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, 2019
ITEM 1. SCHEDULE OF INVESTMENTS
PORTFOLIO OF INVESTMENTS as of February 28, 2019 (Unaudited)
Loomis Sayles Global Growth Fund
Shares | Description |
Value () | ||||||
Common Stocks 98.7% of Net Assets |
||||||||
Argentina 5.4% |
| |||||||
7,003 | MercadoLibre, Inc.(a) |
$ | 3,212,906 | |||||
|
|
|||||||
Brazil 2.0% |
| |||||||
261,641 | Ambev S.A., ADR |
1,185,234 | ||||||
|
|
|||||||
China 15.4% |
| |||||||
19,030 | Alibaba Group Holding Ltd., Sponsored ADR(a) |
3,483,061 | ||||||
9,876 | Baidu, Inc., Sponsored ADR(a) |
1,605,245 | ||||||
40,600 | Tencent Holdings Ltd. |
1,738,623 | ||||||
56,197 | Yum China Holdings, Inc. |
2,344,539 | ||||||
|
|
|||||||
9,171,468 | ||||||||
|
|
|||||||
Denmark 3.4% |
| |||||||
40,904 | Novo Nordisk AS, Class B |
2,005,343 | ||||||
|
|
|||||||
France 4.3% |
| |||||||
21,125 | Danone |
1,595,555 | ||||||
8,975 | Sodexo S.A. |
985,771 | ||||||
|
|
|||||||
2,581,326 | ||||||||
|
|
|||||||
Italy 0.8% |
| |||||||
146,800 | Prada SpA |
470,358 | ||||||
|
|
|||||||
Netherlands 2.2% |
| |||||||
1,735 | Adyen NV, 144A(a) |
1,299,184 | ||||||
|
|
|||||||
Switzerland 8.6% |
| |||||||
13,846 | Nestle S.A., (Registered) |
1,252,424 | ||||||
14,270 | Novartis AG, (Registered) |
1,300,482 | ||||||
9,340 | Roche Holding AG |
2,592,076 | ||||||
|
|
|||||||
5,144,982 | ||||||||
|
|
|||||||
United Kingdom 7.6% |
| |||||||
24,224 | Diageo PLC |
938,055 | ||||||
57,781 | Experian PLC |
1,503,152 | ||||||
9,729 | Reckitt Benckiser Group PLC |
743,046 | ||||||
24,555 | Unilever NV |
1,329,840 | ||||||
|
|
|||||||
4,514,093 | ||||||||
|
|
|||||||
United States 49.0% |
| |||||||
2,238 | Alphabet, Inc., Class A(a) |
2,521,219 | ||||||
2,162 | Amazon.com, Inc.(a) |
3,545,312 | ||||||
5,660 | American Express Co. |
609,808 | ||||||
24,556 | Coca-Cola Co. (The) |
1,113,369 | ||||||
15,610 | Colgate-Palmolive Co. |
1,028,231 | ||||||
2,942 | Core Laboratories NV |
190,671 | ||||||
14,364 | Deere & Co. |
2,356,271 | ||||||
12,997 | Expeditors International of Washington, Inc. |
974,125 | ||||||
16,917 | Facebook, Inc., Class A(a) |
2,731,250 | ||||||
14,425 | Microsoft Corp. |
1,616,033 |
Shares | Description |
Value () | ||||||
Common Stocks continued |
||||||||
United States continued |
| |||||||
53,952 | Oracle Corp. |
$ | 2,812,518 | |||||
14,519 | Procter & Gamble Co. (The) |
1,430,847 | ||||||
22,432 | QUALCOMM, Inc. |
1,197,644 | ||||||
22,388 | Schlumberger Ltd. |
986,415 | ||||||
16,304 | SEI Investments Co. |
860,036 | ||||||
63,070 | Under Armour, Inc., Class A(a) |
1,422,229 | ||||||
17,874 | Visa, Inc., Class A |
2,647,497 | ||||||
12,291 | Yum! Brands, Inc. |
1,161,500 | ||||||
|
|
|||||||
29,204,975 | ||||||||
|
|
|||||||
Total Common Stocks |
58,789,869 | |||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 1.3% |
||||||||
$ | 763,975 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2019 at
1.500% to be repurchased at $764,007 on 3/01/2019 collateralized by $775,000 U.S. Treasury Note, 2.625% due 12/15/2021 valued at $782,104 including accrued interest(b) |
763,975 | |||||
|
|
|||||||
Total Investments 100.0% |
59,553,844 | |||||||
Other assets less liabilities 0.0% |
26,521 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 59,580,365 | ||||||
|
|
() | 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. 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, 2019, securities held by the Fund were fair valued as follows:
Equity securities1 |
Percentage of Net Assets |
|||||
$ | 17,753,909 | 29.8 | % |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Non-income producing security. |
(b) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of February 28, 2019, 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, 2019, the value of Rule 144A holdings amounted to $1,299,184 or 2.2% of net assets. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
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, 2019, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
China |
$ | 7,432,845 | $ | 1,738,623 | $ | | $ | 9,171,468 | ||||||||
Denmark |
| 2,005,343 | | 2,005,343 | ||||||||||||
France |
| 2,581,326 | | 2,581,326 | ||||||||||||
Italy |
| 470,358 | | 470,358 | ||||||||||||
Netherlands |
| 1,299,184 | | 1,299,184 | ||||||||||||
Switzerland |
| 5,144,982 | | 5,144,982 | ||||||||||||
United Kingdom |
| 4,514,093 | | 4,514,093 | ||||||||||||
All Other Common Stocks* |
33,603,115 | | | 33,603,115 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
$ | 41,035,960 | $ | 17,753,909 | $ | | $ | 58,789,869 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 763,975 | | 763,975 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 41,035,960 | $ | 18,517,884 | $ | | $ | 59,553,844 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
A common stock valued at $920,502 was transferred from Level 1 to Level 2 during the period ended February 28, 2019. At November 30, 2018, this security was valued at the market price in the foreign market in accordance with the Funds valuation policies. At February 28, 2019, 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.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at February 28, 2019 (Unaudited)
Internet & Direct Marketing Retail |
17.3 | % | ||
Interactive Media & Services |
14.4 | |||
Pharmaceuticals |
9.9 | |||
Hotels, Restaurants & Leisure |
7.5 | |||
Software |
7.4 | |||
IT Services |
6.6 | |||
Beverages |
5.5 | |||
Household Products |
5.4 | |||
Food Products |
4.8 | |||
Machinery |
4.0 | |||
Textiles, Apparel & Luxury Goods |
3.2 | |||
Professional Services |
2.5 | |||
Personal Products |
2.2 | |||
Semiconductors & Semiconductor Equipment |
2.0 | |||
Energy Equipment & Services |
2.0 | |||
Other Investments, less than 2% each |
4.0 | |||
Short-Term Investments |
1.3 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
0.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at February 28, 2019 (Unaudited)
United States Dollar |
70.2 | % | ||
Euro |
8.7 | |||
Swiss Franc |
8.6 | |||
British Pound |
5.4 | |||
Hong Kong Dollar |
3.7 | |||
Danish Krone |
3.4 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
0.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2019 (Unaudited)
Loomis Sayles Senior Floating Rate and Fixed Income Fund
Principal Amount |
Description |
Value () | ||||||
Senior Loans 90.0% of Net Assets |
||||||||
Aerospace & Defense 1.8% |
| |||||||
$19,019,423 | Advanced Integration Technology LP, 2017 Term Loan B, |
$ | 18,781,680 | |||||
15,982,894 | Constellis Holdings LLC, 2017 1st Lien Term Loan, |
15,383,535 | ||||||
4,298,588 | CPI International, Inc., 2017 1st Lien Term Loan, |
4,248,423 | ||||||
13,611,827 | MHVC Acquisition Corp., 2017 Term Loan, |
13,237,502 | ||||||
10,540,627 | WP CPP Holdings LLC, 2018 Term Loan, |
10,496,672 | ||||||
|
|
|||||||
62,147,812 | ||||||||
|
|
|||||||
Airlines 0.5% |
| |||||||
1,815,000 | Allegiant Travel Co., Term Loan B, |
1,810,463 | ||||||
8,711,000 | Allegiant Travel Co., Term Loan B, |
8,689,222 | ||||||
7,457,473 | Atlantic Aviation FBO, Inc., 2018 Term Loan B, |
7,504,082 | ||||||
|
|
|||||||
18,003,767 | ||||||||
|
|
|||||||
Automotive 5.2% |
| |||||||
4,714,169 | Autodata, Inc., 1st Lien Term Loan, |
4,631,671 | ||||||
16,823,006 | BBB Industries U.S. Holdings, Inc., 2018 1st Lien Term Loan, |
16,612,719 | ||||||
17,489,253 | Capital Automotive LP, 2017 2nd Lien Term Loan, |
17,431,014 | ||||||
19,736,589 | Dayco Products LLC, 2017 Term Loan B, |
19,095,150 | ||||||
17,086,467 | DexKo Global, Inc., 2018 USD Term Loan, |
16,908,426 | ||||||
12,597,317 | Holley Purchaser, Inc., Term Loan B, |
12,345,371 | ||||||
12,006,693 | Innovative Xcessories & Services LLC, Term Loan B, |
11,916,643 | ||||||
14,142,450 | K&N Engineering, Inc., 1st Lien Term Loan, |
14,001,025 | ||||||
15,633,440 | L&W, Inc., 2018 Term Loan B, |
15,438,022 | ||||||
15,670,303 | Trico Group LLC, 2019 Incremental Term Loan, |
14,886,788 | ||||||
19,603,032 | Truck Hero, Inc., 1st Lien Term Loan, |
19,161,964 | ||||||
8,630,309 | U.S. Farathane LLC, 2017 Term Loan B4, |
8,371,400 | ||||||
9,664,000 | Wand NewCo 3, Inc., 2019 1st Lien Term Loan, |
9,685,744 | ||||||
|
|
|||||||
180,485,937 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Brokerage 0.2% |
| |||||||
$5,779,000 | Citadel Securities LP, Term Loan B, |
$ | 5,793,448 | |||||
1,903,000 | Edelman Financial Center LLC, 2018 2nd Lien Term Loan, |
1,887,148 | ||||||
|
|
|||||||
7,680,596 | ||||||||
|
|
|||||||
Building Materials 3.2% |
| |||||||
20,176,102 | CPG International, Inc., 2017 Term Loan, |
20,024,782 | ||||||
12,218,568 | DiversiTech Holdings, Inc., 2018 1st Lien Term Loan, |
11,882,558 | ||||||
8,700,000 | GYP Holdings III Corp., 2018 Term Loan B, |
8,431,779 | ||||||
21,024,308 | Interior Logic Group, Inc., 2018 Term Loan B, |
20,735,223 | ||||||
15,640,951 | Janus International Group LLC, 2018 1st Lien Term Loan, |
15,054,415 | ||||||
5,956,227 | Mannington Mills, Inc., Term Loan B, |
5,963,672 | ||||||
17,530,522 | NCI Building Systems, Inc., 2018 Term Loan, |
17,026,519 | ||||||
3,595,473 | VC GB Holdings, Inc., 2017 1st Lien Term Loan, |
3,505,586 | ||||||
3,625,860 | VC GB Holdings, Inc., 2nd Lien Term Loan, |
3,544,278 | ||||||
5,227,526 | Wilsonart LLC, 2017 Term Loan B, |
5,188,319 | ||||||
|
|
|||||||
111,357,131 | ||||||||
|
|
|||||||
Cable Satellite 0.2% |
| |||||||
7,206,000 | CSC Holdings LLC, 2019 Term Loan B, |
7,193,389 | ||||||
|
|
|||||||
Chemicals 1.5% |
| |||||||
1,140,638 | Allnex (Luxembourg) & Cy SCA, 2016 USD Term Loan B2, |
1,125,433 | ||||||
859,362 | Allnex USA, Inc., USD Term Loan B3, |
847,907 | ||||||
2,903,750 | ASP Chromaflo Intermediate Holdings, Inc., 2016 2nd Lien Term Loan, |
2,860,194 | ||||||
7,244,000 | Natgasoline LLC, Term Loan B, |
7,244,000 | ||||||
15,672,408 | PMHC II, Inc., 2018 1st Lien Term Loan, |
15,280,598 | ||||||
12,600,000 | Polymer Additives, Inc., 2018 1st Lien Term Loan, |
11,340,000 | ||||||
15,701,106 | Transcendia, Inc., 2017 1st Lien Term Loan, |
15,046,841 | ||||||
|
|
|||||||
53,744,973 | ||||||||
|
|
|||||||
Construction Machinery 0.4% |
| |||||||
3,266,549 | Onsite Rental Group Pty Ltd., Notes, |
2,515,243 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Construction Machinery continued |
||||||||
$2,389,195 | Onsite Rental Group Pty Ltd., Term Loan B, |
$ | 2,341,411 | |||||
7,483,770 | Utility One Source LP, Term Loan B, |
7,521,189 | ||||||
|
|
|||||||
12,377,843 | ||||||||
|
|
|||||||
Consumer Cyclical Services 8.0% |
| |||||||
3,000,000 | Access CIG LLC, 2018 1st Lien Term Loan, |
2,964,990 | ||||||
8,560,694 | Access CIG LLC, 2018 1st Lien Term Loan, |
8,460,791 | ||||||
9,475,000 | Access CIG LLC, 2018 2nd Lien Term Loan, |
9,344,719 | ||||||
1,074,684 | Access CIG LLC, 2018 Delayed Draw Term Loan, |
1,062,142 | ||||||
2,188,125 | Access CIG LLC, 2018 Incremental Term Loan, |
2,162,590 | ||||||
3,304,033 | Access CIG LLC, 2018 Incremental Term Loan, |
3,265,475 | ||||||
14,137,299 | Allied Universal Holdco LLC, 2015 Term Loan, |
13,875,759 | ||||||
10,000,000 | Allied Universal Holdco LLC, Incremental Term Loan, |
9,858,300 | ||||||
16,593,246 | ASP MCS Acquisition Corp., Term Loan B, |
13,399,046 | ||||||
5,920,667 | Boing U.S. Holdco, Inc., 2017 2nd Lien Term Loan, |
5,772,650 | ||||||
16,757,729 | Deerfield Dakota Holding LLC, 2018 Term Loan B, |
16,433,132 | ||||||
12,929,548 | DG Investment Intermediate Holdings 2, Inc., 2018 1st Lien Term Loan, |
12,670,958 | ||||||
1,890,000 | DG Investment Intermediate Holdings 2, Inc., 2018 2nd Lien Term Loan, |
1,814,400 | ||||||
18,713,290 | DTI Holdco, Inc., 2018 Term Loan B, |
17,528,177 | ||||||
14,622,035 | DTZ U.S. Borrower LLC, 2018 Add On Term Loan B, |
14,498,625 | ||||||
12,393,761 | Garda World Security Corp., 2017 Term Loan, |
12,294,611 | ||||||
6,775,862 | Guidehouse LLP, 2018 Term Loan, |
6,691,164 | ||||||
14,000,388 | Imagine! Print Solutions, Inc., 2017 Term Loan, |
13,160,365 | ||||||
4,731,492 | Mister Car Wash Holdings, Inc., Term Loan B, |
4,696,006 | ||||||
9,668,508 | Mister Car Wash Holdings, Inc., Term Loan B, |
9,595,995 | ||||||
14,166,079 | National Intergovernmental Purchasing Alliance Co., 1st Lien Term Loan, |
14,024,418 | ||||||
22,398,000 | Quad/Graphics, Inc., 2018 Term Loan B, |
22,314,008 | ||||||
14,677,984 | Southern Graphics, Inc., 2018 Term Loan B, |
13,234,698 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Consumer Cyclical Services continued |
||||||||
$5,225,425 | Sterling Midco Holdings, Inc., 1st Lien Term Loan, |
$ | 5,012,070 | |||||
4,565,076 | STG-Fairway Acquisitions, Inc., 2015 1st Lien Term Loan, |
4,542,250 | ||||||
9,988,751 | TruGreen LP, 2017 Term Loan, |
10,013,723 | ||||||
15,146,027 | Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, |
14,578,051 | ||||||
1,802 | Vestcom Parent Holdings, Inc., 2016 1st Lien Term Loan, |
1,734 | ||||||
12,481,248 | West Corp., 2017 Term Loan, |
11,789,538 | ||||||
2,235,190 | William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, |
2,165,340 | ||||||
|
|
|||||||
277,225,725 | ||||||||
|
|
|||||||
Consumer Products 8.0% |
| |||||||
35,996,740 | Advantage Sales & Marketing, Inc., 2014 2nd Lien Term Loan, |
27,007,634 | ||||||
20,898,623 | Anastasia Parent LLC, 2018 Term Loan B, |
19,803,535 | ||||||
15,105,214 | Augusta Sportswear Group, Inc., Term Loan B, |
14,198,901 | ||||||
6,548,000 | Callaway Golf Co., Term Loan B, |
6,568,495 | ||||||
14,961,832 | CWGS Group LLC, 2016 Term Loan, |
14,089,108 | ||||||
12,072,190 | Global Appliance, Inc., Term Loan B, |
12,011,829 | ||||||
12,405,681 | Highline Aftermarket Acquisition LLC, 2018 Term Loan B, |
11,862,933 | ||||||
5,330,000 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, |
5,172,765 | ||||||
12,451,494 | Inmar Holdings, Inc., 2017 1st Lien Term Loan, |
12,084,175 | ||||||
11,203,564 | Ozark Holdings LLC, Term Loan B, |
10,736,712 | ||||||
15,890,150 | Pelican Products, Inc., 2018 1st Lien Term Loan, |
15,631,935 | ||||||
16,310,781 | Polyconcept Investments BV, USD 2016 Term Loan B, |
16,310,781 | ||||||
8,814,686 | Rodan & Fields LLC, 2018 Term Loan B, |
8,032,382 | ||||||
4,278,778 | Serta Simmons Bedding LLC, 1st Lien Term Loan, |
3,553,825 | ||||||
16,335,507 | Serta Simmons Bedding LLC, 2nd Lien Term Loan, |
10,915,549 | ||||||
20,098,005 | SIWF Holdings, Inc., 1st Lien Term Loan, |
19,997,515 | ||||||
15,853,227 | Strategic Partners, Inc., 2016 Term Loan, |
15,734,328 | ||||||
19,948,174 | Thor Industries, Inc., USD Term Loan B, |
19,349,729 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Consumer Products continued |
||||||||
$17,134,100 | Weight Watchers International, Inc., 2017 Term Loan B, |
$ | 16,591,463 | |||||
17,960,599 | Wellness Merger Sub, Inc., 1st Lien Term Loan, |
17,780,993 | ||||||
|
|
|||||||
277,434,587 | ||||||||
|
|
|||||||
Diversified Manufacturing 1.8% |
| |||||||
17,378,362 | Cortes NP Acquisition Corp., 2017 Term Loan B, |
16,813,565 | ||||||
21,944,944 | Engineered Machinery Holdings, Inc., USD 1st Lien Term Loan, |
21,231,733 | ||||||
10,483,323 | NN, Inc., 2016 Term Loan B, |
10,238,747 | ||||||
14,935,202 | Robertshaw U.S. Holding Corp., 2018 1st Lien Term Loan, |
13,983,083 | ||||||
|
|
|||||||
62,267,128 | ||||||||
|
|
|||||||
Electric 1.9% |
| |||||||
3,791,000 | Carroll County Energy LLC, Term Loan B, |
3,781,522 | ||||||
12,524,610 | CRCI Longhorn Holdings, Inc., 2018 1st Lien Term Loan, |
12,274,118 | ||||||
2,695,000 | Edgewater Generation LLC, Term Loan, |
2,684,894 | ||||||
7,763,000 | Edgewater Generation LLC, Term Loan, |
7,733,889 | ||||||
6,882,000 | Mirion Technologies, Inc., 2019 Term Loan B, |
6,873,397 | ||||||
14,816,112 | Mirion Technologies, Inc., Term Loan B, |
14,519,790 | ||||||
7,571,000 | Oregon Clean Energy LLC, Term Loan, |
7,514,217 | ||||||
10,062,934 | Revere Power LLC, Term Loan B, |
9,937,148 | ||||||
1,582,934 | Revere Power LLC, Term Loan C, |
1,563,147 | ||||||
|
|
|||||||
66,882,122 | ||||||||
|
|
|||||||
Environmental 0.6% |
| |||||||
10,490,053 | EnergySolutions LLC, 2018 Term Loan B, |
9,213,728 | ||||||
4,224,525 | USS Ultimate Holdings, Inc., 1st Lien Term Loan, |
4,213,963 | ||||||
9,723,070 | Zep, Inc., 2017 1st Lien Term Loan, |
8,426,693 | ||||||
|
|
|||||||
21,854,384 | ||||||||
|
|
|||||||
Financial Other 2.3% |
| |||||||
17,776,412 | Amynta Agency Borrower, Inc., 2018 1st Lien Term Loan, |
17,332,002 | ||||||
16,232,551 | AqGen Ascensus, Inc., 2017 Repriced Term Loan, |
16,110,806 | ||||||
10,979,549 | DBRS Ltd., Term Loan, |
10,910,927 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Financial Other continued |
||||||||
$13,018,299 | LifeMiles Ltd., Term Loan B, |
$ | 13,067,118 | |||||
9,949,131 | Resolute Investment Managers, Inc., 2017 1st Lien Term Loan B, |
9,961,568 | ||||||
13,372,026 | Wall Street Systems Delaware, Inc., 2017 Term Loan B, |
12,837,145 | ||||||
|
|
|||||||
80,219,566 | ||||||||
|
|
|||||||
Food & Beverage 1.6% |
| |||||||
9,994,304 | AI Aqua Merger Sub, Inc., 2017 1st Lien Term Loan B, |
9,619,518 | ||||||
4,714,587 | AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, |
4,543,684 | ||||||
3,863,934 | Arctic Glacier U.S.A., Inc., 2018 Term Loan B, |
3,786,655 | ||||||
2,000,000 | Atkins Nutritionals Holdings II, Inc., 2017 Term Loan B, |
1,995,000 | ||||||
8,501,000 | CPM Holdings, Inc., 2018 1st Lien Term Loan, |
8,389,467 | ||||||
9,910,029 | High Liner Foods, Inc., Refi Term Loan B, |
8,093,223 | ||||||
14,514,848 | Proampac PG Borrower LLC, 2016 1st Lien Term Loan, |
14,233,696 | ||||||
6,679,423 | Sigma Bidco BV, 2018 USD Term Loan B2, |
6,608,487 | ||||||
|
|
|||||||
57,269,730 | ||||||||
|
|
|||||||
Health Insurance 0.6% |
| |||||||
20,000,000 | Sedgwick Claims Management Services, Inc., 2018 Term Loan B, |
19,893,000 | ||||||
|
|
|||||||
Healthcare 4.2% |
| |||||||
15,654,635 | Argon Medical Devices, Inc., 2017 1st Lien Term Loan B, |
15,543,801 | ||||||
8,641,389 | ATI Holdings Acquisition, Inc., 2016 Term Loan, |
8,446,958 | ||||||
10,824,203 | BCPE Eagle Buyer LLC, 2017 1st Lien Term Loan, |
10,526,537 | ||||||
14,460,469 | Carestream Dental Equipment, Inc, 2017 1st Lien Term Loan, |
13,882,050 | ||||||
4,930,743 | Civitas Solutions, Inc., Term Loan B, |
4,947,162 | ||||||
306,257 | Civitas Solutions, Inc., Term Loan C, |
307,277 | ||||||
2,350,000 | DuPage Medical Group Ltd., 2nd Lien Term Loan, |
2,256,000 | ||||||
6,185,341 | Explorer Holdings, Inc., 2016 Term Loan B, |
6,185,341 | ||||||
2,379,000 | Gentiva Health Services, Inc., 2018 2nd Lien Term Loan, |
2,417,659 | ||||||
9,406,279 | GHX Ultimate Parent Corp., 2017 1st Lien Term Loan, |
9,288,700 | ||||||
17,468,927 | HC Group Holdings III, Inc., 2018 Term Loan B, |
17,250,566 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Healthcare continued |
||||||||
$6,255,244 | NMSC Holdings, Inc., 1st Lien Term Loan, |
$ | 6,247,425 | |||||
12,975,836 | Onex TSG Holdings II Corp., 1st Lien Term Loan, |
12,846,077 | ||||||
11,352,463 | Surgery Center Holdings, Inc., 2017 Term Loan B, |
11,063,884 | ||||||
7,339,936 | Tecomet Inc., 2017 Repriced Term Loan, |
7,275,711 | ||||||
16,512,615 | Verscend Holding Corp., 2018 Term Loan B, |
16,533,256 | ||||||
|
|
|||||||
145,018,404 | ||||||||
|
|
|||||||
Home Construction 0.5% |
| |||||||
4,638,661 | Fastener Acquisition, Inc., 2018 1st Lien Term Loan, |
4,545,888 | ||||||
5,264,943 | Hayward Industries, Inc., 1st Lien Term Loan, |
5,194,183 | ||||||
6,239,829 | LBM Borrower LLC, 2018 1st Lien Term Loan, |
6,086,454 | ||||||
|
|
|||||||
15,826,525 | ||||||||
|
|
|||||||
Independent Energy 1.0% |
| |||||||
11,400,000 | California Resources Corp., 2017 1st Lien Term Loan, |
11,209,962 | ||||||
6,160,000 | California Resources Corp., Second Out Term Loan, |
6,456,481 | ||||||
23,593,712 | Gavilan Resources LLC, 2nd Lien Term Loan, |
18,712,881 | ||||||
|
|
|||||||
36,379,324 | ||||||||
|
|
|||||||
Industrial Other 5.7% |
| |||||||
16,745,531 | ABG Intermediate Holdings 2 LLC, 2017 1st Lien Add-On Term Loan, |
16,484,133 | ||||||
17,002,000 | ASP Unifrax Holdings, Inc., Term Loan B, |
16,183,864 | ||||||
14,258,930 | Capri Finance LLC, USD 2017 1st Lien Term Loan, |
14,033,211 | ||||||
10,503,481 | CIBT Global, Inc., 2017 Term Loan, |
10,240,894 | ||||||
4,579,333 | Crosby U.S. Acquisition Corp., 2nd Lien Term Loan, |
4,121,400 | ||||||
16,876,831 | Diamond (BC) B.V., USD Term Loan, |
16,251,038 | ||||||
12,744,157 | GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, |
12,616,715 | ||||||
17,627,733 | Harland Clarke Holdings Corp., Term Loan B7, |
16,658,208 | ||||||
15,736,800 | International Textile Group, Inc., 1st Lien Term Loan, |
15,382,722 | ||||||
7,828,000 | International Textile Group, Inc., 2nd Lien Term Loan, |
7,319,180 | ||||||
10,280,340 | Loparex Holding B.V., 2018 Term Loan, |
10,267,490 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Industrial Other continued |
||||||||
$18,511,605 | LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, |
$ | 18,071,954 | |||||
1,205,107 | Merrill Communications LLC, 2015 Term Loan, |
1,208,120 | ||||||
13,785,595 | NES Global Talent Finance U.S. LLC, 2018 1st Lien Term Loan B, |
13,751,131 | ||||||
18,170,800 | Savage Enterprises LLC, 2018 1st Lien Term Loan B, |
18,231,309 | ||||||
9,078,482 | WireCo WorldGroup, Inc., 1st Lien Term Loan, |
9,069,948 | ||||||
|
|
|||||||
199,891,317 | ||||||||
|
|
|||||||
Internet & Data 3.4% |
| |||||||
6,731,905 | CareerBuilder, LLC, Term Loan, |
6,706,660 | ||||||
5,423,000 | EagleView Technology Corp., 2018 Add On Term Loan B, |
5,294,204 | ||||||
22,618,115 | EIG Investors Corp., 2018 1st Lien Term Loan, |
22,521,988 | ||||||
19,743,305 | MH Sub I LLC, 2017 1st Lien Term Loan, |
19,611,815 | ||||||
8,830,000 | MH Sub I LLC, 2017 2nd Lien Term Loan, |
8,675,475 | ||||||
20,393,496 | NeuStar, Inc., 2018 Term Loan B4, |
19,526,773 | ||||||
12,838,048 | NeuStar, Inc., 2nd Lien Term Loan, |
12,549,192 | ||||||
6,949,000 | WeddingWire, Inc., 1st Lien Term Loan, |
6,940,314 | ||||||
15,678,705 | Zacapa LLC, 2018 1st Lien Term Loan B, |
15,704,888 | ||||||
|
|
|||||||
117,531,309 | ||||||||
|
|
|||||||
Leisure 1.6% |
| |||||||
12,249,973 | CDS U.S. Intermediate Holdings, Inc., 2017 1st Lien Term Loan, |
11,474,182 | ||||||
7,850,316 | CDS U.S. Intermediate Holdings, Inc., 2nd Lien Term Loan, |
7,078,395 | ||||||
19,578,208 | Kingpin Intermediate Holdings LLC, 2018 Term Loan B, |
19,443,705 | ||||||
14,182,205 | Leslies Poolmart, Inc., 2016 Term Loan, |
13,777,020 | ||||||
5,622,128 | Recess Holdings, Inc., 2017 1st Lien Term Loan, |
5,537,796 | ||||||
|
|
|||||||
57,311,098 | ||||||||
|
|
|||||||
Lodging 0.2% |
| |||||||
8,635,000 | Aimbridge Acquisition Co., Inc., 2019 1st Lien Term Loan, |
8,618,853 | ||||||
|
|
|||||||
Media Entertainment 3.7% |
| |||||||
9,147,846 | ALM Media Holdings, Inc., 1st Lien Term Loan, |
8,576,106 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Media Entertainment continued |
||||||||
$3,729,217 | Alpha Media LLC, 2016 Term Loan, |
$ | 3,667,051 | |||||
20,206,521 | Cengage Learning Acquisitions, Inc., 2016 Term Loan B, |
18,621,522 | ||||||
15,985,735 | Comet Bidco Ltd., 2018 USD Term Loan B, |
15,586,091 | ||||||
1,597,881 | Extreme Reach, Inc., 1st Lien Term Loan, |
1,556,944 | ||||||
21,078,000 | Extreme Reach, Inc., 2nd Lien Term Loan, |
18,785,767 | ||||||
19,983,073 | Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, |
18,884,004 | ||||||
15,170,376 | LSC Communications, Inc., 2017 Term Loan B, |
15,075,561 | ||||||
22,036,194 | McGraw-Hill Global Education Holdings LLC, 2016 Term Loan B, |
20,260,958 | ||||||
8,703,154 | Project Sunshine IV PTY Ltd., 2017 Term Loan B, |
8,659,639 | ||||||
|
|
|||||||
129,673,643 | ||||||||
|
|
|||||||
Metals & Mining 1.5% |
| |||||||
11,509,100 | American Rock Salt Co. LLC, 2018 1st Lien Term Loan, |
11,458,805 | ||||||
4,890,000 | AMG Advanced Metallurgical Group NV, 2018 Term Loan B, |
4,816,650 | ||||||
17,764,586 | GrafTech Finance, Inc., 2018 Term Loan B, |
17,697,969 | ||||||
2,000,000 | Phoenix Services International LLC, Term Loan, |
1,981,260 | ||||||
18,112,157 | U.S. Silica Co., 2018 Term Loan B, |
17,156,741 | ||||||
|
|
|||||||
53,111,425 | ||||||||
|
|
|||||||
Midstream 1.8% |
| |||||||
21,966,603 | BCP Raptor LLC, Term Loan B, |
20,955,260 | ||||||
19,433,345 | Brazos Delaware II LLC, Term Loan B, |
18,619,671 | ||||||
1,658,468 | EIG Management Company LLC, 2018 Term Loan B, |
1,648,799 | ||||||
8,423,114 | Limetree Bay Terminals LLC, 2017 Term Loan B, |
8,010,718 | ||||||
16,313,454 | Lucid Energy Group II LLC, 2018 1st Lien Term Loan, |
15,197,777 | ||||||
|
|
|||||||
64,432,225 | ||||||||
|
|
|||||||
Oil Field Services 0.8% |
| |||||||
30,279,890 | Covia Holdings Corp., Term Loan, |
26,207,245 | ||||||
|
|
|||||||
Packaging 1.9% |
| |||||||
12,514,369 | Flex Acquisition Co., Inc., 2018 Incremental Term Loan, |
12,311,010 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Packaging continued |
||||||||
$6,063,743 | PLZ Aeroscience Corp., USD Term Loan, |
$ | 6,003,106 | |||||
16,712,587 | Spectrum Holdings III Corp., 1st Lien Term Loan, |
16,033,722 | ||||||
16,523,411 | Titan Acquisition Ltd., 2018 Term Loan B, |
15,862,474 | ||||||
14,746,055 | TricorBraun Holdings, Inc., 2016 1st Lien Term Loan, |
14,687,660 | ||||||
|
|
|||||||
64,897,972 | ||||||||
|
|
|||||||
Pharmaceuticals 0.7% |
| |||||||
9,438,793 | Akorn, Inc., Term Loan B, |
7,515,639 | ||||||
17,714,488 | Endo Luxembourg Finance Co. I S.a.r.l., 2017 Term Loan B, |
17,725,648 | ||||||
|
|
|||||||
25,241,287 | ||||||||
|
|
|||||||
Property & Casualty Insurance 2.4% |
| |||||||
3,238,932 | Broadstreet Partners, Inc., 2018 Term Loan B, |
3,230,835 | ||||||
19,157,387 | Confie Seguros Holding II Co., 2016 Term Loan B, |
19,090,337 | ||||||
2,375,000 | Cypress Intermediate Holdings III, Inc., 2017 2nd Lien Term Loan, |
2,360,156 | ||||||
20,567,168 | Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, |
20,512,460 | ||||||
17,169,751 | Mitchell International, Inc., 2017 1st Lien Term Loan, |
16,729,862 | ||||||
21,423,519 | York Risk Services Holding Corp., Term Loan B, |
20,291,072 | ||||||
|
|
|||||||
82,214,722 | ||||||||
|
|
|||||||
REITs 0.4% |
| |||||||
14,191,432 | Forest City Enterprises LP, Term Loan B, |
14,244,650 | ||||||
|
|
|||||||
Restaurants 3.1% |
| |||||||
15,052,149 | Big Jack Holdings LP, 2018 Term Loan B, |
14,562,954 | ||||||
8,427,000 | Bojangles Restaurants, Inc., Term Loan, |
8,427,000 | ||||||
16,905,233 | Flynn Restaurant Group LP, 1st Lien Term Loan, |
16,498,493 | ||||||
9,915,956 | NPC International, Inc., 1st Lien Term Loan, |
9,301,166 | ||||||
16,302,499 | Portillos Holdings LLC, 1st Lien Term Loan, |
16,200,609 | ||||||
12,504,000 | Portillos Holdings LLC, 2nd Lien Term Loan, |
12,316,440 | ||||||
21,093,267 | Red Lobster Management LLC, Term Loan B, |
20,882,335 | ||||||
11,517,509 | TMK Hawk Parent Corp., 2017 1st Lien Term Loan, |
9,951,128 | ||||||
|
|
|||||||
108,140,125 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Retailers 4.9% |
| |||||||
$16,289,999 | Academy Ltd., 2015 Term Loan B, |
$ | 11,280,824 | |||||
17,061,927 | Array Canada, Inc., Term Loan B, |
16,322,634 | ||||||
17,212,163 | At Home Holding III, Inc., Term Loan, |
16,867,919 | ||||||
24,994,276 | Bass Pro Group LLC, Term Loan B, |
24,911,045 | ||||||
21,033,255 | BDF Acquisition Corp., 1st Lien Term Loan, |
20,086,759 | ||||||
2,104,103 | EG Finco Ltd., 2018 USD Term Loan, |
2,047,566 | ||||||
13,036,488 | EG Group Ltd., 2018 USD Term Loan B, |
12,686,197 | ||||||
16,226,460 | Hillman Group, Inc. (The), 2018 Term Loan B, |
15,666,647 | ||||||
10,136,046 | Neiman Marcus Group Ltd. LLC, 2020 Term Loan, |
9,294,349 | ||||||
10,165,034 | PetSmart, Inc., Term Loan B2, |
8,654,104 | ||||||
23,049,495 | Staples, Inc., 2017 Term Loan B, |
22,867,865 | ||||||
11,278,310 | The Talbots, Inc., 2018 Term Loan B, |
10,939,960 | ||||||
|
|
|||||||
171,625,869 | ||||||||
|
|
|||||||
Supermarkets 0.4% |
| |||||||
16,208,365 | BI-LO Holding LLC, Exit Term Loan B, |
15,546,577 | ||||||
|
|
|||||||
Technology 10.2% |
| |||||||
12,948,838 | Almonde, Inc., USD 1st Lien Term Loan, |
12,807,566 | ||||||
14,980,000 | Almonde, Inc., USD 2nd Lien Term Loan, |
14,711,558 | ||||||
7,100,000 | Aptean, Inc., 2016 2nd Lien Term Loan, |
7,111,857 | ||||||
7,213,700 | Aptean, Inc., 2017 1st Lien Term Loan, |
7,210,670 | ||||||
14,719,000 | Brooks Automation, Inc., 2019 Term Loan B, |
14,645,405 | ||||||
17,488,000 | CommScope, Inc., 2019 Term Loan B, 2/06/2026(c) |
17,531,720 | ||||||
14,196,875 | Corel Corp., 2018 1st Lien Term Loan B, |
14,161,383 | ||||||
9,444,800 | DigiCert, Inc., 2017 2nd Lien Term Loan, |
9,137,844 | ||||||
9,120,816 | DigiCert, Inc., 2017 Term Loan B1, |
9,052,409 | ||||||
18,240,774 | Greeneden U.S. Holdings II LLC, 2018 USD Term Loan B, |
18,026,445 | ||||||
14,143,669 | Hyland Software, Inc., 2017 2nd Lien Term Loan, |
14,058,807 |
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Technology continued |
||||||||
$8,474,347 | IQOR U.S., Inc., 2nd Lien Term Loan, |
$ | 6,588,805 | |||||
11,140,583 | IQOR U.S., Inc., Term Loan B, |
10,374,668 | ||||||
11,267,667 | McAfee LLC, 2017 2nd Lien Term Loan, |
11,394,428 | ||||||
14,684,572 | McAfee LLC, 2018 USD Term Loan B, |
14,707,480 | ||||||
9,758,543 | NAVEX TopCo, Inc., 2018 1st Lien Term Loan, |
9,578,595 | ||||||
17,811,900 | Oberthur Technologies S.A., 2016 USD Term Loan B1, |
17,495,739 | ||||||
14,056,052 | Ocean Bidco, Inc., 2018 USD Term Loan, |
13,786,597 | ||||||
13,898,008 | Quest Software U.S. Holdings, Inc., 2018 1st Lien Term Loan, |
13,819,901 | ||||||
15,530,000 | Rocket Software, Inc., 2018 Term Loan, |
15,520,371 | ||||||
15,234,661 | SciQuest, Inc., 2017 Term Loan, |
14,929,968 | ||||||
15,693,674 | Sirius Computer Solutions, Inc., 2016 Term Loan, |
15,719,883 | ||||||
17,000,000 | Sophia LP, 2017 Term Loan B, |
16,941,520 | ||||||
9,102,838 | SurveyMonkey, Inc., 2018 Term Loan B, |
9,000,431 | ||||||
17,848,255 | Verifone Systems, Inc., 2018 1st Lien Term Loan, |
17,768,652 | ||||||
14,148,321 | Veritas Bermuda Ltd., USD Repriced Term Loan B, |
13,264,051 | ||||||
14,851,000 | Web.com Group, Inc., 2018 Term Loan B, |
14,739,617 | ||||||
|
|
|||||||
354,086,370 | ||||||||
|
|
|||||||
Transportation Services 1.9% |
| |||||||
12,586,808 | AI Mistral Holdco Ltd., 2017 Term Loan B, |
11,658,530 | ||||||
13,015,894 | Deliver Buyer, Inc., Term Loan B, |
12,983,354 | ||||||
4,073,000 | Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, |
4,022,088 | ||||||
6,988,362 | Transplace Holdings, Inc., 1st Lien Term Loan, |
6,944,685 | ||||||
2,000,000 | Uber Technologies, 2018 Term Loan, 4/04/2025(c) |
2,000,000 | ||||||
17,410,935 | Uber Technologies, 2018 Term Loan, |
17,410,935 | ||||||
9,525,980 | Verra Mobility Corporation, 2018 1st Lien Term Loan, |
9,557,701 | ||||||
|
|
|||||||
64,577,293 | ||||||||
|
|
|||||||
Utility Other 0.3% |
| |||||||
8,738,000 | Brookfield WEC Holdings, Inc., 2018 1st Lien Term Loan, |
8,746,214 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Senior Loans continued |
||||||||
Wireless 1.2% |
| |||||||
$33,587,391 | Asurion LLC, 2017 2nd Lien Term Loan, |
$ | 34,084,149 | |||||
8,188,000 | Sprint Communications, Inc., 2018 Term Loan B, |
8,085,650 | ||||||
|
|
|||||||
42,169,799 | ||||||||
|
|
|||||||
Wirelines 0.4% |
| |||||||
15,297,790 | Avaya, Inc., 2018 Term Loan B, |
15,271,172 | ||||||
|
|
|||||||
Total Senior Loans |
3,136,801,108 | |||||||
|
|
|||||||
Bonds and Notes 5.8% |
||||||||
Automotive 0.6% |
| |||||||
24,071,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., |
22,867,450 | ||||||
|
|
|||||||
Chemicals 0.8% |
| |||||||
17,955,000 | Alpha 2 BV, 9.500% PIK, 8.750% Cash, 6/01/2023, 144A(h) |
17,191,912 | ||||||
14,235,000 | Hexion, Inc., 6.625%, 4/15/2020 |
12,135,338 | ||||||
|
|
|||||||
29,327,250 | ||||||||
|
|
|||||||
Financial Other 0.5% |
| |||||||
18,440,000 | Nationstar Mortgage Holdings, Inc., 8.125%, 7/15/2023, 144A |
18,762,700 | ||||||
|
|
|||||||
Independent Energy 0.2% |
| |||||||
10,675,000 | Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A(d)(e) |
6,327,713 | ||||||
|
|
|||||||
Industrial Other 0.1% |
| |||||||
1,935,000 | Harland Clarke Holdings Corp., 9.250%, 3/01/2021, 144A |
1,915,650 | ||||||
|
|
|||||||
Media Entertainment 0.6% |
| |||||||
9,690,000 | CBS Radio, Inc., 7.250%, 11/01/2024, 144A |
9,593,100 | ||||||
12,100,000 | Clear Channel Worldwide Holdings, Inc., 9.250%, 2/15/2024, 144A |
12,689,875 | ||||||
|
|
|||||||
22,282,975 | ||||||||
|
|
|||||||
Metals & Mining 0.5% |
| |||||||
13,095,000 | Petra Diamonds U.S. Treasury PLC, 7.250%, 5/01/2022, 144A |
12,178,350 | ||||||
5,000,000 | Petra Diamonds U.S. Treasury PLC, REGS, 7.250%, 5/01/2022 |
4,650,000 | ||||||
|
|
|||||||
16,828,350 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 0.3% |
| |||||||
9,084,857 | Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 9.415%, 8/15/2019, 144A(b) |
9,170,645 | ||||||
|
|
|||||||
Oil Field Services 0.2% |
| |||||||
5,625,000 | Petroleum Geo-Services ASA, 7.375%, 12/15/2020, 144A |
5,456,250 | ||||||
|
|
|||||||
Packaging 0.5% |
| |||||||
17,565,000 | ARD Finance S.A., 7.875% PIK, 7.125% Cash, 9/15/2023(h) |
17,608,912 | ||||||
|
|
|||||||
Property & Casualty Insurance 1.0% |
| |||||||
26,085,000 | Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A |
22,828,549 |
Principal Amount |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Property & Casualty Insurance continued |
||||||||
$15,093,000 | York Risk Services Holding Corp., 8.500%, 10/01/2022, 144A |
$ | 11,923,470 | |||||
|
|
|||||||
34,752,019 | ||||||||
|
|
|||||||
Technology 0.1% |
| |||||||
2,827,000 | Blackboard, Inc., 9.750%, 10/15/2021, 144A |
2,063,710 | ||||||
|
|
|||||||
Wirelines 0.4% |
| |||||||
42,798,000 | Windstream Services LLC/Windstream Finance Corp., 8.750%, 12/15/2024, 144A(i) |
10,271,520 | ||||||
5,000,000 | Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A(i) |
2,975,000 | ||||||
|
|
|||||||
13,246,520 | ||||||||
|
|
|||||||
Total Bonds and Notes |
200,610,144 | |||||||
|
|
|||||||
Shares | ||||||||
Common Stocks 0.2% |
||||||||
Energy Equipment & Services 0.1% |
| |||||||
61,854 | Ameriforge Group, Inc.(d)(e)(i) |
3,401,970 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.1% |
| |||||||
456,710 | Blue Ridge Mountain Resource, Inc.(f)(i)(j)(k) |
2,364,982 | ||||||
|
|
|||||||
Specialty Retail 0.0% |
| |||||||
1,790,513 | Onsite Rental Group Pty Ltd.(d)(f)(i)(j)(k) |
| ||||||
|
|
|||||||
Total Common Stocks |
5,766,952 | |||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 3.9% |
||||||||
$ | 136,731,214 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2019 at 1.500% to be repurchased at $136,736,912 on 3/01/2019 collateralized by $119,420,000 U.S. Treasury Note, 2.875% due 11/15/2021 valued at $121,596,071; $17,710,000 U.S. Treasury Note, 2.625% due 12/15/2021 valued at $17,872,348 including accrued interest(l) (Identified Cost $136,731,214) |
136,731,214 | |||||
|
|
|||||||
Total Investments 99.9% |
3,479,909,418 | |||||||
Other assets less liabilities 0.1% |
3,487,005 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 3,483,396,423 | ||||||
|
|
() | 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. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Funds pricing policies and procedures.
As of February 28, 2019, securities held by the Fund were fair valued as follows:
Securities classified as fair valued |
Percentage of Net Assets |
Securities fair valued by the Funds adviser |
Percentage of Net Assets |
|||||||||||
$ | 30,504,066 | 0.9 | % | $ | 2,364,982 | 0.1 | % |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2019. 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, 2019 is disclosed. |
(c) | Position is unsettled. Contract rate was not determined at February 28, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(d) | Illiquid security. |
(e) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At February 28, 2019, the value of these securities amounted to $30,504,066 or 0.9% of net assets. |
(f) | Securities subject to restriction on resale. At February 28, 2019, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||
Blue Ridge Mountain Resource, Inc. |
May 13, 2016 | $ | 8,178,004 | $ | 2,364,982 | 0.1 | % | |||||||
Onsite Rental Group Pty Ltd. |
November 03, 2017 | | | | ||||||||||
Onsite Rental Group Pty Ltd., Notes |
November 03, 2017 | 2,384,581 | 2,515,243 | 0.1 | % |
(g) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2019. |
(h) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended February 28, 2019, interest payments were made in cash. |
(i) | Non-income producing security. |
(j) | Fair valued by the Funds adviser. At February 28, 2019, the value of these securities amounted to $2,364,982 or 0.1% of net assets. |
(k) | Level 3 security. Value has been determined using significant unobservable inputs. |
(l) | 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, 2019, 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, 2019, the value of Rule 144A holdings amounted to $168,731,137 or 4.8% of net assets. |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
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, 2019, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans* |
$ | | $ | 3,136,801,108 | $ | | $ | 3,136,801,108 | ||||||||
Bonds and Notes* |
| 200,610,144 | | 200,610,144 | ||||||||||||
Common Stocks |
||||||||||||||||
Oil, Gas & Consumable Fuels |
| | 2,364,982 | (a) | 2,364,982 | |||||||||||
Specialty Retail |
| | | (b) | | |||||||||||
Energy Equipment & Services |
| 3,401,970 | | 3,401,970 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
| 3,401,970 | 2,364,982 | 5,766,952 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 136,731,214 | | 136,731,214 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 3,477,544,436 | $ | 2,364,982 | $ | 3,479,909,418 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Funds adviser using level 3 inputs. |
(b) | Fair valued at zero by the Funds adviser using level 3 inputs. |
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, 2018 and/or February 28, 2019:
Asset Valuation Inputs
Investments in Securities |
Balance as of November 30, 2018 |
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, 2019 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at February 28, 2019 |
||||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
$ | | $ | | $ | | $ | 207,027 | $ | | $ | | $ | 2,157,955 | $ | | $ | 2,364,982 | $ | 207,027 | ||||||||||||||||||||
Specialty Retail |
| (a) | | | | | | | | | (a) | | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | | $ | | $ | | $ | 207,027 | $ | | $ | | $ | 2,157,955 | $ | | $ | 2,364,982 | $ | 207,027 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Fair Valued at zero. |
A common stock valued at $2,157,955 was transferred from Level 2 to Level 3 during the period ended February 28, 2019. At November 30, 2018, this security was valued on the basis of closing bid quotations furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At February 28, 2019, this security was valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the security.
All transfers are recognized as of beginning of the reporting period.
Industry Summary at February 28, 2019 (Unaudited)
Technology |
10.3 | % | ||
Consumer Products |
8.0 | |||
Consumer Cyclical Services |
8.0 | |||
Automotive |
5.8 | |||
Industrial Other |
5.8 | |||
Retailers |
4.9 | |||
Media Entertainment |
4.3 | |||
Healthcare |
4.2 | |||
Internet & Data |
3.4 | |||
Property & Casualty Insurance |
3.4 | |||
Building Materials |
3.2 | |||
Restaurants |
3.1 | |||
Financial Other |
2.8 | |||
Packaging |
2.4 | |||
Chemicals |
2.3 | |||
Metals & Mining |
2.0 | |||
Other Investments, less than 2% each |
22.1 | |||
Short-Term Investments |
3.9 | |||
|
|
|||
Total Investments |
99.9 | |||
Other assets less liabilities |
0.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of February 28, 2019 (Unaudited)
Vaughan Nelson Select Fund
Shares | Description |
Value () | ||||||
Common Stocks 94.4% of Net Assets |
||||||||
Aerospace & Defense 4.0% |
| |||||||
37,815 | General Dynamics Corp. |
$ | 6,436,869 | |||||
12,150 | Raytheon Co. |
2,265,975 | ||||||
|
|
|||||||
8,702,844 | ||||||||
|
|
|||||||
Banks 2.2% |
| |||||||
74,625 | Citigroup, Inc. |
4,774,508 | ||||||
|
|
|||||||
Biotechnology 2.9% |
| |||||||
80,850 | AbbVie, Inc. |
6,406,554 | ||||||
|
|
|||||||
Capital Markets 4.6% |
| |||||||
167,575 | Charles Schwab Corp. (The) |
7,710,126 | ||||||
13,500 | Moodys Corp. |
2,337,120 | ||||||
|
|
|||||||
10,047,246 | ||||||||
|
|
|||||||
Chemicals 8.9% |
| |||||||
51,000 | Ecolab, Inc. |
8,614,410 | ||||||
25,040 | Sherwin-Williams Co. (The) |
10,847,328 | ||||||
|
|
|||||||
19,461,738 | ||||||||
|
|
|||||||
Diversified Financial Services 4.9% |
| |||||||
53,535 | Berkshire Hathaway, Inc., Class B(a) |
10,776,595 | ||||||
|
|
|||||||
Diversified Telecommunication Services 5.0% |
| |||||||
350,639 | AT&T, Inc. |
10,911,886 | ||||||
|
|
|||||||
Entertainment 8.9% |
| |||||||
106,375 | Electronic Arts, Inc.(a) |
10,188,597 | ||||||
82,175 | Walt Disney Co. (The) |
9,272,627 | ||||||
|
|
|||||||
19,461,224 | ||||||||
|
|
|||||||
Health Care Providers & Services 4.9% |
| |||||||
44,365 | UnitedHealth Group, Inc. |
10,746,090 | ||||||
|
|
|||||||
Industrial Conglomerates 5.7% |
| |||||||
38,835 | Roper Technologies, Inc. |
12,568,948 | ||||||
|
|
|||||||
IT Services 2.7% |
| |||||||
26,775 | MasterCard, Inc., Class A |
6,018,217 | ||||||
|
|
|||||||
Life Sciences Tools & Services 3.3% |
| |||||||
27,655 | Thermo Fisher Scientific, Inc. |
7,178,408 | ||||||
|
|
|||||||
Multiline Retail 2.9% |
| |||||||
65,675 | Dollar Tree, Inc.(a) |
6,326,473 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 10.9% |
| |||||||
671,600 | Cameco Corp. |
7,783,844 | ||||||
229,775 | Enterprise Products Partners LP |
6,353,279 |
Shares | Description |
Value () | ||||||
Common Stocks continued |
||||||||
Oil, Gas & Consumable Fuels continued |
| |||||||
1,516,075 | Kosmos Energy Ltd.(a) |
$ | 9,702,880 | |||||
|
|
|||||||
23,840,003 | ||||||||
|
|
|||||||
Personal Products 2.2% |
| |||||||
30,875 | Estee Lauder Cos., Inc. (The), Class A |
4,845,523 | ||||||
|
|
|||||||
REITs - Diversified 3.5% |
| |||||||
470,025 | New Residential Investment Corp. |
7,774,214 | ||||||
|
|
|||||||
Road & Rail 4.1% |
| |||||||
265,850 | Knight-Swift Transportation Holdings, Inc. |
8,940,535 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 3.0% |
| |||||||
62,850 | Texas Instruments, Inc. |
6,648,273 | ||||||
|
|
|||||||
Software 4.9% |
| |||||||
96,925 | Microsoft Corp. |
10,858,508 | ||||||
|
|
|||||||
Specialty Retail 4.9% |
| |||||||
57,610 | Home Depot, Inc. (The) |
10,665,915 | ||||||
|
|
|||||||
Total Common Stocks |
206,953,702 | |||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 5.9% |
||||||||
$ | 12,848,272 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2019 at 1.500% to be repurchased at $12,848,808 on 3/01/2019 collateralized by $12,875,000 U.S. Treasury Note, 2.875% due 11/15/2021 valued at $13,109,608 including accrued interest(b) (Identified Cost $12,848,272) |
12,848,272 | |||||
|
|
|||||||
Total Investments 100.3% |
219,801,974 | |||||||
Other assets less liabilities (0.3)% |
(576,757 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 219,225,217 | ||||||
|
|
() | 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 or subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Domestic exchange-traded single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations.
Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (CBOE).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. On the last business day of the month, the Funds will fair value S&P 500® Index options using the closing rotation values published by the CBOE. 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. 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, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
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, 2019, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 206,953,702 | $ | | $ | | $ | 206,953,702 | ||||||||
Short-Term Investments |
| 12,848,272 | | 12,848,272 | ||||||||||||
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|
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Total |
$ | 206,953,702 | $ | 12,848,272 | $ | | $ | 219,801,974 | ||||||||
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|
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|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended February 28, 2019, there were no transfers among Levels 1, 2 and 3.
Industry Summary at February 28, 2019 (Unaudited)
Oil, Gas & Consumable Fuels |
10.9 | % | ||
Chemicals |
8.9 | |||
Entertainment |
8.9 | |||
Industrial Conglomerates |
5.7 | |||
Diversified Telecommunication Services |
5.0 | |||
Software |
4.9 | |||
Diversified Financial Services |
4.9 | |||
Health Care Providers & Services |
4.9 | |||
Specialty Retail |
4.9 | |||
Capital Markets |
4.6 | |||
Road & Rail |
4.1 | |||
Aerospace & Defense |
4.0 | |||
REITs - Diversified |
3.5 | |||
Life Sciences Tools & Services |
3.3 | |||
Semiconductors & Semiconductor Equipment |
3.0 | |||
Biotechnology |
2.9 | |||
Multiline Retail |
2.9 | |||
IT Services |
2.7 | |||
Personal Products |
2.2 | |||
Banks |
2.2 | |||
Short-Term Investments |
5.9 | |||
|
|
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Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
ITEM 2. CONTROLS AND PROCEDURES.
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. EXHIBITS
(a)(1) | Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
(a)(2) | Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | April 22, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | April 22, 2019 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | April 22, 2019 |
Exhibit (a)(1)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David L. Giunta, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 22, 2019
/s/ David L. Giunta |
David L. Giunta |
President and Chief Executive Officer |
Exhibit (a)(2)
Natixis Funds Trust II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Natixis Funds Trust II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: April 22, 2019
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |