N-Q 1 d270971dnq.htm NATIXIS FUNDS TRUST I Natixis Funds Trust I

 

 

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: 811-04323

 

 

Natixis Funds Trust I

(Exact name of registrant as specified in charter)

 

 

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

 

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: September 30

Date of reporting period: December 31, 2011

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—93.6% of Net Assets

   
  

ABS Car Loan—1.7%

  

$ 2,290,000      

Ally Master Owner Trust, Series 2011-1, Class A2,

2.150%, 1/15/2016

    $ 2,314,609   
  570,000      

AmeriCredit Automobile Receivables Trust, Series 2011-2, Class A3,

1.610%, 10/08/2015

      572,240   
  780,000      

AmeriCredit Automobile Receivables Trust, Series 2011-3, Class A3,

1.170%, 1/08/2016

      778,962   
  2,410,000      

AmeriCredit Automobile Receivables Trust, Series 2011-4, Class A3,

1.170%, 5/09/2016

      2,400,734   
  1,240,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class A,

3.630%, 8/20/2014, 144A

      1,273,115   
  1,300,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2011-2A, Class A,

2.370%, 11/20/2014, 144A

      1,298,011   
  375,971      

Centre Point Funding LLC, Series 2010-1A, Class 1,

5.430%, 7/20/2016, 144A

      393,816   
  1,775,000      

DSC Floorplan Master Owner Trust, Series 2011-1, Class A,

3.910%, 3/15/2016, 144A

      1,797,724   
  790,000      

Hertz Vehicle Financing LLC, Series 2009-2A, Class A1,

4.260%, 3/25/2014, 144A

      808,709   
     

 

 

  
     11,637,920   
     

 

 

  
  

ABS Credit Card—0.3%

  

  1,580,000      

World Financial Network Credit Card Master Trust, Series 2009-D, Class A,

4.660%, 5/15/2017

      1,656,140   
  500,000      

World Financial Network Credit Card Master Trust, Series 2010-A, Class A,

3.960%, 4/15/2019

      533,540   
     

 

 

  
     2,189,680   
     

 

 

  
  

ABS Home Equity—0.4%

  

  577,022      

Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3,

4.615%, 2/25/2035

      543,875   
  2,382,192      

Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3,

5.500%, 11/25/2035

      2,379,495   
     

 

 

  
     2,923,370   
     

 

 

  
  

ABS Other—0.2%

  

  1,620,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2011-1A, Class A,

1.850%, 11/20/2014, 144A

      1,615,568   
     

 

 

  
   Aerospace & Defense—0.7%   
  1,590,000      

Bombardier, Inc.,

7.500%, 3/15/2018, 144A

      1,701,300   
  2,800,000      

Oshkosh Corp.,

8.250%, 3/01/2017

      2,912,000   
     

 

 

  
     4,613,300   
     

 

 

  
  

Airlines—0.2%

  

  1,235,000      

Continental Airlines Pass Through Trust, Series 2010-1, Class A,

4.750%, 7/12/2022

      1,253,525   
     

 

 

  
   Automotive—2.6%   
  5,120,000      

Ford Motor Credit Co. LLC,

5.000%, 5/15/2018

      5,133,276   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
   Automotive—continued   
$ 510,000      

Ford Motor Credit Co. LLC,

5.625%, 9/15/2015

    $ 527,824   
  2,335,000      

Ford Motor Credit Co. LLC,

6.625%, 8/15/2017

      2,541,785   
  880,000      

Ford Motor Credit Co. LLC,

7.000%, 10/01/2013

      933,092   
  1,830,000      

Ford Motor Credit Co. LLC,

7.000%, 4/15/2015

      1,967,250   
  660,000      

Ford Motor Credit Co. LLC,

8.000%, 12/15/2016

      748,842   
  2,165,000      

General Motors Financial Co., Inc.,

6.750%, 6/01/2018, 144A

      2,208,300   
  1,715,000      

Kia Motors Corp.,

3.625%, 6/14/2016, 144A

      1,700,174   
  1,310,000      

Lear Corp.,

7.875%, 3/15/2018

      1,418,075   
  780,000      

Lear Corp.,

8.125%, 3/15/2020

      858,000   
     

 

 

  
        18,036,618   
     

 

 

  
   Banking—4.2%   
  3,350,000      

Bank of America Corp., MTN,

5.000%, 5/13/2021

      3,051,297   
  1,365,000      

Bear Stearns Cos., Inc. (The),

6.400%, 10/02/2017

      1,525,018   
  605,000      

Citigroup, Inc.,

6.125%, 5/15/2018

      643,936   
  4,120,000      

Citigroup, Inc.,

6.500%, 8/19/2013

      4,288,767   
  625,000      

Goldman Sachs Group, Inc. (The),

5.300%, 2/14/2012

      627,100   
  1,300,000      

Goldman Sachs Group, Inc. (The),

6.750%, 10/01/2037

      1,209,667   
  2,445,000      

Hana Bank,

4.250%, 6/14/2017, 144A

      2,407,836   
  2,845,000      

JPMorgan Chase & Co.,

6.000%, 1/15/2018

      3,174,107   
  3,650,000      

Merrill Lynch & Co., Inc., MTN,

6.875%, 4/25/2018

      3,598,677   
  1,015,000      

Morgan Stanley,

5.375%, 10/15/2015

      991,786   
  3,420,000      

Morgan Stanley,

5.750%, 1/25/2021

      3,190,196   
  1,155,000      

Morgan Stanley, Series F, GMTN,

6.625%, 4/01/2018

      1,140,497   
  3,350,000      

Royal Bank of Scotland PLC (The),

4.875%, 3/16/2015

      3,203,210   
     

 

 

  
        29,052,094   
     

 

 

  
   Building Materials—0.8%   
  2,420,000      

Owens Corning, Inc.,

7.000%, 12/01/2036

      2,473,400   
  1,845,000      

USG Corp.,

6.300%, 11/15/2016

      1,439,100   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
       Building Materials—continued  
$ 1,795,000      

Vulcan Materials Co.,

6.500%, 12/01/2016

    $ 1,853,337   
     

 

 

  
        5,765,837   
     

 

 

  
   Chemicals—1.1%   
  3,335,000      

Braskem America Finance Co.,

7.125%, 7/22/2041, 144A

      3,205,769   
  2,270,000      

Chevron Phillips Chemical Co. LLC,

8.250%, 6/15/2019, 144A

      2,873,756   
  1,330,000      

RPM International, Inc.,

6.125%, 10/15/2019

      1,445,613   
     

 

 

  
        7,525,138   
     

 

 

  
   Collateralized Mortgage Obligations—0.8%   
  1,591,197      

Banc of America Funding Corp., Series 2005-B, Class 3A1,

0.515%, 4/20/2035(b)

      1,084,242   
  778,969      

Chase Mortgage Finance Corp., Series 2007-A1, Class 2A3,

2.757%, 2/25/2037(b)

      681,981   
  3,530,000      

FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2,

2.412%, 8/25/2018

      3,583,504   
     

 

 

  
        5,349,727   
     

 

 

  
   Commercial Mortgage-Backed Securities—9.3%   
  630,259      

Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2,

5.634%, 4/10/2049

      644,675   
  2,680,000      

Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4,

5.492%, 2/10/2051

      2,892,886   
  364,811      

Bear Stearns Commercial Mortgage Securities, Series 2005-PW10, Class A2,

5.270%, 12/11/2040

      364,653   
  3,810,000      

Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4,

5.331%, 2/11/2044

      4,012,014   
  938,371      

Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A2,

5.852%, 6/11/2040(b)

      960,954   
  690,000      

Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4,

5.885%, 12/10/2049(b)

      760,727   
  1,000,000      

Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4,

6.276%, 12/10/2049(b)

      1,110,691   
  256,806      

Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2,

5.408%, 1/15/2046

      256,668   
  2,500,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3,

5.542%, 1/15/2049

      2,646,445   
  6,060,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4,

5.902%, 6/15/2039(b)

      6,361,909   
  1,500,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4,

5.987%, 9/15/2039(b)

      1,567,210   
  2,410,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4,

5.695%, 9/15/2040

      2,514,442   
  1,835,000      

CW Capital Cobalt Ltd., Series 2007-C2, Class A3,

5.484%, 4/15/2047

      1,971,997   
  1,144,923      

Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2,

5.117%, 4/10/2037

      1,149,940   
  425,000      

Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4,

6.079%, 7/10/2038(b)

      472,139   
  3,820,000      

Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4,

5.736%, 12/10/2049

      4,120,936   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
       Commercial Mortgage-Backed Securities—continued  
$ 1,140,000      

GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4,

5.560%, 11/10/2039

    $ 1,251,609   
  890,000      

GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4,

5.984%, 8/10/2045(b)

      966,528   
  3,000,000      

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3,

5.336%, 5/15/2047

      3,181,506   
  2,650,000      

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4,

5.440%, 6/12/2047

      2,840,302   
  639,516      

LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3,

4.647%, 7/15/2030

      642,314   
  1,920,000      

LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3,

5.430%, 2/15/2040

      2,047,985   
  2,500,000      

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4,

5.378%, 8/12/2048

      2,586,140   
  2,870,000      

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4,

5.485%, 3/12/2051

      3,018,677   
  5,620,000      

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4,

5.700%, 9/12/2049

      5,981,506   
  2,930,000      

Morgan Stanley Capital I, Series 2007-IQ14, Class A4,

5.692%, 4/15/2049

      3,102,322   
  305,000      

Morgan Stanley Capital I, Series 2007-T27, Class A4,

5.792%, 6/11/2042(b)

      347,439   
  1,175,000      

Morgan Stanley Capital I, Series 2008-T29, Class A4,

6.455%, 1/11/2043(b)

      1,360,293   
  2,070,000      

Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4,

5.308%, 11/15/2048

      2,268,304   
  3,090,000      

Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5,

5.342%, 12/15/2043

      3,257,283   
     

 

 

  
        64,660,494   
     

 

 

  
   Consumer Cyclical Services—0.3%   
  370,000      

Expedia, Inc.,

5.950%, 8/15/2020

      373,120   
  1,710,000      

Service Corp. International,

7.000%, 5/15/2019

      1,799,775   
     

 

 

  
        2,172,895   
     

 

 

  
   Consumer Products—0.6%   
  4,300,000      

Whirlpool Corp., MTN,

4.850%, 6/15/2021

      4,292,466   
     

 

 

  
   Diversified Manufacturing—0.7%   
  1,200,000      

Crane Co.,

6.550%, 11/15/2036

      1,266,313   
  770,000      

Fibria Overseas Finance Ltd.,

6.750%, 3/03/2021, 144A

      702,625   
  2,945,000      

Votorantim Cimentos S.A.,

7.250%, 4/05/2041, 144A

      2,849,288   
     

 

 

  
        4,818,226   
     

 

 

  
   Electric—1.3%   
  215,000      

Dubai Electricity & Water Authority,

6.375%, 10/21/2016, 144A

      219,838   
  1,440,000      

Dubai Electricity & Water Authority,

8.500%, 4/22/2015, 144A

      1,555,200   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
       Electric—continued  
$ 1,535,000      

Enersis S.A.,

7.375%, 1/15/2014

    $ 1,677,411   
  2,370,000      

Florida Power & Light Co.,

4.125%, 2/01/2042

      2,444,956   
  1,010,000      

Ipalco Enterprises, Inc.,

5.000%, 5/01/2018

      989,800   
  2,260,000      

TransAlta Corp.,

4.750%, 1/15/2015

      2,427,495   
     

 

 

  
        9,314,700   
     

 

 

  
   Food & Beverage—0.5%   
  1,445,000      

Bunge Ltd. Finance Corp.,

4.100%, 3/15/2016

      1,496,334   
  775,000      

Sigma Alimentos S.A. de CV,

5.625%, 4/14/2018, 144A

      790,500   
  1,068,000      

Smithfield Foods, Inc.,

10.000%, 7/15/2014

      1,241,550   
     

 

 

  
        3,528,384   
     

 

 

  
   Government Owned—No Guarantee—2.5%   
  5,645,000      

IPIC GMTN Ltd.,

6.875%, 11/01/2041, 144A

      5,750,844   
  3,080,000      

Korea Development Bank,

4.000%, 9/09/2016

      3,120,835   
  2,340,000      

Petrobras International Finance Co.,

6.750%, 1/27/2041

      2,688,971   
  2,535,000      

Petrobras International Finance Co.,

6.875%, 1/20/2040

      2,935,999   
  2,360,000      

Qtel International Finance Ltd.,

7.875%, 6/10/2019, 144A

      2,876,250   
     

 

 

  
        17,372,899   
     

 

 

  
   Healthcare—1.7%   
  2,955,000      

Aristotle Holding, Inc.,

4.750%, 11/15/2021, 144A

      3,057,748   
  3,255,000      

HCA, Inc.,

7.500%, 2/15/2022

      3,328,238   
  575,000      

HCA, Inc.,

7.500%, 12/15/2023

      514,625   
  1,785,000      

Medco Health Solutions,

7.250%, 8/15/2013

      1,928,553   
  1,265,000      

Omnicare, Inc.,

7.750%, 6/01/2020

      1,358,294   
  1,885,000      

PerkinElmer, Inc.,

5.000%, 11/15/2021

      1,907,420   
     

 

 

  
        12,094,878   
     

 

 

  
   Hybrid ARMs—0.1%   
  400,523      

FHLMC,

6.009%, 11/01/2036(b)

      428,637   
  230,119      

FNMA,

5.918%, 2/01/2037(b)

      244,365   
     

 

 

  
        673,002   
     

 

 

  
   Independent Energy—1.3%   
  1,560,000      

Anadarko Petroleum Corp.,

5.950%, 9/15/2016

      1,768,338   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
       Independent Energy—continued  
$ 2,435,000      

Anadarko Petroleum Corp.,

6.375%, 9/15/2017

    $ 2,822,491   
  1,835,000      

Denbury Resources, Inc.,

6.375%, 8/15/2021

      1,917,575   
  1,860,000      

Newfield Exploration Co.,

5.750%, 1/30/2022

      2,008,800   
  415,000      

SM Energy Co.,

6.625%, 2/15/2019, 144A

      431,600   
     

 

 

  
        8,948,804   
     

 

 

  
   Industrial Other—0.9%   
  1,360,000      

Briggs & Stratton Corp.,

6.875%, 12/15/2020

      1,394,000   
  2,650,000      

Hutchison Whampoa International Ltd.,

5.750%, 9/11/2019, 144A

      2,968,421   
  1,570,000      

Timken Co. (The),

6.000%, 9/15/2014

      1,699,057   
     

 

 

  
        6,061,478   
     

 

 

  
   Media Cable—1.2%   
  1,175,000      

Cablevision Systems Corp.,

7.750%, 4/15/2018

      1,245,500   
  1,490,000      

Cablevision Systems Corp.,

8.000%, 4/15/2020

      1,598,025   
  550,000      

CCO Holdings LLC/CCO Holdings Capital Corp.,

7.375%, 6/01/2020

      580,250   
  410,000      

Cox Communications, Inc.,

5.450%, 12/15/2014

      455,111   
  2,670,000      

Time Warner Cable, Inc.,

4.125%, 2/15/2021

      2,741,823   
  1,330,000      

Time Warner Cable, Inc.,

8.250%, 4/01/2019

      1,670,496   
     

 

 

  
        8,291,205   
     

 

 

  
   Media Non-Cable—0.6%   
  1,375,000      

Inmarsat Finance PLC,

7.375%, 12/01/2017, 144A

      1,436,875   
  1,065,000      

Myriad International Holding BV,

6.375%, 7/28/2017, 144A

      1,134,225   
  1,310,000      

R.R. Donnelley & Sons Co.,

7.250%, 5/15/2018

      1,270,700   
     

 

 

  
        3,841,800   
     

 

 

  
   Metals & Mining—0.8%   
  1,495,000      

Alcoa, Inc.,

6.150%, 8/15/2020

      1,553,269   
  525,000      

APERAM,

7.375%, 4/01/2016, 144A

      449,101   
  2,955,000      

ArcelorMittal,

6.750%, 3/01/2041

      2,657,225   
  400,000      

United States Steel Corp.,

6.650%, 6/01/2037

      312,000   
  920,000      

United States Steel Corp.,

7.375%, 4/01/2020

      897,000   
     

 

 

  
        5,868,595   
     

 

 

  

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
       Mortgage Related—20.0%  
$ 16,232,183      

FHLMC,

4.000%, with various maturities from 2019 to 2041(c)

    $ 17,054,736   
  14,114,656      

FHLMC,

4.500%, with various maturities from 2034 to 2039(c)

      14,971,807   
  982,522      

FHLMC,

5.000%, with various maturities from 2018 to 2038(c)

      1,056,171   
  14,167,005      

FHLMC,

5.500%, with various maturities from 2018 to 2040(c)

      15,391,482   
  77,505      

FHLMC,

6.000%, 6/01/2035

      86,336   
  25,122,285      

FNMA,

4.000%, with various maturities from 2019 to 2041(c)

      26,425,796   
  17,358,550      

FNMA,

4.500%, with various maturities from 2039 to 2041(c)

      18,499,374   
  18,875,717      

FNMA,

5.000%, with various maturities from 2033 to 2039(c)

      20,411,672   
  15,190,343      

FNMA,

5.500%, with various maturities from 2018 to 2039(c)

      16,563,849   
  3,279,791      

FNMA,

6.000%, with various maturities from 2016 to 2039(c)

      3,632,037   
  178,591      

FNMA,

6.500%, with various maturities from 2029 to 2036(c)

      202,838   
  111,785      

FNMA,

7.000%, with various maturities in 2030(c)

      130,329   
  124,459      

FNMA,

7.500%, with various maturities from 2024 to 2032(c)

      148,387   
  656,466      

GNMA,

5.000%, 4/15/2038

      727,877   
  2,757,302      

GNMA,

5.500%, with various maturities from 2038 to 2039(c)

      3,097,226   
  402,355      

GNMA,

6.000%, with various maturities from 2029 to 2038(c)

      456,860   
  270,390      

GNMA,

6.500%, with various maturities from 2028 to 2032(c)

      313,475   
  176,046      

GNMA,

7.000%, with various maturities from 2025 to 2029(c)

      203,930   
  58,249      

GNMA,

7.500%, with various maturities from 2025 to 2030(c)

      68,338   
  20,005      

GNMA,

8.000%, 11/15/2029

      21,230   
  71,129      

GNMA,

8.500%, with various maturities from 2017 to 2023(c)

      72,819   
  11,582      

GNMA,

9.000%, with various maturities in 2016(c)

      12,446   
  18,986      

GNMA,

11.500%, with various maturities from 2013 to 2015(c)

      19,134   
     

 

 

  
        139,568,149   
     

 

 

  
   Non-Captive Consumer—1.4%   
  1,825,000      

HSBC Finance Corp.,

7.000%, 5/15/2012

      1,859,027   
  325,000      

SLM Corp., MTN,

5.050%, 11/14/2014

      320,548   
  5,915,000      

SLM Corp., MTN,

6.250%, 1/25/2016

      5,752,213   
  350,000      

SLM Corp., Series A, MTN,

5.000%, 10/01/2013

      350,000   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
       Non-Captive Consumer—continued  
$ 30,000      

SLM Corp., Series A, MTN,

5.000%, 4/15/2015

    $ 28,868   
  120,000      

SLM Corp., Series A, MTN,

5.000%, 6/15/2018

      104,029   
  55,000      

SLM Corp., Series A, MTN,

5.375%, 1/15/2013

      55,379   
  35,000      

SLM Corp., Series A, MTN,

5.375%, 5/15/2014

      35,025   
  420,000      

SLM Corp., Series A, MTN,

5.625%, 8/01/2033

      313,286   
  1,135,000      

SLM Corp., Series A, MTN,

8.450%, 6/15/2018

      1,169,050   
     

 

 

  
        9,987,425   
     

 

 

  
   Non-Captive Diversified—3.6%   
  3,765,000      

Ally Financial, Inc.,

6.250%, 12/01/2017

      3,631,719   
  1,211,000      

Ally Financial, Inc.,

8.000%, 11/01/2031

      1,168,615   
  2,480,000      

Ally Financial, Inc.,

8.300%, 2/12/2015

      2,616,400   
  2,070,000      

GATX Corp.,

4.750%, 5/15/2015

      2,206,343   
  6,045,000      

General Electric Capital Corp.,

2.250%, 11/09/2015

      6,072,027   
  2,805,000      

General Electric Capital Corp.,

5.300%, 2/11/2021

      2,998,410   
  4,070,000      

International Lease Finance Corp.,

5.750%, 5/15/2016

      3,775,096   
  1,170,000      

International Lease Finance Corp.,

6.250%, 5/15/2019

      1,080,834   
  205,000      

International Lease Finance Corp.,

6.375%, 3/25/2013

      203,975   
  40,000      

International Lease Finance Corp., Series R, MTN,

5.550%, 9/05/2012

      39,800   
  200,000      

International Lease Finance Corp., Series R, MTN,

5.625%, 9/20/2013

      195,500   
  830,000      

International Lease Finance Corp., Series R, MTN,

5.650%, 6/01/2014

      792,650   
     

 

 

  
        24,781,369   
     

 

 

  
   Oil Field Services—2.3%   
  3,135,000      

Nabors Industries, Inc.,

4.625%, 9/15/2021, 144A

      3,184,235   
  3,240,000      

Pan American Energy LLC,

7.875%, 5/07/2021, 144A

      3,256,200   
  2,665,000      

Parker Drilling Co.,

9.125%, 4/01/2018

      2,804,912   
  2,160,000      

Rowan Cos., Inc.,

5.000%, 9/01/2017

      2,269,637   
  4,740,000      

Transocean, Inc.,

4.950%, 11/15/2015

      4,840,242   
     

 

 

  
        16,355,226   
     

 

 

  

 

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
   Packaging—0.2%   
$ 1,145,000      

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A.,

7.875%, 8/15/2019, 144A

    $ 1,196,525   
     

 

 

  
   Paper—1.2%   
  1,850,000      

Celulosa Arauco y Constitucion S.A.,

5.000%, 1/21/2021

      1,921,847   
  2,005,000      

Georgia-Pacific LLC,

7.375%, 12/01/2025

      2,472,794   
  2,030,000      

Georgia-Pacific LLC,

7.750%, 11/15/2029

      2,554,871   
  735,000      

Georgia-Pacific LLC,

8.000%, 1/15/2024

      942,347   
  365,000      

Georgia-Pacific LLC,

8.875%, 5/15/2031

      501,716   
     

 

 

  
        8,393,575   
     

 

 

  
   Pharmaceuticals—0.7%   
  600,000      

Valeant Pharmaceuticals International,

6.750%, 10/01/2017, 144A

      599,250   
  215,000      

Valeant Pharmaceuticals International,

6.750%, 8/15/2021, 144A

      207,475   
  2,810,000      

Valeant Pharmaceuticals International,

6.875%, 12/01/2018, 144A

      2,802,975   
  1,310,000      

Valeant Pharmaceuticals International,

7.250%, 7/15/2022, 144A

      1,270,700   
     

 

 

  
        4,880,400   
     

 

 

  
   Pipelines—1.6%   
  4,680,000      

Energy Transfer Partners LP,

6.050%, 6/01/2041

      4,588,969   
  350,000      

Kinder Morgan Finance Co. LLC,

5.700%, 1/05/2016

      357,875   
  3,765,000      

Kinder Morgan Finance Co. LLC,

6.000%, 1/15/2018, 144A

      3,830,888   
  2,080,000      

MarkWest Energy Partners LP/MarkWest Energy Finance Corp.,

6.250%, 6/15/2022

      2,173,600   
     

 

 

  
        10,951,332   
     

 

 

  
   Property & Casualty Insurance—0.6%   
  1,175,000      

Willis Group Holdings PLC,

4.125%, 3/15/2016

      1,193,373   
  2,470,000      

Willis North America, Inc.,

6.200%, 3/28/2017

      2,715,800   
  555,000      

Willis North America, Inc.,

7.000%, 9/29/2019

      617,808   
     

 

 

  
        4,526,981   
     

 

 

  
   Railroads—0.1%   
  555,000      

Burlington Northern Santa Fe LLC,

4.950%, 9/15/2041

      612,257   
     

 

 

  
   Refining—0.5%   
  295,000       Coffeyville Resources LLC/Coffeyville Finance, Inc., 9.000%, 4/01/2015, 144A      312,700   

 

Principal
Amount (‡)		    

Description

    Value (†)  

 

Bonds and Notes—continued

   
  Refining—continued   
$ 2,670,000     

Coffeyville Resources LLC/Coffeyville Finance, Inc.,

10.875%, 4/01/2017, 144A

    $ 2,990,400   
    

 

 

  
       3,303,100   
    

 

 

  
  Sovereigns—0.5%   
  3,018,000     

Mexico Government International Bond, Series A, MTN,

6.050%, 1/11/2040

      3,689,505   
    

 

 

  
  Supranational—0.1%   
  6,990,000     

International Bank for Reconstruction & Development,

6.500%, 9/11/2013, (MXN)

      515,884   
    

 

 

  
  Technology—2.3%   
  2,535,000     

Amphenol Corp.,

4.750%, 11/15/2014

      2,716,176   
  1,405,000     

Brocade Communications Systems, Inc.,

6.625%, 1/15/2018

      1,461,200   
  495,000     

Brocade Communications Systems, Inc.,

6.875%, 1/15/2020

      527,175   
  1,585,000     

Equifax, Inc.,

7.000%, 7/01/2037

      1,770,334   
  4,140,000     

Fiserv, Inc.,

3.125%, 10/01/2015

      4,241,024   
  69,000     

Motorola Solutions, Inc.,

6.625%, 11/15/2037

      71,263   
  340,000     

Motorola Solutions, Inc.,

7.500%, 5/15/2025

      401,133   
  1,335,000     

National Semiconductor Corp.,

3.950%, 4/15/2015

      1,442,060   
  3,070,000     

Tencent Holdings Ltd.,

4.625%, 12/12/2016, 144A

      2,995,381   
  279,000     

Xerox Corp.,

5.500%, 5/15/2012

      283,626   
    

 

 

  
       15,909,372   
    

 

 

  
  Textile—0.4%   
  1,140,000     

Hanesbrands, Inc.,

6.375%, 12/15/2020

      1,157,100   
  1,715,000     

Hanesbrands, Inc.,

8.000%, 12/15/2016

      1,865,063   
    

 

 

  
       3,022,163   
    

 

 

  
  Tobacco—0.6%   
  3,770,000     

Reynolds American, Inc.,

7.250%, 6/15/2037

      4,373,087   
    

 

 

  
  Transportation Services—0.1%   
  790,000     

Erac USA Finance Co.,

5.250%, 10/01/2020, 144A

      851,735   
    

 

 

  
  Treasuries—16.8%   
  3,483,000 (††)   

Mexican Fixed Rate Bonds, Series M-10,

7.750%, 12/14/2017, (MXN)

      27,350,662   
  28,125,000     

U.S. Treasury Bond,

3.750%, 8/15/2041

      33,077,644   
  3,875,000     

U.S. Treasury Bond,

3.875%, 8/15/2040

      4,645,156   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
   Treasuries—continued   
$ 3,005,000      

U.S. Treasury Bond,

4.375%, 5/15/2040

    $ 3,903,681   
  570,000      

U.S. Treasury Bond,

4.375%, 5/15/2041

      742,692   
  1,665,000      

U.S. Treasury Bond,

4.750%, 2/15/2041

      2,294,578   
  1,020,000      

U.S. Treasury Bond,

5.375%, 2/15/2031

      1,453,818   
  13,550,000      

U.S. Treasury Note,

2.625%, 11/15/2020

      14,587,415   
  2,385,000      

U.S. Treasury Note,

3.125%, 1/31/2017

      2,651,076   
  9,525,000      

U.S. Treasury Note,

3.125%, 5/15/2021

      10,635,253   
  1,575,000      

U.S. Treasury Note,

3.625%, 8/15/2019

      1,824,170   
  12,255,000      

U.S. Treasury Note,

3.625%, 2/15/2021(d)

      14,228,251   
     

 

 

  
        117,394,396   
     

 

 

  
   Wireless—2.1%   
  1,370,000      

American Tower Corp.,

4.625%, 4/01/2015

      1,427,967   
  2,890,000      

CC Holdings GS V LLC/Crown Castle GS III Corp.,

7.750%, 5/01/2017, 144A

      3,113,975   
  15,000      

Nextel Communications, Inc., Series C,

5.950%, 3/15/2014

      14,475   
  10,000      

Nextel Communications, Inc., Series D,

7.375%, 8/01/2015

      9,150   
  895,000      

NII Capital Corp.,

7.625%, 4/01/2021

      888,287   
  2,325,000      

SK Telecom Co. Ltd.,

6.625%, 7/20/2027, 144A

      2,753,828   
  5,985,000      

Sprint Capital Corp.,

6.875%, 11/15/2028

      4,271,794   
  2,349,000      

Telemar Norte Leste S.A.,

5.500%, 10/23/2020, 144A

      2,313,765   
     

 

 

  
        14,793,241   
     

 

 

  
   Wirelines—3.7%   
  3,990,000      

Axtel SAB de CV, 9.000%,

9/22/2019, 144A

      2,972,550   
  2,915,000      

eAccess Ltd., 8.250%,

4/01/2018, 144A

      2,769,250   
  5,933,000      

Embarq Corp.,

7.995%, 6/01/2036

      6,147,703   
  2,860,000      

Frontier Communications Corp.,

7.875%, 4/15/2015

      2,899,325   
  1,575,000      

Frontier Communications Corp.,

7.875%, 1/15/2027

      1,338,750   
  450,000      

Frontier Communications Corp.,

8.250%, 4/15/2017

      460,125   
  415,000      

Frontier Communications Corp.,

9.000%, 8/15/2031

      378,688   
  1,975,000      

Qwest Corp.,

6.750%, 12/01/2021

      2,152,750   

 

Principal
Amount (‡)		     

Description

    Value (†)  

 

Bonds and Notes—continued

   
   Wirelines—continued   
$ 5,800,000      

Windstream Corp.,

7.500%, 4/01/2023

    $ 5,727,500   
  920,000      

Windstream Corp.,

8.125%, 9/01/2018

      985,550   
     

 

 

  
        25,832,191   
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $633,504,350)

      652,840,516   
     

 

 

  
  Shares         

 

Preferred Stocks—0.3%

   
   Non-Captive Consumer—0.0%   
  5,510      

SLM Corp., Series A,

6.970%

      220,951   
     

 

 

  
   Non-Captive Diversified—0.3%   
  68,182      

Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter),

8.500%

      1,253,867   
  532      

Ally Financial, Inc., Series G,

7.000%, 144A

      381,361   
     

 

 

  
        1,635,228   
     

 

 

  
  

Total Preferred Stocks

(Identified Cost $2,068,801)

      1,856,179   
     

 

 

  
 
 		 Principal
Amount (‡)		  
  		      

 

Short-Term Investments—6.2%

   
$ 43,551,392      

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated

12/30/2011 at 0.000% to be repurchased at $43,551,392 on 1/03/2012 collateralized

by $44,535,000 Federal Home Loan Mortgage Corp., 0.625% due 12/29/2014 valued

at $44,423,663 including accrued interest(e)

(Identified Cost $43,551,392)

      43,551,392   
     

 

 

  
  

Total Investments—100.1%

(Identified Cost $679,124,543)(a)

      698,248,087   
   Other assets less liabilities—(0.1)%      (452,275 ) 
     

 

 

  
   Net Assets—100.0%    $ 697,795,812   
     

 

 

  

 

 

  (‡ )     Principal amount stated in U.S. dollars unless otherwise noted.
  († )    

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

 

Senior loans are priced at bid prices supplied by a pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security.

 

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

 

Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

 

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

 

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

 

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.

  (†† )     Amount shown represents units. One unit represents a principal amount of 100.
  (a )     Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
   At December 31, 2011, the net unrealized appreciation on investments based on a cost of $679,867,449 for federal income tax purposes was as follows:

 

000,000.00,00
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost    $ 25,571,866   
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (7,191,228 ) 
  

 

 

  
Net unrealized appreciation    $ 18,380,638   
  

 

 

  

 

  (b )     Variable rate security. Rate as of December 31, 2011 is disclosed.
  (c )     The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
  (d )     All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
  (e )     It is the Fund’s 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 a Fund’s ability to dispose of the underlying securities.
  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 December 31, 2011, the value of Rule 144A holdings amounted to $83,309,786 or 11.9% of net assets.
  ABS       Asset-Backed Securities
  ARMs       Adjustable Rate Mortgages
  FHLMC       Federal Home Loan Mortgage Corp.
  FNMA       Federal National Mortgage Association
  GMTN       Global Medium Term Note
  GNMA       Government National Mortgage Association
  MTN       Medium Term Note

MXN Mexican Peso

Forward Foreign Currency

Contracts The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At December 31, 2011, the Fund had the following open forward foreign currency contracts:

 

Contract

to

Buy/Sell

    Delivery
Date		      Currency    Units      Notional Value      Unrealized
Appreciation
(Depreciation)		  

Sell1

      03/21/2012       Euro      20,475,000       $ 26,517,904       $ 71,545   
              

 

 

  

 

1 

Counterparty is Credit Suisse.

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 Fund’s 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.);

•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 Fund’s 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 Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes*

    $ —         $ 652,840,516       $ —         $ 652,840,516   

Preferred Stocks

            

Non-Captive Consumer

      220,951         —           —           220,951   

Non-Captive Diversified

      1,253,867         381,361         —           1,635,228   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      1,474,818         381,361         —           1,856,179   
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

      —           43,551,392         —           43,551,392   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      1,474,818         696,773,269         —           698,248,087   
  

 

 

     

 

 

     

 

 

     

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —           71,545         —           71,545   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,474,818       $ 696,844,814       $ —         $ 698,319,632   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* 

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011

Asset Valuation Inputs

 

Investments in
Securities

    Balance as of
September 30,
2011		      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
December 31,
2011		      Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
December 31,
2011		  

Preferred Stocks

                             

Non-Captive Diversified

    $ 319,200       $ —         $ —         $ —         $ —         $ —         $ —         $ (319,200 )    $ —         $ —     
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

A preferred stock valued at $319,200 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

All transfer are regonized as of the beginning of the reporting period.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the Fund did not hold any derivative positions (including open trades) subject to credit-risk-related contingent features that were in a net liability position by counterparty.

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $71,545 and the amount of loss that the Fund would incur after taking into account master netting arrangement is $71,545.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of December 31, 2011:

 

Asset Derivatives

    Foreign Exchange
Contracts		  

Forwards (unrealized appreciation)

    $ 71,545   

The Fund’s 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 December 31, 2011 (Unaudited)  

Mortgage Related

      20.0 % 

Treasuries

      16.8   

Commercial Mortgage-Backed Securities

      9.3   

Banking

      4.2   

Non-Captive Diversified

      3.9   

Wirelines

      3.7   

Automotive

      2.6   

Government Owned—No Guarantee

      2.5   

Oil Field Services

      2.3   

Technology

      2.3   

Wireless

      2.1   

Other Investments, less than 2% each

      24.2   

Short-Term Investments

      6.2   
  

 

 

  

Total Investments

      100.1   

Other assets less liabilities (including open forward foreign currency contracts)

      (0.1 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

ITEM 2. CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s 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 Commission’s 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 registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s 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 I
By:   /s/ David L. Giunta
Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   February 23, 2012

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:   February 23, 2012
By:   /s/ Michael C. Kardok
Name:   Michael C. Kardok
Title:   Treasurer
Date:   February 23, 2012