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.
Natixis 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: February 28, 2018
ITEM 1. | SCHEDULE OF INVESTMENTS |
PORTFOLIO OF INVESTMENTS as of February 28, 2018 (Unaudited)
Loomis Sayles Dividend Income Fund
Shares |
Description |
Value () | ||||
Common Stocks 98.9% of Net Assets |
| |||||
Aerospace & Defense 1.7% |
| |||||
4,939 | United Technologies Corp. |
$ | 665,481 | |||
|
|
|||||
Air Freight & Logistics 1.7% |
| |||||
6,167 | United Parcel Service, Inc., Class B |
643,897 | ||||
|
|
|||||
Automobiles 2.5% |
| |||||
12,467 | General Motors Co. |
490,576 | ||||
10,496 | Harley-Davidson, Inc. |
476,309 | ||||
|
|
|||||
966,885 | ||||||
|
|
|||||
Banks 10.3% |
| |||||
18,275 | BB&T Corp. |
993,246 | ||||
7,837 | JPMorgan Chase & Co.(a) |
905,174 | ||||
15,167 | PacWest Bancorp |
790,807 | ||||
21,904 | Wells Fargo & Co.(b) |
1,279,413 | ||||
|
|
|||||
3,968,640 | ||||||
|
|
|||||
Beverages 1.3% |
| |||||
4,531 | PepsiCo, Inc. |
497,187 | ||||
|
|
|||||
Biotechnology 1.3% |
| |||||
4,339 | AbbVie, Inc. |
502,586 | ||||
|
|
|||||
Building Products 2.3% |
| |||||
23,478 | Johnson Controls International PLC |
865,634 | ||||
|
|
|||||
Capital Markets 2.0% |
| |||||
35,590 | KKR & Co. LP |
763,761 | ||||
|
|
|||||
Chemicals 2.5% |
| |||||
13,601 | DowDuPont, Inc. |
956,150 | ||||
|
|
|||||
Communications Equipment 3.4% |
| |||||
28,739 | Cisco Systems, Inc. |
1,286,932 | ||||
|
|
|||||
Containers & Packaging 2.0% |
| |||||
12,945 | International Paper Co. |
771,393 | ||||
|
|
|||||
Diversified Telecommunication Services 2.6% |
| |||||
21,079 | Verizon Communications, Inc.(a) |
1,006,312 | ||||
|
|
|||||
Electric Utilities 4.9% |
| |||||
26,837 | Exelon Corp. |
994,043 | ||||
31,511 | PPL Corp. |
902,790 | ||||
|
|
|||||
1,896,833 | ||||||
|
|
|||||
Electrical Equipment 2.0% |
| |||||
9,317 | Eaton Corp. PLC(a) |
751,882 | ||||
|
|
|||||
Food Products 1.2% |
| |||||
4,770 | Hershey Co. (The) |
468,700 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Health Care Equipment & Supplies 2.2% |
||||||
10,347 | Medtronic PLC |
$ | 826,622 | |||
|
|
|||||
Independent Power & Renewable Electricity Producers 2.9% |
||||||
28,255 | NextEra Energy Partners LP |
1,108,726 | ||||
|
|
|||||
Insurance 5.6% |
||||||
15,780 | FNF Group |
630,095 | ||||
21,877 | MetLife, Inc. |
1,010,499 | ||||
7,961 | Principal Financial Group, Inc. |
496,209 | ||||
|
|
|||||
2,136,803 | ||||||
|
|
|||||
Media 2.2% |
||||||
11,293 | Omnicom Group, Inc. |
860,865 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 8.9% |
||||||
10,164 | Chevron Corp.(a)(b) |
1,137,555 | ||||
18,105 | Energy Transfer Partners LP |
329,692 | ||||
22,356 | MPLX LP |
771,953 | ||||
18,381 | Royal Dutch Shell PLC, B Shares, Sponsored ADR |
1,179,692 | ||||
|
|
|||||
3,418,892 | ||||||
|
|
|||||
Pharmaceuticals 10.4% |
||||||
8,670 | Bristol-Myers Squibb Co. |
573,954 | ||||
29,378 | GlaxoSmithKline PLC, Sponsored ADR |
1,066,715 | ||||
20,616 | Merck & Co., Inc. |
1,117,799 | ||||
34,502 | Pfizer, Inc.(a) |
1,252,768 | ||||
|
|
|||||
4,011,236 | ||||||
|
|
|||||
Professional Services 1.7% |
||||||
20,609 | Nielsen Holdings PLC |
672,472 | ||||
|
|
|||||
REITs - Diversified 3.7% |
||||||
40,492 | Outfront Media, Inc. |
830,491 | ||||
16,708 | Weyerhaeuser Co. |
585,281 | ||||
|
|
|||||
1,415,772 | ||||||
|
|
|||||
REITs - Hotels 4.3% |
||||||
31,860 | Park Hotels & Resorts, Inc. |
828,041 | ||||
11,908 | Ryman Hospitality Properties, Inc. |
821,176 | ||||
|
|
|||||
1,649,217 | ||||||
|
|
|||||
Semiconductors & Semiconductor Equipment 2.9% |
||||||
17,138 | QUALCOMM, Inc. |
1,113,970 | ||||
|
|
|||||
Software 3.6% |
||||||
8,584 | Microsoft Corp. |
804,921 | ||||
11,322 | Oracle Corp. |
573,686 | ||||
|
|
|||||
1,378,607 | ||||||
|
|
|||||
Technology Hardware, Storage & Peripherals 2.4% |
||||||
3,384 | Apple, Inc. |
602,758 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Technology Hardware, Storage & Peripherals continued |
||||||
19,609 | Diebold Nixdorf, Inc. |
$ | 307,861 | |||
|
|
|||||
910,619 | ||||||
|
|
|||||
Tobacco 5.0% |
||||||
10,664 | Altria Group, Inc. |
671,299 | ||||
11,900 | Philip Morris International, Inc.(a) |
1,232,245 | ||||
|
|
|||||
1,903,544 | ||||||
|
|
|||||
Transportation Infrastructure 1.4% |
||||||
13,221 | Macquarie Infrastructure Corp. |
535,451 | ||||
|
|
|||||
Total Common Stocks |
37,955,069 | |||||
|
|
|||||
Preferred Stocks 1.3% |
||||||
Integrated Energy 1.3% |
||||||
8,945 | Hess Corp., 8.000% |
489,828 | ||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 0.5% |
||||||
$ 191,548 | Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 2/28/2018 at 0.700% to be repurchased at $191,552 on 3/01/2018 collateralized by $205,000 U.S. Treasury Note, 2.000% due 4/30/2024 valued at $197,168 including accrued interest(c) |
191,548 | ||||
|
|
|||||
Total Investments 100.7% |
38,636,445 | |||||
Other assets less liabilities (0.7)% |
(256,566 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 38,379,879 | ||||
|
|
|||||
Written Options (0.0%) |
Description |
Expiration Date |
Exercise Price |
Shares | Notional Amount |
Premiums (Received) |
Value () | ||||||||||||||||
Options on Securities (0.0%) |
|
|||||||||||||||||||||
AbbVie, Inc., Call(d) |
04/20/2018 | 135 | (4,000 | ) | $ | (463,320 | ) | $ | (3,788 | ) | $ | (1,740 | ) | |||||||||
Gilead Sciences, Inc., Put(d) |
04/20/2018 | 75 | (6,000 | ) | $ | (472,380 | ) | (6,703 | ) | (9,210 | ) | |||||||||||
|
|
|
|
|||||||||||||||||||
Total |
$ | (10,491 | ) | $ | (10,950 | ) | ||||||||||||||||
|
|
|
|
() | 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 February 28, 2018, 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. |
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 |
Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 2018, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 37,955,069 | $ | | $ | | $ | 37,955,069 | ||||||||
Preferred Stocks* |
489,828 | | | 489,828 | ||||||||||||
Short-Term Investments |
| 191,548 | | 191,548 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 38,444,897 | $ | 191,548 | $ | | $ | 38,636,445 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs |
| |||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (10,950 | ) | $ | | $ | | $ | (10,950 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended February 28, 2018, 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 February 28, 2018, the Fund engaged in written put and call options for both hedging and investment purposes.
The following is a summary of derivative instruments for the Fund, as of February 28, 2018:
Liabilities |
Options written at value |
|||
Exchange-traded liability derivatives |
||||
Equity contracts |
$ | (10,950 | ) |
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 February 28, 2018, is $502,694.
Industry Summary at February 28, 2018 (Unaudited)
Pharmaceuticals |
10.4 | % | ||
Banks |
10.3 | |||
Oil, Gas & Consumable Fuels |
8.9 | |||
Insurance |
5.6 | |||
Tobacco |
5.0 | |||
Electric Utilities |
4.9 | |||
REITs - Hotels |
4.3 | |||
REITs - Diversified |
3.7 | |||
Software |
3.6 | |||
Communications Equipment |
3.4 | |||
Semiconductors & Semiconductor Equipment |
2.9 | |||
Independent Power & Renewable Electricity Producers |
2.9 | |||
Diversified Telecommunication Services |
2.6 | |||
Automobiles |
2.5 | |||
Chemicals |
2.5 | |||
Technology Hardware, Storage & Peripherals |
2.4 | |||
Building Products |
2.3 | |||
Media |
2.2 | |||
Health Care Equipment & Supplies |
2.2 | |||
Containers & Packaging |
2.0 | |||
Capital Markets |
2.0 | |||
Electrical Equipment |
2.0 | |||
Other Investments, less than 2% each |
11.6 | |||
Short-Term Investments |
0.5 | |||
|
|
|||
Total Investments |
100.7 | |||
Other assets less liabilities (including open written options) |
(0.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2018 (Unaudited)
Loomis Sayles Global Growth Fund
Shares |
Description |
Value () | ||||
Common Stocks 99.4% of Net Assets |
||||||
Argentina 5.1% |
||||||
3,900 | MercadoLibre, Inc. |
$ | 1,513,083 | |||
|
|
|||||
Brazil 4.2% |
||||||
109,289 | Ambev S.A., ADR |
737,701 | ||||
68,176 | Companhia Brasileira de Meios de Pagamento |
507,923 | ||||
|
|
|||||
1,245,624 | ||||||
|
|
|||||
China 10.9% |
||||||
10,232 | Alibaba Group Holding Ltd., Sponsored ADR(a) |
1,904,585 | ||||
5,307 | Baidu, Inc., Sponsored ADR(a) |
1,339,168 | ||||
|
|
|||||
3,243,753 | ||||||
|
|
|||||
Denmark 3.9% |
||||||
22,766 | Novo Nordisk AS, Class B |
1,177,706 | ||||
|
|
|||||
France 5.2% |
||||||
11,758 | Danone |
937,776 | ||||
4,997 | Sodexo S.A. |
613,598 | ||||
|
|
|||||
1,551,374 | ||||||
|
|
|||||
Italy 1.1% |
||||||
81,000 | Prada SpA |
335,034 | ||||
|
|
|||||
Sweden 1.3% |
||||||
43,873 | Elekta AB, Class B |
400,084 | ||||
|
|
|||||
Switzerland 6.2% |
||||||
6,578 | Nestle S.A., (Registered) |
522,629 | ||||
7,942 | Novartis AG, (Registered) |
662,535 | ||||
2,948 | Roche Holding AG |
680,929 | ||||
|
|
|||||
1,866,093 | ||||||
|
|
|||||
United Kingdom 5.4% |
||||||
13,479 | Diageo PLC |
457,350 | ||||
32,155 | Experian PLC |
686,459 | ||||
8,719 | Unilever NV |
456,319 | ||||
|
|
|||||
1,600,128 | ||||||
|
|
|||||
United States 56.1% |
||||||
1,025 | Alphabet, Inc., Class A(a) |
1,131,518 | ||||
1,165 | Amazon.com, Inc.(a) |
1,762,004 | ||||
6,883 | American Express Co. |
671,161 | ||||
13,666 | Coca-Cola Co. (The) |
590,645 | ||||
7,423 | Colgate-Palmolive Co. |
511,964 | ||||
1,634 | Core Laboratories NV |
168,237 | ||||
7,993 | Deere & Co. |
1,285,834 | ||||
6,990 | Expeditors International of Washington, Inc. |
454,070 | ||||
6,561 | Facebook, Inc., Class A(a) |
1,169,958 | ||||
9,182 | Microsoft Corp. |
860,996 | ||||
26,847 | Oracle Corp. |
1,360,338 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
United States continued |
||||||
7,806 | Procter & Gamble Co. (The) |
$ | 612,927 | |||
12,062 | QUALCOMM, Inc. |
784,030 | ||||
12,036 | Schlumberger Ltd. |
790,043 | ||||
9,070 | SEI Investments Co. |
660,568 | ||||
9,853 | Shire PLC |
419,927 | ||||
35,098 | Under Armour, Inc., Class A(a) |
581,925 | ||||
9,948 | Visa, Inc., Class A |
1,223,007 | ||||
27,039 | Yum China Holdings, Inc. |
1,171,329 | ||||
6,840 | Yum! Brands, Inc. |
556,639 | ||||
|
|
|||||
16,767,120 | ||||||
|
|
|||||
Total Common Stocks |
29,699,999 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 1.0% |
||||||
$ 290,413 | Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 2/28/2018 at 0.700% to be repurchased at $290,418 on 3/01/2018 collateralized by $310,000 U.S. Treasury Note, 2.000% due 4/30/2024 valued at $298,156 including accrued interest(b) |
290,413 | ||||
|
|
Total Investments 100.4% |
29,990,412 | |||||
Other assets less liabilities (0.4)% |
(131,548 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 29,858,864 | ||||
|
|
() | 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 February 28, 2018, securities held by the Fund were fair valued as follows:
Equity securities1 |
Percentage of Net Assets |
|||
$ 7,350,346 |
24.6 | % |
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 February 28, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 2018, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
Denmark |
$ | | $ | 1,177,706 | $ | | $ | 1,177,706 | ||||||||
France |
| 1,551,374 | | 1,551,374 | ||||||||||||
Italy |
| 335,034 | | 335,034 | ||||||||||||
Sweden |
| 400,084 | | 400,084 | ||||||||||||
Switzerland |
| 1,866,093 | | 1,866,093 | ||||||||||||
United Kingdom |
| 1,600,128 | | 1,600,128 | ||||||||||||
United States |
16,347,193 | 419,927 | | 16,767,120 | ||||||||||||
All Other Common Stocks* |
6,002,460 | | | 6,002,460 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
22,349,653 | 7,350,346 | | 29,699,999 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 290,413 | | 290,413 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 22,349,653 | $ | 7,640,759 | $ | | $ | 29,990,412 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
A common stock valued at $295,556 was transferred from Level 2 to Level 1 during the period ended February 28, 2018. At November 30, 2017, 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 February 28, 2018, 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 February 28, 2018 (Unaudited)
Internet Software & Services |
23.7 | % | ||
Pharmaceuticals |
8.4 | |||
Hotels, Restaurants & Leisure |
7.9 | |||
Software |
7.5 | |||
Beverages |
6.1 | |||
Internet & Direct Marketing Retail |
5.9 | |||
IT Services |
5.8 | |||
Food Products |
4.8 | |||
Machinery |
4.3 | |||
Household Products |
3.8 | |||
Energy Equipment & Services |
3.2 | |||
Textiles, Apparel & Luxury Goods |
3.0 | |||
Semiconductors & Semiconductor Equipment |
2.6 | |||
Professional Services |
2.3 | |||
Consumer Finance |
2.2 | |||
Capital Markets |
2.2 | |||
Other Investments, less than 2% each |
5.7 | |||
Short-Term Investments |
1.0 | |||
|
|
|||
Total Investments |
100.4 | |||
Other assets less liabilities |
(0.4 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at February 28, 2018 (Unaudited)
United States Dollar |
74.2 | % | ||
Euro |
6.7 | |||
Swiss Franc |
6.2 | |||
British Pound |
5.3 | |||
Danish Krone |
3.9 | |||
Other, less than 2% each |
4.1 | |||
|
|
|||
Total Investments |
100.4 | |||
Other assets less liabilities |
(0.4 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2018 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount |
Description |
Value () | ||||
Senior Loans 88.2% of Net Assets |
||||||
Aerospace & Defense 1.5% | ||||||
$ 12,284,292 | Advanced Integration Technology LP, 2017 Term Loan B, LIBOR + 4.750%, 6.724%, 3/21/2023(a) |
$ | 12,345,714 | |||
11,014,650 | Constellis Holdings LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 5.000%, 6.693%, 4/21/2024(b) |
11,124,796 | ||||
4,342,118 | CPI International, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 7/26/2024(b) |
4,355,708 | ||||
4,879,004 | Engility Corp., Term Loan B2, 1-month LIBOR + 3.250%, 4.898%, 8/12/2023(b) |
4,914,084 | ||||
3,753,720 | EXC Holdings III Corp., USD 2017 1st Lien Term Loan, 6-month LIBOR + 3.500%, 5.161%, 12/02/2024(b) |
3,783,036 | ||||
11,200,029 | MHVC Acquisitiion Corp., 2017 Term Loan, 3-month LIBOR + 5.250%, 6.950%, 4/29/2024(b) |
11,298,030 | ||||
|
|
|||||
47,821,368 | ||||||
|
|
|||||
Automotive 5.1% | ||||||
9,578,000 | Autodata, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.824%, 12/13/2024(b) |
9,554,055 | ||||
9,859,242 | BBB Industries U.S. Holdings, Inc., Term B Loan (First Lien), 1-month LIBOR + 4.500%, 6.148%, 11/03/2021(b) |
9,925,003 | ||||
11,407,675 | Bright Bidco BV, 2018 Term Loan B, 1-month LIBOR + 3.500%, 5.186%, 6/30/2024(c) |
11,578,790 | ||||
16,406,474 | Capital Automotive LP, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.650%, 3/24/2025(b) |
16,666,189 | ||||
13,983,920 | Dayco Products LLC, 2017 Term Loan B, 1-month LIBOR + 5.000%, 6.984%, 5/19/2023(b) |
14,141,239 | ||||
738,750 | DexKo Global, Inc., 2018 USD Incremental Term Loan, 1.967%, 7/24/2024(d) |
746,138 | ||||
443,250 | DexKo Global, Inc., 2018 USD Incremental Term Loan, 2-month LIBOR + 3.500%, 5.245%, 7/24/2024(b) |
447,682 | ||||
11,172,000 | DexKo Global, Inc., 2018 USD Term Loan, 2-month LIBOR + 3.500%, 5.245%, 7/24/2024(b) |
11,266,292 | ||||
12,128,899 | Innovative Xcessories & Services LLC, Term Loan B, 3-month LIBOR + 4.750%, 6.210%, 11/29/2022(b) |
12,280,510 | ||||
9,824,760 | K&N Engineering, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.398%, 10/19/2023(b) |
9,824,760 | ||||
9,633,080 | Sage Automotive Interiors, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 5.000%, 6.648%, 10/27/2022(b) |
9,717,369 | ||||
12,611,424 | Solera LLC, 2018 USD Term Loan B, 3/03/2023(e) |
12,637,656 | ||||
9,932,000 | Trico Group LLC, 2018 Term Loan, 3-month LIBOR + 6.500%, 8.484%, 1/26/2025(b) |
9,919,585 | ||||
14,274,270 | Truck Hero, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.642%, 4/21/2024(b) |
14,341,216 | ||||
10,037,549 | U.S. Farathane LLC, 2017 Term Loan B4, 3-month LIBOR + 3.500%, 5.193%, 12/23/2021(b) |
10,112,830 | ||||
13,859,091 | Wand Intermediate I LP, 2nd Lien Term Loan, 6-month LIBOR + 7.250%, 9.138%, 9/19/2022(b) |
13,882,236 | ||||
|
|
|||||
167,041,550 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Brokerage 0.3% | ||||||
$ 9,134,750 | Edelman Financial Group (The), 2017 Term Loan B, 3-month LIBOR + 4.250%, 5.970%, 11/11/2024(b) |
$ | 9,260,353 | |||
|
|
|||||
Building Materials 3.7% | ||||||
2,150,000 | Atkore International, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 2.750%, 4.450%, 12/22/2023(b) |
2,162,535 | ||||
19,732,377 | CPG International, Inc., 2017 Term Loan, 6-month LIBOR + 3.750%, 5.593%, 5/03/2024(b) |
19,861,822 | ||||
14,057,360 | DiversiTech Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.200%, 6/03/2024(b) |
14,083,788 | ||||
15,715,360 | DiversiTech Holdings, Inc., 2018 1st Lien Term Loan, 6/03/2024(e) |
15,744,905 | ||||
5,978,000 | Encapsys LLC, 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.898%, 11/07/2024(b) |
6,015,362 | ||||
10,492,213 | Interior Logic Group, Inc., 2017 Term Loan B, 1-month LIBOR + 6.000%, 7.648%, 3/01/2024(b) |
10,518,443 | ||||
6,000,000 | Janus International Group LLC, 2018 1st Lien Term Loan, 2/12/2025(e) |
5,985,000 | ||||
5,956,000 | Janus International Group LLC, 2018 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.581%, 2/12/2025(b) |
5,941,110 | ||||
7,115,360 | Mannington Mills, Inc., Term Loan B, 2-month LIBOR + 3.750%, 5.404%, 10/01/2021(b) |
7,164,314 | ||||
11,417,497 | Morsco, Inc., Term Loan B, 1-month LIBOR + 7.000%, 8.648%, 10/31/2023(b) |
11,574,487 | ||||
5,233,200 | VC GB Holdings, Inc., 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.648%, 2/28/2025(b) |
5,272,449 | ||||
15,237,402 | Wilsonart LLC, 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.950%, 12/19/2023(b) |
15,328,826 | ||||
|
|
|||||
119,653,041 | ||||||
|
|
|||||
Chemicals 1.3% | ||||||
1,248,524 | ASP Chromaflo Dutch I BV, Term Loan B2, 1-month LIBOR + 3.500%, 5.148%, 11/18/2023(b) |
1,254,766 | ||||
3,030,000 | ASP Chromaflo Intermediate Holdings, Inc., 2016 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.648%, 11/14/2024(b) |
3,014,850 | ||||
960,166 | ASP Chromaflo Intermediate Holdings, Inc., Term Loan B1, 1-month LIBOR + 3.500%, 5.148%, 11/18/2023(b) |
964,967 | ||||
2,706,793 | DuBois Chemicals, Inc., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 3/15/2024(b) |
2,713,560 | ||||
194,733 | DuBois Chemicals, Inc., 2017 Delayed Draw Term Loan, 1.000%, 3/15/2024(d) |
195,220 | ||||
14,639,499 | Methanol Holdings (Trinidad) Ltd., Term Loan B, 1-month LIBOR + 3.500%, 5.148%, 6/30/2022(b) |
14,639,499 | ||||
6,064,999 | Plaskolite, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.693%, 11/03/2022(b) |
6,080,162 | ||||
4,026,790 | Transcendia, Inc., 2017 1st Lien Term Loan, 5/30/2024(e) |
4,044,428 | ||||
8,792,843 | Transcendia, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 5/30/2024(b) |
8,831,355 | ||||
|
|
|||||
41,738,807 | ||||||
|
|
|||||
Construction Machinery 0.4% | ||||||
3,266,549 | Onsite Rental Group Pty Ltd., PIK Term Loan B, 3-month LIBOR, 1.773%, 10/26/2023(b)(f)(g)(h)(i)(j) |
2,515,243 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Construction Machinery continued | ||||||
$ 2,389,195 | Onsite Rental Group Pty Ltd., Term Loan B, 1-month LIBOR + 4.500%, 6.121%, 10/26/2022(b) |
$ | 2,341,411 | |||
6,612,608 | Utility One Source LP, Term Loan B, 1-month LIBOR + 5.500%, 7.148%, 4/18/2023(b) |
6,794,455 | ||||
|
|
|||||
11,651,109 | ||||||
|
|
|||||
Consumer Cyclical Services 8.4% | ||||||
9,687,302 | Access CIG LLC, 2018 1st Lien Term Loan, 2/02/2025(e) |
9,753,951 | ||||
1,486,275 | Access CIG LLC, 2018 2nd Lien Delayed Draw Term loan, 2/13/2026(e) |
1,489,069 | ||||
7,988,725 | Access CIG LLC, 2018 2nd Lien Term Loan, 2/02/2026(e) |
8,003,744 | ||||
2,021,698 | Access CIG LLC, 2018 Delayed Draw Term Loan, 2/14/2025(e) |
2,035,607 | ||||
14,282,670 | Allied Universal Holdco LLC, 2015 Term Loan, 3-month LIBOR + 3.750%, 5.443%, 7/28/2022(b) |
14,116,848 | ||||
2,651,609 | Allied Universal Holdco LLC, 2017 Delayed Draw Term Loan, 5.057%, 7/28/2022(d) |
2,618,464 | ||||
6,088,288 | ASP MCS Acquisition Corp., Term Loan B, 1-month LIBOR + 4.750%, 6.398%, 5/18/2024(b) |
6,141,560 | ||||
7,510,000 | Boing U.S. Holdco, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.287%, 10/03/2024(b) |
7,542,894 | ||||
3,102,667 | Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan, 10/03/2025(e) |
3,102,667 | ||||
2,818,000 | Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan, 3-month LIBOR + 7.500%, 9.287%, 10/03/2025(b) |
2,818,000 | ||||
14,027,510 | ConvergeOne Holdings Corp., 2017 Term Loan B, 3-month LIBOR + 4.750%, 6.450%, 6/20/2024(b) |
14,062,579 | ||||
4,452,000 | Convergint Technologies LLC, 2018 1st Lien Term Loan, 2/03/2025(e) |
4,443,675 | ||||
2,271,613 | Convergint Technologies LLC, 2018 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.658%, 2/03/2025(b) |
2,267,365 | ||||
1,890,000 | Convergint Technologies LLC, 2018 2nd Lien Term Loan, 3-month LIBOR + 6.750%, 8.408%, 1/25/2026(b) |
1,899,450 | ||||
477,000 | Convergint Technologies LLC, 2018 Delayed Draw Term Loan, 2/03/2025(e) |
476,108 | ||||
243,387 | Convergint Technologies LLC, 2018 Delayed Draw Term Loan, 1.000%, 2/03/2025(d) |
242,932 | ||||
16,245,645 | DTI Holdco, Inc., 2016 Term Loan B, LIBOR + 5.250%, 7.022%, 9/30/2023(a) |
16,357,415 | ||||
15,601,214 | DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.160%, 11/04/2021(c) |
15,568,763 | ||||
1,128,000 | DTZ U.S. Borrower LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.250%, 10.022%, 11/04/2022(b) |
1,122,360 | ||||
3,775,000 | Duff & Phelps Corp., 2017 Term Loan B, 2/13/2025(e) |
3,802,256 | ||||
11,334,362 | Duff & Phelps Corp., 2017 Term Loan B, 3-month LIBOR + 3.250%, 4.833%, 2/13/2025(b) |
11,416,196 | ||||
5,466,606 | Garda World Security Corp., 2017 Term Loan, Prime + 2.500%, 7.000%, 5/24/2024(b) |
5,513,290 | ||||
14,142,886 | Imagine! Print Solutions, Inc., 2017 Term Loan, 3-month LIBOR + 4.750%, 6.450%, 6/21/2022(b) |
13,365,027 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Consumer Cyclical Services continued | ||||||
$ 7,454,000 | LegalZoom.com, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.094%, 11/21/2024(b) |
$ | 7,491,270 | |||
13,963,736 | Mister Car Wash Holdings, Inc., Term Loan B, 2-month LIBOR + 3.250%, 4.904%, 8/20/2021(b) |
14,042,352 | ||||
3,654,000 | Prometric Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.770%, 1/29/2025(b) |
3,676,838 | ||||
14,002,635 | PSAV Holdings LLC, Term Loan B, LIBOR + 3.500%, 5.094%, 4/27/2024(a) |
14,011,457 | ||||
4,467,000 | SMG (Stadium Management Group), 2017 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.890%, 1/23/2025(b) |
4,500,502 | ||||
8,132,000 | Southern Graphics, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 12/31/2022(b) |
8,195,511 | ||||
5,278,475 | Sterling Infosystems, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 6/20/2022(b) |
5,304,867 | ||||
4,565,076 | STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan, 3-month LIBOR + 5.250%, 6.943%, 6/30/2022(b) |
4,542,250 | ||||
10,089,903 | TruGreen LP, 2017 Term Loan, 3-month LIBOR + 4.000%, 5.536%, 4/13/2023(b) |
10,190,802 | ||||
3,028,515 | TwentyEighty, Inc., PIK Term Loan B, 4.000%, 3/31/2020(f)(j)(k) |
2,271,386 | ||||
2,171,915 | TwentyEighty, Inc., PIK Term Loan C, 0.250%, 3/31/2020(f)(j)(k) |
1,628,936 | ||||
9,872,358 | U.S. Security Associates Holdings, Inc., 2016 Term Loan, 3-month LIBOR + 4.000%, 5.693%, 7/14/2023(b) |
9,943,340 | ||||
9,075,462 | Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.648%, 12/19/2023(b) |
9,120,840 | ||||
1,329 | Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, Prime + 3.000%, 7.500%, 12/19/2023(b) |
1,335 | ||||
9,592,246 | West Corp., 2017 Term Loan, 1-month LIBOR + 4.000%, 5.648%, 10/10/2024(b) |
9,670,807 | ||||
5,375,076 | William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.900%, 5/06/2021(b) |
5,408,670 | ||||
9,854,821 | William Morris Endeavor Entertainment LLC, 2nd Lien Term Loan, 1-month LIBOR + 7.250%, 8.898%, 5/06/2022(b) |
9,867,139 | ||||
6,327,091 | Xerox Business Services LLC, USD Term Loan B, 1-month LIBOR + 3.000%, 4.648%, 12/07/2023(b) |
6,374,544 | ||||
|
|
|||||
274,403,066 | ||||||
|
|
|||||
Consumer Products 6.0% | ||||||
28,071,740 | Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 8.267%, 7/25/2022(b) |
27,005,014 | ||||
13,192,935 | Alphabet Holding Company, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 9/26/2024(b) |
12,698,200 | ||||
9,536,573 | Augusta Sportswear Group, Inc., Term Loan B, 1-month LIBOR + 4.500%, 6.148%, 10/26/2023(b)(h)(l) |
9,012,062 | ||||
7,308,683 | Global Appliance, Inc., Term Loan B, 1-month LIBOR + 4.000%, 5.650%, 9/29/2024(b) |
7,390,905 | ||||
3,035,941 | Highline Aftermarket Acquisition LLC, Term Loan B, 3-month LIBOR + 4.250%, 6.000%, 3/17/2024(b) |
3,043,531 | ||||
4,540,000 | Information Resources, Inc., 1st Lien Term Loan, 1/18/2024(e) |
4,566,968 | ||||
10,624,724 | Information Resources, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.250%, 6.194%, 1/18/2024(b) |
10,687,835 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Consumer Products continued | ||||||
$ 12,577,905 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 5/01/2024(b) |
$ | 12,628,971 | |||
12,144,329 | Ozark Holdings LLC, Term Loan B, 3-month LIBOR + 3.250%, 7/01/2023(b) |
12,139,228 | ||||
13,999,069 | Polyconcept Investments, 2018 Term Loan B, 8/16/2023(e) |
13,999,069 | ||||
13,999,069 | Polyconcept Investments, USD 2016 Term Loan B, 1-month LIBOR + 4.750%, 6.398%, 8/16/2023(b) |
14,069,064 | ||||
5,966,020 | Radio Systems Corp., Term Loan B, 1-month LIBOR + 3.500%, 5.148%, 5/02/2024(b) |
5,988,393 | ||||
7,124,040 | Serta Simmons Bedding LLC, 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.216%, 11/08/2023(c) |
6,865,794 | ||||
8,735,507 | Serta Simmons Bedding LLC, 2nd Lien Term Loan, 1-month LIBOR + 8.000%, 9.579%, 11/08/2024(b) |
7,927,472 | ||||
6,660,420 | SRAM LLC, 2017 Incremental Term Loan, LIBOR + 3.250%, 4.929%, 3/15/2024(a) |
6,702,048 | ||||
39,753 | SRAM LLC, 2017 Incremental Term Loan, Prime + 2.250%, 6.750%, 3/15/2024(b) |
40,001 | ||||
13,115,882 | Strategic Partners, Inc., 2016 Term Loan, 6/30/2023(e) |
13,181,462 | ||||
14,878,000 | Weight Watchers International, Inc., 2017 Term Loan B, LIBOR + 4.750%, 6.427%, 11/29/2024(a) |
15,045,377 | ||||
12,715,800 | Wellness Merger Sub, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.750%, 6.443%, 6/30/2024(b) |
12,866,864 | ||||
|
|
|||||
195,858,258 | ||||||
|
|
|||||
Diversified Manufacturing 1.3% | ||||||
14,378,362 | Cortes NP Acquisition Corp., 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.580%, 11/30/2023(b) |
14,450,254 | ||||
12,219,000 | Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.943%, 7/19/2024(b) |
12,257,246 | ||||
10,526,424 | NN, Inc., 2016 Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 10/19/2022(b) |
10,605,372 | ||||
6,584,000 | Robertshaw U.S. Holding Corp., 2018 1st Lien Term Loan, 2/19/2025(e) |
6,637,528 | ||||
|
|
|||||
43,950,400 | ||||||
|
|
|||||
Electric 1.5% | ||||||
8,132,410 | Anemoi Acquisition Holdings LLC, Term Loan B, 3-month LIBOR + 4.250%, 5.943%, 6/26/2022(b) |
8,173,072 | ||||
7,707,343 | APLP Holdings LP, 2016 Term Loan B, 1-month LIBOR + 3.500%, 5.148%, 4/13/2023(b) |
7,774,782 | ||||
6,658,313 | ExGen Renewables IV LLC, Term Loan B, 3-month LIBOR + 3.000%, 4.990%, 11/28/2024(b) |
6,716,573 | ||||
14,970,046 | Mirion Technologies, Inc., Term Loan B, 3-month LIBOR + 4.750%, 6.443%, 3/31/2022(b) |
14,904,627 | ||||
9,803,968 | PrimeLine Utility Services LLC, Term Loan, 1-month LIBOR + 5.500%, 7.148%, 11/12/2022(b) |
9,828,478 | ||||
|
|
|||||
47,397,532 | ||||||
|
|
|||||
Environmental 0.9% | ||||||
1,489,112 | Allflex Holdings III, Inc., New 1st Lien Term Loan, 6-month LIBOR + 3.250%, 5.138%, 7/20/2020(b) |
1,496,558 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Environmental continued | ||||||
$ 4,286,979 | EnergySolutions LLC, New Term Loan, 3-month LIBOR + 4.750%, 6.450%, 5/29/2020(b) |
$ | 4,372,719 | |||
3,346,392 | EWT Holdings III Corp., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 4.693%, 12/20/2024(b) |
3,377,781 | ||||
6,355,223 | SiteOne Landscape Supply, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 2.750%, 4.400%, 4/29/2022(b) |
6,383,059 | ||||
2,272,305 | USS Ultimate Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.750%, 5.398%, 8/25/2024(b) |
2,292,188 | ||||
12,728,818 | Zep, Inc., 2017 1st Lien Term Loan, LIBOR + 4.000%, 5.772%, 8/12/2024(a) |
12,803,026 | ||||
|
|
|||||
30,725,331 | ||||||
|
|
|||||
Financial Other 2.9% | ||||||
867,333 | AqGen Ascensus, Inc., 2017 1st Lien Delayed Draw Term Loan, 2-month LIBOR + 3.500%, 5.154%, 12/05/2022(b) |
873,838 | ||||
333,923 | AqGen Ascensus, Inc., 2017 Incremental Delayed Draw Term Loan, 1.185%, 12/05/2022(d) |
336,428 | ||||
99,744 | AqGen Ascensus, Inc., 2017 Incremental Delayed Draw Term Loan, 2-month LIBOR + 3.500%, 5.154%, 12/05/2022(b) |
100,492 | ||||
10,363,308 | AqGen Ascensus, Inc., 2017 Repriced Term Loan, 2-month LIBOR + 3.500%, 5.154%, 12/05/2022(b) |
10,453,987 | ||||
11,093,919 | DBRS Ltd., Term Loan, 3-month LIBOR + 5.250%, 7.234%, 3/04/2022(b) |
11,163,256 | ||||
7,965,803 | Eze Castle Software, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 6.500%, 8.193%, 4/05/2021(b) |
7,965,803 | ||||
5,806,525 | Grosvenor Capital Management Holdings LLP, 2016 Term Loan B, 3-month LIBOR + 3.000%, 4.648%, 8/18/2023(b) |
5,830,100 | ||||
10,398,375 | LifeMiles Ltd., Term Loan B, 3-month LIBOR + 5.500%, 7.369%, 8/18/2022(c) |
10,684,330 | ||||
15,554,000 | Mayfield Agency Borrower, Inc., 2018 1st Lien Term Loan, 1/30/2025(e) |
15,592,885 | ||||
5,676,773 | NAB Holdings LLC, 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 4.694%, 7/01/2024(b) |
5,707,541 | ||||
4,123,817 | Resolute Investment Managers, Inc., 2017 1st Lien Term Loan B, 3-month LIBOR + 3.250%, 4.943%, 4/30/2022(b) |
4,180,520 | ||||
11,670,559 | Victory Capital Management, Inc., 2018 Term Loan B, 3-month LIBOR + 2.750%, 4.399%, 2/07/2025(b) |
11,685,147 | ||||
11,729,000 | Wall Street Systems Delaware, Inc., 2017 Term Loan B, 2-month LIBOR + 3.000%, 4.654%, 11/21/2024(b) |
11,736,389 | ||||
|
|
|||||
96,310,716 | ||||||
|
|
|||||
Food & Beverage 2.6% | ||||||
9,104,040 | AI Aqua Merger Sub, Inc., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.250%, 5.148%, 12/13/2023(b) |
9,121,156 | ||||
2,262,330 | AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, 1-month LIBOR + 3.500%, 5.148%, 12/13/2023(b) |
2,267,036 | ||||
4,109,943 | Arctic Glacier U.S.A., Inc., 2017 Term Loan B, 1-month LIBOR + 4.250%, 5.898%, 3/20/2024(b) |
4,116,806 | ||||
9,914,153 | Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.793%, 7/07/2024(b) |
9,994,754 | ||||
9,722,028 | CPM Holdings, Inc., Term Loan B, 1-month LIBOR + 3.500%, 5.148%, 4/11/2022(b) |
9,831,400 | ||||
15,045,293 | Give & Go Prepared Foods Corp., 2017 1st Lien Add-On Term Loan, LIBOR + 4.250%, 6.193%, 7/29/2023(a) |
15,082,906 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Food & Beverage continued | ||||||
$ 2,236,262 | High Liner Foods, Inc., Refi Term Loan B, 3-month LIBOR + 3.250%, 4.927%, 4/24/2021(c) |
$ | 2,213,900 | |||
9,399,168 | Proampac PG Borrower LLC, 2016 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.086%, 11/18/2023(c) |
9,493,160 | ||||
11,315,843 | TKC Holdings, Inc., 2017 1st Lien Term Loan, LIBOR + 4.250%, 6.030%, 2/01/2023(a) |
11,436,131 | ||||
10,073,968 | UTZ Quality Foods LLC, 1st Lien Term Loan, 1-week LIBOR + 3.500%., 5.096%, 11/21/2024(b) |
10,168,462 | ||||
|
|
|||||
83,725,711 | ||||||
|
|
|||||
Gaming 0.1% | ||||||
2,614,848 | Gateway Casinos & Entertainment Ltd., Term Loan B1, 3-month LIBOR + 3.750%, 5.443%, 2/22/2023(b) |
2,637,727 | ||||
|
|
|||||
Health Insurance 0.7% | ||||||
4,750,000 | Sedgwick Claims Management Services, Inc., 2017 2nd Lien Term Loan, 2/28/2022(e) |
4,773,750 | ||||
5,375,984 | Sedgwick Claims Management Services, Inc., 2nd Lien Term Loan, 1-month LIBOR + 5.750%, 7.398%, 2/28/2022(b) |
5,399,531 | ||||
14,031,478 | Sedgwick Claims Management Services, Inc., Incremental 2nd Lien Term Loan, 3-month LIBOR + 5.750%, 7.734%, 2/28/2022(b) |
14,092,936 | ||||
|
|
|||||
24,266,217 | ||||||
|
|
|||||
Healthcare 5.6% | ||||||
4,354,000 | Argon Medical Devices, Inc., 2017 1st Lien Term Loan B, 1/23/2025(e) |
4,370,328 | ||||
7,340,000 | Argon Medical Devices, Inc., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 1/23/2025(b) |
7,367,525 | ||||
8,730,019 | ATI Holdings Acquisition, Inc., 2016 Term Loan, 3-month LIBOR + 3.500%, 5.204%, 5/10/2023(b) |
8,806,406 | ||||
10,934,373 | BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.981%, 3/18/2024(c) |
10,825,029 | ||||
12,261,025 | Carestream Dental Equiment, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.943%, 9/01/2024(b) |
12,268,749 | ||||
1,646,530 | Concentra, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 2.750%, 4.530%, 6/01/2022(b) |
1,656,821 | ||||
2,350,000 | DuPage Medical Group Ltd., 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 8.588%, 8/15/2025(b) |
2,355,875 | ||||
11,287,144 | Explorer Holdings, Inc., 2016 Term Loan B, 3-month LIBOR + 3.750%, 5.522%, 5/02/2023(b) |
11,371,797 | ||||
12,220,157 | FHC Health Systems, Inc., 2014 Term Loan, 1-month LIBOR + 4.000%, 5.648%, 12/23/2021(b) |
12,143,781 | ||||
2,218,850 | GHX Ultimate Parent Corp., 2017 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.693%, 6/28/2024(b) |
2,224,397 | ||||
7,580,522 | Greatbatch Ltd., 2017 1st Lien Term Loan B, 1-month LIBOR + 3.250%, 4.830%, 10/27/2022(b) |
7,643,288 | ||||
17,649,952 | HC Group Holdings III, Inc., Term Loan B, 1-month LIBOR + 5.000%, 6.648%, 4/07/2022(b) |
17,914,702 | ||||
2,780,464 | Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 1-month LIBOR + 3.000%, 4.648%, 5/31/2021(b) |
2,612,468 | ||||
8,521,469 | NMSC Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 5.000%, 6.693%, 4/19/2023(b) |
8,457,558 | ||||
11,768,347 | NVA Holdings, Inc., 2nd Lien Term Loan, 3-month LIBOR + 7.000%, 8.693%, 8/14/2022(b) |
11,778,115 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Healthcare continued | ||||||
$ 998,498 | NVA Holdings, Inc., Term Loan B3, 3-month LIBOR + 2.750%, 4.409%, 2/02/2025(b) |
$ | 997,749 | |||
1,183,000 | Onex TSG Holdings II Corp., 1st Lien Term Loan, 7/31/2022(e) |
1,177,085 | ||||
14,692,281 | Onex TSG Holdings II Corp., 1st Lien Term Loan, 1-month LIBOR + 4.000%, 5.648%, 7/31/2022(b) |
14,618,820 | ||||
11,592,143 | Patterson Medical Holdings, Inc., 1st Lien Term Loan, LIBOR + 4.750%, 6.539%, 8/28/2022(a) |
11,345,810 | ||||
14,497,805 | Surgery Center Holdings, Inc., 2017 Term Loan B, 1-month LIBOR + 3.250%, 4.900%, 9/02/2024(b) |
14,494,180 | ||||
7,044,929 | Tecomet, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.500%, 5.278%, 5/01/2024(b) |
7,097,766 | ||||
17,701 | Tecomet, Inc., 2017 Repriced Term Loan, Prime + 2.500%, 7.000%, 5/01/2024(b) |
17,834 | ||||
5,541,815 | U.S. Anesthesia Partners, Inc., 2017 Term Loan, 1-month LIBOR + 3.000%, 4.648%, 6/23/2024(b) |
5,568,139 | ||||
7,798,645 | U.S. Renal Care, Inc., 2015 Term Loan B, 3-month LIBOR + 4.250%, 5.943%, 12/31/2022(b) |
7,823,990 | ||||
|
|
|||||
184,938,212 | ||||||
|
|
|||||
Home Construction 1.0% | ||||||
8,830,777 | Hayward Industries, Inc., 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.148%, 8/05/2024(b) |
8,863,892 | ||||
13,379,765 | LBM Borrower LLC, 2018 1st Lien Term Loan, 2-month LIBOR + 3.750%, 5.449%, 8/20/2022(b) |
13,496,838 | ||||
8,813,147 | Zodiac Pool Solutions LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.693%, 12/20/2023(b) |
8,813,147 | ||||
|
|
|||||
31,173,877 | ||||||
|
|
|||||
Independent Energy 1.6% | ||||||
17,670,000 | California Resources Corp., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.340%, 12/31/2022(b) |
17,868,787 | ||||
6,160,000 | California Resources Corp., Second Out Term Loan, 1-month LIBOR + 10.375%, 11.971%, 12/31/2021(b) |
6,945,400 | ||||
8,595,269 | Chesapeake Energy Corp., Term Loan, 3-month LIBOR + 7.500%, 9.444%, 8/23/2021(b) |
9,151,813 | ||||
17,968,712 | Gavilan Resources LLC, 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.588%, 3/01/2024(b) |
18,028,548 | ||||
1,627,010 | P2 Upstream Acquisition Co., 1st Lien Term Loan, 3-month LIBOR + 4.000%, 5.800%, 10/30/2020(b) |
1,606,672 | ||||
|
|
|||||
53,601,220 | ||||||
|
|
|||||
Industrial Other 6.3% | ||||||
11,960,462 | ABG Intermediate Holdings 2 LLC, 2017 1st Lien Add-On Term Loan, 3-month LIBOR + 3.500%, 5.193%, 9/26/2024(b) |
12,042,750 | ||||
6,341,617 | Brickman Group Ltd. LLC, Initial Term Loan (Second Lien), 1-month LIBOR + 6.500%, 8.090%, 12/17/2021(b) |
6,382,838 | ||||
14,703,000 | Capri Finance LLC, USD 2017 1st Lien Term Loan, 3-month LIBOR + 3.250%, 5.022%, 11/01/2024(b) |
14,693,884 | ||||
10,875,974 | CIBT Holdings, Inc., 2017 Term Loan, 3-month LIBOR + 3.750%, 5.443%, 6/03/2024(b) |
10,916,758 | ||||
4,579,333 | Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, 3-month LIBOR + 6.000%, 7.904%, 11/22/2021(b) |
4,451,112 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Industrial Other continued | ||||||
$ 12,528,000 | Diamond (BC) B.V., USD Term Loan, 2-month LIBOR + 3.000%, 4.654%, 9/06/2024(b) |
$ | 12,496,680 | |||
7,849,199 | Duke Finance LLC, 2017 Incremental Term Loan, 3-month LIBOR + 4.250%, 5.943%, 2/21/2024(b) |
7,854,144 | ||||
17,320,179 | Eastman Kodak Co., Exit Term Loan, LIBOR + 6.250%, 8.014%, 9/03/2019(a) |
15,674,762 | ||||
18,687,113 | Harland Clarke Holdings Corp., Term Loan B7, 3-month LIBOR + 4.750%, 6.443%, 11/03/2023(b) |
18,853,989 | ||||
3,470,513 | Laureate Education, Inc., 2017 Term Loan B, 4/26/2024(e) |
3,489,496 | ||||
7,475,719 | Laureate Education, Inc., 2017 Term Loan B, 1-month LIBOR + 4.500%, 5.148%, 4/26/2024(b) |
7,516,611 | ||||
11,084,897 | LTI Holdings, Inc., 2017 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.398%, 5/16/2024(b) |
11,161,161 | ||||
3,207,000 | LTI Holdings, Inc., 2018 Term Loan, 2/16/2024(e) |
3,219,026 | ||||
15,044,530 | Merrill Communications LLC, 2015 Term Loan, 3-month LIBOR + 5.250%, 7.022%, 6/01/2022(b) |
15,063,335 | ||||
7,866,259 | NES Global Talent Ltd., 1st Lien Term Loan, 3-month LIBOR + 5.500%, 7.272%, 10/03/2019(b)(h)(l) |
7,394,283 | ||||
5,110,909 | Oasis Outsourcing Holdings, Inc., 2018 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.881%, 6/30/2023(b) |
5,142,853 | ||||
7,134,000 | Oxbow Carbon LLC, 2017 1st Lien Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 1/04/2023(b) |
7,205,340 | ||||
11,285,771 | Power Products LLC, 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.745%, 12/20/2022(b) |
11,455,057 | ||||
3,289,000 | Safe Fleet Acquisition, Corp., 2018 1st Lien Term Loan, 3-month LIBOR + 3.000%, 4.780%, 2/01/2025(b) |
3,293,111 | ||||
13,838,428 | Sotera Health Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.648%, 5/15/2022(b) |
13,864,444 | ||||
4,589,530 | Unifrax Corp., 2017 USD Term Loan B, 3-month LIBOR + 3.750%, 5.193%, 4/04/2024(b) |
4,635,425 | ||||
9,171,356 | WireCo WorldGroup, Inc., 1st Lien Term Loan, 3-month LIBOR + 5.500%, 7.484%, 9/30/2023(b) |
9,259,218 | ||||
|
|
|||||
206,066,277 | ||||||
|
|
|||||
Internet & Data 3.1% | ||||||
11,977,388 | CareerBuilder LLC, Term Loan, 3-month LIBOR + 6.750%, 8.443%, 7/26/2023(b) |
11,842,642 | ||||
21,358,863 | EIG Investors Corp., 2017 Term Loan, LIBOR + 4.000%, 5.955%, 2/09/2023(a) |
21,473,347 | ||||
15,041,303 | GTCR Valor Cos., Inc., USD 2017 Term Loan B1, 3-month LIBOR + 3.250%, 4.943%, 6/16/2023(b) |
15,122,826 | ||||
17,668,238 | MH Sub I LLC, 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.338%, 9/13/2024(b) |
17,663,820 | ||||
8,830,000 | MH Sub I LLC, 2017 2nd Lien Term Loan, 3-month LIBOR + 7.500%, 9.088%, 9/15/2025(b) |
8,918,300 | ||||
4,665,000 | NeuStar, Inc., 2nd Lien Term Loan, 8/08/2025(e) |
4,694,156 | ||||
2,178,000 | NeuStar, Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.672%, 8/08/2025(b) |
2,191,613 | ||||
8,392,965 | NeuStar, Inc., Term Loan B2, 2-month LIBOR + 3.750%, 5.421%, 8/08/2024(b) |
8,396,490 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Internet & Data continued | ||||||
$ 11,163,172 | Polycom, Inc., 1st Lien Term Loan, 1-month LIBOR + 5.250%, 6.874%, 9/27/2023(c) |
$ | 11,202,690 | |||
|
|
|||||
101,505,884 | ||||||
|
|
|||||
Leisure 2.0% | ||||||
12,374,338 | CDS U.S. Intermediate Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.443%, 7/08/2022(b) |
12,340,309 | ||||
3,931,000 | CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.250%, 9.943%, 7/10/2023(b) |
3,908,908 | ||||
15,683,000 | Cineworld Ltd., 2018 USD Term Loan, 2/18/2025(e) |
15,659,476 | ||||
16,398,595 | Kingpin Intermediate Holdings LLC, 2017 1st Lien Term Loan B, 3-month LIBOR + 4.250%, 5.730%, 6/28/2024(b) |
16,665,072 | ||||
13,031,855 | Leslies Poolmart, Inc., 2016 Term Loan, 8/16/2023(e) |
13,045,799 | ||||
2,877,906 | Recess Holdings, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.254%, 9/29/2024(b) |
2,894,109 | ||||
389,881 | Recess Holdings, Inc., 2017 Delayed Draw Term Loan, 3.750%, 9/29/2024(d) |
392,076 | ||||
|
|
|||||
64,905,749 | ||||||
|
|
|||||
Media Entertainment 4.1% | ||||||
9,411,675 | ALM Media Holdings, Inc., 1st Lien Term Loan, 3-month LIBOR + 4.500%, 6.193%, 7/31/2020(b) |
7,999,924 | ||||
6,984,164 | Alpha Media LLC, 2016 Term Loan, LIBOR + 6.000%, 7.787%, 2/25/2022(a) |
6,669,877 | ||||
12,825,308 | Camelot UK Holdco Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.250%, 4.898%, 10/03/2023(b) |
12,910,083 | ||||
13,473,948 | Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 1-month LIBOR + 4.250%, 5.838%, 6/07/2023(b) |
12,366,120 | ||||
1,909,844 | Extreme Reach, Inc., 1st Lien Term Loan, 3-month LIBOR + 6.250%, 7.950%, 2/07/2020(b) |
1,917,006 | ||||
14,278,000 | Extreme Reach, Inc., 2nd Lien Term Loan, 3-month LIBOR + 10.000%, 11.626%, 1/24/2021(b)(h)(l) |
13,463,012 | ||||
17,931,887 | LSC Communications, Inc., 2017 Term Loan B, 1-month LIBOR + 5.500%, 7.148%, 9/30/2022(b) |
18,021,546 | ||||
19,005,753 | McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B, 1-month LIBOR + 4.000%, 5.648%, 5/04/2022(b) |
18,696,910 | ||||
13,250,000 | Meredith Corp., Term Loan B, 1/31/2025(e) |
13,322,477 | ||||
6,267,000 | Meredith Corp., Term Loan B, 3-month LIBOR + 3.000%, 4.658%, 1/31/2025(b) |
6,301,280 | ||||
13,349,826 | Project Sunshine IV Pty Ltd., 2017 Term Loan B, 1-month LIBOR + 7.000%, 8.648%, 8/21/2022(b) |
13,349,826 | ||||
4,525,181 | ProQuest LLC, New Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 10/24/2021(b) |
4,580,343 | ||||
6,037,378 | Sesac Holdco II LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.648%, 2/23/2024(b) |
6,037,378 | ||||
|
|
|||||
135,635,782 | ||||||
|
|
|||||
Metals & Mining 1.3% | ||||||
8,803,000 | AMG Advanced Metallurgical Group NV, 2018 Term Loan B, 1/29/2025(e) |
8,852,561 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Metals & Mining continued | ||||||
$ 5,706,057 | Global Brass & Copper, Inc., 2016 Term Loan B, 1-month LIBOR + 3.250%, 4.938%, 7/18/2023(b) |
$ | 5,755,985 | |||
15,662,000 | GrafTech Finance, Inc., 2018 Term Loan B, 3-month LIBOR + 3.500%, 5.081%, 2/12/2025(b) |
15,642,422 | ||||
9,713,598 | Harsco Corp., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.688%, 12/05/2024(b) |
9,827,732 | ||||
3,908,000 | Phoenix Services International LLC, Term Loan, 1/26/2025(e) |
3,947,080 | ||||
|
|
|||||
44,025,780 | ||||||
|
|
|||||
Midstream 1.0% | ||||||
18,530,420 | BCP Raptor LLC, Term Loan B, LIBOR + 4.250%, 6.039%, 6/24/2024(a) |
18,660,133 | ||||
1,671,000 | EIG Management Company LLC, 2018 Term Loan B, 1/30/2025(e) |
1,682,497 | ||||
7,493,016 | Limetree Bay Terminals LLC, 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.596%, 2/15/2024(b) |
7,474,283 | ||||
5,211,000 | Lucid Energy Group II LLC, 2018 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.588%, 2/17/2025(b) |
5,214,283 | ||||
|
|
|||||
33,031,196 | ||||||
|
|
|||||
Oil Field Services 0.3% | ||||||
10,213,754 | Petroleum Geo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 4.193%, 3/19/2021(b) |
9,387,564 | ||||
|
|
|||||
Packaging 1.5% | ||||||
11,639,828 | Klockner-Pentaplast of America, Inc., USD 2017 Term Loan B2, 3-month LIBOR + 4.250%, 5.943%, 6/30/2022(b) |
11,436,131 | ||||
4,655,000 | KPEX Holdings Inc., 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.898%, 1/31/2025(b) |
4,660,819 | ||||
460,000 | KPEX Holdings Inc., Delayed Draw Term Loan, 1.000%, 1/31/2025(d) |
460,575 | ||||
9,087,040 | PLZ Aeroscience Corp., USD Term Loan, 3-month LIBOR + 3.500%, 5.169%, 7/31/2022(c) |
9,152,376 | ||||
7,393,000 | Pro Mach Group, Inc., 2018 Term Loan B, 2/26/2025(e) |
7,411,482 | ||||
1,363,540 | TricorBraun Holdings, Inc., 1st Lien Delayed Draw Term Loan, 3-month LIBOR + 3.750%, 5.392%, 11/30/2023(b) |
1,369,785 | ||||
13,532,880 | TricorBraun Holdings, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.443%, 11/30/2023(b) |
13,594,860 | ||||
|
|
|||||
48,086,028 | ||||||
|
|
|||||
Pharmaceuticals 0.5% | ||||||
3,450,000 | Akorn, Inc., Term Loan B, 1-month LIBOR + 4.250%, 5.938%, 4/16/2021(b) |
3,406,875 | ||||
13,884,255 | Endo Luxembourg Finance Co. I S.a r.l., 2017 Term Loan B, 1-month LIBOR + 4.250%, 5.938%, 4/29/2024(b) |
13,846,073 | ||||
|
|
|||||
17,252,948 | ||||||
|
|
|||||
Property & Casualty Insurance 2.8% | ||||||
5,927,771 | Alliant Holdings I, Inc., 2015 Term Loan B, 1-month LIBOR + 3.250%, 4.898%, 8/12/2022(b) |
5,951,482 | ||||
4,506,884 | AmWINS Group, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 8.398%, 1/25/2025(b) |
4,538,793 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Property & Casualty Insurance continued | ||||||
$ 6,665,169 | Broadstreet Partners, Inc., 2017 Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 11/08/2023(b) |
$ | 6,726,288 | |||
16,819,310 | Confie Seguros Holding II Co., 2016 Term Loan B, LIBOR + 5.250%, 7.233%, 4/19/2022(a) |
16,819,310 | ||||
11,828,234 | Cunningham Lindsey U.S., Inc., 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.443%, 12/10/2019(b) |
11,778,910 | ||||
5,255,227 | Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.693%, 6/10/2020(b) |
5,185,175 | ||||
469,000 | Cypress Intermediate Holdings III, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.750%, 8.398%, 4/27/2025(b) |
476,270 | ||||
17,870,956 | Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1-month LIBOR + 3.500%, 5.188%, 12/20/2024(b) |
18,022,859 | ||||
7,952,018 | VF Holding Corp., Reprice Term Loan, 1-month LIBOR + 3.250%, 4.898%, 6/30/2023(b) |
8,021,599 | ||||
14,779,518 | York Risk Services Holding Corp., Term Loan B, 1-month LIBOR + 3.750%, 5.398%, 10/01/2021(b) |
14,450,673 | ||||
|
|
|||||
91,971,359 | ||||||
|
|
|||||
Restaurants 1.9% | ||||||
10,066,629 | Big Jack Holdings LP, 2017 Term Loan B, 1-month LIBOR + 4.000%, 5.650%, 4/05/2024(b) |
10,192,462 | ||||
6,949,786 | Golden Nugget, Inc., 2017 Incremental Term Loan, LIBOR + 3.250%, 4.979%, 10/04/2023(a) |
7,002,813 | ||||
5,208,000 | IRB Holding Corp., 1st Lien Term Loan, 1-month LIBOR + 3.250%, 4.829%, 2/05/2025(b) |
5,256,382 | ||||
4,825,000 | Portillos Holdings LLC, 2nd Lien Term Loan, 8/01/2022(e) |
4,849,125 | ||||
7,679,000 | Portillos Holdings LLC, 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.693%, 8/01/2022(b) |
7,717,395 | ||||
21,313,563 | Red Lobster Management LLC, Term Loan B, 1-month LIBOR + 5.250%, 6.898%, 7/28/2021(b) |
21,353,632 | ||||
4,385,000 | Tacala LLC, 1st Lien Term Loan, 1/31/2025(e) |
4,406,925 | ||||
2,541,868 | TriMark USA LLC, 2017 1st Lien Term Loan, 1-month LIBOR + 3.500%, 5.150%, 8/28/2024(b) |
2,555,848 | ||||
113,761 | TriMark USA LLC, Delayed Draw Term Loan, 8/28/2024(e) |
114,387 | ||||
|
|
|||||
63,448,969 | ||||||
|
|
|||||
Retailers 5.4% | ||||||
16,471,838 | Academy Ltd., 2015 Term Loan B, LIBOR + 4.000%, 5.553%, 7/01/2022(a) |
13,131,185 | ||||
10,853,606 | Array Canada, Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.693%, 2/10/2023(b) |
10,941,846 | ||||
15,642,144 | Ascena Retail Group, Inc., 2015 Term Loan B, 1-month LIBOR + 4.500%, 6.188%, 8/21/2022(b) |
13,994,088 | ||||
6,882,124 | At Home Holding III, Inc., Term Loan, 3-month LIBOR + 3.500%, 5.272%, 6/03/2022(b) |
6,899,329 | ||||
15,583,074 | Bass Pro Group LLC, Term Loan B, 1-month LIBOR + 5.000%, 6.648%, 9/25/2024(b) |
15,524,637 | ||||
15,703,918 | BDF Acquisition Corp., 1st Lien Term Loan, 1-month LIBOR + 4.750%, 6.398%, 2/12/2021(b) |
15,546,879 | ||||
5,699,850 | Davids Bridal, Inc., New Term Loan B, 3-month LIBOR + 4.000%, 5.700%, 10/11/2019(b) |
4,834,670 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Retailers continued |
||||||
$ 12,635,000 | EG Group Ltd., 2018 USD Term Loan B, 1/19/2025(e) |
$ | 12,628,682 | |||
6,250,000 | Hudsons Bay Co., 2015 Term Loan B, 1-month LIBOR + 3.250%, 4.898%, 9/30/2022(b) |
6,015,625 | ||||
18,519,104 | Jill Acquisition LLC, 2015 Term Loan, 3-month LIBOR + 5.000%, 6.780%, 5/08/2022(b) |
18,333,913 | ||||
5,632,046 | Mens Wearhouse, Inc. (The), Term Loan B, LIBOR + 3.500%, 5.147%, 6/18/2021(a) |
5,639,087 | ||||
10,242,741 | Neiman Marcus Group Ltd. LLC, 2020 Term Loan, 1-month LIBOR + 3.250%, 4.830%, 10/25/2020(b) |
8,665,769 | ||||
10,270,645 | PetSmart, Inc., Term Loan B2, 1-month LIBOR + 3.000%, 4.570%, 3/11/2022(b) |
8,368,008 | ||||
21,635,775 | Staples, Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.787%, 9/12/2024(b) |
21,487,137 | ||||
7,472,966 | The Talbots, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.148%, 3/19/2020(b) |
7,342,189 | ||||
8,040,607 | The Talbots, Inc., 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 10.148%, 3/19/2021(b)(h)(l) |
7,799,389 | ||||
|
|
|||||
177,152,433 | ||||||
|
|
|||||
Technology 7.9% | ||||||
18,237,993 | Almonde, Inc., USD 1st Lien Term Loan, 3-month LIBOR + 3.500%, 5.484%, 6/13/2024(b) |
18,224,680 | ||||
11,080,000 | Almonde, Inc., USD 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 9.234%, 6/13/2025(b) |
10,990,695 | ||||
3,750,000 | Aptean, Inc., 2016 2nd Lien Term Loan, 3-month LIBOR + 9.500%, 11.200%, 12/14/2023(b) |
3,765,637 | ||||
15,583,243 | Aptean, Inc., 2017 1st Lien Term Loan, 3-month LIBOR + 4.250%, 5.950%, 12/20/2022(b) |
15,654,614 | ||||
10,529,623 | Aricent Technologies, 1st Lien Term Loan, 1-month LIBOR + 4.500%, 6.088%, 4/14/2021(b) |
10,552,683 | ||||
11,806,000 | DigiCert, Inc., 2017 2nd Lien Term Loan, 3-month LIBOR + 8.000%, 9.772%, 10/31/2025(b) |
11,924,060 | ||||
4,963,657 | DigiCert, Inc., 2017 Term Loan B1, 10/31/2024(e) |
5,016,421 | ||||
4,202,934 | DigiCert, Inc., 2017 Term Loan B1, 3-month LIBOR + 4.750%, 6.522%, 10/31/2024(b) |
4,247,611 | ||||
10,638,243 | Genesys Telecom Holdings, U.S., Inc., 2018 USD Term Loan B, 12/01/2023(e) |
10,673,668 | ||||
10,638,243 | Greeneden U.S. Holdings II LLC, USD 2017 Term Loan B2, 3-month LIBOR + 3.750%, 5.443%, 12/01/2023(b) |
10,673,668 | ||||
14,143,669 | Hyland Software, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 7.000%, 8.648%, 7/07/2025(b) |
14,408,863 | ||||
2,835,000 | Informatica Corp., 2018 USD Term Loan, 3-month LIBOR + 3.250%, 4.943%, 8/05/2022(b) |
2,849,175 | ||||
11,689,347 | IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 10.445%, 4/01/2022(b) |
11,210,084 | ||||
13,036,731 | IQOR U.S., Inc., Term Loan B, 3-month LIBOR + 5.000%, 6.695%, 4/01/2021(b) |
13,043,249 | ||||
12,292,000 | McAfee LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 10.148%, 9/29/2025(b) |
12,322,730 | ||||
7,848,578 | Openlink International Intermediate, Inc., 2017 Term Loan, LIBOR + 6.500%, 8.272%, 7/29/2019(a) |
7,858,389 |
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
| |||||
Technology continued |
||||||
$ 6,413,198 | Presidio, Inc., 2017 Refinanced Term Loan B, LIBOR + 2.750%, 4.445%, 2/02/2024(a) |
$ | 6,427,884 | |||
13,404,000 | Quest Software U.S. Holdings, Inc., 2017 Term Loan B, 3-month LIBOR + 5.500%, 7.272%, 10/31/2022(b) |
13,616,990 | ||||
11,645,736 | Riverbed Technology, Inc., 2016 Term Loan, 3-month LIBOR + 3.250%, 4.900%, 4/24/2022(b) |
11,466,159 | ||||
6,094,529 | Rocket Software, Inc., 2016 1st Lien Term Loan, 3-month LIBOR + 4.250%, 5.943%, 10/14/2023(b) |
6,155,474 | ||||
5,657,835 | Rocket Software, Inc., 2016 2nd Lien Term Loan, 3-month LIBOR + 9.500%, 11.193%, 10/14/2024(b) |
5,710,905 | ||||
11,970,000 | SciQuest, Inc., 2017 Term Loan, 1-month LIBOR + 4.000%, 5.648%, 12/28/2024(b) |
11,940,075 | ||||
19,375,355 | Sirius Computer Solutions, Inc., 2016 Term Loan, 1-month LIBOR + 4.250%, 5.898%, 10/30/2022(b) |
19,512,533 | ||||
5,874,591 | SurveyMonkey, Inc., 2017 Term Loan, 3-month LIBOR + 4.500%, 6.200%, 4/13/2024(b) |
5,874,591 | ||||
16,041,365 | Veritas Bermuda Ltd., USD Repriced Term Loan B, 3-month LIBOR + 4.500%, 6.193%, 1/27/2023(b) |
15,947,844 | ||||
|
|
|||||
260,068,682 | ||||||
|
|
|||||
Transportation Services 2.2% | ||||||
12,714,918 | AI Mistral Holdco Ltd., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.648%, 3/09/2024(b) |
12,635,449 | ||||
8,872,415 | American Traffic Solutions, Inc., 1st Lien Term Loan, Prime + 3.500%, 8.000%, 5/24/2024(b) |
8,916,777 | ||||
13,351,733 | American Traffic Solutions, Inc., 2018 1st Lien Term Loan, 2/23/2025(e) |
13,418,492 | ||||
4,073,000 | Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.670%, 6/15/2023(b) |
4,134,095 | ||||
3,000,000 | Transplace Holdings, Inc., 1st Lien Term Loan, 10/07/2024(e) |
3,028,140 | ||||
8,626,000 | Transplace Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 4.250%, 5.829%, 10/07/2024(b) |
8,706,912 | ||||
20,781,745 | Uber Technologies, Term Loan B, 1-month LIBOR + 4.000%, 5.648%, 7/13/2023(b) |
20,896,045 | ||||
|
|
|||||
71,735,910 | ||||||
|
|
|||||
Utility Other 0.6% | ||||||
4,733,861 | PowerTeam Services LLC, 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.943%, 5/06/2020(b) |
4,733,861 | ||||
14,752,405 | PowerTeam Services LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.943%, 11/06/2020(b) |
14,764,650 | ||||
|
|
|||||
19,498,511 | ||||||
|
|
|||||
Wireless 1.4% | ||||||
28,717,391 | Asurion LLC, 2017 2nd Lien Term Loan, 1-month LIBOR + 6.000%, 7.648%, 8/04/2025(b) |
29,413,787 | ||||
7,489,422 | GTT Communications, Inc., 2017 Add on Term Loan B, 1-month LIBOR + 3.250%, 4.938%, 1/09/2024(b) |
7,529,191 | ||||
9,641,666 | LSF9 Atlantis Holdings LLC, 2017 Term Loan, 1-month LIBOR + 6.000%, 7.575%, 5/01/2023(b) |
9,619,972 | ||||
|
|
|||||
46,562,950 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Senior Loans continued |
||||||
Wirelines 1.0% | ||||||
$ 11,527,000 | Avaya, Inc., Exit Term Loan B, 1-month LIBOR + 4.750%, 6.338%, 12/15/2024(b) |
$ | 11,584,635 | |||
6,596,301 | Communications Sales & Leasing, Inc., 2017 Term Loan B, 1-month LIBOR + 3.000%, 4.648%, 10/24/2022(b) |
6,335,220 | ||||
13,489,516 | Coral-U.S. Co-Borrower LLC, Term Loan B4, 3-month LIBOR + 3.250%, 4.889%, 1/30/2026(b) |
13,463,346 | ||||
|
|
|||||
31,383,201 | ||||||
|
|
|||||
Total Senior Loans |
2,887,873,718 | |||||
|
|
|||||
Bonds and Notes 7.2% |
||||||
Chemicals 0.1% | ||||||
4,842,000 | Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A |
4,914,630 | ||||
|
|
|||||
Environmental 0.6% | ||||||
13,580,000 | GFL Environmental, Inc., 5.375%, 3/01/2023, 144A |
13,596,975 | ||||
4,860,000 | GFL Environmental, Inc., 5.625%, 5/01/2022, 144A |
4,957,200 | ||||
|
|
|||||
18,554,175 | ||||||
|
|
|||||
Finance Companies 0.4% | ||||||
14,035,000 | iStar, Inc., 6.000%, 4/01/2022 |
14,105,175 | ||||
|
|
|||||
Healthcare 0.4% | ||||||
4,225,000 | Select Medical Corp., 6.375%, 6/01/2021 |
4,309,078 | ||||
8,205,000 | Tenet Healthcare Corp., 8.125%, 4/01/2022 |
8,656,275 | ||||
|
|
|||||
12,965,353 | ||||||
|
|
|||||
Independent Energy 1.3% | ||||||
10,540,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A |
11,225,100 | ||||
10,675,000 | Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A |
8,768,765 | ||||
4,965,000 | MEG Energy Corp., 6.375%, 1/30/2023, 144A |
4,257,488 | ||||
4,500,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 |
4,609,687 | ||||
13,270,000 | SM Energy Co., 6.500%, 1/01/2023 |
13,270,000 | ||||
|
|
|||||
42,131,040 | ||||||
|
|
|||||
Media Entertainment 0.3% | ||||||
10,235,000 | Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020 |
10,222,206 | ||||
|
|
|||||
Metals & Mining 0.5% | ||||||
6,410,000 | Northwest Acquisitions ULC/Dominion Finco, Inc., 7.125%, 11/01/2022, 144A |
6,617,684 |
Principal Amount |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Metals & Mining continued | ||||||
$ 9,375,000 | Petra Diamonds U.S. Treasury PLC, 7.250%, 5/01/2022, 144A |
$ | 9,503,906 | |||
|
|
|||||
16,121,590 | ||||||
|
|
|||||
Non-Agency Commercial Mortgage-Backed Securities 0.3% | ||||||
9,717,715 | Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 8.514%, 8/15/2019, 144A(b) |
9,777,869 | ||||
|
|
|||||
Oil Field Services 0.2% | ||||||
5,625,000 | Petroleum Geo-Services ASA, 7.375%, 12/15/2020, 144A |
5,540,625 | ||||
|
|
|||||
Property & Casualty Insurance 1.0% | ||||||
14,090,000 | Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A |
14,424,638 | ||||
19,282,000 | HUB International Ltd., 7.875%, 10/01/2021, 144A |
19,884,562 | ||||
|
|
|||||
34,309,200 | ||||||
|
|
|||||
Technology 0.4% | ||||||
12,678,000 | Blackboard, Inc., 9.750%, 10/15/2021, 144A |
11,473,590 | ||||
|
|
|||||
Transportation Services 0.4% | ||||||
14,085,000 | Hertz Corp. (The), 7.625%, 6/01/2022, 144A |
14,472,338 | ||||
|
|
|||||
Wirelines 1.3% | ||||||
17,475,000 | Frontier Communications Corp., 8.125%, 10/01/2018 |
17,775,570 | ||||
16,445,000 | Windstream Services LLC/Windstream Finance Corp., 7.750%, 10/15/2020 |
14,142,700 | ||||
15,698,000 | Windstream Services LLC/Windstream Finance Corp., 8.750%, 12/15/2024, 144A |
10,114,849 | ||||
|
|
|||||
42,033,119 | ||||||
|
|
|||||
Total Bonds and Notes |
236,620,910 | |||||
|
|
|||||
Shares |
||||||
Common Stocks 0.2% |
||||||
Energy Equipment & Services 0.1% | ||||||
61,854 | Ameriforge Group, Inc.(f)(h)(i)(j)(m) | 2,783,430 | ||||
|
|
|||||
Industrial Conglomerates 0.0% | ||||||
20,609 | TwentyEighty, Inc., Class A(f)(h)(i)(j)(m) | | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 0.1% | ||||||
456,710 | Blue Ridge Mountain Resource, Inc.(f)(i)(j)(m) | 3,710,769 | ||||
|
|
|||||
Specialty Retail 0.0% | ||||||
1,790,825 | Onsite Rental Group Pty Ltd.(f)(h)(i)(j)(m) | | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Total Common Stocks |
6,494,199 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 9.6% |
| |||||
$ 315,283,814 | Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2018 at 0.700% to be repurchased at $315,289,945 on 3/01/2018 collateralized by $322,765,000 U.S.
Treasury Note, 2.500% due 5/15/2024 valued at $319,750,052; $1,875,000 U.S. Treasury Note, 2.000% due 8/31/2021 valued at $1,841,308 including accrued interest(n) |
$ | 315,283,814 | |||
|
|
|||||
Total Investments 105.2% |
3,446,272,641 | |||||
Other assets less liabilities (5.2)% | (170,492,676 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 3,275,779,965 | ||||
|
|
() | 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.
Securities classified as fair valued |
Percentage of Net Assets |
Securities fair valued by the |
Percentage of Net Assets | |||
$37,668,746 |
1.1% | $9,009,442 | 0.3% |
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 shown represents the weighted average rate of underlying contracts at February 28, 2018. 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. |
(b) | Variable rate security. Rate as of February 28, 2018 is disclosed. |
(c) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2018. |
(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) | Position is unsettled. Contract rate was not determined at February 28, 2018 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(f) | Level 3 security. Value has been determined using significant unobservable inputs. |
(g) | 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 February 28, 2018, the issuer has not made any interest payments. |
(h) | Illiquid security. (Unaudited) |
(i) | Fair valued by the Funds adviser. At February 28, 2018, the value of these securities amounted to $9,009,442 or 0.3% of net assets. |
(j) | Securities subject to restriction on resale. At February 28, 2018, the restricted securities held by the Fund are as follows: |
Acquisition Date | Cost | Value | % of Net Assets | |||||||||||
Ameriforge Group, Inc. |
August 22, 2017 | $ | 2,262,602 | $ | 2,783,430 | 0.1 | % | |||||||
Blue Ridge Mountain Resource, Inc. |
May 13, 2016 | 8,178,004 | 3,710,769 | 0.1 | % | |||||||||
Onsite Rental Group Pty Ltd. |
November 3, 2017 | | | | ||||||||||
Onsite Rental Group Pty Ltd., PIK Term Loan B |
November 3, 2017 | 2,384,581 | 2,515,243 | 0.1 | % | |||||||||
TwentyEighty, Inc. Class A |
February 7, 2017 | | | | ||||||||||
TwentyEighty, Inc. PIK Term Loan B |
February 7, 2017 | 4,855,279 | 2,271,386 | 0.1 | % | |||||||||
TwentyEighty, Inc. PIK Term Loan C |
February 7, 2017 | 3,427,257 | 1,628,936 | Less than 0.1 | % |
(k) | 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 February 28, 2018 interest payments were made in cash and principal. |
(l) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At February 28, 2018, the value of these securities amounted to $37,668,746 or 1.1% of net assets. |
(m) | Non-income producing security. |
(n) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of February 28, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2018, the value of Rule 144A holdings amounted to $149,530,219 or 4.6% of net assets. |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 2018, at value:
Asset Valuation Inputs |
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans |
||||||||||||||||
Construction Machinery |
$ | | $ | 9,135,866 | $ | 2,515,243 | (a) | $ | 11,651,109 | |||||||
Consumer Cyclical Services |
| 270,502,744 | 3,900,322 | (b) | 274,403,066 | |||||||||||
All Other Senior Loans* |
| 2,601,819,543 | | 2,601,819,543 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Senior Loans |
| 2,881,458,153 | 6,415,565 | 2,887,873,718 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes* |
| 236,620,910 | | 236,620,910 | ||||||||||||
Common Stocks |
||||||||||||||||
Energy Equipment & Services |
| | 2,783,430 | (a) | 2,783,430 | |||||||||||
Industrial Conglomerates |
| | | (a) | | |||||||||||
Oil, Gas & Consumable Fuels |
| | 3,710,769 | (a) | 3,710,769 | |||||||||||
Specialty Retail |
| | | (c) | | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
| | 6,494,199 | 6,494,199 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 315,283,814 | | 315,283,814 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 3,433,362,877 | $12,909,764 | $ | 3,446,272,641 | |||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Funds adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund. |
(b) | Valued using broker-dealer bid prices. |
(c) | Fair valued at zero using level 3 inputs by the Funds adviser. |
For the period ended February 28, 2018, there were no transfers among Levels 1, 2 and 3.
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, 2017 and/or February 28, 2018:
Asset Valuation Inputs |
Investments in Securities |
Balance as of November 30, 2017 |
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 February 28, 2018 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at February 28, 2018 |
||||||||||||||||||||||||||||||
Senior Loans |
||||||||||||||||||||||||||||||||||||||||
Construction Machinery |
$ | 2,384,581 | $ | 34,084 | $ | | $ | 96,578 | $ | | $ | | $ | | $ | | $ | 2,515,243 | $ | 96,578 | ||||||||||||||||||||
Consumer Cyclical Services |
3,825,581 | | | (24,914 | ) | 99,655 | | | | 3,900,322 | (24,914 | ) | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Energy Equipment & Services |
2,474,160 | | | 309,270 | | | | | 2,783,430 | 309,270 | ||||||||||||||||||||||||||||||
Industrial Conglomerates |
| (a) | | | | | | | | | (a) | | ||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
4,110,390 | | | (399,621 | ) | | | | | 3,710,769 | (399,621 | ) | ||||||||||||||||||||||||||||
Specialty Retail |
| (a) | | | | | | | | | (a) | | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 12,794,712 | $ | 34,084 | $ | | $ | (18,687 | ) | $ | 99,655 | $ | | $ | | $ | | $ | 12,909,764 | $ | (18,687 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Fair Valued at zero. |
Information Classification: Limited Access
Industry Summary at February 28, 2018 (Unaudited) |
Consumer Cyclical Services |
8.4 | % | ||
Technology |
8.3 | |||
Industrial Other |
6.3 | |||
Healthcare |
6.0 | |||
Consumer Products |
6.0 | |||
Retailers |
5.4 | |||
Automotive |
5.1 | |||
Media Entertainment |
4.4 | |||
Property & Casualty Insurance |
3.8 | |||
Building Materials |
3.7 | |||
Internet & Data |
3.1 | |||
Financial Other |
2.9 | |||
Independent Energy |
2.9 | |||
Transportation Services |
2.6 | |||
Food & Beverage |
2.6 | |||
Wirelines |
2.3 | |||
Leisure |
2.0 | |||
Other Investments, less than 2% each |
19.8 | |||
Short-Term Investments |
9.6 | |||
|
|
|||
Total Investments |
105.2 | |||
Other assets less liabilities |
(5.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2018 (Unaudited)
Vaughan Nelson Select Fund
Shares |
Description |
Value () | ||||
Common Stocks 94.2% of Net Assets |
||||||
Aerospace & Defense 5.0% | ||||||
40,100 | General Dynamics Corp. | $ | 8,920,245 | |||
|
|
|||||
Auto Components 4.4% | ||||||
86,325 | Aptiv PLC | 7,884,062 | ||||
|
|
|||||
Banks 3.5% | ||||||
84,025 | Citigroup, Inc. | 6,343,047 | ||||
|
|
|||||
Biotechnology 3.1% | ||||||
253,425 | Grifols S.A., ADR | 5,524,665 | ||||
|
|
|||||
Capital Markets 2.3% | ||||||
25,250 | Moodys Corp. | 4,213,720 | ||||
|
|
|||||
Chemicals 4.9% | ||||||
21,735 | Sherwin-Williams Co. (The) | 8,728,341 | ||||
|
|
|||||
Diversified Financial Services 5.0% | ||||||
43,475 | Berkshire Hathaway, Inc., Class B(a) | 9,008,020 | ||||
|
|
|||||
Diversified Telecommunication Services 2.8% | ||||||
136,350 | AT&T, Inc. | 4,949,505 | ||||
|
|
|||||
Electronic Equipment, Instruments & Components 1.5% | ||||||
11,025 | IPG Photonics Corp.(a) | 2,708,181 | ||||
|
|
|||||
Energy Equipment & Services 3.5% | ||||||
135,900 | Halliburton Co. | 6,308,478 | ||||
|
|
|||||
Health Care Equipment & Supplies 1.8% | ||||||
40,100 | Medtronic PLC | 3,203,589 | ||||
|
|
|||||
Health Care Providers & Services 5.8% | ||||||
46,375 | UnitedHealth Group, Inc. | 10,488,170 | ||||
|
|
|||||
Internet Software & Services 2.3% | ||||||
22,025 | Alibaba Group Holding Ltd., Sponsored ADR(a) | 4,099,734 | ||||
|
|
|||||
IT Services 5.6% | ||||||
40,250 | Broadridge Financial Solutions, Inc. | 4,040,295 | ||||
34,275 | MasterCard, Inc., Class A | 6,024,174 | ||||
|
|
|||||
10,064,469 | ||||||
|
|
|||||
Life Sciences Tools & Services 2.5% | ||||||
21,275 | Thermo Fisher Scientific, Inc. | 4,437,539 | ||||
|
|
|||||
Machinery 3.5% | ||||||
39,475 | Snap-on, Inc. | 6,285,209 | ||||
|
|
|||||
Media 9.4% | ||||||
70,700 | Time Warner, Inc. | 6,572,272 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Media continued | ||||||
284,800 | Twenty-First Century Fox, Inc., Class B | $ | 10,372,416 | |||
|
|
|||||
16,944,688 | ||||||
|
|
|||||
Oil, Gas & Consumable Fuels 6.7% | ||||||
392,375 | Cameco Corp. | 3,460,748 | ||||
138,425 | Enterprise Products Partners LP | 3,518,763 | ||||
941,325 | Kosmos Energy Ltd.(a) | 5,073,742 | ||||
|
|
|||||
12,053,253 | ||||||
|
|
|||||
Personal Products 2.7% | ||||||
34,900 | Estee Lauder Cos., Inc. (The), Class A | 4,831,556 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 4.7% | ||||||
77,600 | Texas Instruments, Inc. | 8,407,960 | ||||
|
|
|||||
Software 5.5% | ||||||
104,975 | Microsoft Corp. | 9,843,506 | ||||
|
|
|||||
Specialty Retail 4.9% | ||||||
48,525 | Home Depot, Inc. (The) | 8,844,652 | ||||
|
|
|||||
Technology Hardware, Storage & Peripherals 2.8% | ||||||
28,775 | Apple, Inc. | 5,125,403 | ||||
|
|
|||||
Total Common Stocks |
169,217,992 | |||||
|
|
|||||
Closed-End Investment Companies 3.8% |
||||||
35,975 | Altaba, Inc.(a) | 2,692,729 | ||||
259,550 | Ares Capital Corp. | 4,098,294 | ||||
|
|
|||||
Total Closed-End Investment Companies |
6,791,023 | |||||
|
|
|||||
Total Purchased Options 1.0% |
1,860,000 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 1.9% |
||||||
$ 3,426,406 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2018 at 0.700% to be repurchased at $3,426,472 on 3/01/2018 collateralized by $3,635,000 U.S. Treasury Note, 2.000% due 4/30/2024 valued at $3,496,125 including accrued interest(b) (Identified Cost $3,426,406) |
3,426,406 | ||||
|
|
Total Investments 100.9% |
$ | 181,295,421 | ||||
Other assets less liabilities (0.9)% | (1,686,731 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 179,608,690 | ||||
|
|
Purchased Options 1.0% |
Description |
Expiration Date |
Exercise Price |
Contracts | Notional Amount |
Cost | Value () | ||||||||||||||||
Index Options 1.0% |
||||||||||||||||||||||
S&P 500® Index, Put(a)(c) |
09/21/2018 | 2,475 | 300 | $ | 81,414,900 | $ | 2,940,612 | $ | 1,860,000 | |||||||||||||
|
|
|
|
|||||||||||||||||||
Written Options (0.8%) |
| |||||||||||||||||||||
Description |
Expiration Date |
Exercise Price |
Contracts | Notional Amount |
Premiums (Received) |
Value () | ||||||||||||||||
Index Options (0.8%) |
||||||||||||||||||||||
S&P 500® Index, Put(c) |
09/21/2018 | 2,375 | (300 | ) | $ | (81,414,900 | ) | $ | (2,249,388 | ) | $ | (1,423,500 | ) | |||||||||
|
|
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Domestic exchange-traded single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | 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 February 28, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(c) | 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. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of February 28, 2018, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 169,217,992 | $ | | $ | | $ | 169,217,992 | ||||||||
Closed-End Investment Companies |
6,791,023 | | | 6,791,023 | ||||||||||||
Purchased Options* |
| 1,860,000 | | 1,860,000 | ||||||||||||
Short-Term Investments |
| 3,426,406 | | 3,426,406 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 176,009,015 | $ | 5,286,406 | $ | | $ | 181,295,421 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs |
||||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | | $ | (1,423,500 | ) | $ | | $ | (1,423,500 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended February 28, 2018, 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 and written put options to hedge against a decline in values. The Fund may also use written call options to collect incremental income on an equity position it holds. During the period ended February 28, 2018, the Fund engaged in purchased and written put options for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of February 28, 2018:
Assets |
Investments at value |
|||
Exchange-traded asset derivatives |
||||
Equity contracts |
$ | 1,860,000 | ||
Liabilities |
Options written at value |
|||
Exchange-traded liability derivatives |
||||
Equity contracts |
$ | (1,423,500 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at February 28, 2018 (Unaudited)
Media |
9.4 | % | ||
Oil, Gas & Consumable Fuels |
6.7 | |||
Health Care Providers & Services |
5.8 | |||
IT Services |
5.6 | |||
Software |
5.5 | |||
Diversified Financial Services |
5.0 | |||
Aerospace & Defense |
5.0 | |||
Specialty Retail |
4.9 | |||
Chemicals |
4.9 | |||
Semiconductors & Semiconductor Equipment |
4.7 | |||
Auto Components |
4.4 | |||
Closed-End Investment Companies |
3.8 | |||
Banks |
3.5 | |||
Energy Equipment & Services |
3.5 | |||
Machinery |
3.5 | |||
Biotechnology |
3.1 | |||
Technology Hardware, Storage & Peripherals |
2.8 | |||
Diversified Telecommunication Services |
2.8 | |||
Personal Products |
2.7 | |||
Life Sciences Tools & Services |
2.5 | |||
Capital Markets |
2.3 | |||
Internet Software & Services |
2.3 | |||
Other Investments, less than 2% each |
4.3 | |||
Short-Term Investments |
1.9 | |||
|
|
|||
Total Investments |
100.9 | |||
Other assets less liabilities (including open written options) |
(0.9 | ) | ||
|
|
|||
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: | April 25, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | April 25, 2018 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | April 25, 2018 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 25, 2018
/s/ David L. Giunta |
David L. Giunta |
President and Chief Executive Officer |
Exhibit (a)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 25, 2018
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |