
|
|||||
Total Purchased Options (Identified Cost $93,081) |
23,190 | |||||
|
|
|||||
Principal Amount () |
||||||
Short-Term Investments 2.5% |
||||||
$ 629,712 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2016 at 0.030% to be repurchased at $629,713 on 9/01/2016 collateralized by $600,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $642,750 including accrued interest(g) (Identified Cost $629,712) |
629,712 | ||||
|
|
|||||
Total Investments 97.0% (Identified Cost $24,057,193)(a) |
24,452,223 | |||||
Other assets less liabilities 3.0% | 758,855 | |||||
|
|
|||||
Net Assets 100.0% | $ | 25,211,078 | ||||
|
|
() | 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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 unlisted 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.
Domestic exchange-traded single name 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 most recent 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.
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.
() | Options on securities are expressed as shares. Options on currency are expressed as units of currency. |
() | Amount shown represents units. One unit represents a principal amount of 100. |
(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, 2016, the net unrealized appreciation on investments based on a cost of $24,248,531 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 |
$ | 816,531 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(612,839 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 203,692 | ||
|
|
At November 30, 2015, the Fund had a short-term capital loss carryforward of $503,527 with no expiration date and a long-term capital loss carryforward of $131,613 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(c) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(d) | Variable rate security. Rate as of August 31, 2016 is disclosed. |
(e) | The Fund may enter into option contracts. When a 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 or index 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. |
(f) | Counterparty is Morgan Stanley Capital Services, Inc. |
(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, 2016, the Fund had an investment in a repurchase agreement 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, 2016, the value of Rule 144A holdings amounted to $11,836,760 or 47.0% of net assets. |
EMTN | Euro Medium Term Note |
ETF | Exchange-Traded Fund |
OJSC | Open Joint-Stock Company |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
RUB | New Russian Ruble |
TRY | Turkish Lira |
ZAR | South African Rand |
Swap Agreements.
The Fund may enter into credit default and interest rate 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 have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund have 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 a 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.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads 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.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are privately negotiated in the OTC 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 cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At August 31, 2016, the Fund had the following open bilateral credit default swap agreements:
Sell Protection
Counterparty |
Reference Obligation |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Implied Credit Spread^ |
Notional Value() |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Barclays Bank PLC |
CDX.EM* Series 25, 5-Year | 1.00 | % | 6/20/2021 | 2.47 | % | $ | 550,000 | $ | (40,481 | ) | $ | (35,382 | ) | $ | 5,099 | ||||||||||||
Citibank, N.A. |
CDX.EM* Series 25, 5-Year | 1.00 | % | 6/20/2021 | 2.47 | % | 3,700,000 | (280,985 | ) | (238,018 | ) | 42,967 | ||||||||||||||||
Deutsche Bank AG |
CDX.EM* Series 25, 5-Year | 1.00 | % | 6/20/2021 | 2.47 | % | 550,000 | (37,062 | ) | (35,382 | ) | 1,680 | ||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | (308,782 | ) | $ | 49,746 | |||||||||||||||||||||||
|
|
|
|
() | 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, 2016, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||
Buy1 |
9/09/2016 | Brazilian Real | 1,300,000 | $ | 401,842 | $ | 36,160 | |||||||||
Sell1 |
9/09/2016 | Brazilian Real | 1,300,000 | 401,842 | (35,511 | ) | ||||||||||
Buy2 |
9/19/2016 | Colombian Peso | 730,000,000 | 244,788 | (3,934 | ) | ||||||||||
Buy1 |
10/28/2016 | Indonesian Rupiah | 3,300,000,000 | 246,711 | (944 | ) | ||||||||||
Sell1 |
10/28/2016 | Indonesian Rupiah | 3,300,000,000 | 246,711 | 3,289 | |||||||||||
Buy1 |
10/28/2016 | Malaysian Ringgit | 1,000,000 | 245,852 | 1,472 | |||||||||||
Sell1 |
10/28/2016 | Malaysian Ringgit | 1,000,000 | 245,852 | 3,898 | |||||||||||
Sell2 |
10/25/2016 | Mexican Peso | 13,450,000 | 711,597 | 21,553 | |||||||||||
Buy3 |
9/21/2016 | New Russian Ruble | 20,100,000 | 305,941 | (695 | ) | ||||||||||
Sell3 |
9/21/2016 | New Russian Ruble | 20,100,000 | 305,941 | 5,205 | |||||||||||
Buy1 |
9/21/2016 | South African Rand | 4,700,000 | 318,496 | 7,200 | |||||||||||
Buy4 |
9/21/2016 | South African Rand | 3,400,000 | 230,401 | (14,239 | ) | ||||||||||
Sell4 |
9/21/2016 | South African Rand | 3,400,000 | 230,401 | 9,161 | |||||||||||
Sell1 |
9/21/2016 | South African Rand | 4,700,000 | 318,496 | 4,236 | |||||||||||
Buy1 |
9/21/2016 | Turkish Lira | 910,000 | 306,388 | (725 | ) | ||||||||||
Sell1 |
9/21/2016 | Turkish Lira | 910,000 | 306,388 | 758 | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | 36,884 | |||||||||||||
|
|
1 | Counterparty is Morgan Stanley & Co. |
2 | Counterparty is Credit Suisse International |
3 | Counterparty is Bank of America, N.A. |
4 | Counterparty is UBS AG |
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. 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 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, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||
E-mini MSCI Emerging Markets Index |
9/16/2016 | 11 | $ | 488,345 | $ | (1,356 | ) | |||||
CBOE SPX Volatility Index |
9/21/2016 | 1 | 14,575 | (348 | ) | |||||||
|
|
|||||||||||
Total |
|
$ | (1,704 | ) | ||||||||
|
|
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, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes * |
$ | | $ | 23,698,779 | $ | | $ | 23,698,779 | ||||||||
Senior Loans* |
| 100,542 | | 100,542 | ||||||||||||
Purchased Options*(a) |
23,190 | | | 23,190 | ||||||||||||
Short-Term Investments |
| 629,712 | | 629,712 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
23,190 | 24,429,033 | | 24,452,223 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bilateral Credit Default Swap Agreements (unrealized appreciation) |
| 49,746 | | 49,746 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 92,932 | | 92,932 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 23,190 | $ | 24,571,711 | $ | | $ | 24,594,901 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (56,048 | ) | $ | | $ | (56,048 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(1,704 | ) | | | (1,704 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (1,704 | ) | $ | (56,048 | ) | $ | | $ | (57,752 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Includes a security valued at zero using level 2 inputs. |
For the period ended August 31, 2016, 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 an underlying asset, reference rate or index. Derivative instruments that the Fund currently uses 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, swaptions and swap agreements. During the period ended August 31, 2016, the Fund used forward foreign currency contracts, futures contracts, purchased call options and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts, interest rate swaptions and interest rate swap agreements 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, 2016, the Fund engaged in futures contracts and interest rate swap agreements to manage duration.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. During the period ended August 31, 2016, the Fund engaged in purchased put options for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of August 31, 2016:
Assets |
Investments at value1 |
Unrealized appreciation on forward foreign currency contracts |
Total | |||||||||
Over-the-counter asset derivatives Foreign exchange contracts |
$ | | $ | 92,932 | $ | 92,932 | ||||||
|
|
|
|
|
|
|||||||
Exchange-traded/cleared asset derivatives Equity contracts |
23,190 | | 23,190 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 23,190 | $ | 92,932 | $ | 116,122 | ||||||
|
|
|
|
|
|
Liabilities |
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 |
$ | (56,048 | ) | $ | | $ | | $ | (56,048 | ) | ||||||
Credit contracts |
| | (308,782 | ) | (308,782 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total over-the-counter asset derivatives |
$ | (56,048 | ) | $ | | $ | (308,782 | ) | $ | (364,830 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Exchange-traded/cleared liability derivatives Equity contracts |
| (1,704 | ) | | (1,704 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liability derivatives |
$ | (56,048 | ) | $ | (1,704 | ) | $ | (308,782 | ) | $ | (366,534 | ) | ||||
|
|
|
|
|
|
|
|
1 | Represents purchased options, at value. Including a purchased option valued at zero. |
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.
OTC derivatives, including forward foreign currency contracts, options 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, 2016, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
Barclays Bank PLC. |
$ | (35,382 | ) | $ | | |||
Citibank, N.A. |
(238,019 | ) | 378,070 | |||||
Deutsche Bank AG |
(35,381 | ) | | |||||
UBS AG |
(5,078 | ) | |
Timing differences may exist between when contracts under the ISDA agreements 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 OTC 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
$851,002 |
$562,013 |
Industry Summary at August 31, 2016 (Unaudited) |
||||
Foreign Sovereign |
13.2 | % | ||
Sovereign |
10.2 | |||
Banking |
7.6 | |||
Telecom - Wireless |
4.9 | |||
Integrated Energy |
4.5 | |||
Telecom - Wireline Integrated & Services |
4.2 | |||
Electric-Integrated |
4.1 | |||
Government Guaranteed |
3.5 | |||
Energy - Exploration & Production |
3.5 | |||
Gas Distribution |
3.0 | |||
Chemicals |
2.9 | |||
Metals & Mining Excluding Steel |
2.6 | |||
Software & Services |
2.6 | |||
Transportation Infrastructure/Services |
2.3 | |||
Cons/Comm/Lease Financing |
2.0 | |||
Diversified Capital Goods |
2.0 | |||
Other Investments, less than 2% each |
21.4 | |||
Short-Term Investments |
2.5 | |||
|
|
|||
Total Investments |
97.0 | |||
Other assets less liabilities (including swap agreements, forward foreign currency contracts and futures contracts) |
3.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2016 (Unaudited)
Loomis Sayles Global Growth Fund
Shares |
Description |
Value () | ||||
Common Stocks 99.2% of Net Assets | ||||||
Argentina 3.1% | ||||||
1,638 | MercadoLibre, Inc. | $ | 281,736 | |||
|
|
|||||
Brazil 2.2% | ||||||
19,080 | Companhia Brasileira de Meios de Pagamento | 198,469 | ||||
|
|
|||||
China 9.6% | ||||||
5,209 | Alibaba Group Holding Ltd., Sponsored ADR(b) | 506,263 | ||||
2,212 | Baidu, Inc., Sponsored ADR(b) | 378,407 | ||||
|
|
|||||
884,670 | ||||||
|
|
|||||
Denmark 3.8% | ||||||
7,495 | Novo Nordisk AS, Class B | 350,772 | ||||
|
|
|||||
France 6.6% | ||||||
4,786 | Danone | 364,346 | ||||
2,097 | Sodexo S.A. | 243,438 | ||||
|
|
|||||
607,784 | ||||||
|
|
|||||
Germany 4.7% | ||||||
2,616 | Adidas AG | 434,800 | ||||
|
|
|||||
Ireland 2.9% | ||||||
13,500 | Experian PLC | 268,460 | ||||
|
|
|||||
Italy 1.1% | ||||||
34,400 | Prada SpA | 103,011 | ||||
|
|
|||||
Sweden 1.4% | ||||||
15,225 | Elekta AB, Class B | 130,082 | ||||
|
|
|||||
Switzerland 8.5% | ||||||
2,760 | Nestle S.A., (Registered) | 219,952 | ||||
3,333 | Novartis AG, (Registered) | 262,517 | ||||
1,229 | Roche Holding AG | 299,999 | ||||
|
|
|||||
782,468 | ||||||
|
|
|||||
United Kingdom 4.3% | ||||||
3,304 | ARM Holdings PLC | 73,595 | ||||
5,654 | Diageo PLC | 156,700 | ||||
3,658 | Unilever NV | 168,309 | ||||
|
|
|||||
398,604 | ||||||
|
|
|||||
United States 51.0% | ||||||
427 | Alphabet, Inc., Class A(b) | 337,266 | ||||
483 | Amazon.com, Inc.(b) | 371,504 | ||||
1,723 | American Express Co. | 112,994 | ||||
5,735 | Coca-Cola Co. (The) | 249,071 | ||||
3,112 | Colgate-Palmolive Co. | 231,346 | ||||
680 | Core Laboratories NV | 76,011 | ||||
2,874 | Deere & Co. | 242,997 | ||||
2,934 | Expeditors International of Washington, Inc. | 148,607 |
Shares |
Description |
Value () | ||||
Common Stocks continued | ||||||
United States continued | ||||||
2,753 | Facebook, Inc., Class A(b) | $ | 347,208 | |||
3,852 | Microsoft Corp. | 221,336 | ||||
10,505 | Oracle Corp. | 433,016 | ||||
3,275 | Procter & Gamble Co. (The) | 285,940 | ||||
5,061 | QUALCOMM, Inc. | 319,197 | ||||
3,745 | Schlumberger Ltd. | 295,855 | ||||
3,835 | SEI Investments Co. | 176,794 | ||||
4,133 | Shire PLC | 258,112 | ||||
4,172 | Visa, Inc., Class A | 337,515 | ||||
2,848 | Yum! Brands, Inc. | 258,342 | ||||
|
|
|||||
4,703,111 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $8,439,185) |
9,143,967 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 4.4% | ||||||
$ 400,652 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2016 at 0.030% to be repurchased at $400,652 on 9/01/2016 collateralized by $385,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $412,431 including accrued interest(c) (Identified Cost $400,652) |
400,652 | ||||
|
|
|||||
Total Investments 103.6% (Identified Cost $8,839,837)(a) |
9,544,619 | |||||
Other assets less liabilities (3.6)% | (330,386 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 9,214,233 | ||||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
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.
As of August 31, 2016, securities held by the Fund were fair valued as follows:
Equity securities1 |
Percentage of Net Assets | |
$3,334,093 |
36.2% |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
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, 2016, the net unrealized appreciation on investments based on a cost of $8,839,837 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 |
$ | 804,126 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(99,344 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 704,782 | ||
|
|
(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, 2016, the Fund had an investment in a repurchase agreement 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, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
Denmark |
$ | | $ | 350,772 | $ | | $ | 350,772 | ||||||||
France |
| 607,784 | | 607,784 | ||||||||||||
Germany |
| 434,800 | | 434,800 | ||||||||||||
Ireland |
| 268,460 | | 268,460 | ||||||||||||
Italy |
| 103,011 | | 103,011 | ||||||||||||
Sweden |
| 130,082 | | 130,082 | ||||||||||||
Switzerland |
| 782,468 | | 782,468 | ||||||||||||
United Kingdom |
| 398,604 | | 398,604 | ||||||||||||
United States |
4,444,999 | 258,112 | | 4,703,111 | ||||||||||||
All Other Common Stocks* |
1,364,875 | | | 1,364,875 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
5,809,874 | 3,334,093 | | 9,143,967 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 400,652 | | 400,652 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 5,809,874 | $ | 3,734,745 | $ | | $ | 9,544,619 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2016, there were no transfers among Levels 1, 2 and 3.
Industry Summary at August 31, 2016 (Unaudited) | ||||
Internet Software & Services |
20.2 | % | ||
Pharmaceuticals |
9.9 | |||
Software |
7.1 | |||
Food Products |
6.4 | |||
IT Services |
5.9 | |||
Textiles, Apparel & Luxury Goods |
5.8 | |||
Household Products |
5.6 | |||
Hotels, Restaurants & Leisure |
5.4 | |||
Beverages |
4.4 | |||
Semiconductors & Semiconductor Equipment |
4.3 | |||
Energy Equipment & Services |
4.0 | |||
Internet & Catalog Retail |
4.0 | |||
Professional Services |
2.9 | |||
Biotechnology |
2.8 | |||
Machinery |
2.6 | |||
Other Investments, less than 2% each |
7.9 | |||
Short-Term Investments |
4.4 | |||
|
|
|||
Total Investments |
103.6 | |||
Other assets less liabilities |
(3.6 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at August 31, 2016 (Unaudited) | ||||
United States Dollar |
65.3 | % | ||
Euro |
13.1 | |||
Swiss Franc |
8.5 | |||
British Pound |
8.2 | |||
Danish Krone |
3.8 | |||
Brazilian Real |
2.2 | |||
Other, less than 2% each |
2.5 | |||
|
|
|||
Total Investments |
103.6 | |||
Other assets less liabilities |
(3.6 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2016 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount |
Description |
Value () | ||||
Senior Loans 86.1% of Net Assets |
||||||
Aerospace & Defense 0.8% | ||||||
$ 889,387 |
Advanced Integration Technology LP, Term Loan, 7/22/2021(b) |
$ | 889,387 | |||
5,693,000 |
Advanced Integration Technology LP, Term Loan, 6.500%, 7/22/2021(c) |
5,693,000 | ||||
545,502 |
Cadence Aerospace LLC, Term Loan B, 7.000%, 5/09/2018(c) |
512,772 | ||||
4,366,803 |
Engility Corp., Term Loan B2, 5.750%, 8/12/2023(c) |
4,396,846 | ||||
3,044,555 |
WP CPP Holdings LLC, Term Loan B3, 4.500%, 12/28/2019(c) |
2,930,384 | ||||
|
|
|||||
14,422,389 | ||||||
|
|
|||||
Automotive 3.8% | ||||||
8,289,544 |
Dayco Products LLC, New Term Loan B, 5.250%, 12/12/2019(c) |
8,289,544 | ||||
1,472,000 |
Gates Global, Inc., Term Loan, 7/06/2021(b) |
1,448,080 | ||||
11,707,543 |
Gates Global, Inc., Term Loan B, 4.250%, 7/06/2021(c) |
11,517,296 | ||||
5,719,966 |
IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(c)(d)(e) |
5,090,770 | ||||
4,892,000 |
J.D. Power and Associates, 1st Lien Term Loan, 5/24/2023(b) |
4,910,345 | ||||
9,737,595 |
Solera LLC, USD Term Loan B, 5.750%, 3/03/2023(c) |
9,789,788 | ||||
6,999,000 |
Tectum Holdings, Inc., Term Loan B, 8/24/2023(b) |
6,990,251 | ||||
2,458,000 |
Trader Corp., Term Loan, 8/09/2023(b) |
2,459,548 | ||||
8,183,413 |
U.S. Farathane LLC, Term Loan B2, 5.750%, 12/23/2021(c) |
8,203,871 | ||||
9,209,091 |
Wand Intermediate I LP, 2nd Lien Term Loan, 8.250%, 9/19/2022(c) |
8,472,364 | ||||
|
|
|||||
67,171,857 | ||||||
|
|
|||||
Banking 0.2% | ||||||
3,809,000 |
Diebold, Inc., USD Term Loan, 5.250%, 11/06/2023(c) |
3,823,284 | ||||
|
|
|||||
Building Materials 1.3% | ||||||
6,114,902 |
Builders FirstSource, Inc., Reprice Term Loan B, 8/11/2022(b) |
6,131,718 | ||||
6,100,022 |
Contech Engineered Solutions LLC, New Term Loan, 6.250%, 4/29/2019(c) |
6,079,709 | ||||
2,782,648 |
Jeld-Wen, Inc., Term Loan B, 5.250%, 10/15/2021(c) |
2,799,177 | ||||
8,269,240 |
Munters Corp., Term Loan, 6.250%, 5/05/2021(c) |
8,172,738 | ||||
|
|
|||||
23,183,342 | ||||||
|
|
|||||
Chemicals 4.7% | ||||||
5,516,741 |
Allnex (Luxembourg) & Cy SCA, 2016 USD Term Loan B2, 5/31/2023(b) |
5,540,904 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Chemicals continued | ||||||
$ 4,156,259 |
Allnex USA, Inc., USD Term Loan B3, 5/31/2023(b) |
$ | 4,174,463 | |||
1,800,000 |
Avantor Performance Materials Holdings, Inc., 2016 1st Lien Term Loan, 6/21/2022(b) |
1,796,634 | ||||
8,681,000 |
Avantor Performance Materials Holdings, Inc., 2016 1st Lien Term Loan, 6.000%, 6/21/2022(c) |
8,664,767 | ||||
10,307,000 |
Kraton Polymers LLC, Term Loan B, 6.000%, 1/06/2022(c) |
10,313,493 | ||||
7,187,433 |
MacDermid, Inc., USD 1st Lien Term Loan, 5.500%, 6/07/2020(c) |
7,182,977 | ||||
1,252,535 |
MacDermid, Inc., USD Term Loan B3, 5.500%, 6/07/2020(c) |
1,251,909 | ||||
8,818,920 |
Methanol Holdings (Trinidad) Ltd., Term Loan B, 4.250%, 6/30/2022(c) |
8,664,589 | ||||
2,000,000 |
Nexeo Solutions LLC, 2016 Term Loan, 6/09/2023(b) |
2,006,260 | ||||
5,191,000 |
Nexeo Solutions LLC, 2016 Term Loan, 5.250%, 6/09/2023(c) |
5,207,248 | ||||
1,674,000 |
OCI Beaumont LLC, Term Loan B3, 8/20/2019(b) |
1,670,870 | ||||
11,438,283 |
OCI Beaumont LLC, Term Loan B3, 7.750%, 8/20/2019(c) |
11,416,893 | ||||
6,184,300 |
Plaskolite, Inc., 1st Lien Term Loan, 5.500%, 11/03/2022(c) |
6,179,167 | ||||
9,268,851 |
Styrolution U.S. Holding LLC, USD Term Loan B, 6.500%, 11/07/2019(c) |
9,280,437 | ||||
|
|
|||||
83,350,611 | ||||||
|
|
|||||
Construction Machinery 0.3% | ||||||
6,738,429 |
Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(c) |
5,154,899 | ||||
|
|
|||||
Consumer Cyclical Services 6.8% | ||||||
9,409,168 |
Access CIG LLC, 1st Lien Term Loan, 6.000%, 10/18/2021(c) |
9,350,361 | ||||
8,116,912 |
Active Network, Inc. (The), 1st Lien Term Loan, 5.500%, 11/13/2020(c) |
8,056,035 | ||||
1,355,000 |
Alorica, Inc., Term Loan B, 5.500%, 6/30/2022(c) |
1,366,287 | ||||
13,254,000 |
DTZ U.S. Borrower LLC, 2nd Lien Term Loan, 9.250%, 11/04/2022(c) |
13,336,837 | ||||
1,282,500 |
Imagine! Print Solutions, Inc., Term Loan B, 3/30/2022(b) |
1,287,309 | ||||
5,114,351 |
Imagine! Print Solutions, Inc., Term Loan B, 7.000%, 3/30/2022(c) |
5,133,530 | ||||
10,449,000 |
Mergermarket USA, Inc., 2nd Lien Term Loan, 7.500%, 2/04/2022(c) |
9,874,305 | ||||
8,425,633 |
Miller Heiman, Inc., Term Loan B, 7.000%, 9/30/2019(c)(d)(e) |
5,266,021 | ||||
1,624,279 |
SGS Cayman LP, 2014 Term Loan B, 6.000%, 4/23/2021(c) |
1,616,157 | ||||
11,330,685 |
SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(c) |
9,045,626 | ||||
7,276,840 |
STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan, 6.250%, 6/30/2022(c) |
7,122,207 | ||||
6,977,820 |
Sutherland Global Services, Inc., Term Loan B, 6.000%, 4/23/2021(c) |
6,942,931 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Consumer Cyclical Services continued | ||||||
$ 8,317,000 | TruGreen LP, 1st Lien Term Loan B, 6.500%, 4/13/2023(c) |
$ | 8,358,585 | |||
8,671,000 | U.S. Security Associates Holdings, Inc., 2016 Term Loan, 6.000%, 7/14/2023(c) |
8,656,519 | ||||
2,044,205 | USAGM HoldCo LLC, 2016 Incremental Delayed Draw Term Loan, 2.250%, 7/28/2022(f) |
2,040,383 | ||||
10,302,795 | USAGM HoldCo LLC, 2016 Incremental Term Loan, 5.500%, 7/28/2022(c) |
10,283,528 | ||||
2,090,115 | William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.250%, 5/06/2021(c) |
2,092,080 | ||||
10,072,000 | William Morris Endeavor Entertainment LLC, 2nd Lien Term Loan, 8.250%, 5/06/2022(c) |
10,046,820 | ||||
|
|
|||||
119,875,521 | ||||||
|
|
|||||
Consumer Products 2.9% | ||||||
10,693,000 | Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 7.500%, 7/25/2022(c) |
10,167,225 | ||||
7,868,332 | Bioplan USA, Inc., 2015 Term Loan, 5.750%, 9/23/2021(c) |
7,120,840 | ||||
10,600,000 | NBTY, Inc., USD Term Loan B, 5/05/2023(b) |
10,603,286 | ||||
8,345,490 | NYDJ Apparel LLC, Term Loan, 7.000%, 1/06/2020(c) |
5,007,294 | ||||
6,985,000 | Ozark Holdings LLC, Term Loan B, 5.750%, 7/01/2023(c) |
7,011,194 | ||||
1,860,629 | Polyconcept Investments BV, USD 2016 Term Loan B, 8/10/2023(b) |
1,860,629 | ||||
5,561,745 | SRAM LLC, New Term Loan B, 4.015%, 4/10/2020(g) |
5,325,371 | ||||
2,000,000 | Strategic Partners, Inc., 2016 Term Loan, 6/30/2023(b) |
2,005,000 | ||||
2,000,000 | Strategic Partners, Inc., 2016 Term Loan, 6.250%, 6/30/2023(c) |
2,005,000 | ||||
|
|
|||||
51,105,839 | ||||||
|
|
|||||
Diversified Manufacturing 1.2% | ||||||
3,974,593 | Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(c) |
1,589,837 | ||||
2,000,000 | CPI Acquisition, Inc., Term Loan B, 8/17/2022(b) |
1,944,160 | ||||
7,227,841 | CPI Acquisition, Inc., Term Loan B, 5.500%, 8/17/2022(c) |
7,026,040 | ||||
2,538,000 | Douglas Dynamics Holdings, Inc., New Term Loan, 5.250%, 12/31/2021(c) |
2,544,345 | ||||
8,168,479 | NN, Inc., 2015 Term Loan B, 5.750%, 10/19/2022(c) |
8,110,647 | ||||
|
|
|||||
21,215,029 | ||||||
|
|
|||||
Electric 4.0% | ||||||
9,632,353 | APLP Holdings LP, 2016 Term Loan B, 6.000%, 4/13/2023(c) |
9,666,066 | ||||
3,000,000 | Dynegy, Inc., Escrow, 6/27/2023(b) |
3,000,480 | ||||
8,649,187 | Mirion Technologies, Inc., Term Loan B, 5.750%, 3/31/2022(c) |
8,627,564 | ||||
7,965,132 | PrimeLine Utility Services LLC, Term Loan, 6.500%, 11/12/2022(c) |
7,955,176 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Electric continued | ||||||
$ 11,465,372 |
TerraForm AP Acquisition Holdings LLC, Term Loan B, 7.000%, 6/26/2022(c) |
$ | 11,236,065 | |||
29,918,093 |
TPF II Power LLC, Term Loan B, 10/02/2021(b) |
30,037,765 | ||||
|
|
|||||
70,523,116 | ||||||
|
|
|||||
Environmental 0.8% | ||||||
5,226,076 |
EnergySolutions LLC, New Term Loan, 6.750%, 5/29/2020(c) |
5,173,815 | ||||
3,369,000 |
EWT Holdings III Corp., 2nd Lien Term Loan, 8.500%, 1/15/2022(c) |
3,335,310 | ||||
5,118,786 |
SiteOne Landscape Supply, Inc., 2016 Term Loan B, 6.250%, 4/29/2022(c) |
5,131,583 | ||||
|
|
|||||
13,640,708 | ||||||
|
|
|||||
Finance Companies 0.7% | ||||||
11,347,000 |
iStar Financial, Inc., 2016 Term Loan B, 5.500%, 7/01/2020(c) |
11,417,919 | ||||
|
|
|||||
Financial Other 2.4% | ||||||
6,520,172 |
Ascensus, Inc., Term Loan, 5.500%, 12/03/2022(c) |
6,446,820 | ||||
11,265,475 |
DBRS Ltd., Term Loan, 6.250%, 3/04/2022(c) |
11,061,344 | ||||
7,965,803 |
Eze Castle Software, Inc., New 2nd Lien Term Loan, 7.250%, 4/05/2021(c) |
7,673,697 | ||||
8,079,551 |
Institutional Shareholder Services, Inc., Term Loan, 5.000%, 4/30/2021(c) |
7,958,358 | ||||
4,135,000 |
Victory Capital Management Inc., Term Loan B, 10/31/2021(b) |
4,008,386 | ||||
4,405,000 |
Victory Capital Management, Inc., Term Loan B, 8.500%, 10/31/2021(c) |
4,270,119 | ||||
|
|
|||||
41,418,724 | ||||||
|
|
|||||
Food & Beverage 1.5% | ||||||
7,895,000 |
ASP MSG Acquisition Co., Inc., Term Loan B, 6.000%, 8/16/2023(c) |
7,904,869 | ||||
9,492,120 |
CPM Holdings, Inc., Term Loan B, 6.000%, 4/11/2022(c) |
9,539,580 | ||||
8,420,000 |
Give & Go Prepared Foods Corp., 1st Lien Term Loan, 6.500%, 6/23/2023(c) |
8,356,850 | ||||
|
|
|||||
25,801,299 | ||||||
|
|
|||||
Health Insurance 0.6% | ||||||
11,057,000 |
Sedgwick Claims Management Services, Inc., Incremental 2nd Lien Term Loan, 6.750%, 2/28/2022(c) |
10,927,965 | ||||
|
|
|||||
Healthcare 8.0% | ||||||
5,707,206 |
21st Century Oncology Holdings, Inc., Term Loan, 7.125%, 4/30/2022(c) |
5,421,845 | ||||
8,528,456 |
ATI Holdings Acquisition, Inc., 2016 Term Loan, 5.500%, 5/10/2023(c) |
8,571,098 | ||||
3,672,667 |
CareCore National LLC, Term Loan B, 5.500%, 3/05/2021(c) |
3,580,850 | ||||
9,604,932 |
CDRH Parent, Inc., New 1st Lien Term Loan, 5.250%, 7/01/2021(c) |
8,164,192 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Healthcare continued | ||||||
$ 11,781,339 | CT Technologies Intermediate Holdings, Inc., New 1st Lien Term Loan, 5.250%, 12/01/2021(c) |
$ | 11,545,712 | |||
5,025,696 | Explorer Holdings, Inc., 2016 Term Loan B, 6.000%, 5/02/2023(c) |
5,046,100 | ||||
10,247,790 | FHC Health Systems, Inc., 2014 Term Loan, 5.000%, 12/23/2021(c) |
10,017,215 | ||||
31,958 | Global Healthcare Exchange LLC, 2015 Term Loan B, 8/15/2022(b) |
32,038 | ||||
845,880 | Global Healthcare Exchange LLC, 2015 Term Loan B, 5.250%, 8/15/2022(c) |
847,995 | ||||
2,000,000 | Greatbatch Ltd., Term Loan B, 10/27/2022(b) |
1,982,500 | ||||
11,386,980 | HC Group Holdings III, Inc., Term Loan B, 6.000%, 4/07/2022(c) |
11,401,214 | ||||
4,764,100 | NMSC Holdings, Inc., 1st Lien Term Loan, 6.000%, 4/19/2023(c) |
4,799,831 | ||||
895,755 | NVA Holdings, Inc., 2016 Term Loan, 5.500%, 8/14/2021(c) |
895,755 | ||||
6,184,102 | NVA Holdings, Inc., 2nd Lien Term Loan, 8.000%, 8/14/2022(c) |
6,140,318 | ||||
5,403,215 | Onex TSG Holdings II Corp., 1st Lien Term Loan, 5.000%, 7/31/2022(c) |
5,421,208 | ||||
8,602,000 | Patterson Medical Holdings, Inc., 1st Lien Term Loan, 5.750%, 8/28/2022(c) |
8,580,495 | ||||
11,102,795 | Steward Health Care System LLC, Term Loan B, 6.750%, 4/12/2020(c) |
11,047,281 | ||||
4,914,606 | Surgery Center Holdings, Inc., New 1st Lien Term Loan, 5.250%, 11/03/2020(c) |
4,914,606 | ||||
11,358,337 | Tecomet, Inc., 1st Lien Term Loan, 5.750%, 12/05/2021(c) |
11,168,993 | ||||
325,000 | U.S. Renal Care, Inc., 2015 Term Loan B, 12/31/2022(b) |
312,813 | ||||
10,300,930 | U.S. Renal Care, Inc., 2015 Term Loan B, 5.250%, 12/31/2022(c) |
9,914,645 | ||||
9,943,080 | Vizient, Inc., 1st Lien Term Loan, 6.250%, 2/13/2023(c) |
10,048,775 | ||||
|
|
|||||
139,855,479 | ||||||
|
|
|||||
Home Construction 0.6% | ||||||
11,167,610 | LBM Borrower LLC, 1st Lien Term Loan, 6.250%, 8/20/2022(c) |
11,106,188 | ||||
|
|
|||||
Independent Energy 1.2% | ||||||
6,160,000 | California Resources Corp., Second Out Term Loan, 8/04/2021(b) |
6,452,600 | ||||
5,894,000 | Callon Petroleum Co., 2nd Lien Term Loan, 8.500%, 10/08/2021(c) |
5,928,362 | ||||
8,595,269 | Chesapeake Energy Corp., Term Loan, 8/15/2021(b) |
8,863,871 | ||||
|
|
|||||
21,244,833 | ||||||
|
|
|||||
Industrial Other 7.5% | ||||||
8,551,000 | Brickman Group Ltd. LLC, 2nd Lien Term Loan, 7.500%, 12/17/2021(c) |
8,422,735 | ||||
6,869,000 | Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, 7.000%, 11/22/2021(c) |
4,501,324 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Industrial Other continued | ||||||
$ 7,028,680 | Dexter Axle Co., USD Term Loan, 6.250%, 12/30/2022(c) |
$ | 7,022,846 | |||
9,619,590 | Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(c) |
9,539,459 | ||||
1,361,725 | Filtration Group Corp., 2nd Lien Term Loan, 8.250%, 11/21/2021(c) |
1,340,019 | ||||
5,444,355 | GCA Services Group, Inc., 2016 Term Loan, 5.750%, 3/01/2023(c) |
5,476,096 | ||||
5,581,030 | Hampton Rubber Co., 1st Lien Term Loan, 5.000%, 3/27/2021(c) |
4,353,204 | ||||
4,914,355 | Harland Clarke Holdings Corp., Term Loan B3, 7.000%, 5/22/2018(c) |
4,829,583 | ||||
5,239,784 | Harland Clarke Holdings Corp., Term Loan B5, 7.000%, 12/31/2019(c) |
5,139,337 | ||||
6,604,408 | Language Line LLC, 2015 1st Lien Term Loan, 6.500%, 7/07/2021(c) |
6,594,105 | ||||
1,004,000 | LS Newco Pty Ltd., 2016 Term Loan B, 5/21/2022(b) |
1,007,765 | ||||
5,018,298 | LTI Holdings, Inc., 1st Lien Term Loan, 5.250%, 4/16/2022(c) |
4,911,659 | ||||
2,312,958 | McJunkin Red Man Corp., New Term Loan, 5.000%, 11/08/2019(c) |
2,255,134 | ||||
12,180,477 | Merrill Communications LLC, 2015 Term Loan, 6.250%, 6/01/2022(c) |
11,145,137 | ||||
4,414,000 | MTS Systems Corp., Term Loan B, 5.000%, 7/05/2023(c) |
4,452,622 | ||||
8,570,700 | NES Global Talent Ltd., 1st Lien Term Loan, 6.500%, 10/03/2019(c) |
7,627,923 | ||||
8,907,310 | North American Lifting Holdings, Inc., 1st Lien Term Loan, 5.500%, 11/27/2020(c) |
6,791,824 | ||||
7,680,000 | Oxbow Carbon LLC, 2nd Lien Term Loan, 8.000%, 1/17/2020(c) |
7,526,400 | ||||
8,459,568 | RedTop Luxembourg S.a.r.l., USD 2nd Lien Term Loan, 8.250%, 6/03/2021(c) |
8,290,376 | ||||
4,115,160 | Research Now Group, Inc., Term Loan, 5.500%, 3/18/2021(c)(d)(e) |
3,991,705 | ||||
11,308,050 | Trojan Battery Co. LLC, 2013 Term Loan, 5.750%, 6/11/2021(c) |
11,223,240 | ||||
5,407,500 | WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 7/13/2023(b) |
5,411,988 | ||||
|
|
|||||
131,854,481 | ||||||
|
|
|||||
Internet & Data 0.8% | ||||||
625,000 | Cision U.S., Inc., USD Term Loan B, 6/16/2023(b) |
592,969 | ||||
10,352,000 | Cision U.S., Inc., USD Term Loan B, 7.000%, 6/16/2023(c) |
9,821,460 | ||||
4,806,549 | YP LLC, USD Term Loan B, 8.000%, 6/04/2018(c) |
4,494,123 | ||||
|
|
|||||
14,908,552 | ||||||
|
|
|||||
Leisure 2.5% | ||||||
12,230,152 | AMF Bowling Centers, Inc., 2016 Term Loan, 8/17/2023(b) |
12,128,275 | ||||
11,409,132 | AMF Bowling Centers, Inc., Term Loan B, 7.250%, 9/18/2021(c) |
11,366,348 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Leisure continued | ||||||
$ 4,543,000 | Cast and Crew Payroll LLC, Term Loan B, 5.000%, 8/12/2022(c) |
$ | 4,452,140 | |||
6,727,165 | CDS U.S. Intermediate Holdings, Inc., 1st Lien Term Loan, 5.000%, 7/08/2022(c) |
6,648,659 | ||||
3,931,000 | CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan, 9.250%, 7/10/2023(c) |
3,557,555 | ||||
5,165,000 | Leslies Poolmart, Inc., 2016 Term Loan, 7/27/2023(b) |
5,197,281 | ||||
|
|
|||||
43,350,258 | ||||||
|
|
|||||
Lodging 0.5% | ||||||
8,709,556 | Four Seasons Holdings, Inc., 2nd Lien Term Loan, 7.750%, 12/27/2020(c) |
8,727,671 | ||||
|
|
|||||
Media Entertainment 3.7% | ||||||
9,795,825 | ALM Media Holdings, Inc., 1st Lien Term Loan, 5.500%, 7/31/2020(c) |
9,477,461 | ||||
8,239,700 | Alpha Media LLC, 2016 Term Loan, 7.019%, 2/25/2022(g) |
7,827,715 | ||||
9,586,273 | Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.250%, 6/07/2023(c) |
9,568,347 | ||||
9,371,263 | Cumulus Media Holdings, Inc., 2013 Term Loan, 4.250%, 12/23/2020(c) |
6,505,249 | ||||
2,388,068 | Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(c) |
2,292,545 | ||||
2,151,937 | Extreme Reach, Inc., 1st Lien Term Loan, 7.250%, 2/07/2020(c) |
2,165,387 | ||||
7,588,000 | Extreme Reach, Inc., 2nd Lien Term Loan, 11.000%, 1/24/2021(c) |
7,222,865 | ||||
5,633,079 | iHeartCommunications, Inc., Term Loan D, 7.274%, 1/30/2019(c) |
4,317,755 | ||||
1,400,000 | Penton Media, Inc., New 2nd Lien Term Loan, 10/02/2020(b) |
1,396,500 | ||||
5,456,000 | Penton Media, Inc., New 2nd Lien Term Loan, 9.000%, 10/02/2020(c) |
5,442,360 | ||||
8,273,954 | ProQuest LLC, New Term Loan B, 5.750%, 10/24/2021(c) |
8,187,739 | ||||
|
|
|||||
64,403,923 | ||||||
|
|
|||||
Metals & Mining 0.9% | ||||||
3,952,116 | American Rock Salt Holdings LLC, 1st Lien Term Loan, 4.750%, 5/20/2021(c) |
3,756,170 | ||||
6,196,463 | American Rock Salt Holdings LLC, Incremental Term Loan, 4.750%, 5/20/2021(c) |
5,889,243 | ||||
5,763,767 | Global Brass & Copper, Inc., 2016 Term Loan B, 5.250%, 7/18/2023(c) |
5,799,790 | ||||
|
|
|||||
15,445,203 | ||||||
|
|
|||||
Midstream 1.3% | ||||||
10,367,000 | Gulf Finance LLC, Term Loan B, 8/17/2023(b) |
10,038,677 | ||||
2,793,892 | Targa Resources Corp., Term Loan B, 5.750%, 2/25/2022(c) |
2,793,892 | ||||
9,965,939 | Veresen Midstream LP, Term Loan B1, 3/31/2022(b) |
9,853,822 | ||||
|
|
|||||
22,686,391 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Natural Gas 0.2% | ||||||
$ 2,893,716 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.250%, 8/04/2021(c) |
$ | 2,334,274 | |||
1,670,106 |
Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(c) |
1,408,450 | ||||
|
|
|||||
3,742,724 | ||||||
|
|
|||||
Oil Field Services 0.3% | ||||||
316,667 |
Pinnacle Holdco S.a.r.l., 2nd Lien Term Loan, 10.500%, 7/24/2020(c) |
221,667 | ||||
5,489,727 |
Pinnacle Holdco S.a.r.l., Term Loan, 4.750%, 7/30/2019(c) |
4,199,642 | ||||
2,353,107 |
UTEX Industries, Inc., 1st Lien Term Loan 2014, 5.000%, 5/22/2021(c) |
1,658,940 | ||||
|
|
|||||
6,080,249 | ||||||
|
|
|||||
Other Utility 0.7% | ||||||
11,973,000 |
PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(c) |
11,853,270 | ||||
|
|
|||||
Packaging 0.8% | ||||||
8,838,168 |
Hilex Poly Co. LLC, Term Loan B, 6.000%, 12/05/2021(c) |
8,882,359 | ||||
5,307,853 |
PLZ Aeroscience Corp., USD Term Loan, 5.250%, 7/31/2022(c) |
5,294,584 | ||||
|
|
|||||
14,176,943 | ||||||
|
|
|||||
Property & Casualty Insurance 3.3% | ||||||
4,618,000 |
Alliant Holdings I, Inc., Incremental Term Loan B2, 5.000%, 8/12/2022(c) |
4,618,000 | ||||
2,196,405 |
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.500%, 9/04/2020(c) |
2,218,369 | ||||
13,836,812 |
Applied Systems, Inc., New 2nd Lien Term Loan, 7.500%, 1/24/2022(c) |
13,875,694 | ||||
7,985,920 |
AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.750%, 10/21/2022(c) |
8,012,513 | ||||
2,843,314 |
Cunningham Lindsey U.S., Inc., 1st Lien Term Loan, 5.000%, 12/10/2019(c) |
2,288,867 | ||||
701,591 |
Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 9.250%, 6/10/2020(c)(d)(e) |
263,974 | ||||
1,800,000 |
Hyperion Insurance Group Ltd, 2015 Term Loan B, 4/29/2022(b) |
1,738,494 | ||||
8,923,856 |
Hyperion Insurance Group Ltd., 2015 Term Loan B, 5.500%, 4/29/2022(c) |
8,618,928 | ||||
9,375,000 |
Mitchell International, Inc., New 2nd Lien Term Loan, 8.500%, 10/11/2021(c) |
9,082,031 | ||||
4,586,000 |
Vertafore, Inc., 2016 1st Lien Term Loan, 4.750%, 6/30/2023(c) |
4,593,017 | ||||
2,784,103 |
York Risk Services Holding Corp., Term Loan B, 4.750%, 10/01/2021(c) |
2,470,891 | ||||
|
|
|||||
57,780,778 | ||||||
|
|
|||||
Restaurants 1.1% | ||||||
7,679,000 |
Portillos Holdings LLC, 2nd Lien Term Loan, 8.000%, 8/01/2022(c) |
7,640,605 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Restaurants continued | ||||||
$ 11,555,333 |
Red Lobster Management LLC, Term Loan B, 6.250%, 7/28/2021(c) |
$ | 11,584,221 | |||
|
|
|||||
19,224,826 | ||||||
|
|
|||||
Retailers 6.2% | ||||||
10,098,782 |
Academy Ltd., 2015 Term Loan B, 5.000%, 7/01/2022(c) |
9,852,674 | ||||
10,170,691 |
Ascena Retail Group, Inc., 2015 Term Loan B, 5.250%, 8/21/2022(c) |
9,865,570 | ||||
1,250,000 |
At Home Holding III, Inc., Term Loan, 6/03/2022(b) |
1,240,625 | ||||
6,786,026 |
At Home Holding III, Inc., Term Loan, 5.000%, 6/03/2022(c) |
6,735,130 | ||||
4,019,893 |
Bass Pro Group LLC, 2015 Term Loan, 4.000%, 6/05/2020(c) |
3,998,106 | ||||
10,319,400 |
BDF Acquisition Corp., 1st Lien Term Loan, 5.750%, 2/12/2021(c) |
10,190,408 | ||||
12,812,676 |
BJs Wholesale Club, Inc., New 2nd Lien Term Loan, 8.500%, 3/26/2020(c) |
12,834,074 | ||||
6,445,556 |
Davids Bridal, Inc., New Term Loan B, 5.000%, 10/11/2019(c) |
6,021,245 | ||||
8,766,638 |
Evergreen Acqco 1 LP, New Term Loan, 5.000%, 7/09/2019(c) |
7,618,208 | ||||
10,356,417 |
Jill Acquisition LLC, 2015 Term Loan, 6.000%, 5/08/2022(c) |
10,149,289 | ||||
11,030,090 |
Mattress Holding Corp., 2016 Incremental Term Loan, 6.250%, 10/20/2021(c) |
11,016,303 | ||||
5,046,913 |
Neiman Marcus Group, Inc. (The), 2020 Term Loan, 4.250%, 10/25/2020(c) |
4,731,480 | ||||
5,579,058 |
Petco Animal Supplies, Inc., 2016 Term Loan B1, 5.000%, 1/26/2023(c) |
5,624,751 | ||||
5,225,456 |
Talbots, Inc. (The), 1st Lien Term Loan, 5.500%, 3/19/2020(c) |
5,088,288 | ||||
3,404,797 |
Talbots, Inc. (The), 2nd Lien Term Loan, 9.500%, 3/19/2021(c) |
3,155,123 | ||||
|
|
|||||
108,121,274 | ||||||
|
|
|||||
Technology 7.0% | ||||||
9,939,669 |
AF Borrower LLC, 1st Lien Term Loan, 6.250%, 1/28/2022(c) |
9,914,819 | ||||
9,585,513 |
Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(c) |
9,489,658 | ||||
3,561,000 |
Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(c) |
3,485,329 | ||||
8,863,667 |
Aricent Technologies, 1st Lien Term Loan, 5.500%, 4/14/2021(c) |
7,705,895 | ||||
8,272,657 |
EIG Investors Corp., 2013 Term Loan, 6.480%, 11/09/2019(c) |
7,790,113 | ||||
2,713,255 |
EIG Investors Corp., 2016 Term Loan, 6.000%, 2/09/2023(c) |
2,457,748 | ||||
2,246,000 |
Hyland Software, Inc., 2nd Lien Term Loan, 8.250%, 7/01/2023(c) |
2,248,808 | ||||
4,191,000 |
IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(c)(d)(e) |
2,996,565 | ||||
7,488,709 |
IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(c) |
6,365,402 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Technology continued | ||||||
$ 3,809,000 |
M/A-COM Technology Solutions Holdings, Inc., Term Loan, 5/07/2021(b) |
$ | 3,825,683 | |||
3,462,000 |
MH Sub I LLC, 1st Lien Term Loan, 4.750%, 7/08/2021(c) |
3,449,018 | ||||
4,243,000 |
MH Sub I LLC, 2nd Lien Term Loan, 8.500%, 7/08/2022(c) |
4,168,747 | ||||
6,690,809 |
MSC Software Corp., 1st Lien Term Loan, 5.000%, 5/29/2020(c) |
6,623,901 | ||||
7,973,822 |
Openlink International Intermediate, Inc., 2017 Term Loan, 7.750%, 7/29/2019(c) |
7,927,334 | ||||
4,443,038 |
P2 Upstream Acquisition Co., 1st Lien Term Loan, 5.000%, 10/30/2020(c) |
4,143,133 | ||||
8,597,474 |
Presidio, Inc., Refi Term Loan, 5.250%, 2/02/2022(c) |
8,572,885 | ||||
27,988 |
Rocket Software, Inc., New Term Loan, 5.750%, 2/08/2018(c) |
28,023 | ||||
11,762,337 |
Sirius Computer Solutions, Inc., 1st Lien Term Loan, 6.000%, 10/30/2022(c) |
11,826,089 | ||||
9,897,698 |
SurveyMonkey, Inc., Term Loan B, 6.250%, 2/05/2019(c) |
9,823,465 | ||||
7,425,390 |
Veritas U.S., Inc., USD Term Loan B1, 6.625%, 1/27/2023(c) |
6,825,196 | ||||
2,848,614 |
Western Digital Corp., USD 2016 Term Loan B1, 4.500%, 4/29/2023(c) |
2,863,370 | ||||
|
|
|||||
122,531,181 | ||||||
|
|
|||||
Transportation Services 1.9% | ||||||
8,064,405 |
OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(c) |
7,983,761 | ||||
9,595,244 |
OSG International, Inc., OIN Term Loan, 5.750%, 8/05/2019(c) |
9,511,286 | ||||
7,850,000 |
Uber Technologies, Term Loan B, 5.000%, 7/13/2023(c) |
7,854,945 | ||||
9,034,128 |
YRC Worldwide, Inc., Term Loan, 8.000%, 2/13/2019(c) |
8,492,080 | ||||
|
|
|||||
33,842,072 | ||||||
|
|
|||||
Utility Other 0.3% | ||||||
5,327,000 |
Aclara Technologies, 2016 Term Loan B, 8/17/2023(b) |
5,287,048 | ||||
|
|
|||||
Wireless 1.3% | ||||||
18,692,000 |
Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(c) |
18,617,232 | ||||
3,468,000 |
Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 8/10/2021(b) |
3,449,793 | ||||
|
|
|||||
22,067,025 | ||||||
|
|
|||||
Wirelines 4.0% | ||||||
150,000 |
Communications Sales & Leasing, Inc., Term Loan B, 10/24/2022(b) |
150,000 | ||||
10,287,323 |
Communications Sales & Leasing, Inc., Term Loan B, 5.000%, 10/24/2022(c) |
10,287,323 | ||||
6,279,900 |
Coral U.S. Co-Borrower LLC, Term Loan B1, 5.500%, 12/30/2022(c) |
6,313,937 | ||||
5,138,100 |
Coral U.S. Co-Borrower LLC, Term Loan B2, 5.830%, 12/30/2022(c) |
5,165,949 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Wirelines continued | ||||||
$ 3,571,234 |
Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(c) |
$ | 3,566,770 | |||
9,738,754 |
Integra Telecom, Inc., 2015 1st Lien Term Loan, 5.250%, 8/14/2020(c) |
9,636,497 | ||||
4,526,000 |
Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(c)(d)(e) |
4,285,579 | ||||
7,990,473 |
LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(c) |
7,980,484 | ||||
10,385,060 |
Nextgen Networks Pty Ltd., USD Term Loan B, 5.000%, 5/31/2021(c) |
10,030,202 | ||||
12,493,343 |
U.S. Telepacific Corp., Term Loan, 6.000%, 11/25/2020(c) |
12,149,776 | ||||
|
|
|||||
69,566,517 | ||||||
|
|
|||||
Total Senior Loans (Identified Cost $1,558,153,281) |
1,510,889,388 | |||||
|
|
|||||
Bonds and Notes 9.8% | ||||||
Building Materials 0.4% | ||||||
7,340,000 |
Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A |
6,569,300 | ||||
|
|
|||||
Cable Satellite 0.7% | ||||||
12,918,655 |
Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(h) |
12,983,248 | ||||
|
|
|||||
Chemicals 1.0% | ||||||
8,430,000 |
Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A |
8,134,950 | ||||
9,295,000 |
Perstorp Holding AB, 11.000%, 8/15/2017, 144A |
9,156,598 | ||||
|
|
|||||
17,291,548 | ||||||
|
|
|||||
Consumer Products 0.5% | ||||||
7,874,000 |
Serta Simmons Bedding LLC, 8.125%, 10/01/2020, 144A |
8,208,645 | ||||
|
|
|||||
Environmental 0.6% | ||||||
10,311,000 |
GFL Environmental, Inc., 7.875%, 4/01/2020, 144A |
10,671,885 | ||||
|
|
|||||
Financial Other 0.2% | ||||||
3,335,000 |
Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A |
3,385,025 | ||||
|
|
|||||
Healthcare 0.5% | ||||||
9,200,000 |
Kindred Healthcare, Inc., 8.000%, 1/15/2020 |
9,522,000 | ||||
|
|
|||||
Independent Energy 0.8% | ||||||
6,275,000 |
Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A |
5,490,625 | ||||
8,975,000 |
Halcon Resources Corp., 8.625%, 2/01/2020, 144A |
8,526,250 | ||||
|
|
|||||
14,016,875 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Metals & Mining 0.9% | ||||||
$ 4,650,000 |
Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
$ | 4,394,250 | |||
10,430,000 |
Petra Diamonds U.S. Treasury PLC, 8.250%, 5/31/2020, 144A |
10,456,075 | ||||
|
|
|||||
14,850,325 | ||||||
|
|
|||||
Midstream 0.1% | ||||||
1,985,000 |
NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019 |
1,863,419 | ||||
|
|
|||||
Non-Agency Commercial Mortgage-Backed Securities 0.3% | ||||||
5,388,947 |
Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(d)(e) |
5,444,992 | ||||
|
|
|||||
Pharmaceuticals 0.7% | ||||||
12,680,000 |
Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A |
12,716,772 | ||||
|
|
|||||
Property & Casualty Insurance 0.7% | ||||||
12,182,000 |
HUB International Ltd., 7.875%, 10/01/2021, 144A |
12,456,095 | ||||
|
|
|||||
Technology 0.7% | ||||||
12,206,000 |
Blackboard, Inc., 7.750%, 11/15/2019, 144A |
11,473,640 | ||||
|
|
|||||
Wirelines 1.7% | ||||||
11,595,000 |
FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A |
11,855,888 | ||||
18,065,000 |
Windstream Services LLC, 7.750%, 10/01/2021 |
18,019,837 | ||||
|
|
|||||
29,875,725 | ||||||
|
|
|||||
Total Bonds and Notes (Identified Cost $168,824,998) |
171,329,494 | |||||
|
|
|||||
Shares |
||||||
Preferred Stocks 0.3% |
||||||
Pharmaceuticals 0.3% | ||||||
6,693 |
Allergan PLC, Series A, 5.500% (Identified Cost $6,693,000) |
5,572,993 | ||||
|
|
|||||
Common Stocks 0.4% |
||||||
Energy Equipment & Services 0.0% | ||||||
134,877 |
Hercules Offshore, Inc.(i) | 178,712 | ||||
|
|
|||||
Internet Software & Services 0.1% | ||||||
487,202 |
Dex Media, Inc.(i)(j) | 968,558 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 0.3% | ||||||
454,731 |
Magnum Hunter Resources Corp.(i) | 5,684,137 | ||||
47,625 |
Rex Energy Corp.(i) | 27,623 | ||||
1,853 |
Southcross Holdings Group LLC(i)(j) | |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Oil, Gas & Consumable Fuels continued | ||||||
1,853 | Southcross Holdings LP, Class A(i)(j) | $ | 606,857 | |||
|
|
|||||
6,318,617 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $17,499,130) |
7,465,887 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 10.9% | ||||||
$ 1,759,868 | Repurchase Agreement with State Street Bank and Trust Company, dated 8/31/2016 at 0.000% to be repurchased at $1,759,868 on 9/01/2016 collateralized by $1,771,200 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $1,795,070 including accrued interest(k) | 1,759,868 | ||||
188,649,827 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2016 at 0.030% to be repurchased at $188,649,985 on 9/01/2016 collateralized by $3,610,000 Federal National Mortgage Association, 1.375% due 11/15/2016 valued at $3,632,563; $180,715,000 U.S. Treasury Note, 0.625% due 12/31/2016 valued at $180,940,894; $4,110,000 U.S. Treasury Note, 2.750% due 11/15/2023 valued at $4,510,854; $960,000 Federal Home Loan Mortgage Corp., 0.875% due 2/22/2017 valued at $962,400; $2,325,000 U.S. Treasury Note, 3.125% due 4/30/2017 valued at $2,386,031 including accrued interest (k) | 188,649,827 | ||||
|
|
|||||
Total Short-Term Investments (Identified Cost $190,409,695) |
190,409,695 | |||||
|
|
|||||
Total Investments 107.5% (Identified Cost $1,941,580,104)(a) |
1,885,667,457 | |||||
Other assets less liabilities (7.5)% | (130,797,201 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 1,754,870,256 | ||||
|
|
() | 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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 unlisted 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.
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.
Illiquid securities for which market quotations are readily available and have been substantiated by the adviser are considered and classified as fair valued securities.
As of August 31, 2016, securities held by the Fund were fair valued as follows:
Securities classified as fair valued |
Percentage of Net Assets |
Securities fair valued by the Funds adviser |
Percentage of Net Assets |
|||||||||||
$ 27,339,606 | 1.6 | % | $ | 1,575,415 | Less than 0.1 | % |
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, 2016, the net unrealized depreciation on investments based on a cost of $1,944,858,213 for federal income tax purposes was as follows: |
||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 13,961,673 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(73,152,429 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (59,190,756 | ) | |
|
|
At November 30, 2015, the Fund had a short-term capital loss carryforward of $11,510,617 with no expiration date and a long term capital loss carryforward of $32,396,710 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Position is unsettled. Contract rate was not determined at August 31, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Variable rate security. Rate as of August 31, 2016 is disclosed. |
(d) | Illiquid security. |
(e) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At August 31, 2016, the value of these securities amounted to $27,339,606 or 1.6% of net assets. |
(f) | 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. |
(g) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2016. |
(h) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended August 31, 2016, interest payments were made in cash and additional debt securities. |
(i) | Non-income producing security. |
(j) | Fair valued by the Funds adviser. At August 31, 2016, the value of these securities amounted to $1,575,415 or less than 0.1% of net assets. |
(k) | 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, 2016, 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, 2016, the value of Rule 144A holdings amounted to $141,924,238 or 8.1% of net assets. |
PIK | Payment-in-Kind |
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 Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a summary of the inputs used to value the Funds investments as of August 31, 2016, at value:
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans |
||||||||||||||||
Diversified Manufacturing |
$ | | $ | 19,625,192 | $ | 1,589,837 | (a) | $ | 21,215,029 | |||||||
All Other Senior Loans* |
| 1,489,674,359 | | 1,489,674,359 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Senior Loans |
| 1,509,299,551 | 1,589,837 | 1,510,889,388 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes |
||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| | 5,444,992 | (a) | 5,444,992 | |||||||||||
All Other Bonds and Notes* |
| 165,884,502 | | 165,884,502 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 165,884,502 | 5,444,992 | 171,329,494 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks* |
5,572,993 | | | 5,572,993 | ||||||||||||
Common Stocks |
||||||||||||||||
Internet Software & Services |
| | 968,558 | (b) | 968,558 | |||||||||||
Oil, Gas & Consumable Fuels** |
5,711,760 | | 606,857 | (b) | 6,318,617 | |||||||||||
All Other Common Stocks* |
178,712 | | | 178,712 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
5,890,472 | | 1,575,415 | 7,465,887 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 190,409,695 | | 190,409,695 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 11,463,465 | $ | 1,865,593,748 | $ | 8,610,244 | $ | 1,885,667,457 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
** | Includes a security fair valued at zero using Level 3 inputs. |
(a) | Valued using broker-dealer bid prices for which the inputs are unobservable to the Fund. |
(b) | Fair valued by the Funds adviser. |
For the period ended August 31, 2016, there were no transfers among Levels 1, 2 and 3
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair values as of November 30, 2015 and/or August 31, 2016:
Asset Valuation Inputs
Investments in Securities |
Balance as of November 30, 2015 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of August 31, 2016 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at August 31, 2016 |
||||||||||||||||||||||||||||||
Senior Loans Diversified Manufacturing |
$ | | $ | 236,038 | $ | 12,240 | $ | (216,233 | ) | $ | 1,578,122 | $ | (20,330 | ) | $ | | $ | | $ | 1,589,837 | $ | (216,233 | ) | |||||||||||||||||
Bonds and Notes Non-Agency Commercial Mortgage-Backed Securities |
5,355,286 | | | 93,253 | | (3,547 | ) | | | 5,444,992 | 93,229 | |||||||||||||||||||||||||||||
Technology |
| (a) | | (2,045,646 | ) | 2,045,647 | | (1 | ) | | | | | |||||||||||||||||||||||||||
Common Stocks Diversified Consumer Services |
| (a) | | 1 | | | (1 | ) | | | | | ||||||||||||||||||||||||||||
Internet Software & Services Oil, Gas & |
| | | 968,558 | | | | | 968,558 | 968,558 | ||||||||||||||||||||||||||||||
Consumable Fuels |
| | | 606,857 | | | | | 606,857 | 606,857 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 5,355,286 | $ | 236,038 | $ | (2,033,405 | ) | $ | 3,498,082 | $ | 1,578,122 | $ | (23,879 | ) | $ | | $ | | $ | 8,610,244 | $ | 1,452,411 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Fair valued at zero. |
Industry Summary at August 31, 2016 (Unaudited) | ||||
Healthcare |
8.5 | % | ||
Technology |
7.7 | |||
Industrial Other |
7.5 | |||
Consumer Cyclical Services |
6.8 | |||
Retailers |
6.2 | |||
Chemicals |
5.7 | |||
Wirelines |
5.7 | |||
Electric |
4.0 | |||
Property & Casualty Insurance |
4.0 | |||
Automotive |
3.8 | |||
Media Entertainment |
3.7 | |||
Consumer Products |
3.4 | |||
Financial Other |
2.6 | |||
Leisure |
2.5 | |||
Independent Energy |
2.0 | |||
Other Investments, less than 2% each |
22.5 | |||
Short-Term Investments |
10.9 | |||
|
|
|||
Total Investments |
107.5 | |||
Other assets less liabilities |
(7.5 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2016 (Unaudited)
Vaughan Nelson Select Fund
Shares |
Description |
Value () | ||||
Common Stocks 98.8% of Net Assets |
||||||
Aerospace & Defense 4.8% | ||||||
38,100 |
General Dynamics Corp. | $ | 5,799,582 | |||
|
|
|||||
Banks 6.4% | ||||||
53,000 |
Citigroup, Inc. | 2,530,220 | ||||
104,275 |
Wells Fargo & Co. | 5,297,170 | ||||
|
|
|||||
7,827,390 | ||||||
|
|
|||||
Capital Markets 4.3% | ||||||
48,425 |
Moodys Corp. | 5,263,313 | ||||
|
|
|||||
Consumer Finance 2.0% | ||||||
37,450 |
American Express Co. | 2,455,971 | ||||
|
|
|||||
Diversified Financial Services 2.4% | ||||||
19,800 |
Berkshire Hathaway, Inc., Class B(b) | 2,979,702 | ||||
|
|
|||||
Food & Staples Retailing 5.7% | ||||||
85,425 |
Walgreens Boots Alliance, Inc. | 6,894,652 | ||||
|
|
|||||
Health Care Equipment & Supplies 6.2% | ||||||
86,375 |
Medtronic PLC | 7,517,216 | ||||
|
|
|||||
Health Care Providers & Services 13.6% | ||||||
48,150 |
Amsurg Corp.(b) | 3,125,898 | ||||
57,375 |
Centene Corp.(b) | 3,918,139 | ||||
51,000 |
HCA Holdings, Inc.(b) | 3,853,050 | ||||
41,900 |
UnitedHealth Group, Inc. | 5,700,495 | ||||
|
|
|||||
16,597,582 | ||||||
|
|
|||||
Industrial Conglomerates 4.1% | ||||||
43,400 |
Honeywell International, Inc. | 5,065,214 | ||||
|
|
|||||
Insurance 2.0% | ||||||
49,375 |
Arthur J. Gallagher & Co. | 2,439,619 | ||||
|
|
|||||
Internet & Catalog Retail 4.8% | ||||||
4,160 |
Priceline Group, Inc. (The)(b) | 5,893,597 | ||||
|
|
|||||
Internet Software & Services 7.1% | ||||||
1,350 |
Alphabet, Inc., Class A(b) | 1,066,297 | ||||
9,835 |
Alphabet, Inc., Class C(b) | 7,543,937 | ||||
|
|
|||||
8,610,234 | ||||||
|
|
|||||
IT Services 3.7% | ||||||
48,000 |
Broadridge Financial Solutions, Inc. | 3,326,400 | ||||
12,350 |
MasterCard, Inc., Class A | 1,193,380 | ||||
|
|
|||||
4,519,780 | ||||||
|
|
|||||
Life Sciences Tools & Services 4.0% | ||||||
31,725 |
Thermo Fisher Scientific, Inc. | 4,828,228 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Media 4.7% | ||||||
22,518 |
Charter Communications, Inc., Class A(b) | $ | 5,791,855 | |||
|
|
|||||
Oil, Gas & Consumable Fuels 2.8% | ||||||
131,775 |
Enterprise Products Partners LP | 3,478,860 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 8.3% | ||||||
33,500 |
Broadcom Ltd. | 5,910,070 | ||||
60,200 |
Texas Instruments, Inc. | 4,186,308 | ||||
|
|
|||||
10,096,378 | ||||||
|
|
|||||
Software 4.4% | ||||||
93,025 |
Microsoft Corp. | 5,345,216 | ||||
|
|
|||||
Specialty Retail 3.3% | ||||||
166,250 |
Michaels Cos., Inc. (The)(b) | 3,983,350 | ||||
|
|
|||||
Technology Hardware, Storage & Peripherals 4.2% | ||||||
48,000 |
Apple, Inc. | 5,092,800 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $107,428,014) |
120,480,539 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 2.5% |
||||||
$ 3,050,429 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2016 at 0.030% to be repurchased at $3,050,432 on 9/01/2016 collateralized by $2,905,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $3,111,981 including accrued interest(c) (Identified Cost $3,050,429) |
3,050,429 | ||||
|
|
|||||
Total Investments 101.3% (Identified Cost $110,478,443)(a) |
123,530,968 | |||||
Other assets less liabilities (1.3)% | (1,634,232 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 121,896,736 | ||||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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 name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations.
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, 2016, the net unrealized appreciation on investments based on a cost of $110,478,443 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 |
$ | 14,165,101 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,112,576 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 13,052,525 | ||
|
|
At November 30, 2015, post-October capital loss deferrals were $ 2,006,489. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(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, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
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, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 120,480,539 | $ | | $ | | $ | 120,480,539 | ||||||||
Short-Term Investments |
| 3,050,429 | | 3,050,429 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 120,480,539 | $ | 3,050,429 | $ | | $ | 123,530,968 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2016, there were no transfers among Levels 1, 2 and 3.
Industry Summary at August 31, 2016 (Unaudited) | ||||
Health Care Providers & Services |
13.6 | % | ||
Semiconductors & Semiconductor Equipment |
8.3 | |||
Internet Software & Services |
7.1 | |||
Banks |
6.4 | |||
Health Care Equipment & Supplies |
6.2 | |||
Food & Staples Retailing |
5.7 | |||
Internet & Catalog Retail |
4.8 | |||
Aerospace & Defense |
4.8 | |||
Media |
4.7 | |||
Software |
4.4 | |||
Capital Markets |
4.3 | |||
Technology Hardware, Storage & Peripherals |
4.2 | |||
Industrial Conglomerates |
4.1 | |||
Life Sciences Tools & Services |
4.0 | |||
IT Services |
3.7 | |||
Specialty Retail |
3.3 | |||
Oil, Gas & Consumable Fuels |
2.8 | |||
Diversified Financial Services |
2.4 | |||
Consumer Finance |
2.0 | |||
Insurance |
2.0 | |||
Short-Term Investments |
2.5 | |||
|
|
|||
Total Investments |
101.3 | |||
Other assets less liabilities |
(1.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
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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 24, 2016 |
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 24, 2016 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | October 24, 2016 |
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 24, 2016
/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 24, 2016
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |