N-Q 1 d461602dnq.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, 2012

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS


PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Core Plus Bond Fund

 

Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – 95.0% of Net Assets

  

   ABS Car Loan – 2.1%   
$ 570,000      

AmeriCredit Automobile Receivables Trust, Series 2011-2, Class A3,
1.610%, 10/08/2015

   $ 573,107   
  780,000      

AmeriCredit Automobile Receivables Trust, Series 2011-3, Class A3,
1.170%, 1/08/2016

     784,080   
  2,410,000      

AmeriCredit Automobile Receivables Trust, Series 2011-4, Class A3,
1.170%, 5/09/2016

     2,424,055   
  1,240,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class A,
3.630%, 8/20/2014, 144A

     1,251,513   
  1,620,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2011-1A, Class A,
1.850%, 11/20/2014, 144A

     1,636,062   
  1,650,000      

Avis Budget Rental Car Funding AESOP LLC, Series 2011-2A, Class A,
2.370%, 11/20/2014, 144A

     1,691,583   
  262,622      

Centre Point Funding LLC, Series 2010-1A, Class 1,
5.430%, 7/20/2016, 144A

     282,811   
  395,000      

Hertz Vehicle Financing LLC, Series 2009-2A, Class A1,
4.260%, 3/25/2014, 144A

     397,197   
  7,130,000      

Santander Drive Auto Receivables Trust, Series 2012-1, Class 1A3,
1.490%, 10/15/2015

     7,204,958   
  4,195,000      

Santander Drive Auto Receivables Trust, Series 2012-3, Class B,
1.940%, 12/15/2016

     4,246,993   
  3,385,000      

Santander Drive Auto Receivables Trust, Series 2012-4, Class C,
2.940%, 12/15/2017

     3,500,320   
  2,090,000      

Santander Drive Auto Receivables Trust, Series 2012-5, Class C,
2.700%, 8/15/2018

     2,159,660   
  4,085,000      

Santander Drive Auto Receivables Trust, Series 2012-6, Class B,
1.330%, 5/15/2017

     4,084,261   
  2,875,000      

Santander Drive Auto Receivables Trust, Series 2012-6, Class C,
1.940%, 3/15/2018

     2,873,767   
  1,665,000      

SMART Trust/Australia, Series 2012-4US, Class A3A,
0.970%, 3/14/2017

     1,664,334   
     

 

 

 
        34,774,701   
     

 

 

 
   ABS Credit Card – 0.8%   
  1,580,000      

World Financial Network Credit Card Master Trust, Series 2009-D, Class A,
4.660%, 5/15/2017

     1,615,090   
  500,000      

World Financial Network Credit Card Master Trust, Series 2010-A, Class A,
3.960%, 4/15/2019

     539,014   
  9,300,000      

World Financial Network Credit Card Master Trust, Series 2012-A, Class A,
3.140%, 1/17/2023(b)

     10,068,236   
     

 

 

 
        12,222,340   
     

 

 

 
   ABS Home Equity – 0.1%   
  605,437      

Chase Mortgage Finance Corp., Series 2007-A1, Class 2A3,
2.991%, 2/25/2037(c)

     610,128   
  457,584      

Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3,
5.115%, 2/25/2035(c)

     458,599   
     

 

 

 
        1,068,727   
     

 

 

 
   ABS Other – 0.3%   
  2,290,000      

Ally Master Owner Trust, Series 2011-1, Class A2,
2.150%, 1/15/2016

     2,327,441   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

   ABS Other – continued   
$ 1,775,000      

DSC Floorplan Master Owner Trust, Series 2011-1, Class A,
3.910%, 3/15/2016, 144A

   $ 1,810,218   
     

 

 

 
        4,137,659   
     

 

 

 
   Aerospace & Defense – 0.4%   
  1,830,000      

Bombardier, Inc.,
5.750%, 3/15/2022, 144A

     1,880,325   
  1,480,000      

Bombardier, Inc.,
7.500%, 3/15/2018, 144A

     1,648,350   
  3,060,000      

Oshkosh Corp.,
8.250%, 3/01/2017

     3,358,350   
     

 

 

 
        6,887,025   
     

 

 

 
   Airlines – 0.3%   
  1,178,615      

Continental Airlines Pass Through Trust, Series 2010-1, Class A,
4.750%, 7/12/2022

     1,281,744   
  3,285,000      

Continental Airlines Pass Thru Certificates, Series 2012-2, Class A,
4.000%, 4/29/2026

     3,457,462   
     

 

 

 
        4,739,206   
     

 

 

 
   Automotive – 3.3%   
  7,885,000      

Ford Motor Credit Co. LLC,
5.000%, 5/15/2018

     8,700,593   
  510,000      

Ford Motor Credit Co. LLC,
5.625%, 9/15/2015

     558,467   
  5,040,000      

Ford Motor Credit Co. LLC,
6.625%, 8/15/2017

     5,889,069   
  880,000      

Ford Motor Credit Co. LLC,
7.000%, 10/01/2013

     919,688   
  1,830,000      

Ford Motor Credit Co. LLC,
7.000%, 4/15/2015

     2,040,519   
  6,575,000      

Ford Motor Credit Co. LLC,
8.000%, 12/15/2016

     7,939,102   
  4,650,000      

General Motors Financial Co., Inc.,
6.750%, 6/01/2018

     5,334,401   
  1,575,000      

Hyundai Capital Services, Inc.,
3.500%, 9/13/2017, 144A

     1,663,216   
  4,185,000      

Kia Motors Corp.,
3.625%, 6/14/2016, 144A

     4,386,888   
  15,665,000      

Toyota Motor Credit Corp., MTN,
1.750%, 5/22/2017(b)

     16,041,446   
     

 

 

 
        53,473,389   
     

 

 

 
   Banking – 5.9%   
  9,090,000      

Banco Santander Brasil S.A.,
4.625%, 2/13/2017, 144A

     9,612,675   
  3,345,000      

Banco Santander Chile,
3.875%, 9/20/2022, 144A

     3,429,093   
  13,280,000      

Bank of America Corp., MTN,
5.000%, 5/13/2021

     15,161,139   
  1,365,000      

Bear Stearns Cos., Inc. (The),
6.400%, 10/02/2017

     1,639,362   
  1,775,000      

Citigroup, Inc.,
6.000%, 8/15/2017

     2,091,209   
  1,115,000      

Citigroup, Inc.,
6.125%, 5/15/2018

     1,336,228   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

   Banking – continued   
$  6,555,000      

Citigroup, Inc.,
6.500%, 8/19/2013

   $ 6,781,783   
  2,585,000      

Goldman Sachs Group, Inc. (The),
5.750%, 1/24/2022

     3,056,018   
  2,205,000      

Goldman Sachs Group, Inc. (The),
6.000%, 6/15/2020

     2,620,007   
  3,020,000      

Goldman Sachs Group, Inc. (The),
6.750%, 10/01/2037

     3,422,647   
  3,035,000      

Goldman Sachs Group, Inc. (The),
7.500%, 2/15/2019

     3,818,804   
  5,035,000      

Hana Bank,
4.250%, 6/14/2017, 144A

     5,477,541   
  8,560,000      

JPMorgan Chase & Co.,
6.000%, 1/15/2018

     10,247,921   
  3,650,000      

Merrill Lynch & Co., Inc., MTN,
6.875%, 4/25/2018

     4,399,907   
  1,015,000      

Morgan Stanley,
5.375%, 10/15/2015

     1,103,489   
  9,645,000      

Morgan Stanley,
5.750%, 1/25/2021

     11,014,928   
  630,000      

Morgan Stanley, GMTN,
5.500%, 1/26/2020

     706,730   
  660,000      

Morgan Stanley, GMTN,
5.500%, 7/28/2021

     749,347   
  2,530,000      

Morgan Stanley, Series F, GMTN,
6.625%, 4/01/2018

     2,981,795   
  5,360,000      

PKO Finance AB,
4.630%, 9/26/2022, 144A

     5,641,400   
     

 

 

 
        95,292,023   
     

 

 

 
   Building Materials – 0.2%   
  3,640,000      

USG Corp.,
6.300%, 11/15/2016

     3,767,400   
     

 

 

 
   Chemicals – 1.5%   
  6,420,000      

Braskem America Finance Co.,
7.125%, 7/22/2041, 144A

     6,757,050   
  2,735,000      

Methanex Corp.,
3.250%, 12/15/2019

     2,750,907   
  2,130,000      

Methanex Corp.,
5.250%, 3/01/2022

     2,362,428   
  5,310,000      

Mexichem SAB de CV,
6.750%, 9/19/2042, 144A

     5,960,475   
  1,380,000      

Olin Corp.,
5.500%, 8/15/2022

     1,438,650   
  4,510,000      

RPM International, Inc.,
6.125%, 10/15/2019

     5,264,703   
     

 

 

 
        24,534,213   
     

 

 

 
   Collateralized Mortgage Obligations – 0.2%   
  3,530,000      

FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2,
2.412%, 8/25/2018

     3,734,535   
     

 

 

 
   Commercial Mortgage-Backed Securities – 4.8%   
  203,693      

Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2,
5.634%, 4/10/2049(c)

     208,062   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

   Commercial Mortgage-Backed Securities – continued   
$ 1,670,000      

Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4,
5.625%, 4/10/2049(c)

   $ 1,953,197   
  605,449      

Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A2,
5.663%, 6/11/2040(c)

     620,224   
  1,000,000      

Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4,
6.060%, 12/10/2049(c)

     1,206,765   
  113,400      

Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2,
5.408%, 1/15/2046

     113,288   
  2,500,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3,
5.542%, 1/15/2049

     2,842,040   
  2,780,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4,
5.679%, 6/15/2039(c)

     3,200,578   
  3,500,000      

Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4,
5.762%, 9/15/2039(c)

     4,039,343   
  5,790,000      

Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3,
6.052%, 2/15/2041(c)

     6,753,363   
  68,724      

Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2,
5.117%, 4/10/2037

     68,771   
  425,000      

Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4,
5.867%, 7/10/2038(c)

     488,074   
  705,000      

Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4,
5.736%, 12/10/2049

     831,057   
  8,235,000      

Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4,
5.444%, 3/10/2039

     9,484,422   
  11,245,000      

GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4,
5.789%, 8/10/2045(c)

     12,964,428   
  3,000,000      

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3,
5.336%, 5/15/2047

     3,431,949   
  2,650,000      

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4,
5.440%, 6/12/2047

     3,050,028   
  2,500,000      

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4,
5.378%, 8/12/2048

     2,861,205   
  365,000      

Morgan Stanley Capital I, Series 2007-HQ12, Class A5,
5.575%, 4/12/2049(c)

     412,219   
  1,900,000      

Morgan Stanley Capital I, Series 2007-HQ13, Class A3,
5.569%, 12/15/2044

     2,146,620   
  2,930,000      

Morgan Stanley Capital I, Series 2007-IQ14, Class A4,
5.692%, 4/15/2049

     3,402,246   
  305,000      

Morgan Stanley Capital I, Series 2007-T27, Class A4,
5.651%, 6/11/2042(c)

     361,175   
  1,175,000      

Morgan Stanley Capital I, Series 2008-T29, Class A4,
6.275%, 1/11/2043(c)

     1,440,118   
  1,000,000      

Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4,
5.572%, 10/15/2048

     1,147,066   
  2,070,000      

Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4,
5.308%, 11/15/2048

     2,380,365   
  10,770,000      

Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5,
5.342%, 12/15/2043

     12,339,663   
     

 

 

 
        77,746,266   
     

 

 

 
   Construction Machinery – 0.3%   
  2,160,000      

CNH Capital LLC,
3.875%, 11/01/2015, 144A

     2,227,500   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

   Construction Machinery – continued   
$ 2,675,000      

Urbi Desarrollos Urbanos SAB de CV,
9.750%, 2/03/2022, 144A

   $ 2,534,563   
     

 

 

 
        4,762,063   
     

 

 

 
   Consumer Cyclical Services – 0.1%   
  360,000      

Service Corp. International,
7.000%, 5/15/2019

     394,200   
  1,835,000      

Western Union Co. (The),
2.375%, 12/10/2015

     1,843,496   
     

 

 

 
        2,237,696   
     

 

 

 
   Consumer Products – 0.4%   
  1,546,000      

Whirlpool Corp.,
6.500%, 6/15/2016

     1,773,112   
  3,620,000      

Whirlpool Corp., MTN,
4.850%, 6/15/2021

     3,880,017   
     

 

 

 
        5,653,129   
     

 

 

 
   Distributors – 0.3%   
  3,690,000      

China Resources Gas Group Ltd.,
4.500%, 4/05/2022, 144A

     4,058,594   
     

 

 

 
   Diversified Manufacturing – 0.7%   
  1,200,000      

Crane Co.,
6.550%, 11/15/2036

     1,295,215   
  2,075,000      

Fibria Overseas Finance Ltd.,
6.750%, 3/03/2021, 144A

     2,298,063   
  7,070,000      

Votorantim Cimentos S.A.,
7.250%, 4/05/2041, 144A

     7,918,400   
     

 

 

 
        11,511,678   
     

 

 

 
   Electric – 1.1%   
  665,000      

Dubai Electricity & Water Authority,
6.375%, 10/21/2016, 144A

     734,825   
  3,600,000      

Dubai Electricity & Water Authority,
8.500%, 4/22/2015, 144A

     4,068,000   
  2,325,000      

Enersis S.A.,
7.375%, 1/15/2014

     2,449,667   
  4,270,000      

Florida Power & Light Co.,
4.125%, 2/01/2042

     4,463,529   
  1,010,000      

Ipalco Enterprises, Inc.,
5.000%, 5/01/2018

     1,057,975   
  4,500,000      

TransAlta Corp.,
4.750%, 1/15/2015

     4,768,398   
     

 

 

 
        17,542,394   
     

 

 

 
   Financial Other – 0.5%   
  7,955,000      

Cielo S.A./Cielo USA, Inc.,
3.750%, 11/16/2022, 144A

     7,851,585   
     

 

 

 
   Food & Beverage – 0.5%   
  1,445,000      

Bunge Ltd. Finance Corp.,
4.100%, 3/15/2016

     1,552,257   
  4,050,000      

Post Holdings, Inc.,
7.375%, 2/15/2022, 144A

     4,437,281   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Food & Beverage – continued       
$ 2,055,000      

Sigma Alimentos S.A. de CV,
5.625%, 4/14/2018, 144A

   $ 2,317,012   
     

 

 

 
        8,306,550   
     

 

 

 
   Government Owned - No Guarantee – 5.6%   
  2,355,000      

Abu Dhabi National Energy Co.,
2.500%, 1/12/2018, 144A

     2,378,550   
  6,745,000      

CEZ A.S.,
5.625%, 4/03/2042, 144A

     7,826,406   
  2,725,000      

CNPC General Capital Ltd.,
3.950%, 4/19/2022, 144A

     2,945,938   
  1,600,000      

Federal Home Loan Mortgage Corp.,
6.250%, 7/15/2032

     2,381,354   
  17,680,000      

Federal National Mortgage Association,
6.625%, 11/15/2030

     26,926,711   
  4,370,000      

IPIC GMTN Ltd.,
6.875%, 11/01/2041, 144A

     6,221,787   
  6,310,000      

Korea Development Bank,
4.000%, 9/09/2016

     6,822,164   
  9,465,000      

Korea National Oil Corp.,
3.125%, 4/03/2017, 144A

     9,929,750   
  5,900,000      

Petrobras International Finance Co.,
6.750%, 1/27/2041

     7,475,813   
  2,730,000      

Qtel International Finance Ltd.,
4.750%, 2/16/2021, 144A

     3,084,900   
  2,965,000      

Qtel International Finance Ltd.,
7.875%, 6/10/2019, 144A

     3,884,150   
  11,320,000      

Tennessee Valley Authority,
3.500%, 12/15/2042

     11,249,182   
     

 

 

 
        91,126,705   
     

 

 

 
   Healthcare – 0.9%   
  8,800,000      

HCA, Inc.,
7.500%, 2/15/2022

     10,076,000   
  575,000      

HCA, Inc.,
7.500%, 12/15/2023

     587,938   
  3,200,000      

PerkinElmer, Inc.,
5.000%, 11/15/2021

     3,547,872   
     

 

 

 
        14,211,810   
     

 

 

 
   Home Construction – 0.3%   
  4,315,000      

Desarrolladora Homex SAB de CV,
9.750%, 3/25/2020, 144A

     4,681,775   
     

 

 

 
   Hybrid ARMs – 0.0%   
  224,666      

FHLMC,
6.034%, 11/01/2036(c)

     243,215   
  150,700      

FNMA,
2.270%, 2/01/2037(c)

     157,906   
     

 

 

 
        401,121   
     

 

 

 
   Independent Energy – 2.3%   
  1,560,000      

Anadarko Petroleum Corp.,
5.950%, 9/15/2016

     1,795,765   
  6,400,000      

Anadarko Petroleum Corp.,
6.375%, 9/15/2017

     7,644,768   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

   Independent Energy – continued   
$ 2,806,000      

Denbury Resources, Inc.,
6.375%, 8/15/2021

   $ 3,086,600   
  3,625,000      

Dolphin Energy Ltd.,
5.500%, 12/15/2021, 144A

     4,227,656   
  4,080,000      

Newfield Exploration Co.,
5.750%, 1/30/2022

     4,488,000   
  7,030,000      

Plains Exploration & Production Co.,
6.875%, 2/15/2023

     8,031,775   
  4,245,000      

QEP Resources, Inc.,
5.250%, 5/01/2023

     4,542,150   
  1,670,000      

Range Resources Corp.,
5.000%, 8/15/2022

     1,745,150   
  1,295,000      

SM Energy Co.,
6.500%, 1/01/2023

     1,385,650   
     

 

 

 
        36,947,514   
     

 

 

 
   Industrial Other – 1.6%   
  1,360,000      

Briggs & Stratton Corp.,
6.875%, 12/15/2020

     1,538,500   
  11,550,000      

Deluxe Corp.,
6.000%, 11/15/2020, 144A

     11,463,375   
  7,820,000      

Hutchison Whampoa International 11 Ltd.,
4.625%, 1/13/2022, 144A

     8,722,756   
  2,650,000      

Hutchison Whampoa International Ltd.,
5.750%, 9/11/2019, 144A

     3,160,075   
  1,570,000      

Timken Co. (The),
6.000%, 9/15/2014

     1,677,647   
     

 

 

 
        26,562,353   
     

 

 

 
   Media Cable – 1.2%   
  795,000      

Cablevision Systems Corp.,
7.750%, 4/15/2018

     884,438   
  3,060,000      

Cablevision Systems Corp.,
8.000%, 4/15/2020

     3,446,325   
  2,265,000      

CCO Holdings LLC/CCO Holdings Capital Corp.,
6.500%, 4/30/2021

     2,443,369   
  499,000      

Cox Communications, Inc.,
5.450%, 12/15/2014

     544,202   
  8,880,000      

Time Warner Cable, Inc.,
4.125%, 2/15/2021

     9,724,701   
  1,330,000      

Time Warner Cable, Inc.,
8.250%, 4/01/2019

     1,769,880   
     

 

 

 
        18,812,915   
     

 

 

 
   Media Non-Cable – 0.5%   
  1,375,000      

Inmarsat Finance PLC,
7.375%, 12/01/2017, 144A

     1,478,125   
  2,185,000      

Myriad International Holding BV,
6.375%, 7/28/2017, 144A

     2,463,588   
  4,165,000      

R.R. Donnelley & Sons Co.,
7.250%, 5/15/2018

     4,019,225   
     

 

 

 
        7,960,938   
     

 

 

 
   Metals & Mining – 0.9%   
  890,000      

Alcoa, Inc.,
5.400%, 4/15/2021

     926,323   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Metals & Mining – continued       
$ 2,720,000      

Alcoa, Inc.,
6.150%, 8/15/2020

   $ 2,970,631   
  525,000      

APERAM,
7.375%, 4/01/2016, 144A

     488,434   
  1,280,000      

APERAM,
7.750%, 4/01/2018, 144A

     1,126,400   
  6,250,000      

ArcelorMittal,
7.250%, 3/01/2041

     5,796,875   
  485,000      

ArcelorMittal,
7.500%, 10/15/2039

     455,900   
  400,000      

United States Steel Corp.,
6.650%, 6/01/2037

     348,000   
  2,080,000      

United States Steel Corp.,
7.375%, 4/01/2020

     2,220,400   
     

 

 

 
        14,332,963   
     

 

 

 
   Mortgage Related – 14.2%   
  19,997,832      

FHLMC,
4.000%, with various maturities in 2041(d)

     21,378,864   
  9,796,256      

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

     10,513,929   
  3,057,951      

FHLMC,
5.000%, with various maturities from 2035 to 2038(d)

     3,292,328   
  7,567,910      

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

     8,174,145   
  55,248      

FHLMC,
6.000%, 6/01/2035

     61,435   
  38,972,922      

FNMA,
3.000%, with various maturities from 2027 to 2042(d)

     40,902,190   
  36,025,063      

FNMA,
3.500%, with various maturities from 2026 to 2042(d)

     38,510,455   
  24,182,260      

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

     25,999,161   
  14,210,502      

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

     15,435,043   
  12,353,489      

FNMA,
5.000%, with various maturities from 2033 to 2037(d)

     13,463,528   
  5,152,073      

FNMA,
5.500%, with various maturities from 2036 to 2038(d)

     5,609,291   
  2,414,615      

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

     2,683,935   
  103,198      

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

     120,429   
  89,708      

FNMA,
7.000%, with various maturities in 2030(d)

     107,260   
  98,232      

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

     119,605   
  7,130,000      

FNMA (TBA),
2.500%, 1/01/2028(e)

     7,455,306   
  14,000,000      

FNMA (TBA),
3.000%, 1/01/2043(e)

     14,669,375   
  18,550,000      

FNMA (TBA),
3.500%, 1/01/2043(e)

     19,776,763   
  1,847,116      

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

     2,027,000   
  307,315      

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

     343,923   


Principal
Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Mortgage Related – continued       
$ 210,663      

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

   $ 249,026   
  157,566      

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

     186,239   
  49,789      

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

     58,483   
  19,107      

GNMA,
8.000%, 11/15/2029

     20,215   
  61,322      

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

     62,525   
  5,211      

GNMA,
9.000%, with various maturities in 2016(d)

     5,284   
  9,876      

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

     9,930   
     

 

 

 
        231,235,667   
     

 

 

 
   Non-Captive Consumer – 1.3%   
  325,000      

SLM Corp., MTN,
5.050%, 11/14/2014

     341,139   
  1,100,000      

SLM Corp., MTN,
6.000%, 1/25/2017

     1,190,750   
  16,755,000      

SLM Corp., MTN,
6.250%, 1/25/2016

     18,221,062   
  350,000      

SLM Corp., Series A, MTN,
5.000%, 10/01/2013

     358,312   
  30,000      

SLM Corp., Series A, MTN,
5.000%, 4/15/2015

     31,624   
  120,000      

SLM Corp., Series A, MTN,
5.000%, 6/15/2018

     120,456   
  55,000      

SLM Corp., Series A, MTN,
5.375%, 1/15/2013

     55,000   
  35,000      

SLM Corp., Series A, MTN,
5.375%, 5/15/2014

     36,593   
  1,135,000      

SLM Corp., Series A, MTN,
8.450%, 6/15/2018

     1,327,950   
     

 

 

 
        21,682,886   
     

 

 

 
   Non-Captive Diversified – 5.2%   
  5,420,000      

Ally Financial, Inc.,
3.125%, 1/15/2016

     5,425,837   
  8,860,000      

Ally Financial, Inc.,
5.500%, 2/15/2017

     9,478,100   
  7,800,000      

Ally Financial, Inc.,
6.250%, 12/01/2017

     8,636,293   
  2,480,000      

Ally Financial, Inc.,
8.300%, 2/12/2015

     2,762,100   
  11,975,000      

CIT Group, Inc.,
5.000%, 5/15/2017

     12,693,500   
  5,120,000      

CIT Group, Inc.,
5.375%, 5/15/2020

     5,593,600   
  2,070,000      

GATX Corp.,
4.750%, 5/15/2015

     2,211,768   
  7,810,000      

General Electric Capital Corp.,
2.250%, 11/09/2015

     8,065,504   
  7,150,000      

General Electric Capital Corp.,
5.300%, 2/11/2021

     8,299,591   


Principal
Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Non-Captive Diversified – continued       
$ 1,035,000      

General Electric Capital Corp.,
5.625%, 5/01/2018

   $ 1,229,098   
  4,265,000      

General Electric Capital Corp., MTN,
2.300%, 4/27/2017

     4,422,297   
  7,835,000      

International Lease Finance Corp.,
5.750%, 5/15/2016

     8,258,787   
  5,700,000      

International Lease Finance Corp.,
6.250%, 5/15/2019

     6,070,500   
  205,000      

International Lease Finance Corp.,
6.375%, 3/25/2013

     207,153   
  200,000      

International Lease Finance Corp., Series R, MTN,
5.625%, 9/20/2013

     205,000   
  830,000      

International Lease Finance Corp., Series R, MTN,
5.650%, 6/01/2014

     863,715   
     

 

 

 
        84,422,843   
     

 

 

 
   Oil Field Services – 2.6%   
  2,400,000      

FMC Technologies, Inc.,
3.450%, 10/01/2022

     2,449,543   
  7,610,000      

Nabors Industries, Inc.,
4.625%, 9/15/2021

     8,190,186   
  3,845,000      

Oil States International, Inc.,
5.125%, 1/15/2023, 144A

     3,897,869   
  6,950,000      

Pan American Energy LLC,
7.875%, 5/07/2021, 144A

     5,994,375   
  2,090,000      

Parker Drilling Co.,
9.125%, 4/01/2018

     2,231,075   
  3,340,000      

Rowan Cos., Inc.,
5.000%, 9/01/2017

     3,710,406   
  1,330,000      

Rowan Cos., Inc.,
7.875%, 8/01/2019

     1,642,240   
  2,430,000      

Sidewinder Drilling, Inc.,
9.750%, 11/15/2019, 144A

     2,442,150   
  9,605,000      

Transocean, Inc.,
6.500%, 11/15/2020

     11,632,837   
     

 

 

 
        42,190,681   
     

 

 

 
   Packaging – 0.1%   
  1,940,000      

Sealed Air Corp.,
6.500%, 12/01/2020, 144A

     2,095,200   
     

 

 

 
   Paper – 1.6%   
  1,785,000      

Celulosa Arauco y Constitucion S.A.,
4.750%, 1/11/2022

     1,872,299   
  2,415,000      

Celulosa Arauco y Constitucion S.A.,
5.000%, 1/21/2021

     2,568,483   
  1,111,000      

Georgia-Pacific LLC,
7.250%, 6/01/2028

     1,454,640   
  3,535,000      

Georgia-Pacific LLC,
7.375%, 12/01/2025

     4,816,724   
  5,730,000      

Georgia-Pacific LLC,
7.750%, 11/15/2029

     7,836,170   
  2,850,000      

Georgia-Pacific LLC,
8.000%, 1/15/2024

     3,984,762   
  365,000      

Georgia-Pacific LLC,
8.875%, 5/15/2031

     547,278   


Principal
Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Paper – continued       
$ 2,495,000      

Rock-Tenn Co.,
4.000%, 3/01/2023, 144A

   $ 2,534,648   
     

 

 

 
        25,615,004   
     

 

 

 
   Pharmaceuticals – 1.0%   
  1,845,000      

Valeant Pharmaceuticals International,
6.375%, 10/15/2020, 144A

     1,978,763   
  130,000      

Valeant Pharmaceuticals International,
6.750%, 8/15/2021, 144A

     139,425   
  4,130,000      

Valeant Pharmaceuticals International,
6.875%, 12/01/2018, 144A

     4,450,075   
  9,500,000      

VPI Escrow Corp.,
6.375%, 10/15/2020, 144A

     10,188,750   
     

 

 

 
        16,757,013   
     

 

 

 
   Pipelines – 1.4%   
  9,530,000      

Energy Transfer Partners LP,
6.050%, 6/01/2041

     10,842,624   
  1,240,000      

Energy Transfer Partners LP,
6.500%, 2/01/2042

     1,518,178   
  2,050,000      

Kinder Morgan Finance Co. LLC,
5.700%, 1/05/2016

     2,240,919   
  7,455,000      

Kinder Morgan Finance Co. LLC,
6.000%, 1/15/2018, 144A

     8,194,111   
     

 

 

 
        22,795,832   
     

 

 

 
   Property & Casualty Insurance – 0.7%   
  1,175,000      

Willis Group Holdings PLC,
4.125%, 3/15/2016

     1,253,278   
  2,585,000      

Willis Group Holdings PLC,
5.750%, 3/15/2021

     2,941,815   
  3,250,000      

Willis North America, Inc.,
6.200%, 3/28/2017

     3,700,044   
  3,170,000      

Willis North America, Inc.,
7.000%, 9/29/2019

     3,735,737   
     

 

 

 
        11,630,874   
     

 

 

 
   Refining – 0.2%   
  3,110,000      

Phillips 66,
5.875%, 5/01/2042, 144A

     3,742,375   
     

 

 

 
   Retailers – 0.9%   
  2,610,000      

Dollar General Corp.,
4.125%, 7/15/2017

     2,740,500   
  12,055,000      

Lotte Shopping Co. Ltd.,
3.375%, 5/09/2017, 144A

     12,504,748   
     

 

 

 
        15,245,248   
     

 

 

 
   Sovereigns – 0.5%   
  6,438,000      

Mexico Government International Bond, Series A, MTN,
6.050%, 1/11/2040

     8,633,358   
     

 

 

 
   Supermarket – 0.5%   
  7,370,000      

Delhaize Group S.A.,
4.125%, 4/10/2019

     7,607,668   
     

 

 

 


Principal
Amount (‡)

   

Description

   Value (†)  

 

Bonds and Notes – continued

  

      Supranational – 0.5%       
  18,970,000     

Inter-American Development Bank, EMTN,
8.000%, 1/26/2016, (MXN)

   $ 1,626,046   
  87,705,000     

International Bank for Reconstruction & Development,
6.500%, 9/11/2013, (MXN)

     6,896,957   
    

 

 

 
       8,523,003   
    

 

 

 
  Technology – 2.5%   
  250,000     

Amphenol Corp.,
4.000%, 2/01/2022

     264,370   
  3,745,000     

Amphenol Corp.,
4.750%, 11/15/2014

     3,990,328   
  4,700,000     

Baidu, Inc.,
3.500%, 11/28/2022

     4,713,188   
  2,635,000     

Brocade Communications Systems, Inc.,
6.625%, 1/15/2018

     2,720,638   
  1,160,000     

Brocade Communications Systems, Inc.,
6.875%, 1/15/2020

     1,249,900   
  3,145,000     

Dun & Bradstreet Corp. (The),
3.250%, 12/01/2017

     3,178,312   
  3,156,000     

Equifax, Inc.,
7.000%, 7/01/2037

     3,976,844   
  4,140,000     

Fiserv, Inc.,
3.125%, 10/01/2015

     4,340,595   
  6,170,000     

Fiserv, Inc.,
3.500%, 10/01/2022

     6,281,905   
  69,000     

Motorola Solutions, Inc.,
6.625%, 11/15/2037

     79,199   
  340,000     

Motorola Solutions, Inc.,
7.500%, 5/15/2025

     428,637   
  1,335,000     

National Semiconductor Corp.,
3.950%, 4/15/2015

     1,437,811   
  7,315,000     

Tencent Holdings Ltd.,
4.625%, 12/12/2016, 144A

     7,876,119   
    

 

 

 
       40,537,846   
    

 

 

 
  Textile – 0.1%   
  1,125,000     

Wolverine World Wide, Inc.,
6.125%, 10/15/2020, 144A

     1,181,250   
    

 

 

 
  Tobacco – 0.7%   
  8,240,000     

Reynolds American, Inc.,
7.250%, 6/15/2037

     10,805,367   
    

 

 

 
  Transportation Services – 0.1%   
  1,990,000     

Erac USA Finance Co.,
5.250%, 10/01/2020, 144A

     2,275,696   
    

 

 

 
  Treasuries – 17.3%   
  2,787,500 (††)   

Mexican Fixed Rate Bonds, Series M,
6.250%, 6/16/2016, (MXN)

     22,429,129   
  1,783,000 (††)   

Mexican Fixed Rate Bonds, Series M-10,
7.750%, 12/14/2017, (MXN)(b)

     15,353,665   
  245,000 (††)   

Mexican Fixed Rate Bonds, Series M-10,
8.000%, 12/17/2015, (MXN)

     2,054,457   
  239,000,000     

Philippine Government International Bond,
3.900%, 11/26/2022, (PHP)

     6,024,109   


Principal
Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Treasuries – continued       
  4,930,000      

Spain Government Bond,
5.500%, 4/30/2021, (EUR)

   $ 6,658,302   
  11,825,000      

Spain Government Bond,
5.850%, 1/31/2022, (EUR)

     16,251,485   
  12,800,000      

U.S. Treasury Bond,
2.750%, 8/15/2042

     12,360,000   
  26,440,000      

U.S. Treasury Bond,
3.000%, 5/15/2042

     26,935,750   
  2,910,000      

U.S. Treasury Bond,
3.125%, 2/15/2042

     3,042,769   
  21,435,000      

U.S. Treasury Bond,
3.750%, 8/15/2041

     25,192,813   
  3,875,000      

U.S. Treasury Bond,
3.875%, 8/15/2040

     4,657,266   
  10,175,000      

U.S. Treasury Note,
0.125%, 12/31/2014

     10,149,562   
  1,655,000      

U.S. Treasury Note,
0.625%, 5/31/2017

     1,657,585   
  2,445,000      

U.S. Treasury Note,
0.625%, 8/31/2017

     2,442,707   
  980,000      

U.S. Treasury Note,
0.750%, 6/30/2017

     985,819   
  33,122,000      

U.S. Treasury Note,
0.875%, 2/28/2017

     33,556,726   
  8,825,000      

U.S. Treasury Note,
1.250%, 2/15/2014

     8,927,388   
  19,335,000      

U.S. Treasury Note,
1.250%, 4/30/2019

     19,626,533   
  13,520,000      

U.S. Treasury Note,
1.625%, 8/15/2022

     13,431,282   
  3,585,000      

U.S. Treasury Note,
1.875%, 8/31/2017

     3,786,377   
  1,320,000      

U.S. Treasury Note,
2.000%, 2/15/2022

     1,365,066   
  1,155,000      

U.S. Treasury Note,
2.125%, 8/15/2021

     1,214,194   
  13,550,000      

U.S. Treasury Note,
2.625%, 11/15/2020(b)

     14,871,125   
  560,000      

U.S. Treasury Note,
2.750%, 10/31/2013

     571,878   
  13,005,000      

U.S. Treasury Note,
3.125%, 5/15/2021

     14,747,462   
  11,505,000      

U.S. Treasury Note,
3.625%, 2/15/2021(b)

     13,504,891   
     

 

 

 
        281,798,340   
     

 

 

 
   Wireless – 2.1%   
  1,915,000      

American Tower Corp.,
4.625%, 4/01/2015

     2,035,566   
  2,890,000      

CC Holdings GS V LLC/Crown Castle GS III Corp.,
7.750%, 5/01/2017, 144A

     3,068,602   
  895,000      

NII Capital Corp.,
7.625%, 4/01/2021

     677,963   
  4,005,000      

SK Telecom Co. Ltd.,
2.125%, 5/01/2018, 144A

     4,026,899   
  3,165,000      

SK Telecom Co. Ltd.,
6.625%, 7/20/2027, 144A

     4,082,850   


Principal
Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

       Wireless – continued       
$ 13,920,000      

Sprint Capital Corp.,
6.875%, 11/15/2028

   $ 14,476,800   
  5,324,000      

Telemar Norte Leste S.A.,
5.500%, 10/23/2020, 144A

     5,536,960   
     

 

 

 
        33,905,640   
     

 

 

 
   Wirelines – 4.4%   
  505,000      

Axtel SAB de CV,
7.625%, 2/01/2017, 144A

     262,600   
  22,720,000      

Axtel SAB de CV,
9.000%, 9/22/2019, 144A

     12,041,600   
  4,605,000      

Colombia Telecomunicaciones S.A., E.S.P.,
5.375%, 9/27/2022, 144A

     4,679,831   
  6,225,000      

eAccess Ltd.,
8.250%, 4/01/2018, 144A

     6,972,000   
  10,668,000      

Embarq Corp.,
7.995%, 6/01/2036

     11,783,030   
  2,978,000      

Frontier Communications Corp.,
7.875%, 4/15/2015

     3,327,915   
  1,575,000      

Frontier Communications Corp.,
7.875%, 1/15/2027

     1,598,625   
  3,300,000      

Frontier Communications Corp.,
8.250%, 4/15/2017

     3,811,500   
  3,560,000      

Frontier Communications Corp.,
8.500%, 4/15/2020

     4,094,000   
  415,000      

Frontier Communications Corp.,
9.000%, 8/15/2031

     456,500   
  1,975,000      

Qwest Corp.,
6.750%, 12/01/2021

     2,314,635   
  5,000,000      

Telefonica Celular del Paraguay S.A.,
6.750%, 12/13/2022, 144A

     5,237,500   
  3,145,000      

Telefonica Emisiones SAU,
3.992%, 2/16/2016

     3,272,372   
  4,029,000      

Telefonica Emisiones SAU,
5.134%, 4/27/2020

     4,235,486   
  986,000      

Telefonica Emisiones SAU,
5.462%, 2/16/2021

     1,051,323   
  5,910,000      

Windstream Corp.,
7.500%, 4/01/2023

     6,220,275   
     

 

 

 
        71,359,192   
     

 

 

 
  

Total Bonds and Notes
(Identified Cost $1,467,499,970)

     1,543,380,250   
     

 

 

 

 

Senior Loans – 1.5%

  
   Consumer Products – 0.3%   
  5,035,000      

Tempur-Pedic International, Inc., New Term Loan B,
12/12/2019 (f)

     5,092,550   
     

 

 

 
   Entertainment – 0.1%   
  2,006,000      

WMG Acquisition Corp., Term Loan,
5.250%, 11/01/2018 (c)

     2,027,324   
     

 

 

 

 


Principal
Amount (‡)

    

Description

   Value (†)  

 

Senior Loans – continued

  

       Healthcare – 0.1%       
$ 1,268,072      

Hologic, Inc., Term Loan B,
4.500%, 8/01/2019(c)

   $ 1,282,109   
     

 

 

 
   Independent Energy – 0.3%   
  4,945,000      

Plains Exploration & Production, 7-year Term Loan,
4.000%, 11/30/2019(c)

     4,960,478   
     

 

 

 
   Metals & Mining – 0.2%   
  3,677,763      

Arch Coal, Inc., Term Loan B,
5.750%, 5/16/2018 (c)

     3,710,532   
     

 

 

 
   Wirelines – 0.5%   
  7,110,000      

Level 3 Financing, Inc., Term Loan,
4.750%, 8/01/2019(c)

     7,139,649   
     

 

 

 
  

Total Senior Loans
(Identified Cost $23,900,389)

     24,212,642   
     

 

 

 

Shares

             

 

Preferred Stocks – 0.1%

  
   Non-Captive Consumer – 0.0%   
  5,510      

SLM Corp., Series A,
6.970%

     265,692   
     

 

 

 
   Non-Captive Diversified – 0.1%   
  68,182      

Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter),
8.500%

     1,791,141   
  532      

Ally Financial, Inc., Series G,
7.000%, 144A

     522,507   
     

 

 

 
        2,313,648   
     

 

 

 
  

Total Preferred Stocks
(Identified Cost $2,068,801)

     2,579,340   
     

 

 

 

Principal
Amount (‡)

             

 

Short-Term Investments – 5.2%

  
$ 34,174      

Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $34,174 on 1/02/2013 collateralized by $40,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $40,061 including accrued interest(g)

     34,174   
  84,911,927      

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $84,911,974 on 1/02/2013 collateralized by $86,125,000 Federal National Mortgage Association, 1.150% due 2/22/2017 valued at $86,615,137 including accrued interest(g)

     84,911,927   
     

 

 

 
  

Total Short-Term Investments
(Identified Cost $84,946,101)

     84,946,101   
     

 

 

 
  

Total Investments – 101.8%
(Identified Cost $1,578,415,261)(a)

     1,655,118,333   
  

Other assets less liabilities – (1.8)%

     (30,039,452
     

 

 

 
   Net Assets – 100.0%    $ 1,625,078,881   
     

 

 

 

 


  (‡) 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 an independent 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 an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 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. 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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $1,581,863,087 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

   $  77,641,494   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

     (4,386,248
  

 

 

 

Net unrealized appreciation

   $ 73,255,246   
  

 

 

 

 

  (b) All or a portion of this security has been designated to cover the Fund’s obligations under open TBA transactions.

 

  (c) Variable rate security. Rate as of December 31, 2012 is disclosed.

 

  (d) 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.

 

  (e) Delayed delivery. The Fund may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Fund’s commitment. No interest accrues to the Fund until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

 

  (f) Position is unsettled. Contract rate was not determined at December 31, 2012 and does not take effect until settlement date.


  (g) 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, 2012, the value of Rule 144A holdings amounted to $278,240,413 or 17.1% of net assets.
ABS    Asset-Backed Securities
ARMs    Adjustable Rate Mortgages
EMTN    Euro Medium Term Note
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
TBA    To Be Announced
EUR    Euro
MXN    Mexican Peso
PHP    Philippine Peso

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.); 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 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, 2012, at value:

Asset Valuation Inputs

 

Description

   Level 1      Level 2      Level 3      Total  

Bonds and Notes*

   $ —         $ 1,543,380,250       $ —         $ 1,543,380,250   

Senior Loans*

     —           24,212,642         —           24,212,642   

Preferred Stocks*

     2,056,833         522,507         —           2,579,340   

Short-Term Investments

     —           84,946,101         —           84,946,101   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,056,833       $ 1,653,061,500       $ —         $ 1,655,118,333   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.


Industry Summary at December 31, 2012 (Unaudited)

 

Treasuries

     17.3

Mortgage Related

     14.2   

Banking

     5.9   

Government Owned - No Guarantee

     5.6   

Non-Captive Diversified

     5.3   

Wirelines

     4.9   

Commercial Mortgage-Backed Securities

     4.8   

Automotive

     3.3   

Oil Field Services

     2.6   

Independent Energy

     2.6   

Technology

     2.5   

ABS Car Loan

     2.1   

Wireless

     2.1   

Other Investments, less than 2% each

     23.4   

Short-Term Investments

     5.2   
  

 

 

 

Total Investments

     101.8   

Other assets less liabilities

     (1.8
  

 

 

 

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 22, 2013

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 22, 2013
By:  

/s/ Michael C. Kardok

Name:   Michael C. Kardok
Title:   Treasurer
Date:   February 22, 2013