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)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Russell L. Kane, Esq.
NGAM Distribution, L.P.
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(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, 2017
ITEM 1 | SCHEDULE OF INVESTMENTS |
PORTFOLIO OF INVESTMENTS as of August 31, 2017 (Unaudited)
Loomis Sayles Dividend Income Fund
Shares |
Description |
Value () | ||||
Common Stocks 95.6% of Net Assets |
||||||
Aerospace & Defense 2.0% |
||||||
7,731 |
United Technologies Corp. |
$ | 925,555 | |||
|
|
|||||
Automobiles 2.2% |
||||||
15,373 |
General Motors Co. |
561,730 | ||||
8,818 |
Harley-Davidson, Inc. |
414,534 | ||||
|
|
|||||
976,264 | ||||||
|
|
|||||
Banks 8.3% |
||||||
23,968 |
BB&T Corp. |
1,104,685 | ||||
13,679 |
JPMorgan Chase & Co.(a) |
1,243,284 | ||||
28,034 |
Wells Fargo & Co.(b) |
1,431,697 | ||||
|
|
|||||
3,779,666 | ||||||
|
|
|||||
Beverages 1.6% |
||||||
6,311 |
PepsiCo, Inc. |
730,372 | ||||
|
|
|||||
Biotechnology 2.5% |
||||||
15,152 |
AbbVie, Inc. |
1,140,946 | ||||
|
|
|||||
Building Products 2.1% |
||||||
23,714 |
Johnson Controls International PLC |
938,837 | ||||
|
|
|||||
Chemicals 2.6% |
||||||
17,753 |
Dow Chemical Co. (The) |
1,183,238 | ||||
|
|
|||||
Communications Equipment 2.7% |
||||||
38,270 |
Cisco Systems, Inc. |
1,232,677 | ||||
|
|
|||||
Containers & Packaging 1.7% |
||||||
14,220 |
International Paper Co. |
766,031 | ||||
|
|
|||||
Diversified Telecommunication Services 2.2% |
||||||
21,215 |
Verizon Communications, Inc.(a) |
1,017,684 | ||||
|
|
|||||
Electric Utilities 5.5% |
||||||
16,077 |
PG&E Corp.(b) |
1,131,499 | ||||
34,292 |
PPL Corp. |
1,345,618 | ||||
|
|
|||||
2,477,117 | ||||||
|
|
|||||
Electrical Equipment 1.8% |
||||||
11,524 |
Eaton Corp. PLC(a) |
826,962 | ||||
|
|
|||||
Food Products 1.1% |
||||||
4,871 |
Hershey Co. (The) |
511,065 | ||||
|
|
|||||
Health Care Equipment & Supplies 2.2% |
||||||
19,778 |
Abbott Laboratories |
1,007,491 | ||||
|
|
|||||
Independent Power & Renewable Electricity Producers 2.7% |
||||||
29,903 |
NextEra Energy Partners LP |
1,239,778 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Industrial Conglomerates 2.2% |
||||||
40,741 |
General Electric Co.(a)(b) |
$ | 1,000,192 | |||
|
|
|||||
Insurance 4.1% |
||||||
14,932 |
FNF Group |
720,320 | ||||
23,887 |
MetLife, Inc. |
1,118,628 | ||||
|
|
|||||
1,838,948 | ||||||
|
|
|||||
Leisure Products 1.0% |
||||||
27,250 |
Mattel, Inc. |
441,995 | ||||
|
|
|||||
Media 0.9% |
||||||
5,357 |
Omnicom Group, Inc. |
387,740 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 7.8% |
||||||
11,916 |
Chevron Corp.(a) |
1,282,400 | ||||
18,490 |
Energy Transfer Partners LP |
351,495 | ||||
22,831 |
MPLX LP |
783,560 | ||||
19,988 |
Royal Dutch Shell PLC, B Shares, Sponsored ADR |
1,131,920 | ||||
|
|
|||||
3,549,375 | ||||||
|
|
|||||
Pharmaceuticals 9.3% |
||||||
13,140 |
Bristol-Myers Squibb Co. |
794,707 | ||||
30,003 |
GlaxoSmithKline PLC, Sponsored ADR |
1,207,021 | ||||
11,586 |
Merck & Co., Inc. |
739,882 | ||||
43,157 |
Pfizer, Inc.(a)(b) |
1,463,885 | ||||
|
|
|||||
4,205,495 | ||||||
|
|
|||||
Professional Services 1.5% |
||||||
16,938 |
Nielsen Holdings PLC |
658,041 | ||||
|
|
|||||
REITs - Diversified 4.0% |
||||||
40,855 |
Outfront Media, Inc. |
898,810 | ||||
17,379 |
Uniti Group, Inc. |
334,720 | ||||
17,063 |
Weyerhaeuser Co. |
556,424 | ||||
|
|
|||||
1,789,954 | ||||||
|
|
|||||
REITs - Hotels 3.8% |
||||||
32,536 |
Park Hotels & Resorts, Inc. |
868,386 | ||||
14,126 |
Ryman Hospitality Properties, Inc. |
839,367 | ||||
|
|
|||||
1,707,753 | ||||||
|
|
|||||
Road & Rail 1.4% |
||||||
5,394 |
Norfolk Southern Corp. |
650,085 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 2.8% |
||||||
23,808 |
QUALCOMM, Inc. |
1,244,444 | ||||
|
|
|||||
Software 2.4% |
||||||
14,377 |
Microsoft Corp. |
1,074,968 | ||||
|
|
|||||
Technology Hardware, Storage & Peripherals 3.3% |
||||||
5,640 |
Apple, Inc. |
924,960 | ||||
28,591 |
Diebold Nixdorf, Inc. | 584,686 | ||||
|
|
|||||
1,509,646 | ||||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued | ||||||
Tobacco 5.9% | ||||||
9,710 |
Altria Group, Inc. | $ | 615,614 | |||
11,366 |
British American Tobacco PLC, Sponsored ADR | 706,056 | ||||
11,578 |
Philip Morris International, Inc.(a) | 1,353,816 | ||||
|
|
|||||
2,675,486 | ||||||
|
|
|||||
Transportation Infrastructure 1.9% | ||||||
11,461 |
Macquarie Infrastructure Corp. | 853,615 | ||||
|
|
|||||
Wireless Telecommunication Services 2.1% | ||||||
33,186 |
Vodafone Group PLC, Sponsored ADR | 963,390 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $39,836,286) |
43,304,810 | |||||
|
|
|||||
Preferred Stocks 2.6% | ||||||
Oil, Gas & Consumable Fuels 1.0% | ||||||
8,945 |
Hess Corp., 8.000% |
446,803 | ||||
|
|
|||||
Pharmaceuticals 1.6% | ||||||
919 |
Allergan PLC, Series A, 5.500% |
752,881 | ||||
|
|
|||||
Total Preferred Stocks (Identified Cost $1,347,388) |
1,199,684 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 1.9% | ||||||
$ 867,954 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2017 at 0.340% to be repurchased at $867,962 on 9/01/2017 collateralized by $890,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $887,429 including accrued interest(c) (Identified Cost $867,954) |
867,954 | ||||
|
|
|||||
Total Investments 100.1% (Identified Cost $42,051,628) |
45,372,448 | |||||
Other assets less liabilities (0.1)% | (65,731 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 45,306,717 | ||||
|
|
Written Options (0.0%)
Description |
Expiration Date |
Exercise Price |
Shares | Notional Amount |
Premiums Received |
Value () | ||||||||||||||||||
Options on Securities (0.0%) |
||||||||||||||||||||||||
Omnicom Group, Inc., Put(d) |
10/20/2017 | 67.5000 | (3,500 | ) | $ | (253,330 | ) | $ | (2,405 | ) | $ | (2,538 | ) |
() | 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.
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) | Security (or a portion thereof) has been pledged as collateral for open option contracts. |
(b) | Security (or a portion thereof) has been designated to cover the Funds obligations under open option contracts. |
(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, 2017, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(d) | 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. |
REITs | Real Estate Investment Trusts |
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, 2017, the net unrealized appreciation on investments based on a cost of $42,049,223 for federal income tax purposes was as follows: |
||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 4,875,712 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,555,025 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 3,320,687 | ||
|
|
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, 2017, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 43,304,810 | $ | | $ | | $ | 43,304,810 | ||||||||
Preferred Stocks* |
1,199,684 | | | 1,199,684 | ||||||||||||
Short-Term Investments |
| 867,954 | | 867,954 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 44,504,494 | $ | 867,954 | $ | | $ | 45,372,448 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (2,538 | ) | $ | | $ | | $ | (2,538 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2017, 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 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. As of August 31, 2017, the Fund engaged in written put options for investment purposes.
The following is a summary of derivative instruments for the Fund, as of August 31, 2017:
Liabilities |
Options written at value |
|||
Exchange-traded liability derivatives Equity contracts |
$ | (2,538 | ) |
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 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, as of August 31, 2017, is $511,870.
Industry Summary at August 31, 2017 (Unaudited)
Pharmaceuticals |
10.9 | % | ||
Oil, Gas & Consumable Fuels |
8.8 | |||
Banks |
8.3 | |||
Tobacco |
5.9 | |||
Electric Utilities |
5.5 | |||
Insurance |
4.1 | |||
REITs - Diversified |
4.0 | |||
REITs - Hotels |
3.8 | |||
Technology Hardware, Storage & Peripherals |
3.3 | |||
Semiconductors & Semiconductor Equipment |
2.8 | |||
Independent Power & Renewable Electricity Producers |
2.7 | |||
Communications Equipment |
2.7 | |||
Chemicals |
2.6 | |||
Biotechnology |
2.5 | |||
Software |
2.4 | |||
Diversified Telecommunication Services |
2.2 | |||
Health Care Equipment & Supplies |
2.2 | |||
Industrial Conglomerates |
2.2 | |||
Automobiles |
2.2 | |||
Wireless Telecommunication Services |
2.1 | |||
Building Products |
2.1 | |||
Aerospace & Defense |
2.0 | |||
Other Investments, less than 2% each |
12.9 | |||
Short-Term Investments |
1.9 | |||
|
|
|||
Total Investments |
100.1 | |||
Other assets less liabilities (including open written options) |
(0.1 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2017 (Unaudited)
Loomis Sayles Global Growth Fund
Shares |
Description |
Value () | ||||
Common Stocks 99.5% of Net Assets |
||||||
Argentina 3.8% |
||||||
2,502 |
MercadoLibre, Inc. |
$ | 646,692 | |||
|
|
|||||
Brazil 4.0% |
||||||
70,116 |
Ambev S.A., ADR |
438,926 | ||||
34,976 |
Companhia Brasileira de Meios de Pagamento |
249,222 | ||||
|
|
|||||
688,148 | ||||||
|
|
|||||
China 11.1% |
||||||
6,479 |
Alibaba Group Holding Ltd., Sponsored ADR(a) |
1,112,704 | ||||
3,405 |
Baidu, Inc., Sponsored ADR(a) |
776,510 | ||||
|
|
|||||
1,889,214 | ||||||
|
|
|||||
Denmark 4.1% |
||||||
14,602 |
Novo Nordisk AS, Class B |
695,782 | ||||
|
|
|||||
France 5.7% |
||||||
7,540 |
Danone |
594,039 | ||||
3,204 |
Sodexo S.A. |
374,020 | ||||
|
|
|||||
968,059 | ||||||
|
|
|||||
Germany 2.0% |
||||||
1,547 |
Adidas AG |
347,445 | ||||
|
|
|||||
Italy 1.1% |
||||||
52,500 |
Prada SpA |
191,283 | ||||
|
|
|||||
Sweden 1.4% |
||||||
23,262 |
Elekta AB, Class B |
241,093 | ||||
|
|
|||||
Switzerland 7.5% |
||||||
4,219 |
Nestle S.A., (Registered) |
357,670 | ||||
5,096 |
Novartis AG, (Registered) |
429,629 | ||||
1,888 |
Roche Holding AG |
479,685 | ||||
|
|
|||||
1,266,984 | ||||||
|
|
|||||
United Kingdom 6.1% |
||||||
8,645 |
Diageo PLC |
289,158 | ||||
20,626 |
Experian PLC |
414,744 | ||||
5,594 |
Unilever NV |
333,035 | ||||
|
|
|||||
1,036,937 | ||||||
|
|
|||||
United States 52.7% |
||||||
659 |
Alphabet, Inc., Class A(a) |
629,503 | ||||
747 |
Amazon.com, Inc.(a) |
732,508 | ||||
4,417 |
American Express Co. |
380,304 | ||||
8,766 |
Coca-Cola Co. (The) |
399,291 | ||||
4,762 |
Colgate-Palmolive Co. |
341,150 | ||||
1,050 |
Core Laboratories NV |
92,589 | ||||
5,129 |
Deere & Co. |
594,605 | ||||
4,484 |
Expeditors International of Washington, Inc. |
251,552 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
United States continued |
| |||||
4,206 |
Facebook, Inc., Class A(a) |
$ | 723,306 | |||
5,890 |
Microsoft Corp. |
440,395 | ||||
16,056 |
Oracle Corp. |
808,099 | ||||
5,008 |
Procter & Gamble Co. (The) |
462,088 | ||||
7,734 |
QUALCOMM, Inc. |
404,256 | ||||
6,900 |
Schlumberger Ltd. |
438,219 | ||||
5,819 |
SEI Investments Co. |
340,179 | ||||
6,319 |
Shire PLC |
314,288 | ||||
6,380 |
Visa, Inc., Class A |
660,458 | ||||
17,343 |
Yum China Holdings, Inc.(a) |
613,248 | ||||
4,389 |
Yum! Brands, Inc. |
337,163 | ||||
|
|
|||||
8,963,201 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $14,381,128) |
16,934,838 | |||||
|
|
Principal Amount |
||||||
Short-Term Investments 0.7% |
| |||||
$ 119,681 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2017 at 0.340% to be repurchased at $119,682 on 09/01/2017 collateralized by $125,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $124,971 including accrued interest(b) (Identified Cost $119,681) |
119,681 | ||||
|
|
|||||
Total Investments 100.2% (Identified Cost $14,500,809) |
17,054,519 | |||||
Other assets less liabilities (0.2)% |
(41,279 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 17,013,240 | ||||
|
|
() | 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, 2017, securities held by the Fund were fair valued as follows:
Equity securities1 |
Percentage of Net Assets |
|||||
$ | 5,061,871 | 29.8 | % |
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) | Non-income producing security. |
(b) | 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, 2017, 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. |
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, 2017, the net unrealized appreciation on investments based on a cost of $14,500,809 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 |
$ | 2,733,344 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(179,634 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 2,553,710 | ||
|
|
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, 2017, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
Denmark |
$ | | $ | 695,782 | $ | | $ | 695,782 | ||||||||
France |
| 968,059 | | 968,059 | ||||||||||||
Germany |
| 347,445 | | 347,445 | ||||||||||||
Italy |
| 191,283 | | 191,283 | ||||||||||||
Sweden |
| 241,093 | | 241,093 | ||||||||||||
Switzerland |
| 1,266,984 | | 1,266,984 | ||||||||||||
United Kingdom |
| 1,036,937 | | 1,036,937 | ||||||||||||
United States |
8,648,913 | 314,288 | | 8,963,201 | ||||||||||||
All Other Common Stocks* |
3,224,054 | | | 3,224,054 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
11,872,967 | 5,061,871 | | 16,934,838 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 119,681 | | 119,681 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 11,872,967 | $ | 5,181,552 | $ | | $ | 17,054,519 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
A common stock valued at $185,759 was transferred from Level 2 to Level 1 during the period ended August 31, 2017. At November 30, 2016, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security. At August 31, 2017, this security was valued at the market price in the foreign market in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at August 31, 2017 (Unaudited)
Internet Software & Services |
22.9 | % | ||
Pharmaceuticals |
9.5 | |||
Hotels, Restaurants & Leisure |
7.8 | |||
Software |
7.4 | |||
Beverages |
6.6 | |||
Food Products |
5.6 | |||
IT Services |
5.3 | |||
Household Products |
4.7 | |||
Internet & Direct Marketing Retail |
4.3 | |||
Machinery |
3.5 | |||
Textiles, Apparel & Luxury Goods |
3.1 | |||
Energy Equipment & Services |
3.1 | |||
Professional Services |
2.4 | |||
Semiconductors & Semiconductor Equipment |
2.4 | |||
Consumer Finance |
2.2 | |||
Capital Markets |
2.0 | |||
Personal Products |
2.0 | |||
Other Investments, less than 2% each |
4.7 | |||
Short-Term Investments |
0.7 | |||
|
|
|||
Total Investments |
100.2 | |||
Other assets less liabilities |
(0.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at August 31, 2017 (Unaudited)
United States Dollar |
69.1 | % | ||
Euro |
9.7 | |||
Swiss Franc |
7.5 | |||
British Pound |
5.9 | |||
Danish Krone |
4.1 | |||
Other, less than 2% each |
3.9 | |||
|
|
|||
Total Investments |
100.2 | |||
Other assets less liabilities |
(0.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2017 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount |
Description |
Value () | ||||
Senior Loans 90.1% of Net Assets | ||||||
Aerospace & Defense 1.5% | ||||||
$ 12,346,178 |
Advanced Integration Technology LP, 2017 Term Loan B, 1-month LIBOR + 4.750%, 5.989%, 3/21/2023(a) |
$ | 12,099,254 | |||
11,070,000 |
Constellis Holdings LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 5.000%, 6.296%, 4/21/2024(a) |
10,973,137 | ||||
4,353,000 |
CPI International, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 4.734%, 7/26/2024(a) |
4,338,505 | ||||
5,257,866 |
Engility Corp., Term Loan B2, 1-month LIBOR + 3.250%, 4.489%, 8/12/2023(a) |
5,294,040 | ||||
11,256,311 |
MHVC Acquisitiion Corp., 2017 Term Loan, 1-month LIBOR + 5.250%, 6.490%, 4/29/2024(a) |
11,397,015 | ||||
|
|
|||||
44,101,951 | ||||||
|
|
|||||
Automotive 5.2% |
| |||||
10,357,576 |
BBB Industries U.S. Holdings, Inc., 2014 1st Lien Term Loan, 1-month LIBOR + 4.500%, 5.739%, 11/03/2021(a) |
10,435,258 | ||||
11,465,000 |
Bright Bidco BV, Term Loan B, 3-month LIBOR + 4.500%, 5.796%, 6/30/2024(a) |
11,536,656 | ||||
16,388,554 |
Capital Automotive LP, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.240%, 3/24/2025(a) |
16,552,440 | ||||
14,054,368 |
Dayco Products LLC, 2017 Term Loan B, 3-month LIBOR + 5.000%, 6.317%, 5/19/2023(a) |
14,089,504 | ||||
11,200,000 |
Dragon Merger Sub LLC, USD 2017 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.313%, 7/24/2024(a) |
11,265,296 | ||||
10,084,725 |
Innovative Xcessories & Services LLC, Term Loan B, 3-month LIBOR + 4.750%, 6.040%, 11/29/2022(a) |
10,198,178 | ||||
9,874,380 |
K&N Engineering, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 5.989%, 10/19/2023(a) |
9,899,066 | ||||
9,681,732 |
Sage Automotive Interiors, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 5.000%, 6.236%, 10/27/2022(a) |
9,754,345 | ||||
12,675,605 |
Solera LLC, USD Term Loan B, 2-month LIBOR + 3.250%, 4.507%, 3/03/2023(a) |
12,707,927 | ||||
4,446,855 |
Trader Corp., 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.545%, 9/28/2023(a) |
4,437,606 | ||||
14,346,000 |
Truck Hero, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.231%, 4/21/2024(a) |
14,328,067 | ||||
10,164,607 |
U.S. Farathane LLC, Reprice Term Loan, 3-month LIBOR + 4.000%, 5.296%, 12/23/2021(a) |
10,215,430 | ||||
13,859,091 |
Wand Intermediate I LP, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.554%, 9/19/2022(a) |
13,870,594 | ||||
|
|
|||||
149,290,367 | ||||||
|
|
|||||
Building Materials 2.5% |
| |||||
3,744,615 |
CPG International, Inc., 2017 Term Loan, 3-month LIBOR + 3.750%, 5.046%, 5/03/2024(a) |
3,739,934 | ||||
14,128,000 |
DiversiTech Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.702%, 6/03/2024(a) |
14,110,340 | ||||
4,074,762 |
Floor and Decor Outlets of America, Inc., 2017 Term Loan, 1-month LIBOR + 3.500%, 4.740%, 9/30/2023(a) |
4,074,762 | ||||
10,764,738 |
Interior Logic Group, Inc., 2017 Term Loan B, 3-month LIBOR + 6.000%, 7.210%, 3/01/2024(a) |
10,737,826 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Building Materials continued |
||||||
$ 11,351,540 |
IPS Corp., 2016 1st Lien Term Loan, 1-month LIBOR + 5.250%, 6.486%, 12/20/2023(a) |
$ | 11,379,919 | |||
3,575,000 |
Morsco, Inc., Term Loan B, 10/31/2023(b) |
3,606,281 | ||||
7,988,875 |
Morsco, Inc., Term Loan B, 1-month LIBOR + 7.000%, 8.239%, 10/31/2023(a) |
8,058,778 | ||||
5,617,204 |
VC GB Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 4.989%, 2/28/2024(a) |
5,638,268 | ||||
5,607,000 |
VC GB Holdings, Inc., 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.239%, 2/28/2025(a) |
5,550,930 | ||||
5,645,630 |
Wilsonart LLC, 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.550%, 12/19/2023(a) |
5,646,816 | ||||
|
|
|||||
72,543,854 | ||||||
|
|
|||||
Cable Satellite 0.1% | ||||||
3,057,263 |
DigitalGlobe, Inc., 2016 Term Loan B, 1-month LIBOR + 2.750%, 3.989%, 1/15/2024(a) |
3,053,441 | ||||
|
|
|||||
Chemicals 2.6% | ||||||
4,337,584 |
Allnex (Luxembourg) & Cy SCA, 2016 USD Term Loan B2, 3-month LIBOR + 3.250%, 4.567%, 9/13/2023(e) |
4,343,006 | ||||
3,267,894 |
Allnex USA, Inc., USD Term Loan B3, 3-month LIBOR + 3.250%, 4.567%, 9/13/2023(e) |
3,271,978 | ||||
1,254,829 |
ASP Chromaflo Dutch I BV, Term Loan B2, 1-month LIBOR + 4.000%, 5.239%, 11/18/2023(a) |
1,258,757 | ||||
3,030,000 |
ASP Chromaflo Intermediate Holdings, Inc., 2016 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.239%, 11/14/2024(a) |
3,007,275 | ||||
965,016 |
ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1, 1-month LIBOR + 4.000%, 5.239%, 11/18/2023(a) |
968,036 | ||||
16,332,409 |
Avantor Performance Materials Holdings LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.240%, 3/10/2024(a) |
16,327,346 | ||||
7,956,286 |
Avantor Performance Materials Holdings LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 8.250%, 9.490%, 3/10/2025(a) |
7,956,286 | ||||
2,720,425 |
DuBois Chemicals, Inc., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.750%, 4.989%, 3/15/2024(a) |
2,735,741 | ||||
194,733 |
DuBois Chemicals, Inc., 2017 Delayed Draw Term Loan, 1.000%, 3/15/2024(d) |
195,830 | ||||
14,714,573 |
Methanol Holdings (Trinidad) Ltd., Term Loan B, 1-month LIBOR + 3.500%, 4.739%, 6/30/2022(a) |
14,788,146 | ||||
7,119,270 |
Nexeo Solutions LLC, 2017 Term Loan B, 3-month LIBOR + 3.750%, 5.058%, 6/09/2023(e) |
7,152,659 | ||||
6,064,999 |
Plaskolite, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.296%, 11/03/2022(a) |
6,080,162 | ||||
8,063,000 |
Transcendia, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.239%, 5/30/2024(a) |
8,103,315 | ||||
|
|
|||||
76,188,537 | ||||||
|
|
|||||
Construction Machinery 0.4% | ||||||
6,669,845 |
Onsite U.S. Finco LLC, Term Loan, 1-month LIBOR + 4.500%, 5.734%, 7/30/2021(a) |
5,269,177 | ||||
5,511,000 |
Utility One Source LP, Term Loan B, 3-month LIBOR + 5.500%, 6.799%, 4/07/2023(a) |
5,610,915 | ||||
|
|
|||||
10,880,092 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Consumer Cyclical Services 6.4% | ||||||
$ 12,476,226 |
Access CIG LLC, 1st Lien Term Loan, 1-month LIBOR + 5.000%, 6.236%, 10/18/2021(a) |
$ | 12,504,298 | |||
2,651,609 |
Allied Universal Holdco LLC, 2017 Delayed Draw Term Loan, 5.046%, 7/28/2022(d) |
2,644,980 | ||||
5,366,000 |
ASP MCS Acquisition Corp., Term Loan B, 3-month LIBOR + 4.750%, 6.056%, 5/18/2024(a) |
5,439,782 | ||||
14,098,000 |
ConvergeOne Holdings Corp., 2017 Term Loan B, 3-month LIBOR + 4.750%, 6.050%, 6/20/2024(a) |
14,086,299 | ||||
16,327,901 |
DTI Holdco, Inc., 2016 Term Loan B, LIBOR + 5.250%, 6.561%, 9/30/2023(c) |
15,593,145 | ||||
15,681,220 |
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.564%, 11/04/2021(e) |
15,706,467 | ||||
1,128,000 |
DTZ U.S. Borrower LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.250%, 9.561%, 11/04/2022(a) |
1,128,000 | ||||
13,770 |
Garda World Security Corp., PRIME + 3.000%, 7.250%, 5/24/2024(a) |
13,845 | ||||
5,480,375 |
Garda World Security Corp., 2017 Term Loan, 3-month LIBOR + 4.000%, 5.311%, 5/24/2024(a) |
5,510,078 | ||||
14,214,135 |
Imagine! Print Solutions, Inc., 2017 Term Loan, 3-month LIBOR + 4.750%, 6.050%, 6/21/2022(a) |
14,214,135 | ||||
13,398,408 |
Mister Car Wash Holdings, Inc., Term Loan B, 2-month LIBOR + 3.750%, 5.026%, 8/20/2021(a) |
13,420,784 | ||||
2,271,000 |
PSAV Holdings LLC, Term Loan B, 4/27/2024(b) |
2,274,792 | ||||
11,802,000 |
PSAV Holdings LLC, Term Loan B, LIBOR + 3.500%, 4.788%, 4/27/2024(c) |
11,821,709 | ||||
5,305,000 |
Sterling Infosystems, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.546%, 6/20/2022(a) |
5,321,605 | ||||
4,565,076 |
STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan, 3-month LIBOR + 5.250%, 6.546%, 6/30/2022(a) |
4,416,711 | ||||
10,115,191 |
TruGreen LP, 2017 Term Loan, 1-month LIBOR + 4.000%, 5.229%, 4/13/2023(a) |
10,216,343 | ||||
2,924,118 |
TwentyEighty, Inc., PIK Term Loan B, 3-month LIBOR + 1.000%, 2.296%, 3/31/2020(a)(f)(g)(h)(i) |
2,046,883 | ||||
2,078,934 |
TwentyEighty, Inc., PIK Term Loan C, 0.250%, 3/31/2020(f)(g)(h)(i) |
1,455,254 | ||||
9,921,968 |
U.S. Security Associates Holdings, Inc., 2016 Term Loan, 3-month LIBOR + 4.000%, 5.296%, 7/14/2023(a) |
9,965,426 | ||||
9,120,641 |
Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.239%, 12/19/2023(a) |
9,143,442 | ||||
1,993 |
Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, PRIME + 3.000%, 7.250%, 12/19/2023(a) |
1,998 | ||||
5,402,223 |
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.490%, 5/06/2021(a) |
5,423,831 | ||||
9,854,821 |
William Morris Endeavor Entertainment LLC, 2nd Lien Term Loan, 1-month LIBOR + 7.250%, 8.489%, 5/06/2022(a) |
9,965,687 | ||||
11,371,640 |
Xerox Business Services LLC, USD Term Loan B, 1-month LIBOR + 4.000%, 5.239%, 12/07/2023(a) |
11,462,613 | ||||
|
|
|||||
183,778,107 | ||||||
|
|
|||||
Consumer Products 5.3% | ||||||
28,071,740 |
Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 7.796%, 7/25/2022(a) |
25,571,671 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Consumer Products continued | ||||||
$ 7,958,457 | Augusta Sportswear Group, Inc., Term Loan B, 1-month LIBOR + 4.500%, 5.739%, 10/26/2023(a) |
$ | 7,839,081 | |||
3,172,050 | Highline Aftermarket Acquisition LLC, Term Loan B, 3-month LIBOR + 4.250%, 5.563%, 3/17/2024(a) |
3,187,910 | ||||
10,678,249 | Information Resources, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.486%, 1/18/2024(a) |
10,744,989 | ||||
7,019,000 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, 2-month LIBOR + 3.500%, 4.756%, 5/01/2024(a) |
7,023,422 | ||||
10,494,265 | Natures Bounty Co. (The), 2017 USD Term Loan B, 3-month LIBOR + 3.500%, 4.796%, 5/05/2023(a) |
10,497,518 | ||||
13,226,000 | Natures Bounty Co. (The), New 2017 Term Loan, 8/11/2024(b) |
13,135,137 | ||||
8,656,969 | Ozark Holdings LLC, Term Loan B, 1-month LIBOR + 3.750%, 4.989%, 7/01/2023(a) |
8,721,896 | ||||
14,069,416 | Polyconcept Investments BV, USD 2016 Term Loan B, 1-month LIBOR + 4.750%, 5.989%, 8/16/2023(a) |
14,104,590 | ||||
5,996,000 | Radio Systems Corp., Term Loan B, 1-month LIBOR + 3.500%, 4.739%, 5/02/2024(a) |
6,040,970 | ||||
7,160,020 | Serta Simmons Bedding LLC, 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.802%, 11/08/2023(e) |
6,948,799 | ||||
1,625,000 | Serta Simmons Bedding LLC, 2nd Lien Term Loan, 11/08/2024(b) |
1,567,118 | ||||
7,110,507 | Serta Simmons Bedding LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.312%, 11/08/2024(a) |
6,857,230 | ||||
9,066,918 | SRAM LLC, 2017 Term Loan, 2-month LIBOR + 3.500%, 4.757%, 3/15/2024(a) |
9,112,252 | ||||
7,488,324 | Strategic Partners, Inc., 2016 Term Loan, 1-month LIBOR + 4.500%, 5.739%, 6/30/2023(a) |
7,544,487 | ||||
12,779,699 | Wellness Merger Sub, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.750%, 6.046%, 6/30/2024(a) |
12,811,648 | ||||
|
|
|||||
151,708,718 | ||||||
|
|
|||||
Diversified Manufacturing 1.9% | ||||||
11,961,363 | Cortes NP Acquisition Corp., 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.239%, 11/30/2023(a) |
12,031,098 | ||||
17,342,841 | CPI Acquisition, Inc., Term Loan B, 3-month LIBOR + 4.500%, 5.962%, 8/17/2022(a) |
11,272,847 | ||||
174,557 | Engineered Machinery Holdings, Inc., 1st Lien Delayed Draw Term Loan, 1.625%, 7/19/2024(d) |
174,339 | ||||
649,311 | Engineered Machinery Holdings, Inc., 1st Lien Delayed Draw Term Loan, 7/19/2024(b) |
648,499 | ||||
581,857 | Engineered Machinery Holdings, Inc., 1st Lien Delayed Draw Term Loan, 1-month LIBOR + 3.25%, 4.485%, 7/19/2024(a) |
581,130 | ||||
4,994,689 | Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 7/19/2024(b) |
4,988,446 | ||||
5,818,585 | Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 2-month LIBOR + 3.250%, 4.556%, 7/19/2024(a) |
5,811,312 | ||||
8,083,431 | NN, Inc., 2016 Term Loan B, 1-month LIBOR + 4.250%, 5.489%, 10/19/2022(a) |
8,123,848 | ||||
5,038,708 | Robertshaw U.S. Holding Corp., 1st Lien Term Loan, 8/10/2024(b) |
5,067,076 | ||||
5,282,631 | Robertshaw U.S. Holding Corp., 1st Lien Term Loan, 1-month LIBOR + 4.500%, 5.750%, 8/10/2024(a) |
5,312,372 | ||||
|
|
|||||
54,010,967 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Electric 1.5% |
| |||||
$ 8,388,557 |
APLP Holdings LP, 2016 Term Loan B, 1-month LIBOR + 4.250%, 5.489%, 4/13/2023(a) |
$ | 8,472,443 | |||
14,077,493 |
Mirion Technologies, Inc., Term Loan B, 3-month LIBOR + 4.750%, 6.046%, 3/31/2022(a) |
14,042,299 | ||||
9,854,369 |
PrimeLine Utility Services LLC, Term Loan, LIBOR + 5.500%, 6.811%, 11/12/2022(c) |
9,817,415 | ||||
11,073,775 |
TerraForm AP Acquisition Holdings LLC, Term Loan B, 3-month LIBOR + 4.250%, 5.796%, 6/26/2022(a) |
11,267,566 | ||||
|
|
|||||
43,599,723 | ||||||
|
|
|||||
Environmental 0.8% |
| |||||
4,286,979 |
EnergySolutions LLC, New Term Loan, 1-month LIBOR + 4.750%, 5.990%, 5/29/2020(a) |
4,351,284 | ||||
3,785,539 |
EWT Holdings III Corp., 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.046%, 1/15/2021(a) |
3,823,395 | ||||
6,387,159 |
SiteOne Landscape Supply, Inc., 2017 Term Loan B, 1-month LIBOR + 3.500%, 4.740%, 4/29/2022(a) |
6,419,095 | ||||
2,598,000 |
United Site Services, Inc., 1st Lien Term Loan B, 8/10/2024(b) |
2,617,485 | ||||
4,769,000 |
Zep, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.229%, 8/12/2024(a) |
4,772,958 | ||||
|
|
|||||
21,984,217 | ||||||
|
|
|||||
Finance Companies 0.1% |
| |||||
3,421,057 |
iStar, Inc., 2016 Term Loan B, 1-month LIBOR + 3.750%, 4.981%, 7/01/2020(a) |
3,442,438 | ||||
|
|
|||||
Financial Other 2.8% |
| |||||
10,415,648 |
Ascensus, Inc., 2017 Term Loan, 3-month LIBOR + 4.000%, 5.296%, 12/03/2022(a) |
10,467,726 | ||||
11,151,104 |
DBRS Ltd., Term Loan, 3-month LIBOR + 5.250%, 6.567%, 3/04/2022(a) |
11,011,716 | ||||
7,965,803 |
Eze Castle Software, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 7.796%, 4/05/2021(a) |
7,955,846 | ||||
5,836,000 |
Grosvenor Capital Management Holdings LLP, 2016 Term Loan B, 1-month LIBOR + 3.000%, 4.239%, 8/18/2023(a) |
5,850,590 | ||||
9,355,131 |
Institutional Shareholder Services, Inc., Term Loan, 1-Week LIBOR + 4.500%, 5.606%, 4/30/2021(a) |
9,355,131 | ||||
10,665,000 |
LifeMiles Ltd., Term Loan B, 3-month LIBOR + 5.500%, 6.817%, 8/18/2022(a) |
10,744,988 | ||||
5,691,000 |
NAB Holdings LLC, 2017 Term Loan, 3-month LIBOR + 3.500%, 4.799%, 7/01/2024(a) |
5,712,341 | ||||
4,145,797 |
Resolute Investment Managers, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.250%, 5.546%, 4/30/2022(a) |
4,187,255 | ||||
959,846 |
Victory Capital Management, Inc., 2017 Term Loan B, 10/31/2021(b) |
972,448 | ||||
12,759,155 | Victory Capital Management, Inc., 2017 Term Loan B, 2-month LIBOR + 5.250%, 6.508%, 10/31/2021(a) |
12,926,682 | ||||
|
|
|||||
79,184,723 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Food & Beverage 3.0% | ||||||
$ 9,150,020 |
AI Aqua Merger Sub, Inc., 2017 1st Lien Term Loan B, 12/13/2023(b) |
$ | 9,184,332 | |||
2,268,000 | AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, 12/13/2023(b) |
2,272,264 | ||||
4,130,648 | Arctic Glacier U.S.A., Inc., 2017 Term Loan B, 1-month LIBOR + 4.250%, 5.489%, 3/20/2024(a) |
4,146,137 | ||||
11,846,363 | ASP MSG Acquisition Co., Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.296%, 8/16/2023(a) |
11,935,211 | ||||
9,939,000 | Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.312%, 7/07/2024(a) |
10,001,119 | ||||
9,771,884 | CPM Holdings, Inc., Term Loan B, 1-month LIBOR + 4.250%, 5.477%, 4/11/2022(a) |
9,869,603 | ||||
15,083,000 | Give & Go Prepared Foods Corp., 2017 1st Lien Add-On Term Loan, 3-month LIBOR + 4.250%, 5.564%, 7/29/2023(a) |
15,130,210 | ||||
3,303,133 | Packers Holdings LLC, Term Loan B, 3-month LIBOR + 3.500%, 4.727%, 12/02/2021(a) |
3,327,906 | ||||
8,794,015 | Proampac PG Borrower LLC, 2016 1st Lien Term Loan, LIBOR + 4.000%, 5.275%, 11/18/2023(c) |
8,887,495 | ||||
11,372,850 | TKC Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.489%, 2/01/2023(a) |
11,404,808 | ||||
|
|
|||||
86,159,085 | ||||||
|
|
|||||
Gaming 0.5% | ||||||
4,133,000 | Gateway Casinos & Entertainment Ltd., Term Loan B1, 3-month LIBOR + 3.750%, 5.046%, 2/22/2023(a) |
4,143,332 | ||||
10,271,000 | Golden Entertainment, Inc., 2017 1st Lien Term Loan, 8/15/2024(b) |
10,223,959 | ||||
|
|
|||||
14,367,291 | ||||||
|
|
|||||
Health Insurance 1.3% | ||||||
16,628,096 | Highland Acquisitions Holdings LLC, Term Loan B, 1-month LIBOR + 5.500%, 6.739%, 11/30/2022(a) |
16,697,435 | ||||
5,375,984 | Sedgwick Claims Management Services, Inc., 2nd Lien Term Loan, 1-month LIBOR + 5.750%, 6.989%, 2/28/2022(a) |
5,389,424 | ||||
14,031,478 | Sedgwick Claims Management Services, Inc., Incremental 2nd Lien Term Loan, 3-month LIBOR + 5.750%, 7.067%, 2/28/2022(a) |
14,049,018 | ||||
|
|
|||||
36,135,877 | ||||||
|
|
|||||
Healthcare 7.3% | ||||||
4,490,625 | Ascend Learning LLC, 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.533%, 7/12/2024(a) |
4,505,579 | ||||
11,781,928 | ATI Holdings Acquisition, Inc., 2016 Term Loan, 3-month LIBOR + 3.500%, 4.801%, 5/10/2023(a) |
11,811,383 | ||||
10,989,458 | BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.489%, 3/18/2024(a) |
10,989,458 | ||||
13,506,941 | CareCore National LLC, Term Loan B, 1-month LIBOR + 4.000%, 5.239%, 3/05/2021(a) |
13,675,777 | ||||
11,590,000 | Carestream Dental Equiment, Inc., 2017 1st Lien Term Loan B, 8/07/2024(b) |
11,517,562 | ||||
4,503,173 | CT Technologies Intermediate Holdings, Inc., New 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.489%, 12/01/2021(a) |
4,506,010 | ||||
3,770,000 | DuPage Medical Group Ltd., 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.315%, 8/15/2025(a) |
3,760,575 | ||||
2,350,000 | DuPage Medical Group Ltd., 2nd Lien Term Loan, 3-month LIBOR + 7.000%, 8.315%, 8/15/2025(a) |
2,338,250 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Healthcare continued | ||||||
$ 11,344,439 | Explorer Holdings, Inc., 2016 Term Loan B, 3-month LIBOR + 3.750%, 5.061%, 5/02/2023(a) |
$ | 11,386,981 | |||
14,931,770 | FHC Health Systems, Inc., 2014 Term Loan, 1-month LIBOR + 4.000%, 5.239%, 12/23/2021(a) |
14,483,817 | ||||
6,071,589 | Genoa a QoL Healthcare Co. LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.514%, 10/28/2023(a) |
6,086,768 | ||||
2,230,000 | GHX Ultimate Parent Corp., 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.546%, 6/28/2024(a) |
2,226,276 | ||||
1,132,766 | Greatbatch Ltd., 2017 Term Loan B, 10/27/2022(b) |
1,137,252 | ||||
11,829,276 | Greatbatch Ltd., 2017 Term Loan B, 1-month LIBOR + 3.500%, 4.730%, 10/27/2022(a) |
11,876,120 | ||||
17,740,465 | HC Group Holdings III, Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.317%, 4/07/2022(a) |
17,829,167 | ||||
2,794,722 | Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 1-month LIBOR + 3.000%, 4.239%, 5/31/2021(a) |
2,689,920 | ||||
8,521,469 | NMSC Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 5.000%, 6.296%, 4/19/2023(a) |
8,627,987 | ||||
11,768,347 | NVA Holdings, Inc., 2nd Lien Term Loan, 3-month LIBOR + 7.000%, 8.296%, 8/14/2022(a) |
11,846,842 | ||||
13,263,607 | Onex TSG Holdings II Corp., 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.239%, 7/31/2022(a) |
13,247,028 | ||||
11,602,000 | Patterson Medical Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 5.989%, 8/28/2022(a) |
11,224,935 | ||||
14,534,140 | Surgery Center Holdings, Inc., 2017 Term Loan B, 6/06/2024(b) |
14,382,694 | ||||
9,885,225 | Tecomet, Inc., 2017 Term Loan B, 3-month LIBOR + 3.750%, 5.061%, 5/01/2024(a) |
9,934,651 | ||||
24,775 | Tecomet, Inc., 2017 Term Loan B, PRIME + 2.750%, 7.000%, 5/01/2024(a) |
24,899 | ||||
3,437,000 | U.S. Anesthesia Partners, Inc., 2017 Term Loan, 3-month LIBOR + 3.250%, 4.486%, 6/23/2024(a) |
3,415,519 | ||||
7,838,434 | U.S. Renal Care, Inc., 2015 Term Loan B, 3-month LIBOR + 4.250%, 5.546%, 12/31/2022(a) |
7,652,271 | ||||
|
|
|||||
211,177,721 | ||||||
|
|
|||||
Home Construction 1.1% | ||||||
8,852,909 | Hayward Industries, Inc., Term Loan B, 1-month LIBOR + 3.500%, 4.739%, 7/18/2024(a) |
8,891,685 | ||||
13,448,203 | LBM Borrower LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 4.500%, 5.762%, 8/20/2022(a) |
13,517,865 | ||||
8,857,546 | Zodiac Pool Solutions LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.296%, 12/20/2023(a) |
8,940,629 | ||||
|
|
|||||
31,350,179 | ||||||
|
|
|||||
Independent Energy 1.2% | ||||||
6,160,000 | California Resources Corp., Second Out Term Loan, 1-month LIBOR + 10.375%, 11.603%, 12/31/2021(a) |
6,519,313 | ||||
8,595,269 | Chesapeake Energy Corp., Term Loan, 3-month LIBOR + 7.500%, 8.814%, 8/23/2021(a) |
9,125,339 | ||||
17,968,712 | Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.231%, 3/01/2024(a) |
16,913,050 | ||||
2,568,746 | P2 Upstream Acquisition Co., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.320%, 10/30/2020(a) |
2,508,817 | ||||
|
|
|||||
35,066,519 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued | ||||||
Industrial Other 6.7% | ||||||
$ 14,355,355 | Allied Universal Holdco LLC, 2015 Term Loan, 3-month LIBOR + 3.750%, 5.046%, 7/28/2022(a) |
$ | 14,341,000 | |||
6,341,617 | Brickman Group Ltd. LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.500%, 7.728%, 12/17/2021(a) |
6,360,896 | ||||
6,690,000 | CIBT Holdings, Inc., 2017 Term Loan, 1-month LIBOR + 4.000%, 5.239%, 6/03/2024(a) |
6,706,725 | ||||
4,579,333 | Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, 3-month LIBOR + 6.000%, 7.315%, 11/22/2021(a) |
3,741,315 | ||||
7,396,000 | Diamond (BC) BV, USD Term Loan, 7/12/2024(b) |
7,345,190 | ||||
4,999,698 | Duke Finance LLC, 2017 Incremental Term Loan, 3-month LIBOR + 4.250%, 5.514%, 2/21/2024(a) |
5,012,197 | ||||
17,629,590 | Eastman Kodak Co., Exit Term Loan, 2-month LIBOR + 6.250%, 7.507%, 9/03/2019(a) |
17,387,183 | ||||
4,619,048 | Harland Clarke Holdings Corp., Term Loan B5, 3-month LIBOR + 6.000%, 7.296%, 12/31/2021(a) |
4,638,679 | ||||
11,714,063 | Harland Clarke Holdings Corp., Term Loan B6, 3-month LIBOR + 5.500%, 6.796%, 2/09/2022(a) |
11,748,268 | ||||
9,637,518 | Laureate Education, Inc., 2017 Term Loan B, 1-month LIBOR + 4.500%, 5.739%, 4/26/2024(a) |
9,673,659 | ||||
11,140,600 | LTI Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 5.989%, 5/08/2024(a) |
11,070,971 | ||||
16,837,535 | Merrill Communications LLC, 2015 Term Loan, 3-month LIBOR + 5.250%, 6.561%, 6/01/2022(a) |
16,921,723 | ||||
8,101,072 | NES Global Talent Ltd., 1st Lien Term Loan, 3-month LIBOR + 5.500%, 6.811%, 10/03/2019(a) |
7,290,965 | ||||
6,657,000 | Oasis Outsourcing Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 4.989%, 6/28/2023(a) |
6,702,800 | ||||
7,276,888 | Oxbow Carbon LLC, 2017 Term Loan B, 1-month LIBOR + 3.500%, 4.739%, 1/19/2020(a) |
7,326,953 | ||||
11,342,770 | Power Products LLC, 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.307%, 12/20/2022(a) |
11,399,483 | ||||
6,120,206 | Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 1-month LIBOR + 2.750%, 3.989%, 5/02/2022(a) |
6,147,931 | ||||
13,908,143 | Sterigenics-Nordion Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.239%, 5/15/2022(a) |
13,890,757 | ||||
9,442,295 | Trojan Battery Co. LLC, 2013 Term Loan, 3-month LIBOR + 4.750%, 5.997%, 6/11/2021(e) |
9,430,492 | ||||
3,987,000 | Unifrax Corp., 2017 USD Term Loan B, 3-month LIBOR + 3.750%, 5.046%, 4/04/2024(a) |
4,000,277 | ||||
12,333,489 | WireCo WorldGroup, Inc., 1st Lien Term Loan, 3-month LIBOR + 5.500%, 6.817%, 9/30/2023(a) |
12,464,594 | ||||
|
|
|||||
193,602,058 | ||||||
|
|
|||||
Internet & Data 3.7% | ||||||
2,178,000 | Aerial Merger Sub, Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.312%, 8/08/2025(a) |
2,199,780 | ||||
8,414,000 | Aerial Merger Sub, Inc., Term Loan B2, 2/28/2024(b) |
8,477,105 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Internet & Data continued |
||||||
$ 11,529,000 |
CareerBuilder LLC, Term Loan, 3-month LIBOR + 6.750%, 8.007%, 7/26/2023(a) |
$ | 11,211,953 | |||
20,072,561 |
EIG Investors Corp., 2017 Term Loan, LIBOR + 4.000%, 5.317%, 2/09/2023(c) |
20,269,071 | ||||
15,079,000 |
GTCR Valor Cos., Inc., USD 2017 Term Loan B1, 3-month LIBOR + 4.250%, 5.503%, 6/16/2023(a) |
15,186,664 | ||||
7,696,059 |
MH Sub I LLC, 1st Lien Term Loan, 1-month LIBOR + 3.750%, 4.989%, 7/08/2021(a) |
7,672,971 | ||||
14,705,000 |
MH Sub I LLC, 2017 1st Lien Term Loan, 8/15/2024(b) |
14,619,270 | ||||
8,830,000 |
MH Sub I LLC, 2017 2nd Lien Term Loan, 8/15/2025(b) |
8,807,925 | ||||
10,821,086 |
MH Sub I LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.500%, 8.739%, 7/08/2022(a) |
10,831,258 | ||||
6,905,169 |
Polycom, Inc., 1st Lien Term Loan, 1-month LIBOR + 5.250%, 6.484%, 9/27/2023(e) |
6,989,757 | ||||
|
|
|||||
106,265,754 | ||||||
|
|
|||||
Leisure 1.7% |
||||||
4,497,513 |
Cast and Crew Payroll LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.800%, 8/12/2022(a) |
4,506,868 | ||||
8,798,330 |
CDS U.S. Intermediate Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.046%, 7/08/2022(a) |
8,765,336 | ||||
3,931,000 |
CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.250%, 9.546%, 7/10/2023(a) |
3,926,086 | ||||
16,481,000 |
Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, 1-month LIBOR + 4.250%, 5.480%, 6/28/2024(a) |
16,597,685 | ||||
9,580,057 |
Leslies Poolmart, Inc., 2016 Term Loan, LIBOR + 3.750%, 5.061%, 8/16/2023(c) |
9,576,034 | ||||
4,423,327 |
Marine Acquisition Corp., New Term Loan B, 1-month LIBOR + 3.750%, 4.989%, 1/30/2021(a) |
4,434,385 | ||||
|
|
|||||
47,806,394 | ||||||
|
|
|||||
Media Entertainment 4.5% |
||||||
9,539,725 |
ALM Media Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.500%, 5.796%, 7/31/2020(a)(f)(g) |
8,681,150 | ||||
7,696,553 |
Alpha Media LLC, 2016 Term Loan, LIBOR + 6.000%, 7.275%, 2/25/2022(c) |
7,273,242 | ||||
12,889,757 |
Camelot UK Holdco Ltd., 2017 Term Loan B, 1-month LIBOR + 3.500%, 4.739%, 10/03/2023(a) |
12,940,414 | ||||
7,041,363 |
CBS Radio, Inc., Term Loan B, 1-month LIBOR + 3.500%, 4.736%, 10/17/2023(a) |
7,079,527 | ||||
13,473,948 |
Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 1-month LIBOR + 4.250%, 5.481%, 6/07/2023(a) |
12,502,746 | ||||
1,055,725 |
Dex Media, Inc., Term Loan, 1-month LIBOR + 10.000%, 11.239%, 7/29/2021(a) |
1,084,757 | ||||
1,223,429 |
Donnelley Financial Solutions, Inc., Term Loan B, 1 Week LIBOR + 4.000%, 5.197%, 9/30/2023(a) |
1,226,487 | ||||
2,574,045 |
Entercom Radio LLC, 2016 Term Loan, LIBOR + 3.500%, 4.715%, 11/01/2023(c) |
2,575,975 | ||||
14,128 |
Entercom Radio LLC, 2016 Term Loan, PRIME + 2.500%, 6.750%, 11/01/2023(a) |
14,139 | ||||
1,990,542 |
Extreme Reach, Inc., 1st Lien Term Loan, 3-month LIBOR + 6.250%, 7.550%, 2/07/2020(a) |
1,985,566 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Media Entertainment continued |
||||||
$ 14,278,000 |
Extreme Reach, Inc., 2nd Lien Term Loan, 3-month LIBOR + 10.000%, 11.267%, 1/24/2021(a)(f)(g) |
$ | 13,706,880 | |||
12,566,887 |
LSC Communications, Inc., Term Loan B, 1-month LIBOR + 6.000%, 7.239%, 9/30/2022(a) |
12,614,013 | ||||
15,856,312 |
McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B, 1-month LIBOR + 4.000%, 5.239%, 5/04/2022(a) |
15,554,090 | ||||
7,556,000 |
Project Sunshine IV PTY Ltd., 2017 Term Loan B, 8/11/2022(b) |
7,556,000 | ||||
4,548,953 |
ProQuest LLC, New Term Loan B, 1-month LIBOR + 3.750%, 4.989%, 10/24/2021(a) |
4,590,667 | ||||
13,419,849 |
Redbox Automated Retail LLC, Term Loan B, LIBOR + 7.500%, 8.787%, 9/27/2021(c) |
13,486,948 | ||||
6,067,793 |
Sesac Holdco II LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.489%, 2/23/2024(a) |
6,052,623 | ||||
|
|
|||||
128,925,224 | ||||||
|
|
|||||
Metals & Mining 0.5% |
||||||
5,734,948 |
Global Brass & Copper, Inc., 2016 Term Loan B, 1-month LIBOR + 3.250%, 4.500%, 7/18/2023(a) |
5,770,792 | ||||
9,738,065 |
Harsco Corp., Term Loan B, 1-month LIBOR + 5.000%, 6.250%, 11/02/2023(a) |
9,847,618 | ||||
|
|
|||||
15,618,410 | ||||||
|
|
|||||
Midstream 1.2% |
||||||
17,116,000 |
BCP Raptor LLC, Term Loan B, 2-month LIBOR + 4.250%, 5.507%, 6/24/2024(a) |
17,215,786 | ||||
10,135,875 |
Gulf Finance LLC, Term Loan B, 3-month LIBOR + 5.250%, 6.550%, 8/25/2023(a) |
9,156,040 | ||||
7,530,759 |
Limetree Bay Terminals LLC, 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.228%, 2/15/2024(a) |
7,634,307 | ||||
10,568 |
Veresen Midstream LP, 2017 Term Loan B, 1-month LIBOR + 3.500%, 4.739%, 3/31/2022(a) |
10,614 | ||||
|
|
|||||
34,016,747 | ||||||
|
|
|||||
Oil Field Services 0.5% |
||||||
10,266,813 |
Petroleum Geo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 3.796%, 3/19/2021(a) |
8,311,806 | ||||
316,667 |
Pinnacle Holdco S.a.r.l., 2nd Lien Term Loan, 3-month LIBOR + 9.250%, 10.546%, 7/24/2020(a) |
190,000 | ||||
7,280,330 |
Pinnacle Holdco S.a.r.l., Term Loan, 3-month LIBOR + 3.500%, 4.800%, 7/30/2019(a) |
5,314,641 | ||||
|
|
|||||
13,816,447 | ||||||
|
|
|||||
Other Utility 0.7% |
||||||
4,758,639 |
PowerTeam Services LLC, 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.546%, 5/06/2020(a) |
4,711,053 | ||||
14,752,405 |
PowerTeam Services LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.546%, 11/06/2020(a) |
14,623,321 | ||||
|
|
|||||
19,334,374 | ||||||
|
|
|||||
Packaging 1.5% |
||||||
8,094,665 |
Fort Dearborn Co., 2016 1st Lien Term Loan, LIBOR + 4.000%, 5.298%, 10/19/2023(c) |
8,145,257 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Packaging continued |
||||||
$ 11,669,000 |
Klockner-Pentaplast of America, Inc., USD 2017 Term Loan B2, 3-month LIBOR + 4.250%, 5.546%, 6/30/2022(a) |
$ | 11,664,099 | |||
4,425,569 |
PKC Holding Corp., 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.812%, 5/08/2024(a) |
4,414,505 | ||||
7,263,852 |
PLZ Aeroscience Corp., USD Term Loan, 3-month LIBOR + 3.500%, 4.781%, 7/31/2022(e) |
7,272,932 | ||||
1,013,182 |
TricorBraun Holdings, Inc., 1st Lien Delayed Draw Term Loan, 3.750%, 11/30/2023(d) |
1,018,754 | ||||
10,081,159 |
TricorBraun Holdings, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.046%, 11/30/2023(a) |
10,136,606 | ||||
|
|
|||||
42,652,153 | ||||||
|
|
|||||
Pharmaceuticals 1.6% |
||||||
3,450,000 |
Akorn, Inc., Term Loan B, 1-month LIBOR + 4.250%, 5.500%, 4/16/2021(a) |
3,488,813 | ||||
1,233,000 |
Albany Molecular Research, Inc., 2017 1st Lien Term Loan, 8/30/2024(b) |
1,233,000 | ||||
13,954,025 |
Endo Luxembourg Finance Co. I S.a r.l., 2017 Term Loan B, 1-month LIBOR + 4.250%, 5.500%, 4/29/2024(a) |
14,045,563 | ||||
3,898,000 |
Parexel International Corp., Term Loan B, 8/07/2024(b) |
3,905,796 | ||||
22,582,056 |
Valeant Pharmaceuticals International, Inc., Term Loan B F1, 1-month LIBOR + 4.750%, 5.990%, 4/01/2022(a) |
22,958,499 | ||||
|
|
|||||
45,631,671 | ||||||
|
|
|||||
Property & Casualty Insurance 4.0% |
||||||
5,958,116 |
Alliant Holdings I, Inc., 2015 Term Loan B, 3-month LIBOR + 3.250%, 4.564%, 8/12/2022(a) |
5,953,409 | ||||
4,506,884 |
AmWINS Group, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 7.989%, 1/25/2025(a) |
4,597,022 | ||||
20,668,698 |
Applied Systems, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 7.796%, 1/24/2022(a) |
20,927,057 | ||||
13,737,938 |
AssuredPartners, Inc., 2017 Term Loan, 1-month LIBOR + 3.500%, 4.739%, 10/21/2022(a) |
13,775,717 | ||||
16,904,257 |
Confie Seguros Holding II Co., 2016 Term Loan B, 1-month LIBOR + 5.500%, 6.739%, 4/19/2022(a) |
16,684,501 | ||||
11,891,799 |
Cunningham Lindsey U.S., Inc., 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.046%, 12/10/2019(a) |
11,198,151 | ||||
5,255,227 |
Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.296%, 6/10/2020(a) |
3,153,136 | ||||
469,000 |
Cypress Intermediate Holdings III, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 7.989%, 4/27/2025(a) |
481,752 | ||||
12,788,782 |
Hyperion Insurance Group Ltd., 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.250%, 4/29/2022(a) |
12,942,247 | ||||
9,375,000 |
Mitchell International, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 7.500%, 8.811%, 10/11/2021(a) |
9,436,500 | ||||
7,992,282 |
VF Holding Corp., Reprice Term Loan, 3-month LIBOR + 3.250%, 4.546%, 6/30/2023(a) |
8,016,259 | ||||
7,737,599 |
York Risk Services Holding Corp., Term Loan B, 1-month LIBOR + 3.750%, 4.989%, 10/01/2021(a) |
7,614,261 | ||||
|
|
|||||
114,780,012 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Restaurants 1.1% |
| |||||
$ 7,774,268 |
Big Jack Holdings LP, 2017 Term Loan B, 1-month LIBOR + 4.250%, 5.490%, 4/05/2024(a) |
$ | 7,793,704 | |||
7,679,000 |
Portillos Holdings LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.296%, 8/01/2022(a) |
7,717,395 | ||||
15,801,117 |
Red Lobster Management LLC, Term Loan B, 1-month LIBOR + 5.250%, 6.486%, 7/28/2021(a) |
15,919,625 | ||||
|
|
|||||
31,430,724 | ||||||
|
|
|||||
Retailers 5.9% |
||||||
16,561,940 |
Academy Ltd., 2015 Term Loan B, 3-month LIBOR + 4.000%, 5.242%, 7/01/2022(e) |
11,030,252 | ||||
10,991,869 |
Array Canada, Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.296%, 2/10/2023(a) |
10,991,869 | ||||
15,642,144 |
Ascena Retail Group, Inc., 2015 Term Loan B, 1-month LIBOR + 4.500%, 5.750%, 8/21/2022(a) |
11,950,598 | ||||
7,954,648 |
At Home Holding III, Inc., Term Loan, 3-month LIBOR + 3.500%, 4.811%, 6/03/2022(a) |
7,885,045 | ||||
3,979,186 |
Bass Pro Group LLC, 2015 Term Loan, 1-month LIBOR + 3.250%, 4.479%, 6/05/2020(a) |
3,955,987 | ||||
15,622,129 |
Bass Pro Group LLC, Term Loan B, 3-month LIBOR + 5.000%, 6.296%, 12/16/2023(a) |
14,772,754 | ||||
17,362,428 |
BDF Acquisition Corp., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 5.989%, 2/12/2021(a) |
17,015,180 | ||||
5,699,850 |
Davids Bridal, Inc., New Term Loan B, 3-month LIBOR + 4.000%, 5.300%, 10/11/2019(a) |
4,449,474 | ||||
1,182,156 |
Eyemart Express LLC, 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.250%, 8/04/2022(a) |
1,179,201 | ||||
6,250,000 |
Hudsons Bay Co., 2015 Term Loan B, 3-month LIBOR + 3.250%, 4.546%, 9/30/2022(a) |
6,000,000 | ||||
18,622,502 |
Jill Acquisition LLC, 2015 Term Loan, 3-month LIBOR + 5.000%, 6.320%, 5/08/2022(a) |
18,203,495 | ||||
12,062,897 |
Mens Wearhouse, Inc. (The), Term Loan B, LIBOR + 3.500%, 4.770%, 6/18/2021(c) |
11,479,898 | ||||
10,296,089 |
Neiman Marcus Group Ltd. LLC, 2020 Term Loan, 1-month LIBOR + 3.250%, 4.481%, 10/25/2020(a) |
7,565,257 | ||||
11,767,143 |
PetSmart, Inc., Term Loan B2, 1-month LIBOR + 3.000%, 4.240%, 3/11/2022(a) |
10,333,081 | ||||
20,005,000 |
Staples, Inc., 2017 Term Loan B, 8/06/2024(b) |
19,900,374 | ||||
7,472,966 |
Talbots, Inc. (The), 1st Lien Term Loan, 1-month LIBOR + 4.500%, 5.739%, 3/19/2020(a) |
7,002,169 | ||||
8,040,607 |
Talbots, Inc. (The), 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 9.739%, 3/19/2021(a)(f)(g) |
6,981,900 | ||||
|
|
|||||
170,696,534 | ||||||
|
|
|||||
Technology 7.4% |
||||||
15,673,000 |
Almonde, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.500%, 4.817%, 6/13/2024(a) |
15,739,610 | ||||
11,080,000 |
Almonde, Inc., USD 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.567%, 6/13/2025(a) |
11,265,258 | ||||
3,750,000 |
Aptean, Inc., 2016 2nd Lien Term Loan, 3-month LIBOR + 9.500%, 10.800%, 12/14/2023(a) |
3,742,988 | ||||
15,661,748 |
Aptean, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 4.250%, 5.550%, 12/20/2022(a) |
15,769,500 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Technology continued | ||||||
$ 10,584,086 |
Aricent Technologies, 1st Lien Term Loan, 1-month LIBOR + 4.500%, 5.729%, 4/14/2021(a) |
$ | 10,580,805 | |||
10,691,702 |
Greeneden U.S. Holdings II LLC, USD 2017 Term Loan B2, 3-month LIBOR + 3.750%, 5.007%, 12/01/2023(a) |
10,747,085 | ||||
14,143,669 |
Hyland Software, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 8.239%, 7/07/2025(a) |
14,373,504 | ||||
11,279,713 |
Informatica Corp., USD Term Loan, 3-month LIBOR + 3.500%, 4.796%, 8/05/2022(a) |
11,286,819 | ||||
1,750,000 |
IQOR U.S., Inc., 2nd Lien Term Loan, 4/01/2022(b) |
1,688,750 | ||||
9,939,347 |
IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 10.049%, 4/01/2022(a) |
9,591,470 | ||||
13,104,104 |
IQOR U.S., Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.299%, 4/01/2021(a) |
12,966,511 | ||||
2,699,857 |
Oberthur Technologies S.A., 2016 USD Term Loan B1, 3-month LIBOR + 3.750%, 5.046%, 1/10/2024(a) |
2,654,850 | ||||
7,890,326 |
Openlink International Intermediate, Inc., 2017 Term Loan, LIBOR + 6.500%, 7.811%, 7/29/2019(c) |
7,875,571 | ||||
2,214,391 |
Optiv Security, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.563%, 2/01/2024(a) |
2,011,398 | ||||
6,748,966 |
Presidio, Inc., 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.549%, 2/02/2022(a) |
6,771,440 | ||||
12,539,000 |
Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 3-month LIBOR + 3.500%, 4.810%, 4/26/2024(a) |
12,225,525 | ||||
11,645,736 |
Riverbed Technology, Inc., 2016 Term Loan, 1-month LIBOR + 3.250%, 4.490%, 4/24/2022(a) |
11,293,918 | ||||
6,125,387 |
Rocket Software, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 4.250%, 5.546%, 10/14/2023(a) |
6,182,047 | ||||
5,657,835 |
Rocket Software, Inc., 2016 2nd Lien Term Loan, 3-month LIBOR + 9.500%, 10.796%, 10/14/2024(a) |
5,657,835 | ||||
11,017,672 |
Sirius Computer Solutions, Inc., 2016 Term Loan, 1-month LIBOR + 4.250%, 5.489%, 10/30/2022(a) |
11,081,905 | ||||
9,820,972 |
SurveyMonkey, Inc., 2017 Term Loan, 3-month LIBOR + 4.500%, 5.800%, 4/13/2024(a) |
9,943,734 | ||||
18,489,042 |
Veritas Bermuda Ltd., Repriced Term Loan B, 3-month LIBOR + 4.500%, 5.796%, 1/27/2023(a) |
18,619,944 | ||||
|
|
|||||
212,070,467 | ||||||
|
|
|||||
Transportation Services 1.3% |
| |||||
12,778,973 |
AI Mistral Holdco Ltd., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.239%, 3/09/2024(a) |
12,651,183 | ||||
8,917,000 |
American Traffic Solutions, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.500%, 5.731%, 5/24/2024(a) |
8,939,293 | ||||
17,138,083 |
Uber Technologies, Term Loan B, 1-month LIBOR + 4.000%, 5.236%, 7/13/2023(a) |
17,100,550 | ||||
|
|
|||||
38,691,026 | ||||||
|
|
|||||
Utility Other 0.3% |
||||||
9,107,216 |
Meter Readings Holding LLC, 2016 Term Loan B, 3-month LIBOR + 5.750%, 7.067%, 8/29/2023(a) |
9,266,593 | ||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Wireless 1.3% |
||||||
$ 9,400,000 |
Asurion LLC, 2017 2nd Lien Term Loan, 8/04/2025(b) |
$ | 9,591,948 | |||
2,817,391 |
Asurion LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.239%, 8/04/2025(a) |
2,874,922 | ||||
6,713,000 |
Asurion LLC, 2017 Term Loan B5, 1-month LIBOR + 3.000%, 4.239%, 11/03/2023(a) |
6,738,174 | ||||
7,527,247 |
GTT Communications, Inc., 2017 Add on Term Loan B, 1-month LIBOR + 3.250%, 4.500%, 1/09/2024(a) |
7,546,065 | ||||
9,763,712 |
LSF9 Atlantis Holdings LLC, 2017 Term Loan, 1-month LIBOR + 6.000%, 7.232%, 5/01/2023(a) |
9,784,021 | ||||
|
|
|||||
36,535,130 | ||||||
|
|
|||||
Wirelines 0.7% |
||||||
6,629,616 |
Communications Sales & Leasing, Inc., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.239%, 10/24/2022(a) |
6,403,082 | ||||
13,615,000 |
Coral-U.S. Co. Borrower LLC, Term Loan B3, 1-month LIBOR + 3.500%, 4.739%, 1/31/2025(a) |
13,532,766 | ||||
|
|
|||||
19,935,848 | ||||||
|
|
|||||
Total Senior Loans (Identified Cost $2,616,170,917) |
2,589,099,373 | |||||
|
|
|||||
Bonds and Notes 7.4% |
||||||
Cable Satellite 0.5% |
||||||
12,918,655 |
Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(j) |
12,983,248 | ||||
|
|
|||||
Chemicals 0.2% |
||||||
4,842,000 |
Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A |
4,932,788 | ||||
|
|
|||||
Environmental 0.2% |
||||||
4,860,000 |
GFL Environmental, Inc., 5.625%, 5/01/2022, 144A |
5,030,100 | ||||
|
|
|||||
Finance Companies 0.5% |
||||||
14,035,000 |
iStar, Inc., 6.000%, 4/01/2022 |
14,420,962 | ||||
|
|
|||||
Healthcare 0.8% |
||||||
4,225,000 |
Select Medical Corp., 6.375%, 6/01/2021 |
4,355,806 | ||||
18,905,000 |
Tenet Healthcare Corp., 8.125%, 4/01/2022 |
19,850,250 | ||||
|
|
|||||
24,206,056 | ||||||
|
|
|||||
Independent Energy 1.3% |
||||||
10,540,000 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A |
10,724,450 | ||||
10,675,000 |
Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A |
9,409,692 | ||||
4,500,000 |
Oasis Petroleum, Inc., 6.875%, 3/15/2022 |
4,376,250 | ||||
13,270,000 |
SM Energy Co., 6.500%, 1/01/2023 |
12,706,025 | ||||
|
|
|||||
37,216,417 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Bonds and Notes continued |
| |||||
Metals & Mining 0.3% | ||||||
$ 9,375,000 |
Petra Diamonds U.S. Treasury PLC, 7.250%, 5/01/2022, 144A |
$ | 9,726,563 | |||
|
|
|||||
Non-Agency Commercial Mortgage-Backed Securities 0.3% | ||||||
9,820,000 |
Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month Libor + 6.927%, 8.162%, 8/15/2019, 144A(a) |
9,801,588 | ||||
|
|
|||||
Oil Field Services 0.2% | ||||||
5,625,000 |
Petroleum Geo-Services ASA, 7.375%, 12/15/2020, 144A |
5,118,750 | ||||
|
|
|||||
Property & Casualty Insurance 1.2% | ||||||
14,090,000 |
Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A |
14,185,671 | ||||
19,282,000 |
HUB International Ltd., 7.875%, 10/01/2021, 144A |
20,047,495 | ||||
|
|
|||||
34,233,166 | ||||||
|
|
|||||
Technology 0.4% | ||||||
12,678,000 |
Blackboard, Inc., 9.750%, 10/15/2021, 144A |
11,489,437 | ||||
1,068,003 |
Edmentum, Inc., Junior PIK Note, 10.000%, 6/06/2020 (i)(k)(l)(m) |
| ||||
|
|
|||||
11,489,437 | ||||||
|
|
|||||
Transportation Services 0.5% | ||||||
14,085,000 |
Hertz Corp. (The), 7.625%, 6/01/2022, 144A |
14,208,244 | ||||
|
|
|||||
Wirelines 1.0% | ||||||
16,445,000 |
Windstream Services LLC, 7.750%, 10/15/2020 |
14,646,246 | ||||
17,640,000 |
Windstream Services LLC, 7.750%, 10/01/2021 |
13,979,700 | ||||
|
|
|||||
28,625,946 | ||||||
|
|
|||||
Total Bonds and Notes (Identified Cost $216,552,543) |
211,993,265 | |||||
|
|
Shares |
||||||
Preferred Stocks 0.1% |
||||||
Technology 0.1% |
||||||
29,673 |
Belden, Inc., 6.750% (Identified Cost $2,780,280) |
3,124,597 | ||||
|
|
|||||
Common Stocks 0.2% |
||||||
Diversified Consumer Services 0.0% |
||||||
8,680 |
Edmentum Ultimate Holdings LLC, Class A(i)(k)(l)(n) |
| ||||
|
|
|||||
Energy Equipment & Services 0.1% |
||||||
61,854 |
Ameriforge Group, Inc.(f)(i)(k)(l)(o) |
1,670,058 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Industrial Conglomerates 0.0% |
| |||||
20,609 | TwentyEighty, Inc., Class A(f)(i)(k)(l) |
$ | | |||
|
|
|||||
Oil Field Services 0.0% |
| |||||
4,762 | Rex Energy Corp.(k) |
10,905 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 0.1% |
| |||||
456,710 | Blue Ridge Mountain Resource, Inc.(i)(k)(l) |
3,882,035 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $12,875,123) |
5,562,998 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 5.1% |
| |||||
$ 20,715,406 | Repurchase Agreement with State Street Bank and Trust Company, dated 8/31/2017 at 0.000% to be repurchased at $20,715,406 on 9/01/2017 collateralized by $20,690,400 U.S. Treasury Note, 2.125% due 8/15/2021 valued at $21,129,780 including accrued interest(p) | 20,715,406 | ||||
125,646,619 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2017 at 0.340% to be repurchased at $125,647,805 on 9/01/2017 collateralized by $315,000 U.S. Treasury Inflation, 0.625% due 1/15/2024 valued at $339,171; $31,330,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $31,239,488 and $95,370,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $96,583,393 including accrued interest(p) | 125,646,619 | ||||
|
|
|||||
Total Short-Term Investments (Identified Cost $146,362,025) |
146,362,025 | |||||
|
|
|||||
Total Investments 102.9% (Identified Cost $2,994,740,888) |
2,956,142,258 | |||||
Other assets less liabilities (2.9)% | (83,260,494 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 2,872,881,764 | ||||
|
|
() | 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 evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds pricing policies and procedures.
As of August 31, 2017, 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 |
|||||||
$32,872,067 |
1.1% | $ | 5,552,093 | 0.2 | % |
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) | Variable rate security. Rate as of August 31, 2017 is disclosed. |
(b) | Position is unsettled. Contract rate was not determined at August 31, 2017 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2017. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(d) | Unfunded loan commitment. An unfunded loan commitment is 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. |
(e) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at August 31, 2017. |
(f) | Illiquid security. |
(g) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At August 31, 2017, the value of these securities amounted to $32,872,067 or 1.1% of net assets. |
(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 principal. For the period ended August 31, 2017 interest payments were made in debt securities. |
(i) | Level 3 security. Value has been determined using significant unobservable inputs. See Fair Value Measurements. |
(j) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended August 31, 2017, interest payments were made in cash. |
(k) | Non-income producing security. |
(l) | Fair valued by the Funds adviser. At August 31, 2017, the value of these securities amounted to $5,552,093 or 0.2% of net assets. |
(m) | Security subject to restrictions on resale. This security was acquired on June 9, 2015 at a cost of $2,045,646. At August 31, 2017, the value of this security amounted to $0 or 0.0% of net assets. |
(n) | Security subject to restrictions on resale. This security was acquired on June 9, 2015 at a cost of $0. At August 31, 2017, the value of this security amounted to $0 or 0.0% of net assets. |
(o) | Security subject to restrictions on resale. This security was acquired on September 7, 2017 at a cost of $2,262,602. At August 31, 2017, the value of this security amounted to $1,670,058 or 0.1% of net assets. |
(p) | 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, 2017, 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, 2017, the value of Rule 144A holdings amounted to $127,658,026 or 4.4% of net assets. |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
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.):
PORTFOLIO OF INVESTMENTS as of August 31, 2017 (Unaudited)
Vaughan Nelson Select Fund
Shares |
Description |
Value () | ||||
Common Stocks 95.6% of Net Assets | ||||||
Aerospace & Defense 4.4% | ||||||
31,200 | General Dynamics Corp.(a) | $ | 6,282,120 | |||
|
|
|||||
Auto Components 5.2% | ||||||
76,500 | Delphi Automotive PLC(a) | 7,374,600 | ||||
|
|
|||||
Biotechnology 3.2% | ||||||
224,625 | Grifols S.A., ADR | 4,638,506 | ||||
|
|
|||||
Capital Markets 2.1% | ||||||
22,375 | Moodys Corp. | 2,998,921 | ||||
|
|
|||||
Chemicals 4.6% | ||||||
19,260 | Sherwin-Williams Co. (The) | 6,534,340 | ||||
|
|
|||||
Diversified Financial Services 4.1% | ||||||
32,700 | Berkshire Hathaway, Inc., Class B(b) | 5,923,932 | ||||
|
|
|||||
Diversified Telecommunication Services 2.8% | ||||||
108,525 | AT&T, Inc. | 4,065,347 | ||||
|
|
|||||
Electronic Equipment, Instruments & Components 1.2% | ||||||
9,775 | IPG Photonics Corp.(b) | 1,718,347 | ||||
|
|
|||||
Energy Equipment & Services 3.3% | ||||||
120,450 | Halliburton Co. | 4,693,937 | ||||
|
|
|||||
Health Care Equipment & Supplies 2.0% | ||||||
35,550 | Medtronic PLC | 2,866,041 | ||||
|
|
|||||
Health Care Providers & Services 6.1% | ||||||
43,950 | UnitedHealth Group, Inc.(a) | 8,741,655 | ||||
|
|
|||||
Household Durables 3.8% | ||||||
112,850 | Newell Brands, Inc. | 5,448,398 | ||||
|
|
|||||
Insurance 2.0% | ||||||
49,375 | Arthur J. Gallagher & Co. | 2,858,813 | ||||
|
|
|||||
Internet Software & Services 5.2% | ||||||
19,525 | Alibaba Group Holding Ltd., Sponsored ADR(b) | 3,353,224 | ||||
4,385 | Alphabet, Inc., Class C(b) | 4,118,962 | ||||
|
|
|||||
7,472,186 | ||||||
|
|
|||||
IT Services 5.9% | ||||||
55,350 | Broadridge Financial Solutions, Inc. | 4,324,495 | ||||
30,375 | MasterCard, Inc., Class A | 4,048,988 | ||||
|
|
|||||
8,373,483 | ||||||
|
|
|||||
Life Sciences Tools & Services 3.1% | ||||||
24,000 | Thermo Fisher Scientific, Inc. | 4,491,360 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Machinery 2.6% | ||||||
25,125 | Snap-on, Inc. | $ | 3,707,696 | |||
|
|
|||||
Media 9.1% | ||||||
62,625 | Time Warner, Inc. | 6,331,387 | ||||
249,050 | Twenty-First Century Fox, Inc., Class B | 6,749,255 | ||||
|
|
|||||
13,080,642 | ||||||
|
|
|||||
Oil, Gas & Consumable Fuels 5.3% | ||||||
105,375 | Enterprise Products Partners LP | 2,747,126 | ||||
678,075 | Kosmos Energy Ltd.(b) | 4,773,648 | ||||
|
|
|||||
7,520,774 | ||||||
|
|
|||||
Personal Products 3.6% | ||||||
47,875 | Estee Lauder Cos., Inc. (The), Class A | 5,122,146 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 4.0% | ||||||
11,525 | Broadcom Ltd.(a) | 2,905,107 | ||||
34,725 | Texas Instruments, Inc.(a) | 2,875,924 | ||||
|
|
|||||
5,781,031 | ||||||
|
|
|||||
Software 4.9% | ||||||
93,050 | Microsoft Corp.(a) | 6,957,349 | ||||
|
|
|||||
Specialty Retail 4.5% | ||||||
42,975 | Home Depot, Inc. (The) | 6,440,663 | ||||
|
|
|||||
Technology Hardware, Storage & Peripherals 2.6% | ||||||
22,525 | Apple, Inc.(a) | 3,694,100 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $116,986,156) |
136,786,387 | |||||
|
|
|||||
Closed-End Investment Companies 3.3% |
| |||||
31,875 | Altaba, Inc.(b) | 2,042,550 | ||||
162,775 | Ares Capital Corp. | 2,614,166 | ||||
|
|
|||||
Total Closed-End Investment Companies (Identified Cost $4,542,957) |
4,656,716 | |||||
|
|
|||||
Purchased Options 0.8% (Identified Cost $1,432,135) (see detail below) | 1,136,200 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 1.1% |
| |||||
$ 1,638,807 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 8/31/2017 at 0.340% to be repurchased at $1,638,822 on 9/01/2017 collateralized by $1,675,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $1,674,610 including accrued interest(c) (Identified Cost $1,638,807) | 1,638,807 | ||||
Total Investments 100.8% |
144,218,110 | |||||
|
|
|||||
Other assets less liabilities (0.8)% |
(1,189,826 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 143,028,284 | ||||
|
|
Purchased Options 0.8% | ||||||||||||||||||||||||
Description |
Expiration Date |
Exercise Price |
Contracts() | Notional Amount |
Cost | Value () | ||||||||||||||||||
Index Options 0.8% |
||||||||||||||||||||||||
S&P 500 Index, Put(b)(d) |
06/15/2018 | 2,375 | 130 | $ | 32,131,450 | $ | 1,432,135 | $ | 1,136,200 | |||||||||||||||
Written Options (0.8%) |
| |||||||||||||||||||||||
Description |
Expiration Date |
Exercise Price |
Contracts/ Shares() |
Notional Amount |
Premiums Received |
Value () | ||||||||||||||||||
Index Options (0.4%) |
||||||||||||||||||||||||
S&P 500 Index, Put(d) |
06/15/2018 | 2,175 | (130 | ) | $ | (32,131,450 | ) | $ | (794,464 | ) | $ | (614,250 | ) | |||||||||||
Options on Securities (0.4%) |
||||||||||||||||||||||||
UnitedHealth Group, Inc., Call(d) |
01/19/2018 | 190 | (16,600 | ) | (3,301,740 | ) | (66,225 | ) | (232,815 | ) | ||||||||||||||
Texas Instruments, Inc., Call(d) |
01/19/2018 | 100 | (17,800 | ) | (1,474,196 | ) | (10,138 | ) | (3,649 | ) | ||||||||||||||
Microsoft Corp., Call(d) |
01/19/2018 | 80 | (30,400 | ) | (2,273,008 | ) | (17,923 | ) | (41,040 | ) | ||||||||||||||
General Dynamics Corp., Call(d) |
01/19/2018 | 220 | (17,600 | ) | (3,543,760 | ) | (64,055 | ) | (35,200 | ) | ||||||||||||||
Delphi Automotive PLC, Call(d) |
01/19/2018 | 100 | (27,000 | ) | (2,602,800 | ) | (40,217 | ) | (110,700 | ) | ||||||||||||||
Broadcom Ltd., Call(d) |
01/19/2018 | 300 | (8,800 | ) | (2,218,216 | ) | (25,428 | ) | (30,360 | ) | ||||||||||||||
Apple, Inc., Call(d) |
01/19/2018 | 170 | (12,900 | ) | (2,115,600 | ) | (33,405 | ) | (88,688 | ) | ||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Written Options |
(1,051,855 | ) | (1,156,702 | ) | ||||||||||||||||||||
|
|
|
|
() | 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.
Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (CBOE).
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.
() | Options on securities are expressed as shares. Options on indices are expressed as contracts. |
(a) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(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, 2017, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(d) | 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. |
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, 2017, the net unrealized appreciation on investments based on a cost of $123,548,200 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 |
$ | 23,049,065 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(3,535,857 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 19,513,208 | ||
|
|
At November 30, 2016, post-October capital loss deferrals were $ 1,746,724. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
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, 2017, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 136,786,387 | $ | | $ | | $ | 136,786,387 | ||||||||
Closed-End Investment Companies* |
4,656,716 | | | 4,656,716 | ||||||||||||
Purchased Options* |
1,136,200 | | | 1,136,200 | ||||||||||||
Short-Term Investments |
| 1,638,807 | | 1,638,807 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 142,579,303 | $ | 1,638,807 | $ | | $ | 144,218,110 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (1,156,702 | ) | $ | | $ | | $ | (1,156,702 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended August 31, 2017, 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 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 for investment purposes and written put options to offset the cost of purchased options. The Fund may also use purchased call options, written call options and written put options for investment purposes. As of August 31, 2017, the Fund engaged in written call options and purchased put options for investment purposes and written put options to offset the cost of purchased puts.
The following is a summary of derivative instruments for the Fund, as of August 31, 2017:
Assets |
Options purchased at value |
|||
Exchange-traded asset derivatives Equity contracts |
$ | 1,136,200 | ||
Liabilities |
Options written at value |
|||
Exchange-traded liability derivatives Equity contracts |
$ | (1,156,702 | ) |
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 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, as of August 31, 2017, is $17,529,320.
Industry Summary at August 31, 2017 (Unaudited)
Media |
9.1 | % | ||
Health Care Providers & Services |
6.1 | |||
IT Services |
5.9 | |||
Oil, Gas & Consumable Fuels |
5.3 | |||
Internet Software & Services |
5.2 | |||
Auto Components |
5.2 | |||
Software |
4.9 | |||
Chemicals |
4.6 | |||
Specialty Retail |
4.5 | |||
Aerospace & Defense |
4.4 | |||
Diversified Financial Services |
4.1 | |||
Semiconductors & Semiconductor Equipment |
4.0 | |||
Household Durables |
3.8 | |||
Personal Products |
3.6 | |||
Energy Equipment & Services |
3.3 | |||
Closed-End Investment Companies |
3.3 | |||
Biotechnology |
3.2 | |||
Life Sciences Tools & Services |
3.1 | |||
Diversified Telecommunication Services |
2.8 | |||
Machinery |
2.6 | |||
Technology Hardware, Storage & Peripherals |
2.6 | |||
Capital Markets |
2.1 | |||
Health Care Equipment & Supplies |
2.0 | |||
Insurance |
2.0 | |||
Other Investments, less than 2% each |
2.0 | |||
Short-Term Investments |
1.1 | |||
|
|
|||
Total Investments |
100.8 | |||
Other assets less liabilities (including open written options) |
(0.8 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of August 31, 2017 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
At August 31, 2017, the net unrealized depreciation on investments based on a cost of $2,995,696,041 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 |
$ | 18,651,339 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(58,205,122 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (39,553,783 | ) | |
|
|
At November 30, 2016, the Fund had a short-term capital loss carryforward of $24,594,623 with no expiration date and a long term capital loss carryforward of $70,034,056 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
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, 2017, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans |
||||||||||||||||
Consumer Cyclical Services |
$ | | $ | 180,275,970 | $ | 3,502,137 | (a) | $ | 183,778,107 | |||||||
All Other Senior Loans* |
| 2,405,321,266 | | 2,405,321,266 | ||||||||||||
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|
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|
|
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Total Senior Loans |
| 2,585,597,236 | 3,502,137 | 2,589,099,373 | ||||||||||||
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|
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|
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Bonds and Notes |
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Technology |
| | | (b) | | |||||||||||
All Other Bonds and Notes* |
| 211,993,265 | | 211,993,265 | ||||||||||||
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|
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|
|
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Total Bonds and Notes |
| 211,993,265 | | 211,993,265 | ||||||||||||
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|
|
|
|
|
|
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Preferred Stocks* |
3,124,597 | | | 3,124,597 | ||||||||||||
Common Stocks |
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Diversified Consumer Services |
| | | (b) | | |||||||||||
Energy Equipment & Services |
| | 1,670,058 | (c) | 1,670,058 | |||||||||||
Industrial Conglomerates |
| | | (c) | | |||||||||||
Oil, Gas & Consumable Fuels |
| | 3,882,035 | (c) | 3,882,035 | |||||||||||
All Other Common Stocks* |
10,905 | | | 10,905 | ||||||||||||
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|
|
|
|
|
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Total Common Stocks |
10,905 | | 5,552,093 | 5,562,998 | ||||||||||||
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|
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|
|
|
|
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Short-Term Investments |
| 146,362,025 | | 146,362,025 | ||||||||||||
|
|
|
|
|
|
|
|
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Total |
$ | 3,135,502 | $ | 2,943,952,526 | $ | 9,054,230 | $ | 2,956,142,258 | ||||||||
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* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
(b) | Fair valued by the Funds adviser. |
(c) | Fair valued by the Funds adviser using broker dealer bid prices for which inputs are unobservable to the Fund. |
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 reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of November 30, 2016 and/or August 31, 2017:
Asset Valuation Inputs
Investments in Securities |
Balance as of November 30, 2016 |
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, 2017 |
Change in Unrealized Appreciation (Depreciation) from Investments Held at August 31, 2017 |
||||||||||||||||||||||||||||||
Senior Loans |
||||||||||||||||||||||||||||||||||||||||
Consumer Cyclical Services |
$ | | $ | | $ | | $ | (4,937,572 | ) | $ | 8,439,709 | $ | | $ | | $ | | $ | 3,502,137 | $ | (4,937,572 | ) | ||||||||||||||||||
Media Entertainment |
6,353,235 | 3,172 | 44,359 | (47,530 | ) | | (6,353,236 | ) | | | | | ||||||||||||||||||||||||||||
Bond and Notes |
||||||||||||||||||||||||||||||||||||||||
Technology |
| | | | | | | | | (a) | | |||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Diversified Consumer Service |
| | | | | | | | | (a) | | |||||||||||||||||||||||||||||
Energy Equipment & Services |
| | | (592,544 | ) | 2,262,602 | | | | 1,670,058 | (592,544 | ) | ||||||||||||||||||||||||||||
Industrial Conglomerates |
| | | | | | | | | (a) | | |||||||||||||||||||||||||||||
Media Entertainment |
1,169,285 | | 13,615 | 863,301 | | (2,046,201 | ) | | | | | |||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
| | | (1,140,726 | ) | 5,023 | | 5,017,738 | | 3,882,035 | (1,140,726 | ) | ||||||||||||||||||||||||||||
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|
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Total |
$ | 7,522,520 | $ | 3,172 | $ | 57,974 | $ | (5,855,071 | ) | $ | 10,707,334 | $ | (8,399,437 | ) | $ | 5,017,738 | $ | | $ | 9,054,230 | $ | (6,670,842 | ) | |||||||||||||||||
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|
(a) | Fair valued at zero |
A common stock valued at $5,017,738 was transferred from Level 1 to Level 3 during the period ended August 31, 2017. At November 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies but was misclassified as Level 1. At August 31, 2017, this security was fair valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at August 31, 2017 (Unaudited)
Healthcare |
8.1 | % | ||
Technology |
7.9 | |||
Industrial Other |
6.7 | |||
Consumer Cyclical Services |
6.4 | |||
Retailers |
5.9 | |||
Consumer Products |
5.3 | |||
Automotive |
5.2 | |||
Property & Casualty Insurance |
5.2 | |||
Media Entertainment |
4.5 | |||
Internet & Data |
3.7 | |||
Food & Beverage |
3.0 | |||
Chemicals |
2.8 | |||
Financial Other |
2.8 | |||
Building Materials |
2.5 | |||
Independent Energy |
2.5 | |||
Other Investments, less than 2% each |
25.3 | |||
Short-Term Investments |
5.1 | |||
|
|
|||
Total Investments |
102.9 | |||
Other assets less liabilities |
(2.9 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
ITEM 2. | CONTROLS AND PROCEDURES. |
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. | EXHIBITS |
(a)(1) | Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. | |
(a)(2) | Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | October 20, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | October 20, 2017 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | October 20, 2017 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: October 20, 2017
/s/ David L. Giunta |
David L. Giunta |
President and Chief Executive Officer |
Exhibit (a)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: October 20, 2017
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |