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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-00242
Natixis Funds Trust II
(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: December 31
Date of reporting period: June 30, 2014
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Item 1. Reports to Stockholders.
The Registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
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SEMIANNUAL REPORT
June 30, 2014
ASG Global Alternatives Fund
ASG Managed Futures Strategy Fund
ASG Tactical U.S. Market Fund
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Portfolio of Investments page 12
Notes to Financial Statements page 39
Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.
For more details visit ngam.natixis.com/TopFundFamily
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ASG GLOBAL ALTERNATIVES FUND
Managers | Symbols | |
Andrew W. Lo, PhD | Class A GAFAX | |
Alexander D. Healy, PhD | Class C GAFCX | |
Peter A. Lee | Class N GAFNX | |
Philippe P. Lüdi, CFA®, PhD | Class Y GAFYX | |
Robert W. Sinnott | ||
AlphaSimplex Group, LLC (Adviser) | ||
Robert S. Rickard | ||
Reich & Tang Asset Management, LLC (Subadviser) |
Objective
Pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds while maintaining less volatility than major equity indices.
Average Annual Total Returns—June 30, 20143
6 Months | 1 Year | 5 Years | Life of Class | |||||||||||||
Class A (Inception 9/30/08) | Class A/C/Y | Class N | ||||||||||||||
NAV | 1.82 | % | 9.30 | % | 5.93 | % | 5.17% | — | ||||||||
With 5.75% Maximum Sales Charge | -4.03 | 3.04 | 4.68 | 4.09 | — | |||||||||||
Class C (Inception 9/30/08) | ||||||||||||||||
NAV | 1.42 | 8.45 | 5.12 | 4.39 | — | |||||||||||
With CDSC1 | 0.44 | 7.47 | 5.12 | 4.39 | — | |||||||||||
Class N (Inception 5/1/13) | ||||||||||||||||
NAV | 1.89 | 9.41 | — | — | 8.61% | |||||||||||
Class Y (Inception 9/30/08) | ||||||||||||||||
NAV | 1.89 | 9.50 | 6.20 | 5.43 | — | |||||||||||
Comparative Performance | ||||||||||||||||
Barclay Fund of Funds Index2 | 1.86 | 7.34 | 3.84 | 2.08 | 5.53 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | The Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by Barclay Hedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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ASG MANAGED FUTURES STRATEGY FUND
Managers | Symbols | |
Andrew W. Lo, PhD | Class A AMFAX | |
Alexander D. Healy, PhD | Class C ASFCX | |
Peter A. Lee | Class Y ASFYX | |
Philippe P. Lüdi, CFA®, PhD | ||
Robert W. Sinnott | ||
AlphaSimplex Group, LLC (Adviser) | ||
Robert S. Rickard | ||
Reich & Tang Asset Management, LLC (Subadviser) |
Objective
Pursues an absolute return strategy that seeks to provide capital appreciation.
Average Annual Total Returns—June 30, 20144
6 Months | 1 Year | Life of Fund | ||||||||||
Class A (Inception 7/30/10) | ||||||||||||
NAV | 4.70 | % | 13.45 | % | 4.57 | % | ||||||
With 5.75% Maximum Sales Charge | -1.36 | 6.89 | 3.00 | |||||||||
Class C (Inception 7/30/10) | ||||||||||||
NAV | 4.41 | 12.60 | 3.77 | |||||||||
With CDSC1 | 3.41 | 11.60 | 3.77 | |||||||||
Class Y (Inception 7/30/10) | ||||||||||||
NAV | 4.89 | 13.77 | 4.80 | |||||||||
Comparative Performance | ||||||||||||
Newedge Trend Index2,3 | -0.69 | 1.19 | 1.13 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | Effective March 1, 2014, the Newedge Trend Index replaced the FTSE StableRisk Trend Composite Index as the Fund’s primary benchmark because the FTSE StableRisk Trend Composite Index was discontinued effective March 31, 2014. |
3 | The Newedge Trend Index is equal-weighted and reconstituted annually. The index calculates the net daily rate of return for a pool of trend following based hedge fund managers. You may not invest directly in an index. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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ASG TACTICAL U.S. MARKET FUND
Managers | Symbols | |
Andrew W. Lo, PhD | Class A USMAX | |
Alexander D. Healy, PhD | Class C USMCX | |
Peter A. Lee | Class Y USMYX | |
Philippe P. Lüdi, CFA®, PhD | ||
Robert W. Sinnott | ||
AlphaSimplex Group, LLC (Adviser) | ||
Kevin H. Maeda | ||
Serena V. Stone, CFA® | ||
Active Investment Advisors, a division of NGAM Advisors, L.P. | ||
Robert S. Rickard | ||
Reich & Tang Asset Management, LLC (Subadviser) |
Objective
Seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions.
Average Annual Total Returns—June 30, 20144
6 Months | Life of Fund | |||||||
Class A (Inception 9/30/13) | ||||||||
NAV | 7.74 | % | 21.71 | % | ||||
With 5.75% Maximum Sales Charge | 1.57 | 14.71 | ||||||
Class C (Inception 9/30/13) | ||||||||
NAV | 7.39 | 21.10 | ||||||
With CDSC1 | 6.39 | 20.10 | ||||||
Class Y (Inception 9/30/13) | ||||||||
NAV | 7.83 | 21.92 | ||||||
Comparative Performance | ||||||||
S&P 500® Index2 | 7.14 | 18.40 | ||||||
Barclay Equity Long/Short Index3 | 2.41 | 7.21 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
3 | The Barclay Equity Long/Short Index is comprised of roughly 400 equity-oriented hedge funds which hold both long and short stock positions and tend to tactically vary their net market exposure, i.e., market beta, based on their assessment of market risk and expected return. Index returns are recalculated by Barclay Hedge Ltd. Throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Equity Long/Short Index returns reported by the fund may differ from the index returns for the same period published by others. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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ADDITIONAL INFORMATION
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived form third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the 12 months ended June 30, 2014 is available on the Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.
The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
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ASG GLOBAL ALTERNATIVES FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,018.20 | $7.76 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.11 | $7.75 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,014.20 | $11.49 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,013.39 | $11.48 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,018.90 | $6.56 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.30 | $6.56 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,018.90 | $6.51 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | $6.51 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.55%, 2.30%, 1.31% and 1.30% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
ASG MANAGED FUTURES STRATEGY FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,047.00 | $8.78 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.22 | $8.65 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,044.10 | $12.57 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,012.50 | $12.37 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,048.90 | $7.52 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.46 | $7.40 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.73%, 2.48% and 1.48% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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ASG TACTICAL U.S. MARKET FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,077.40 | $7.21 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.85 | $7.00 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,073.90 | $11.06 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.13 | $10.74 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,078.30 | $5.93 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.09 | $5.76 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, 2.15% and 1.15% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. The ASG Tactical U.S. Market Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory and sub-advisory agreements are effective until September 29, 2015. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory
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and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the administrative services provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.
With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund.
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The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for each Fund, and they considered the amounts waived or reimbursed by the adviser under these caps for the ASG Managed Futures Strategy Fund. The Trustees also considered that current expenses of the ASG Global Alternatives Fund are below the cap.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
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Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that the ASG Global Alternatives Fund has breakpoints in its advisory fee and that each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions and the benefits to NGAM Advisors of being able to offer “alternative” products in the Natixis family of funds. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.
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Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Global Alternatives Fund
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 92.3% of Net Assets | ||||||||
Certificates of Deposit — 73.1% | ||||||||
$ | 92,100,000 | Canadian Imperial Bank, 0.010%, 7/01/2014 | $ | 92,100,000 | ||||
130,000,000 | Abbey National, 0.050%, 7/01/2014 | 130,000,000 | ||||||
15,000,000 | National Bank of Kuwait, 0.155%, 7/01/2014 | 15,000,000 | ||||||
5,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.100%, 7/02/2014 | 5,000,000 | ||||||
25,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 7/02/2014 | 25,000,000 | ||||||
70,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/07/2014 | 70,001,120 | ||||||
35,000,000 | Agricultural Bank of China, 0.250%, 7/07/2014 | 35,000,000 | ||||||
45,000,000 | Industrial & Commercial Bank of China, 0.370%, 7/08/2014 | 45,000,000 | ||||||
15,500,000 | Industrial & Commercial Bank of China, 0.340%, 7/09/2014 | 15,500,000 | ||||||
24,400,000 | Bank of Montreal (IL), 0.150%, 7/15/2014 | 24,400,708 | ||||||
65,000,000 | Agricultural Bank of China, 0.400%, 7/15/2014 | 65,000,126 | ||||||
40,000,000 | China Construction Bank Corp. (NY), 0.380%, 7/22/2014 | 40,000,117 | ||||||
30,000,000 | Mizuho Corporate Bank, 0.160%, 7/25/2014 | 30,000,100 | ||||||
70,000,000 | Bank of Montreal (IL), 0.242%, 7/28/2014(b)(c) | 70,005,180 | ||||||
30,000,000 | Sumitomo Mitsui Bank (NY), 0.210%, 7/29/2014 | 30,000,720 | ||||||
130,000,000 | Credit Agricole, 0.130%, 8/01/2014 | 130,000,000 | ||||||
30,000,000 | Sumitomo Mitsui Bank (NY), 0.220%, 8/04/2014 | 30,000,847 | ||||||
25,000,000 | Mitsubishi UFJ Trust and Banking Corp., 0.200%, 8/11/2014 | 25,000,575 | ||||||
75,000,000 | Bank of Tokyo-Mitsubishi, 0.328%, 8/11/2014(b)(d) | 75,000,450 | ||||||
110,600,000 | National Bank of Kuwait, 0.280%, 8/13/2014 | 110,612,166 | ||||||
50,000,000 | Mizuho Corporate Bank, 0.210%, 8/14/2014 | 50,000,600 | ||||||
25,000,000 | Westpac Banking Corp. (NY), 0.242%, 8/15/2014(b) | 25,002,300 | ||||||
33,300,000 | Standard Chartered Bank (NY), 0.230%, 8/26/2014 | 33,305,261 | ||||||
25,100,000 | Banco Del Estado de Chile, 0.220%, 8/28/2014 | 25,101,631 | ||||||
25,000,000 | Bank of Montreal (IL), 0.170%, 9/10/2014 | 25,000,000 | ||||||
50,000,000 | Norinchukin Bank, 0.220%, 9/22/2014 | 50,000,000 | ||||||
50,000,000 | Mizuho Corporate Bank, 0.210%, 10/02/2014 | 49,997,400 | ||||||
99,650,000 | Toronto Dominion Bank, 0.250%, 10/10/2014 | 99,675,311 | ||||||
50,000,000 | Svenska Handelsbanken (NY), 0.170%, 10/16/2014 | 49,986,500 | ||||||
50,000,000 | Banco Del Estado de Chile, 0.200%, 10/20/2014 | 49,996,900 | ||||||
45,000,000 | National Australia Bank, 0.223%, 10/23/2014(b)(d) | 45,004,590 | ||||||
75,000,000 | Westpac Banking Corp. (NY), 0.290%, 11/06/2014(d) | 75,029,475 | ||||||
49,550,000 | Banco Del Estado de Chile, 0.231%, 11/10/2014(b) | 49,550,000 | ||||||
100,000,000 | Bank of Nova Scotia (TX), 0.250%, 11/12/2014 | 100,018,700 | ||||||
50,000,000 | Norinchukin Bank, 0.250%, 11/14/2014(d) | 50,000,000 | ||||||
70,000,000 | Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(d) | 70,027,440 | ||||||
100,000,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014 | 99,995,500 | ||||||
50,000,000 | Societe Generale S.A., 0.280%, 2/02/2015(b)(e) | 49,994,550 | ||||||
50,000,000 | Rabobank Nederland (NY), 0.307%, 6/15/2015(b) | 49,990,300 | ||||||
25,000,000 | China Construction Bank Corp. (NY), 0.404%, 7/20/2015(b)(e) | 25,000,000 | ||||||
|
| |||||||
2,135,298,567 | ||||||||
|
| |||||||
Financial Company Commercial Paper — 13.3% | ||||||||
1,550,000 | Dexia Credit Local, 0.180%, 7/08/2014(f) | 1,549,952 | ||||||
75,000,000 | Dexia Credit Local, 0.230%, 7/08/2014(f) | 74,997,675 | ||||||
40,000,000 | Societe Generale North America, 0.055%, 7/09/2014(f) | 39,999,511 | ||||||
28,700,000 | Swedbank, 0.130%, 7/30/2014(f) | 28,696,994 |
See accompanying notes to financial statements.
| 12
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Global Alternatives Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Financial Company Commercial Paper — continued | ||||||||
$ | 9,550,000 | Swedbank, 0.170%, 8/19/2014(f) | $ | 9,548,491 | ||||
30,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.190%, 8/19/2014(f) | 29,994,030 | ||||||
50,000,000 | ING (U.S.) Funding LLC, 0.200%, 9/04/2014(c)(f) | 49,984,050 | ||||||
35,000,000 | Dexia Credit Local, 0.280%, 9/18/2014(d)(f) | 34,986,035 | ||||||
70,000,000 | General Electric Capital Corp., 0.120%, 10/03/2014(f) | 69,979,140 | ||||||
50,000,000 | General Electric Capital Corp., 0.180%, 12/11/2014(f) | 49,963,800 | ||||||
|
| |||||||
389,699,678 | ||||||||
|
| |||||||
Commercial Paper — 4.4% | ||||||||
14,600,000 | Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.390%, 7/14/2014(f) | 14,597,944 | ||||||
30,000,000 | Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.400%, 7/14/2014(f) | 29,995,667 | ||||||
50,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 7/15/2014(f) | 49,996,500 | ||||||
33,150,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 8/07/2014 | 33,150,994 | ||||||
|
| |||||||
127,741,105 | ||||||||
|
| |||||||
Other Notes — 1.5% | ||||||||
20,000,000 | JPMorgan Chase Bank NA, Series 1, 0.351%, 7/07/2015(b) | 20,000,460 | ||||||
25,000,000 | Wells Fargo, 0.321%, 7/20/2015(b) | 25,004,600 | ||||||
|
| |||||||
45,005,060 | ||||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $2,697,625,383) | 2,697,744,410 | |||||||
|
| |||||||
Total Investments — 92.3% (Identified Cost $2,697,625,383)(a) | 2,697,744,410 | |||||||
Other assets less liabilities — 7.7% | 224,639,780 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,922,384,190 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At June 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $2,697,625,383 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 | $ | 158,621 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (39,594 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 119,027 | ||||||
|
| |||||||
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost. | ||||||||
(b) | Variable rate security. Rate as of June 30, 2014 is disclosed. | |||||||
(c) | All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts. |
See accompanying notes to financial statements.
13 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Global Alternatives Fund – (continued)
(d) | A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts. | |||||
(e) | Security payable on demand at par including accrued interest. | |||||
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
At June 30, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Sell | 9/17/2014 | British Pound | 812,500 | $ | 1,389,639 | $ | (28,535 | ) | ||||||||||
Sell | 9/17/2014 | Canadian Dollar | 266,800,000 | 249,563,871 | (6,277,943 | ) | ||||||||||||
Buy | 9/17/2014 | Euro | 46,500,000 | 63,690,831 | 528,088 | |||||||||||||
Sell | 9/17/2014 | Euro | 56,625,000 | 77,558,996 | (660,415 | ) | ||||||||||||
Sell | 9/17/2014 | Japanese Yen | 20,212,500,000 | 199,631,355 | (2,331,327 | ) | ||||||||||||
Buy | 9/17/2014 | Swedish Krona | 672,000,000 | 100,496,726 | (385,574 | ) | ||||||||||||
Sell | 9/17/2014 | Swiss Franc | 84,125,000 | 94,925,639 | (907,065 | ) | ||||||||||||
|
| |||||||||||||||||
Total | $ | (10,062,771 | ) | |||||||||||||||
|
|
1 Counterparty is UBS AG.
At June 30, 2014, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
DAX | 9/19/2014 | 2,350 | $ | 793,161,201 | $ | (6,724,942 | ) | |||||||||
E-mini S&P 500® | 9/19/2014 | 8,651 | 844,553,875 | 6,849,870 | ||||||||||||
FTSE 100 Index | 9/19/2014 | 3,284 | 377,174,102 | (552,149 | ) | |||||||||||
German Euro Bund | 9/08/2014 | 1,749 | 352,075,161 | 4,281,391 | ||||||||||||
Hang Seng Index® | 7/30/2014 | 1,234 | 183,928,158 | 2,757,484 | ||||||||||||
TOPIX | 9/11/2014 | 807 | 100,571,295 | 1,887,123 | ||||||||||||
UK Long Gilt | 9/26/2014 | 379 | 71,296,368 | 58,376 | ||||||||||||
10 Year U.S. Treasury Note | 9/19/2014 | 5,161 | 646,012,047 | 188,015 | ||||||||||||
|
| |||||||||||||||
Total | $ | 8,745,168 | ||||||||||||||
|
| |||||||||||||||
Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Copper LME | 9/17/2014 | 134 | $ | 23,530,400 | $ | 864,300 | ||||||||||
Gold | 8/27/2014 | 374 | 49,442,800 | 2,230,000 | ||||||||||||
Natural Gas | 7/29/2014 | 1,589 | 70,885,290 | (3,425,910 | ) | |||||||||||
New York Harbor ULSD | 7/31/2014 | 4 | 499,850 | (8,484 | ) | |||||||||||
Nickel LME | 9/17/2014 | 61 | 6,967,542 | (28,548 | ) | |||||||||||
WTI Crude Oil | 7/22/2014 | 657 | 69,228,090 | (328,500 | ) | |||||||||||
Zinc LME | 9/17/2014 | 37 | 2,053,500 | 129,038 | ||||||||||||
|
| |||||||||||||||
Total | $ | (568,104 | ) | |||||||||||||
|
|
See accompanying notes to financial statements.
| 14
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Global Alternatives Fund – (continued)
At June 30, 2014, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Eurodollar | 12/15/2014 | 536 | $ | 133,631,500 | $ | 13,162 | ||||||||||
10 Year Japan Government Bond | 9/10/2014 | 155 | 222,849,316 | (718,918 | ) | |||||||||||
|
| |||||||||||||||
Total | $ | (705,756 | ) | |||||||||||||
|
| |||||||||||||||
Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Aluminum LME | 9/17/2014 | 1,015 | $ | 47,977,781 | $ | (1,554,219 | ) | |||||||||
Brent Crude Oil | 7/16/2014 | 8 | 898,880 | (33,840 | ) | |||||||||||
Gas Oil | 8/12/2014 | 169 | 15,526,875 | 228,150 | ||||||||||||
|
| |||||||||||||||
Total | $ | (1,359,909 | ) | |||||||||||||
|
|
2 | Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements. |
Investment Summary at June 30, 2014 (Unaudited)
Certificates of Deposit | 73.1 | % | ||
Financial Company Commercial Paper | 13.3 | |||
Commercial Paper | 4.4 | |||
Other Notes | 1.5 | |||
|
| |||
Total Investments | 92.3 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 7.7 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
15 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Managed Futures Strategy Fund
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 83.8% of Net Assets | ||||||||
Certificates of Deposit — 66.7% | ||||||||
$ | 33,000,000 | Canadian Imperial Bank, 0.010%, 7/01/2014 | $ | 33,000,000 | ||||
44,000,000 | Abbey National, 0.050%, 7/01/2014 | 44,000,000 | ||||||
30,000,000 | Royal Bank of Canada, 0.050%, 7/01/2014 | 30,000,000 | ||||||
15,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 7/02/2014 | 15,000,000 | ||||||
20,000,000 | Industrial & Commercial Bank of China, 0.370%, 7/08/2014 | 20,000,000 | ||||||
1,000,000 | DNB Bank ASA (NY), 0.220%, 7/10/2014 | 1,000,027 | ||||||
15,000,000 | Bank of Montreal (IL), 0.150%, 7/15/2014 | 15,000,435 | ||||||
27,000,000 | Credit Industriel et Commercial, 0.250%, 7/15/2014 | 27,000,734 | ||||||
30,000,000 | Agricultural Bank of China, 0.400%, 7/15/2014 | 30,000,058 | ||||||
18,000,000 | China Construction Bank Corp. (NY), 0.380%, 7/22/2014 | 18,000,052 | ||||||
5,000,000 | Mizuho Corporate Bank, 0.160%, 7/25/2014 | 5,000,017 | ||||||
15,000,000 | Bank of Montreal (IL), 0.242%, 7/28/2014(b) | 15,001,110 | ||||||
42,000,000 | Credit Agricole, 0.130%, 8/01/2014 | 42,000,000 | ||||||
15,000,000 | Sumitomo Mitsui Bank (NY), 0.220%, 8/04/2014 | 15,000,424 | ||||||
25,000,000 | Bank of Tokyo-Mitsubishi, 0.328%, 8/11/2014(b)(c) | 25,000,150 | ||||||
35,000,000 | National Bank of Kuwait, 0.280%, 8/13/2014 | 35,003,850 | ||||||
30,000,000 | Mizuho Corporate Bank, 0.210%, 8/14/2014 | 30,000,360 | ||||||
15,000,000 | Standard Chartered Bank (NY), 0.230%, 8/26/2014 | 15,002,370 | ||||||
25,000,000 | Banco Del Estado de Chile, 0.220%, 8/28/2014 | 25,001,625 | ||||||
5,000,000 | Bank of Montreal (IL), 0.170%, 9/10/2014 | 5,000,000 | ||||||
5,000,000 | Mizuho Corporate Bank, 0.210%, 10/02/2014 | 4,999,740 | ||||||
25,000,000 | Toronto Dominion Bank, 0.250%, 10/10/2014(c) | 25,006,350 | ||||||
25,000,000 | Svenska Handelsbanken (NY), 0.170%, 10/16/2014 | 24,993,250 | ||||||
15,000,000 | Banco Del Estado de Chile, 0.200%, 10/20/2014 | 14,999,070 | ||||||
30,000,000 | Westpac Banking Corp. (NY), 0.290%, 11/06/2014(d) | 30,011,790 | ||||||
30,000,000 | Bank of Nova Scotia (TX), 0.250%, 11/12/2014 | 30,005,610 | ||||||
35,000,000 | Norinchukin Bank, 0.250%, 11/14/2014 | 35,000,000 | ||||||
25,000,000 | Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(d) | 25,009,800 | ||||||
35,000,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014 | 34,998,425 | ||||||
30,500,000 | Societe Generale S.A., 0.280%, 2/02/2015(b)(c)(e) | 30,496,675 | ||||||
5,000,000 | Rabobank Nederland (NY), 0.307%, 6/15/2015(b) | 4,999,030 | ||||||
15,000,000 | China Construction Bank Corp. (NY), 0.404%, 7/20/2015(b)(e) | 15,000,000 | ||||||
|
| |||||||
720,530,952 | ||||||||
|
| |||||||
Financial Company Commercial Paper — 13.0% | ||||||||
30,000,000 | Dexia Credit Local, 0.230%, 7/08/2014(d)(f) | 29,999,070 | ||||||
6,000,000 | Societe Generale North America, 0.055%, 7/09/2014(f) | 5,999,927 | ||||||
30,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.190%, 8/19/2014(f) | 29,994,030 | ||||||
35,000,000 | ING (U.S.) Funding LLC, 0.200%, 9/04/2014(f) | 34,988,835 | ||||||
5,000,000 | General Electric Capital Corp., 0.120%, 10/03/2014(f) | 4,998,510 | ||||||
35,000,000 | General Electric Capital Corp., 0.180%, 12/11/2014(f) | 34,974,660 | ||||||
|
| |||||||
140,955,032 | ||||||||
|
| |||||||
Commercial Paper — 2.3% | ||||||||
24,400,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 7/15/2014(f) | 24,398,292 | ||||||
|
|
See accompanying notes to financial statements.
| 16
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Other Notes — 1.8% | ||||||||
$ | 5,000,000 | JPMorgan Chase Bank NA, Series 1, 0.351%, 7/07/2015(b) | $ | 5,000,115 | ||||
15,000,000 | Wells Fargo, 0.321%, 7/20/2015(b) | 15,002,760 | ||||||
|
| |||||||
20,002,875 | ||||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $905,849,086) | 905,887,151 | |||||||
|
| |||||||
Total Investments — 83.8% (Identified Cost $905,849,086)(a) | 905,887,151 | |||||||
Other assets less liabilities — 16.2% | 174,767,353 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,080,654,504 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At June 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $905,849,086 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 | $ | 52,246 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (14,181 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 38,065 | ||||||
|
| |||||||
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost. | ||||||||
(b) | Variable rate security. Rate as of June 30, 2014 is disclosed. | |||||||
(c) | All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts. | |||||||
(d) | A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts. | |||||||
(e) | Security payable on demand at par including accrued interest. | |||||||
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
See accompanying notes to financial statements.
17 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
At June 30, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Buy | 9/17/2014 | Australian Dollar | 12,400,000 | $ | 11,629,075 | $ | 120,982 | |||||||||||
Buy | 9/17/2014 | British Pound | 15,437,500 | 26,403,139 | 542,162 | |||||||||||||
Buy | 9/17/2014 | Canadian Dollar | 47,400,000 | 44,337,809 | 352,677 | |||||||||||||
Sell | 9/17/2014 | Canadian Dollar | 26,400,000 | 24,694,476 | (621,206 | ) | ||||||||||||
Sell | 9/17/2014 | Euro | 2,500,000 | 3,424,238 | (14,753 | ) | ||||||||||||
Buy | 9/17/2014 | Japanese Yen | 2,150,000,000 | 21,234,751 | 127,163 | |||||||||||||
Sell | 9/17/2014 | Japanese Yen | 1,725,000,000 | 17,037,184 | (198,963 | ) | ||||||||||||
Buy | 9/17/2014 | New Zealand Dollar | 26,700,000 | 23,209,733 | 923,616 | |||||||||||||
Buy | 9/17/2014 | Norwegian Krone | 20,000,000 | 3,251,115 | (82,241 | ) | ||||||||||||
Sell | 9/17/2014 | Norwegian Krone | 24,000,000 | 3,901,338 | 58,249 | |||||||||||||
Buy | 9/17/2014 | Singapore Dollar | 64,875,000 | 52,030,492 | 175,035 | |||||||||||||
Sell | 9/17/2014 | South African Rand | 143,500,000 | 13,322,440 | (159,270 | ) | ||||||||||||
Sell | 9/17/2014 | Swedish Krona | 128,000,000 | 19,142,233 | 73,443 | |||||||||||||
Buy | 9/17/2014 | Swiss Franc | 3,375,000 | 3,808,309 | 47,533 | |||||||||||||
Sell | 9/17/2014 | Swiss Franc | 3,750,000 | 4,231,455 | (42,522 | ) | ||||||||||||
Sell | 9/17/2014 | Turkish Lira | 3,900,000 | 1,812,092 | (9,997 | ) | ||||||||||||
|
| |||||||||||||||||
Total | $ | 1,291,908 | ||||||||||||||||
|
|
1 Counterparty is UBS AG.
At June 30, 2014, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
AEX-Index® | 7/18/2014 | 458 | $ | 51,833,082 | $ | (112,885 | ) | |||||||||
ASX SPI 200™ | 9/18/2014 | 373 | 47,077,752 | (52,758 | ) | |||||||||||
CAC 40® | 7/18/2014 | 453 | 27,429,358 | (563,768 | ) | |||||||||||
DAX | 9/19/2014 | 103 | 34,764,087 | (156,905 | ) | |||||||||||
E-mini Dow | 9/19/2014 | 470 | 39,339,000 | (105,750 | ) | |||||||||||
E-mini NASDAQ 100 | 9/19/2014 | 577 | 44,319,370 | 564,883 | ||||||||||||
E-mini S&P 500® | 9/19/2014 | 357 | 34,852,125 | 282,923 | ||||||||||||
Euribor | 12/15/2014 | 4,035 | 1,379,071,614 | 1,066,000 | ||||||||||||
Euro Schatz | 9/08/2014 | 4,413 | 668,687,635 | 392,777 | ||||||||||||
EURO STOXX 50® | 9/19/2014 | 731 | 32,350,979 | (450,431 | ) | |||||||||||
Euro-BTP | 9/08/2014 | 493 | 85,179,707 | 1,755,443 | ||||||||||||
Euro-OAT | 9/08/2014 | 761 | 146,437,533 | 2,834,452 | ||||||||||||
Eurodollar | 12/15/2014 | 3,091 | 770,624,937 | (29,050 | ) | |||||||||||
FTSE 100 Index | 9/19/2014 | 359 | 41,231,883 | (70,655 | ) | |||||||||||
FTSE MIB | 9/19/2014 | 145 | 21,148,398 | (557,921 | ) | |||||||||||
FTSE/JSE Top 40 Index | 9/18/2014 | 783 | 33,918,956 | (10,349 | ) | |||||||||||
German Euro BOBL | 9/08/2014 | 1,392 | 244,224,237 | 1,562,974 | ||||||||||||
German Euro Bund | 9/08/2014 | 639 | 128,631,234 | 1,732,466 | ||||||||||||
Hang Seng Index® | 7/30/2014 | 235 | 35,026,837 | 549,178 | ||||||||||||
IBEX 35 | 7/18/2014 | 291 | 43,255,518 | (224,469 | ) |
See accompanying notes to financial statements.
| 18
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
Financial Futures (continued) | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Mini-Russell 2000 | 9/19/2014 | 308 | $ | 36,661,240 | $ | 604,910 | ||||||||||
MSCI Singapore | 7/30/2014 | 641 | 38,092,951 | 5,141 | ||||||||||||
MSCI Taiwan Index | 7/30/2014 | 1,117 | 37,129,080 | 586,425 | ||||||||||||
Nikkei 225™ | 9/11/2014 | 127 | 19,005,182 | 28,932 | ||||||||||||
OMXS30® | 7/18/2014 | 1,900 | 39,228,173 | (137,193 | ) | |||||||||||
S&P CNX Nifty Futures Index | 7/31/2014 | 2,584 | 39,413,752 | 200,126 | ||||||||||||
S&P/TSX 60 Index | 9/18/2014 | 307 | 49,698,871 | 960,174 | ||||||||||||
Sterling | 12/17/2014 | 331 | 70,200,208 | (113,295 | ) | |||||||||||
TOPIX | 9/11/2014 | 218 | 27,167,958 | 516,460 | ||||||||||||
UK Long Gilt | 9/26/2014 | 381 | 71,672,602 | (34,331 | ) | |||||||||||
Ultra Long U.S. Treasury Bond | 9/19/2014 | 348 | 52,178,250 | 168,563 | ||||||||||||
2 Year U.S. Treasury Note | 9/30/2014 | 2,058 | 451,923,938 | (225,092 | ) | |||||||||||
3 Year Australia Government Bond | 9/15/2014 | 2,484 | 256,430,809 | 1,026,047 | ||||||||||||
5 Year U.S. Treasury Note | 9/30/2014 | 1,191 | 142,277,977 | (167,483 | ) | |||||||||||
10 Year Australia Government Bond | 9/15/2014 | 709 | 80,541,927 | 1,124,313 | ||||||||||||
10 Year Canada Government Bond | 9/19/2014 | 878 | 111,888,328 | 954,557 | ||||||||||||
10 Year Japan Government Bond | 9/10/2014 | 181 | 260,230,492 | 821,875 | ||||||||||||
10 Year U.S. Treasury Note | 9/19/2014 | 697 | 87,244,797 | 43,563 | ||||||||||||
30 Year U.S. Treasury Bond | 9/19/2014 | 477 | 65,438,438 | 268,313 | ||||||||||||
|
| |||||||||||||||
Total | $ | 15,038,160 | ||||||||||||||
|
| |||||||||||||||
Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Aluminum LME | 9/17/2014 | 29 | $ | 1,370,794 | $ | 44,406 | ||||||||||
Brent Crude Oil | 7/16/2014 | 204 | 22,921,440 | 372,580 | ||||||||||||
Cocoa | 9/15/2014 | 435 | 13,602,450 | 218,130 | ||||||||||||
Coffee | 9/18/2014 | 41 | 2,692,163 | 8,438 | ||||||||||||
Copper High Grade | 9/26/2014 | 145 | 11,612,687 | 118,025 | ||||||||||||
Copper LME | 9/17/2014 | 14 | 2,458,400 | 95,785 | ||||||||||||
Gas Oil | 8/12/2014 | 176 | 16,170,000 | (237,600 | ) | |||||||||||
Gasoline | 7/31/2014 | 112 | 14,315,683 | (69,149 | ) | |||||||||||
Gold | 8/27/2014 | 21 | 2,776,200 | 17,560 | ||||||||||||
Live Cattle | 8/29/2014 | 378 | 22,691,340 | 1,763,190 | ||||||||||||
Natural Gas | 7/29/2014 | 149 | 6,646,890 | (318,360 | ) | |||||||||||
New York Harbor ULSD | 7/31/2014 | 100 | 12,496,260 | (321,472 | ) | |||||||||||
Nickel LME | 9/17/2014 | 165 | 18,846,630 | (77,220 | ) | |||||||||||
Silver | 9/26/2014 | 100 | 10,528,000 | (26,965 | ) | |||||||||||
Soybean | 11/14/2014 | 140 | 8,100,750 | (554,713 | ) | |||||||||||
Soybean Meal | 12/12/2014 | 198 | 7,274,520 | (561,610 | ) | |||||||||||
WTI Crude Oil | 7/22/2014 | 182 | 19,177,340 | (91,000 | ) | |||||||||||
Zinc LME | 9/17/2014 | 226 | 12,543,000 | 788,175 | ||||||||||||
|
| |||||||||||||||
Total | $ | 1,168,200 | ||||||||||||||
|
|
See accompanying notes to financial statements.
19 |
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Managed Futures Strategy Fund – (continued)
At June 30, 2014, open short futures contracts were as follows:
Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Copper LME | 9/17/2014 | 10 | $ | 1,756,000 | $ | (88,038 | ) | |||||||||
Corn | 12/12/2014 | 656 | 13,948,200 | 385,538 | ||||||||||||
Cotton | 12/08/2014 | 264 | 9,703,320 | 497,055 | ||||||||||||
Nickel LME | 9/17/2014 | 71 | 8,109,762 | (309,702 | ) | |||||||||||
Soybean Oil | 12/12/2014 | 520 | 12,214,800 | 151,368 | ||||||||||||
Sugar | 9/30/2014 | 88 | 1,775,066 | (33,152 | ) | |||||||||||
Wheat | 9/12/2014 | 777 | 22,435,875 | 713,175 | ||||||||||||
|
| |||||||||||||||
Total | $ | 1,316,244 | ||||||||||||||
|
|
2 | Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements. |
Investment Summary at June 30, 2014 (Unaudited)
Certificates of Deposit | 66.7 | % | ||
Financial Company Commercial Paper | 13.0 | |||
Commercial Paper | 2.3 | |||
Other Notes | 1.8 | |||
|
| |||
Total Investments | 83.8 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 16.2 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 47.0% of Net Assets | ||||||||
Aerospace & Defense — 1.3% | ||||||||
1,095 | Boeing Co. (The) | $ | 139,317 | |||||
263 | Honeywell International, Inc. | 24,446 | ||||||
718 | Northrop Grumman Corp. | 85,895 | ||||||
393 | Precision Castparts Corp. | 99,193 | ||||||
637 | Rockwell Collins, Inc. | 49,775 | ||||||
1,476 | United Technologies Corp. | 170,404 | ||||||
|
| |||||||
569,030 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% | ||||||||
628 | FedEx Corp. | 95,067 | ||||||
1,419 | United Parcel Service, Inc., Class B | 145,674 | ||||||
|
| |||||||
240,741 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
3,142 | Southwest Airlines Co. | 84,394 | ||||||
|
| |||||||
Auto Components — 0.2% | ||||||||
1,807 | Johnson Controls, Inc. | 90,224 | ||||||
|
| |||||||
Banks — 3.1% | ||||||||
14,514 | Bank of America Corp. | 223,080 | ||||||
5,149 | Citigroup, Inc. | 242,518 | ||||||
4,927 | JPMorgan Chase & Co. | 283,894 | ||||||
1,383 | PNC Financial Services Group, Inc. (The) | 123,156 | ||||||
3,509 | U.S. Bancorp | 152,010 | ||||||
7,370 | Wells Fargo & Co. | 387,367 | ||||||
|
| |||||||
1,412,025 | ||||||||
|
| |||||||
Beverages — 1.5% | ||||||||
3,742 | Coca-Cola Co. (The) | 158,511 | ||||||
2,010 | Coca-Cola Enterprises, Inc. | 96,038 | ||||||
1,790 | Dr Pepper Snapple Group, Inc. | 104,858 | ||||||
3,261 | PepsiCo, Inc. | 291,338 | ||||||
|
| |||||||
650,745 | ||||||||
|
| |||||||
Biotechnology — 1.8% | ||||||||
733 | Alexion Pharmaceuticals, Inc.(b) | 114,531 | ||||||
515 | Biogen Idec, Inc.(b) | 162,385 | ||||||
1,866 | Celgene Corp.(b) | 160,252 | ||||||
3,036 | Gilead Sciences, Inc.(b) | 251,715 | ||||||
358 | Regeneron Pharmaceuticals, Inc.(b) | 101,124 | ||||||
|
| |||||||
790,007 | ||||||||
|
| |||||||
Capital Markets — 0.2% | ||||||||
2,681 | Bank of New York Mellon Corp. (The) | 100,484 | ||||||
|
| |||||||
Chemicals — 1.5% | ||||||||
490 | Air Products & Chemicals, Inc. | 63,024 | ||||||
1,753 | Dow Chemical Co. (The) | 90,209 | ||||||
1,676 | E.I. du Pont de Nemours & Co. | 109,677 | ||||||
508 | Ecolab, Inc. | 56,561 |
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
Shares | Description | Value (†) | ||||||
Chemicals — continued | ||||||||
502 | LyondellBasell Industries NV, Class A | $ | 49,020 | |||||
879 | Monsanto Co. | 109,647 | ||||||
618 | Praxair, Inc. | 82,095 | ||||||
275 | Sherwin-Williams Co. (The) | 56,900 | ||||||
479 | Sigma-Aldrich Corp. | 48,609 | ||||||
|
| |||||||
665,742 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% | ||||||||
513 | Stericycle, Inc.(b) | 60,749 | ||||||
|
| |||||||
Communications Equipment — 1.0% | ||||||||
7,548 | Cisco Systems, Inc. | 187,568 | ||||||
3,301 | QUALCOMM, Inc. | 261,439 | ||||||
|
| |||||||
449,007 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
1,454 | Quanta Services, Inc.(b) | 50,279 | ||||||
|
| |||||||
Consumer Finance — 0.4% | ||||||||
1,850 | American Express Co. | 175,510 | ||||||
|
| |||||||
Containers & Packaging — 0.2% | ||||||||
622 | MeadWestvaco Corp. | 27,530 | ||||||
1,305 | Sealed Air Corp. | 44,592 | ||||||
|
| |||||||
72,122 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
743 | Genuine Parts Co. | 65,235 | ||||||
|
| |||||||
Diversified Financial Services — 0.9% | ||||||||
2,780 | Berkshire Hathaway, Inc., Class B(b) | 351,837 | ||||||
880 | McGraw Hill Financial, Inc. | 73,066 | ||||||
|
| |||||||
424,903 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.1% | ||||||||
2,456 | CenturyLink, Inc. | 88,907 | ||||||
13,274 | Frontier Communications Corp. | 77,520 | ||||||
6,591 | Verizon Communications, Inc. | 322,498 | ||||||
|
| |||||||
488,925 | ||||||||
|
| |||||||
Electric Utilities — 0.8% | ||||||||
939 | American Electric Power Co., Inc. | 52,368 | ||||||
1,017 | Duke Energy Corp. | 75,451 | ||||||
679 | NextEra Energy, Inc. | 69,584 | ||||||
814 | Northeast Utilities | 38,478 | ||||||
1,329 | PPL Corp. | 47,219 | ||||||
1,688 | Southern Co. (The) | 76,602 | ||||||
|
| |||||||
359,702 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% | ||||||||
6,246 | Corning, Inc. | 137,100 | ||||||
1,860 | TE Connectivity Ltd. | 115,022 | ||||||
|
| |||||||
252,122 | ||||||||
|
|
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
Shares | Description | Value (†) | ||||||
Energy Equipment & Services — 1.1% | ||||||||
2,346 | Halliburton Co. | $ | 166,589 | |||||
836 | National Oilwell Varco, Inc. | 68,845 | ||||||
2,255 | Schlumberger Ltd. | 265,977 | ||||||
|
| |||||||
501,411 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% | ||||||||
2,892 | CVS Caremark Corp. | 217,970 | ||||||
1,998 | Wal-Mart Stores, Inc. | 149,990 | ||||||
2,586 | Walgreen Co. | 191,700 | ||||||
|
| |||||||
559,660 | ||||||||
|
| |||||||
Food Products — 0.5% | ||||||||
2,814 | Archer-Daniels-Midland Co. | 124,125 | ||||||
371 | Mead Johnson Nutrition Co. | 34,566 | ||||||
2,075 | Mondelez International, Inc., Class A | 78,041 | ||||||
|
| |||||||
236,732 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% | ||||||||
508 | CR Bard, Inc. | 72,649 | ||||||
2,624 | Medtronic, Inc. | 167,306 | ||||||
1,388 | St. Jude Medical, Inc. | 96,119 | ||||||
|
| |||||||
336,074 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.6% | ||||||||
1,584 | DaVita HealthCare Partners, Inc.(b) | 114,555 | ||||||
720 | McKesson Corp. | 134,071 | ||||||
|
| |||||||
248,626 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||
101 | Chipotle Mexican Grill, Inc.(b) | 59,843 | ||||||
1,662 | McDonald’s Corp. | 167,430 | ||||||
843 | Starwood Hotels & Resorts Worldwide, Inc. | 68,131 | ||||||
753 | Yum! Brands, Inc. | 61,144 | ||||||
|
| |||||||
356,548 | ||||||||
|
| |||||||
Household Durables — 0.3% | ||||||||
1,215 | Garmin Ltd. | 73,994 | ||||||
1,346 | Lennar Corp., Class A | 56,505 | ||||||
|
| |||||||
130,499 | ||||||||
|
| |||||||
Household Products — 0.6% | ||||||||
1,350 | Colgate-Palmolive Co. | 92,043 | ||||||
2,519 | Procter & Gamble Co. (The) | 197,968 | ||||||
|
| |||||||
290,011 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.4% | ||||||||
1,005 | 3M Co. | 143,956 | ||||||
1,391 | Danaher Corp. | 109,514 | ||||||
14,855 | General Electric Co. | 390,389 | ||||||
|
| |||||||
643,859 | ||||||||
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
Shares | Description | Value (†) | ||||||
Insurance — 1.7% | ||||||||
2,860 | American International Group, Inc. | $ | 156,099 | |||||
932 | Assurant, Inc. | 61,093 | ||||||
943 | Chubb Corp. (The) | 86,916 | ||||||
1,288 | Lincoln National Corp. | 66,255 | ||||||
1,848 | Marsh & McLennan Cos., Inc. | 95,763 | ||||||
1,395 | MetLife, Inc. | 77,506 | ||||||
1,415 | Principal Financial Group, Inc. | 71,429 | ||||||
710 | Torchmark Corp. | 58,163 | ||||||
2,256 | XL Group PLC | 73,839 | ||||||
|
| |||||||
747,063 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.7% | ||||||||
540 | Amazon.com, Inc.(b) | 175,381 | ||||||
100 | Priceline Group, Inc. (The)(b) | 120,300 | ||||||
|
| |||||||
295,681 | ||||||||
|
| |||||||
Internet Software & Services — 1.5% | ||||||||
2,595 | Facebook, Inc., Class A(b) | 174,618 | ||||||
413 | Google, Inc., Class A(b) | 241,469 | ||||||
415 | Google, Inc., Class C(b) | 238,741 | ||||||
|
| |||||||
654,828 | ||||||||
|
| |||||||
IT Services — 0.4% | ||||||||
739 | International Business Machines Corp. | 133,958 | ||||||
1,496 | Paychex, Inc. | 62,174 | ||||||
|
| |||||||
196,132 | ||||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
807 | Hasbro, Inc. | 42,811 | ||||||
|
| |||||||
Machinery — 0.6% | ||||||||
1,305 | Caterpillar, Inc. | 141,814 | ||||||
578 | Dover Corp. | 52,569 | ||||||
946 | Illinois Tool Works, Inc. | 82,832 | ||||||
|
| |||||||
277,215 | ||||||||
|
| |||||||
Media — 1.8% | ||||||||
3,668 | Comcast Corp., Class A | 196,898 | ||||||
1,240 | DIRECTV(b) | 105,412 | ||||||
678 | Time Warner Cable, Inc. | 99,869 | ||||||
1,536 | Time Warner, Inc. | 107,904 | ||||||
192 | Time, Inc.(b) | 4,650 | ||||||
2,570 | Twenty-First Century Fox, Inc., Class A | 90,336 | ||||||
2,490 | Walt Disney Co. (The) | 213,493 | ||||||
|
| |||||||
818,562 | ||||||||
|
| |||||||
Multi-Utilities — 0.7% | ||||||||
1,829 | CMS Energy Corp. | 56,973 | ||||||
681 | Consolidated Edison, Inc. | 39,321 | ||||||
1,289 | Dominion Resources, Inc. | 92,189 | ||||||
1,716 | NiSource, Inc. | 67,508 | ||||||
961 | PG&E Corp. | 46,147 | ||||||
|
| |||||||
302,138 | ||||||||
|
|
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
Shares | Description | Value (†) | ||||||
Multiline Retail — 0.5% | ||||||||
1,301 | Macy’s, Inc. | $ | 75,484 | |||||
972 | Nordstrom, Inc. | 66,028 | ||||||
1,362 | Target Corp. | 78,928 | ||||||
|
| |||||||
220,440 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.9% | ||||||||
2,294 | Chevron Corp. | 299,482 | ||||||
1,569 | ConocoPhillips | 134,510 | ||||||
2,089 | CONSOL Energy, Inc. | 96,240 | ||||||
1,438 | EOG Resources, Inc. | 168,045 | ||||||
4,838 | ExxonMobil Corp. | 487,090 | ||||||
646 | Hess Corp. | 63,883 | ||||||
2,766 | Kinder Morgan, Inc. | 100,295 | ||||||
1,123 | Marathon Petroleum Corp. | 87,672 | ||||||
1,406 | Murphy Oil Corp. | 93,471 | ||||||
1,607 | Phillips 66 | 129,251 | ||||||
2,654 | Spectra Energy Corp. | 112,742 | ||||||
|
| |||||||
1,772,681 | ||||||||
|
| |||||||
Pharmaceuticals — 3.2% | ||||||||
3,199 | AbbVie, Inc. | 180,552 | ||||||
601 | Actavis PLC(b) | 134,053 | ||||||
751 | Allergan, Inc. | 127,084 | ||||||
4,596 | Johnson & Johnson | 480,833 | ||||||
5,323 | Merck & Co., Inc. | 307,936 | ||||||
1,688 | Mylan, Inc.(b) | 87,033 | ||||||
4,209 | Pfizer, Inc. | 124,923 | ||||||
|
| |||||||
1,442,414 | ||||||||
|
| |||||||
Professional Services — 0.1% | ||||||||
681 | Equifax, Inc. | 49,400 | ||||||
|
| |||||||
REITs – Apartments — 0.2% | ||||||||
582 | AvalonBay Communities, Inc. | 82,755 | ||||||
|
| |||||||
REITs – Diversified — 0.4% | ||||||||
1,183 | American Tower Corp. | 106,447 | ||||||
2,692 | Weyerhaeuser Co. | 89,078 | ||||||
|
| |||||||
195,525 | ||||||||
|
| |||||||
REITs – Storage — 0.2% | ||||||||
519 | Public Storage | 88,931 | ||||||
|
| |||||||
REITs – Warehouse/Industrials — 0.2% | ||||||||
2,007 | ProLogis, Inc. | 82,468 | ||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
2,687 | CSX Corp. | 82,786 | ||||||
1,702 | Union Pacific Corp. | 169,775 | ||||||
|
| |||||||
252,561 | ||||||||
|
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
Shares | Description | Value (†) | ||||||
Semiconductors & Semiconductor Equipment — 1.5% | ||||||||
1,946 | Analog Devices, Inc. | $ | 105,220 | |||||
3,814 | Applied Materials, Inc. | 86,006 | ||||||
9,795 | Intel Corp. | 302,666 | ||||||
1,006 | Lam Research Corp. | 67,985 | ||||||
1,907 | Microchip Technology, Inc. | 93,081 | ||||||
|
| |||||||
654,958 | ||||||||
|
| |||||||
Software — 1.8% | ||||||||
1,876 | Adobe Systems, Inc.(b) | 135,747 | ||||||
9,868 | Microsoft Corp. | 411,496 | ||||||
6,792 | Oracle Corp. | 275,280 | ||||||
|
| |||||||
822,523 | ||||||||
|
| |||||||
Specialty Retail — 0.7% | ||||||||
82 | AutoZone, Inc.(b) | 43,972 | ||||||
2,230 | Home Depot, Inc. (The) | 180,541 | ||||||
1,967 | Lowe’s Cos., Inc. | 94,396 | ||||||
|
| |||||||
318,909 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.2% | ||||||||
7,672 | Apple, Inc. | 712,959 | ||||||
4,015 | EMC Corp. | 105,755 | ||||||
5,161 | Hewlett-Packard Co. | 173,823 | ||||||
|
| |||||||
992,537 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||
1,037 | NIKE, Inc., Class B | 80,419 | ||||||
441 | PVH Corp. | 51,421 | ||||||
702 | Under Armour, Inc., Class A(b) | 41,762 | ||||||
|
| |||||||
173,602 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
6,681 | Hudson City Bancorp, Inc. | 65,674 | ||||||
|
| |||||||
Tobacco — 0.6% | ||||||||
1,904 | Philip Morris International, Inc. | 160,526 | ||||||
1,946 | Reynolds American, Inc. | 117,441 | ||||||
|
| |||||||
277,967 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.0% | ||||||||
209 | NOW, Inc.(b) | 7,568 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $19,075,560) | 21,140,709 | |||||||
|
| |||||||
Exchange Traded Funds — 9.0% | ||||||||
20,703 | SPDR® S&P 500® ETF Trust (Identified Cost $3,800,885) | 4,051,991 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 39.8% | ||||||||
Certificates of Deposit — 31.8% | ||||||||
$ | 800,000 | Canadian Imperial Bank, 0.010%, 7/01/2014 | $ | 800,000 | ||||
750,000 | Royal Bank of Canada, 0.050%, 7/01/2014 | 750,000 | ||||||
800,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.120%, 7/02/2014(c) | 800,000 | ||||||
600,000 | Oversea-Chinese Banking Corp. Ltd., 0.200%, 7/07/2014(c) | 600,010 | ||||||
600,000 | Industrial & Commercial Bank of China, 0.340%, 7/09/2014(c) | 600,000 | ||||||
200,000 | DNB Bank ASA (NY), 0.220%, 7/10/2014(c) | 200,005 | ||||||
600,000 | Credit Industriel et Commercial, 0.250%, 7/15/2014(c) | 600,016 | ||||||
700,000 | Agricultural Bank of China, 0.400%, 7/15/2014(c) | 700,001 | ||||||
300,000 | China Construction Bank Corp. (NY), 0.380%, 7/22/2014(c) | 300,001 | ||||||
650,000 | Sumitomo Mitsui Bank (NY), 0.210%, 7/29/2014(c) | 650,016 | ||||||
700,000 | Credit Agricole, 0.130%, 8/01/2014(c) | 700,000 | ||||||
500,000 | National Bank of Kuwait, 0.280%, 8/13/2014(c) | 500,055 | ||||||
600,000 | Mizuho Corporate Bank, 0.210%, 8/14/2014(c) | 600,007 | ||||||
700,000 | Standard Chartered Bank (NY), 0.230%, 8/26/2014(c) | 700,111 | ||||||
650,000 | Banco Del Estado de Chile, 0.220%, 8/28/2014(c) | 650,042 | ||||||
700,000 | Bank of Montreal (IL), 0.170%, 9/10/2014(c) | 700,000 | ||||||
350,000 | Toronto Dominion Bank, 0.250%, 10/10/2014(c) | 350,089 | ||||||
700,000 | Svenska Handelsbanken (NY), 0.170%, 10/16/2014(c) | 699,811 | ||||||
300,000 | National Australia Bank, 0.223%, 10/23/2014(c)(d) | 300,031 | ||||||
700,000 | Westpac Banking Corp. (NY), 0.290%, 11/06/2014(c) | 700,275 | ||||||
400,000 | Bank of Nova Scotia (TX), 0.250%, 11/12/2014(c) | 400,075 | ||||||
700,000 | Norinchukin Bank, 0.250%, 11/14/2014(c) | 700,000 | ||||||
700,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014(c) | 699,968 | ||||||
100,000 | Societe Generale S.A., 0.280%, 2/02/2015(c)(d)(e) | 99,989 | ||||||
500,000 | Rabobank Nederland (NY), 0.307%, 6/15/2015(c)(d) | 499,903 | ||||||
|
| |||||||
14,300,405 | ||||||||
|
| |||||||
Financial Company Commercial Paper — 8.0% | ||||||||
550,000 | Dexia Credit Local, 0.230%, 7/08/2014(c)(f) | 549,983 | ||||||
600,000 | Societe Generale North America, 0.055%, 7/09/2014(c)(f) | 599,993 | ||||||
800,000 | Swedbank, 0.130%, 7/30/2014(c)(f) | 799,916 | ||||||
700,000 | ING (U.S.) Funding LLC, 0.200%, 9/04/2014(c)(f) | 699,777 | ||||||
250,000 | Bank of Nova Scotia (NY), 0.205%, 9/22/2014(c)(f) | 249,914 | ||||||
700,000 | General Electric Capital Corp., 0.180%, 12/11/2014(c)(f) | 699,493 | ||||||
|
| |||||||
3,599,076 | ||||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $17,899,167) | 17,899,481 | |||||||
|
| |||||||
Total Investments — 95.8% (Identified Cost $40,775,612)(a) | 43,092,181 | |||||||
Other assets less liabilities — 4.2% | 1,878,595 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 44,970,776 | ||||||
|
|
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund – (continued)
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $40,775,612 for federal income tax purposes was as follows: | ||||||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost | $ | 2,387,421 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (70,852 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 2,316,569 | ||||||
|
| |||||||
(b) | Non-income producing security. | |||||||
(c) | All of this security has been designated to cover the Fund’s obligations under open futures contracts. | |||||||
(d) | Variable rate security. Rate as of June 30, 2014 is disclosed. | |||||||
(e) | Security payable on demand at par including accrued interest. | |||||||
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
ETF | Exchange Traded Fund | |||||||
REITs | Real Estate Investment Trusts | |||||||
SPDR | Standard & Poor’s Depositary Receipt |
At June 30, 2014, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
E-mini S&P 500® | 9/19/2014 | 326 | $ | 31,825,750 | $ | 249,243 | ||||||||||
|
|
Industry Summary at June 30, 2014 (Unaudited)
Exchange Traded Funds | 9.0 | % | ||
Oil, Gas & Consumable Fuels | 3.9 | |||
Pharmaceuticals | 3.2 | |||
Banks | 3.1 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Other Investments, less than 2% each | 34.6 | |||
Short-Term Investments | 39.8 | |||
|
| |||
Total Investments | 95.8 | |||
Other assets less liabilities (including futures contracts) | 4.2 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 28
Table of Contents
Statements of Assets and Liabilities
June 30, 2014 (Unaudited)
ASG Global Alternatives Fund (Consolidated*) | ASG Managed Futures Strategy Fund (Consolidated*) | ASG Tactical U.S. Market Fund | ||||||||||
ASSETS | ||||||||||||
Investments at cost | $ | 2,697,625,383 | $ | 905,849,086 | $ | 40,775,612 | ||||||
Net unrealized appreciation | 119,027 | 38,065 | 2,316,569 | |||||||||
|
| �� |
|
|
| |||||||
Investments at value | 2,697,744,410 | 905,887,151 | 43,092,181 | |||||||||
Cash | 14,992,507 | 42,316,906 | 158,718 | |||||||||
Due from brokers (including variation margin on futures contracts) (Note 2) | 205,802,957 | 70,958,378 | 1,309,853 | |||||||||
Receivable for Fund shares sold | 14,604,085 | 43,862,347 | 172,531 | |||||||||
Dividends and interest receivable | 884,601 | 306,567 | 47,318 | |||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 528,088 | 2,420,860 | — | |||||||||
Unrealized appreciation on futures contracts (Note 2) | 19,486,909 | 23,223,920 | 249,243 | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 2,954,043,557 | 1,088,976,129 | 45,029,844 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Payable for Fund shares redeemed | 4,551,237 | 305,120 | 2,645 | |||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 10,590,859 | 1,128,952 | — | |||||||||
Unrealized depreciation on futures contracts (Note 2) | 13,375,510 | 5,701,316 | — | |||||||||
Management fees payable (Note 6) | 2,693,699 | 996,404 | 24,399 | |||||||||
Deferred Trustees’ fees (Note 6) | 93,311 | 49,761 | 5,811 | |||||||||
Administrative fees payable (Note 6) | 113,865 | 60,401 | 1,545 | |||||||||
Payable to distributor (Note 6d) | 15,070 | 17,197 | 1,691 | |||||||||
Other accounts payable and accrued expenses | 225,816 | 62,474 | 22,977 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 31,659,367 | 8,321,625 | 59,068 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 2,922,384,190 | $ | 1,080,654,504 | $ | 44,970,776 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 2,893,699,506 | $ | 1,081,018,406 | $ | 40,849,412 | ||||||
Accumulated net investment (loss)/Undistributed net investment income | (15,316,249 | ) | (6,446,932 | ) | 15,122 | |||||||
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions | 47,833,302 | (12,769,522 | ) | 1,540,430 | ||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | (3,832,369 | ) | 18,852,552 | 2,565,812 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 2,922,384,190 | $ | 1,080,654,504 | $ | 44,970,776 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2014 (Unaudited)
ASG Global Alternatives Fund (Consolidated*) | ASG Managed Futures Strategy Fund (Consolidated*) | ASG Tactical U.S. Market Fund | ||||||||||
COMPUTATION OF NET ASSET VALUE AND | ||||||||||||
Class A shares: | ||||||||||||
Net assets | $ | 236,580,800 | $ | 129,460,418 | $ | 928,755 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 21,183,846 | 12,177,504 | 80,063 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 11.17 | $ | 10.63 | $ | 11.60 | ||||||
|
|
|
|
|
| |||||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 11.85 | $ | 11.28 | $ | 12.31 | ||||||
|
|
|
|
|
| |||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 92,400,500 | $ | 20,829,386 | $ | 634,257 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 8,629,583 | 2,009,265 | 54,974 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 10.71 | $ | 10.37 | $ | 11.54 | ||||||
|
|
|
|
|
| |||||||
Class N shares: | ||||||||||||
Net assets | $ | 1,102 | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 98 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.27 | ** | $ | — | $ | — | |||||
|
|
|
|
|
| |||||||
Class Y shares: | ||||||||||||
Net assets | $ | 2,593,401,788 | $ | 930,364,700 | $ | 43,407,764 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 229,878,368 | 87,268,954 | 3,734,497 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.28 | $ | 10.66 | $ | 11.62 | ||||||
|
|
|
|
|
|
* | See Notes 1 and 2 of the Notes to Financial Statements. |
** | Net asset value calculations reflect fractional share and dollar amounts. |
See accompanying notes to financial statements.
| 30
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2014 (Unaudited)
ASG Global Alternatives Fund (Consolidated*) | ASG Managed Futures Strategy Fund (Consolidated*) | ASG Tactical U.S. Market Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Interest | $ | 2,840,554 | $ | 861,393 | $ | 14,160 | ||||||
Dividends | — | — | 211,465 | |||||||||
|
|
|
|
|
| |||||||
2,840,554 | 861,393 | 225,625 | ||||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Management fees (Note 6) | 15,206,247 | 5,654,451 | 143,959 | |||||||||
Service and distribution fees (Note 6) | 706,899 | 245,629 | 1,744 | |||||||||
Administrative fees (Note 6) | 616,261 | 271,130 | 7,828 | |||||||||
Trustees’ and directors’ fees and expenses (Note 6) | 37,645 | 22,832 | 7,719 | |||||||||
Transfer agent fees and expenses (Notes 6 and 7) | 977,440 | 620,554 | 12,094 | |||||||||
Audit and tax services fees | 34,158 | 32,380 | 16,634 | |||||||||
Custodian fees and expenses | 50,646 | 90,921 | 16,138 | |||||||||
Interest expense (Note 10) | 217,636 | 129,403 | — | |||||||||
Legal fees | 15,738 | 5,191 | 158 | |||||||||
Registration fees | 122,035 | 64,075 | 36,238 | |||||||||
Shareholder reporting expenses | 51,830 | 37,663 | 180 | |||||||||
Miscellaneous expenses | 34,685 | 18,055 | 5,863 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 18,071,220 | 7,192,284 | 248,555 | |||||||||
Less waiver and/or expense reimbursement (Note 6) | (14 | ) | (258,088 | ) | (39,845 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 18,071,206 | 6,934,196 | 208,710 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (15,230,652 | ) | (6,072,803 | ) | 16,915 | |||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 42,136 | 9,919 | (160,819 | ) | ||||||||
Futures contracts | 150,174,859 | 83,398,506 | 2,280,203 | |||||||||
Foreign currency transactions | (3,500,541 | ) | (8,473,621 | ) | — | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 21,447 | 7,233 | 1,470,281 | |||||||||
Futures contracts | (51,391,754 | ) | (15,546,358 | ) | (329,307 | ) | ||||||
Foreign currency translations | (20,780,809 | ) | (2,099,668 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 74,565,338 | 57,296,011 | 3,260,358 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 59,334,686 | $ | 51,223,208 | $ | 3,277,273 | ||||||
|
|
|
|
|
|
* | See Notes 1 and 2 of the Notes to Financial Statements. |
See accompanying notes to financial statements.
31 |
Table of Contents
This Page Intentionally Left Blank
| 32
Table of Contents
Statements of Changes in Net Assets
ASG Global Alternatives Fund (Consolidated*) | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (15,230,652 | ) | $ | (18,312,969 | ) | ||
Net realized gain on investments, futures contracts and foreign currency transactions | 146,716,454 | 184,366,460 | ||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | (72,151,116 | ) | 68,659,194 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 59,334,686 | 234,712,685 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (193,099 | ) | |||||
Class Y | — | (6,293,230 | ) | |||||
Net realized capital gains | ||||||||
Class A | (6,898,919 | ) | (12,878,022 | ) | ||||
Class C | (2,937,210 | ) | (6,465,274 | ) | ||||
Class N | (33 | ) | (61 | ) | ||||
Class Y | (77,197,372 | ) | (146,281,079 | ) | ||||
|
|
|
| |||||
Total distributions | (87,033,534 | ) | (172,110,765 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM | 506,944,384 | 1,180,857,664 | ||||||
|
|
|
| |||||
Net increase in net assets | 479,245,536 | 1,243,459,584 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 2,443,138,654 | 1,199,679,070 | ||||||
|
|
|
| |||||
End of the period | $ | 2,922,384,190 | $ | 2,443,138,654 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (15,316,249 | ) | $ | (85,597 | ) | ||
|
|
|
|
* | See Notes 1 and 2 of the Notes to Financial Statements. |
(a) | From commencement of operations on September 30, 2013 through December 31, 2013. |
See accompanying notes to financial statements.
33 |
Table of Contents
Statements of Changes in Net Assets (continued)
ASG Managed Futures Strategy Fund (Consolidated*) | ASG Tactical U.S. Market Fund | |||||||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | Six Months Ended June 30, 2014 (Unaudited) | Period Ended December 31, 2013(a) | |||||||||||
$ | (6,072,803 | ) | $ | (10,134,283 | ) | $ | 16,915 | $ | (6,010 | ) | ||||
74,934,804 | 75,477,499 | 2,119,384 | 823,676 | |||||||||||
(17,638,793 | ) | 27,333,697 | 1,140,974 | 1,424,838 | ||||||||||
|
|
|
|
|
|
|
| |||||||
51,223,208 | 92,676,913 | 3,277,273 | 2,242,504 | |||||||||||
|
|
|
|
|
|
|
| |||||||
— | — | — | — | |||||||||||
— | (13,582 | ) | — | — | ||||||||||
(1,120,489 | ) | — | (4,364 | ) | (697 | ) | ||||||||
(181,766 | ) | — | (7,508 | ) | (183 | ) | ||||||||
— | — | — | — | |||||||||||
(7,393,823 | ) | — | (844,370 | ) | (545,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||
(8,696,078 | ) | (13,582 | ) | (856,242 | ) | (546,076 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
198,146,965 | (13,315,443 | ) | 19,918,692 | 20,934,625 | ||||||||||
|
|
|
|
|
|
|
| |||||||
240,674,095 | 79,347,888 | 22,339,723 | 22,631,053 | |||||||||||
839,980,409 | 760,632,521 | 22,631,053 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,080,654,504 | $ | 839,980,409 | $ | 44,970,776 | $ | 22,631,053 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | (6,446,932 | ) | $ | (374,129 | ) | $ | 15,122 | $ | (1,793 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 34
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment loss (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
ASG GLOBAL ALTERNATIVES FUND (CONSOLIDATED*) | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(h) | $ | 11.33 | $ | (0.07 | ) | $ | 0.26 | $ | 0.19 | $ | — | $ | (0.35 | ) | $ | (0.35 | ) | |||||||||||
12/31/2013 | 10.62 | (0.15 | ) | 1.79 | 1.64 | (0.02 | ) | (0.91 | ) | (0.93 | ) | |||||||||||||||||
12/31/2012 | 10.26 | (0.14 | ) | 0.50 | 0.36 | — | — | — | ||||||||||||||||||||
12/31/2011 | 10.67 | (0.14 | ) | (0.21 | ) | (0.35 | ) | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||
12/31/2010 | 10.39 | (0.14 | ) | 0.86 | 0.72 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 | 9.69 | (0.14 | ) | 1.01 | 0.87 | (0.12 | ) | (0.05 | ) | (0.17 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(h) | 10.92 | (0.11 | ) | 0.25 | 0.14 | — | (0.35 | ) | (0.35 | ) | ||||||||||||||||||
12/31/2013 | 10.32 | (0.23 | ) | 1.74 | 1.51 | — | (0.91 | ) | (0.91 | ) | ||||||||||||||||||
12/31/2012 | 10.05 | (0.21 | ) | 0.48 | 0.27 | — | — | — | ||||||||||||||||||||
12/31/2011 | 10.53 | (0.22 | ) | (0.20 | ) | (0.42 | ) | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||
12/31/2010 | 10.33 | (0.21 | ) | 0.85 | 0.64 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 | 9.70 | (0.22 | ) | 1.01 | 0.79 | (0.11 | ) | (0.05 | ) | (0.16 | ) | |||||||||||||||||
Class N | ||||||||||||||||||||||||||||
6/30/2014(h) | 11.42 | (0.06 | ) | 0.26 | 0.20 | — | (0.35 | ) | (0.35 | ) | ||||||||||||||||||
12/31/2013(j) | 11.20 | (0.09 | ) | 0.99 | 0.90 | — | (0.68 | ) | (0.68 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(h) | 11.43 | (0.06 | ) | 0.26 | 0.20 | — | (0.35 | ) | (0.35 | ) | ||||||||||||||||||
12/31/2013 | 10.72 | (0.13 | ) | 1.82 | 1.69 | (0.07 | ) | (0.91 | ) | (0.98 | ) | |||||||||||||||||
12/31/2012 | 10.34 | (0.11 | ) | 0.49 | 0.38 | — | — | — | ||||||||||||||||||||
12/31/2011 | 10.72 | (0.12 | ) | (0.20 | ) | (0.32 | ) | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||
12/31/2010 | 10.41 | (0.11 | ) | 0.86 | 0.75 | (0.00 | ) | (0.44 | ) | (0.44 | ) | |||||||||||||||||
12/31/2009 | 9.70 | (0.09 | ) | 0.98 | 0.89 | (0.13 | ) | (0.05 | ) | (0.18 | ) |
* | See Notes 1 and 2 of the Notes to Financial Statements. |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
(h) | For the six months ended June 30, 2014 (Unaudited). |
(i) | Includes fee/expense recovery of 0.01%. |
(j) | From commencement of Class operations on May 1, 2013 through December 31, 2013. |
See accompanying notes to financial statements.
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Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses including interest expense (%) (e)(f) | Gross expenses including interest expense (%) (f) | Net expenses, excluding interest expense (%) (e)(f) | Gross expenses, excluding interest expense (%) (f) | Net investment loss (%) (f) | Portfolio turnover rate (%) (g) | ||||||||||||||||||||||||||
$11.17 | 1.82 | $ | 236,581 | 1.55 | 1.55 | 1.53 | 1.53 | (1.34 | ) | — | ||||||||||||||||||||||||
11.33 | 15.69 | 189,313 | 1.58 | 1.58 | 1.57 | 1.57 | (1.35 | ) | — | |||||||||||||||||||||||||
10.62 | 3.51 | 126,226 | 1.61 | (i) | 1.61 | (i) | 1.60 | (i) | 1.60 | (i) | (1.34 | ) | — | |||||||||||||||||||||
10.26 | (3.29 | ) | 280,353 | 1.61 | 1.61 | 1.60 | 1.60 | (1.34 | ) | — | ||||||||||||||||||||||||
10.67 | 6.94 | 204,313 | 1.61 | 1.67 | 1.60 | 1.66 | (1.28 | ) | — | |||||||||||||||||||||||||
10.39 | 8.95 | 82,160 | 1.61 | 1.92 | 1.60 | 1.92 | (1.33 | ) | — | |||||||||||||||||||||||||
10.71 | 1.42 | 92,401 | 2.30 | 2.30 | 2.28 | 2.28 | (2.09 | ) | — | |||||||||||||||||||||||||
10.92 | 14.86 | 85,323 | 2.33 | 2.33 | 2.32 | 2.32 | (2.10 | ) | — | |||||||||||||||||||||||||
10.32 | 2.69 | 71,227 | 2.36 | (i) | 2.36 | (i) | 2.35 | (i) | 2.35 | (i) | (2.10 | ) | — | |||||||||||||||||||||
10.05 | (4.00 | ) | 92,540 | 2.36 | 2.36 | 2.35 | 2.35 | (2.09 | ) | — | ||||||||||||||||||||||||
10.53 | 6.21 | 66,832 | 2.36 | 2.42 | 2.35 | 2.42 | (2.03 | ) | — | |||||||||||||||||||||||||
10.33 | 8.09 | 22,367 | 2.36 | 2.65 | 2.35 | 2.64 | (2.08 | ) | — | |||||||||||||||||||||||||
11.27 | 1.89 | 1 | 1.31 | 4.01 | 1.30 | 4.00 | (1.10 | ) | — | |||||||||||||||||||||||||
11.42 | 8.05 | 1 | 1.32 | 3.22 | 1.30 | 3.20 | (1.12 | ) | — | |||||||||||||||||||||||||
11.28 | 1.89 | 2,593,402 | 1.30 | 1.30 | 1.28 | 1.28 | (1.09 | ) | — | |||||||||||||||||||||||||
11.43 | 16.05 | 2,168,502 | 1.33 | 1.33 | 1.32 | 1.32 | (1.10 | ) | — | |||||||||||||||||||||||||
10.72 | 3.68 | 1,002,226 | 1.36 | (i) | 1.36 | (i) | 1.35 | (i) | 1.35 | (i) | (1.10 | ) | — | |||||||||||||||||||||
10.34 | (3.00 | ) | 1,071,912 | 1.36 | 1.37 | 1.35 | 1.36 | (1.09 | ) | — | ||||||||||||||||||||||||
10.72 | 7.22 | 343,236 | 1.36 | 1.42 | 1.35 | 1.41 | (1.03 | ) | — | |||||||||||||||||||||||||
10.41 | 9.10 | 112,591 | 1.36 | 2.00 | 1.35 | 1.98 | (0.90 | ) | — |
See accompanying notes to financial statements.
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Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
ASG MANAGED FUTURES STRATEGY FUND (CONSOLIDATED*) | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(h) | $ | 10.25 | $ | (0.08 | ) | $ | 0.55 | $ | 0.47 | $ | — | $ | (0.09 | ) | $ | (0.09 | ) | |||||||||||
12/31/2013 | 9.11 | (0.14 | ) | 1.28 | 1.14 | — | — | — | ||||||||||||||||||||
12/31/2012 | 10.34 | (0.14 | ) | (1.00 | ) | (1.14 | ) | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||
12/31/2011 | 10.61 | (0.16 | ) | 0.19 | (i) | 0.03 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||
12/31/2010(j) | 10.00 | (0.07 | ) | 1.41 | 1.34 | (0.33 | ) | (0.40 | ) | (0.73 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(h) | 10.03 | (0.11 | ) | 0.54 | 0.43 | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||||
12/31/2013 | 8.99 | (0.21 | ) | 1.25 | 1.04 | — | — | — | ||||||||||||||||||||
12/31/2012 | 10.25 | (0.21 | ) | (0.99 | ) | (1.20 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||
12/31/2011 | 10.58 | (0.24 | ) | 0.19 | (i) | (0.05 | ) | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||
12/31/2010(j) | 10.00 | (0.10 | ) | 1.40 | 1.30 | (0.32 | ) | (0.40 | ) | (0.72 | ) | |||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(h) | 10.26 | (0.06 | ) | 0.55 | 0.49 | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||||
12/31/2013 | 9.10 | (0.12 | ) | 1.28 | 1.16 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2012 | 10.34 | (0.12 | ) | (1.00 | ) | (1.12 | ) | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||
12/31/2011 | 10.60 | (0.13 | ) | 0.19 | (i) | 0.06 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||
12/31/2010(j) | 10.00 | (0.06 | ) | 1.40 | 1.34 | (0.34 | ) | (0.40 | ) | (0.74 | ) | |||||||||||||||||
ASG TACTICAL U.S. MARKET FUND | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(h) | $ | 11.02 | $ | (0.00 | ) | $ | 0.83 | $ | 0.83 | $ | — | $ | (0.25 | ) | $ | (0.25 | ) | |||||||||||
12/31/2013(k) | 10.00 | (0.01 | ) | 1.31 | 1.30 | — | (0.28 | ) | (0.28 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(h) | 11.00 | (0.05 | ) | 0.84 | 0.79 | — | (0.25 | ) | (0.25 | ) | ||||||||||||||||||
12/31/2013(k) | 10.00 | (0.03 | ) | 1.31 | 1.28 | — | (0.28 | ) | (0.28 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(h) | 11.03 | 0.01 | 0.83 | 0.84 | — | (0.25 | ) | (0.25 | ) | |||||||||||||||||||
12/31/2013(k) | 10.00 | (0.00 | ) | 1.31 | 1.31 | — | (0.28 | ) | (0.28 | ) |
* | See Notes 1 and 2 of the Notes to Financial Statements. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
See accompanying notes to financial statements.
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Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses, including interest expense (%) (e)(f) | Gross expenses, including interest expense (%) (f) | Net expenses, excluding interest expense (%) (e)(f) | Gross expenses, excluding interest expense (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) (g) | ||||||||||||||||||||||||||
$ | 10.63 | 4.70 | $ | 129,460 | 1.73 | 1.78 | 1.70 | 1.75 | (1.54 | ) | — | |||||||||||||||||||||||
10.25 | 12.51 | 125,903 | 1.73 | 1.78 | 1.70 | 1.75 | (1.51 | ) | — | |||||||||||||||||||||||||
9.11 | (11.09 | ) | 145,729 | 1.73 | 1.80 | 1.70 | 1.77 | (1.49 | ) | — | ||||||||||||||||||||||||
10.34 | 0.25 | 312,098 | 1.71 | 1.78 | 1.70 | 1.76 | (1.47 | ) | — | |||||||||||||||||||||||||
10.61 | 13.44 | 6,511 | 1.73 | 2.78 | 1.70 | 2.75 | (1.43 | ) | — | |||||||||||||||||||||||||
10.37 | 4.41 | 20,829 | 2.48 | 2.53 | 2.45 | 2.50 | (2.29 | ) | — | |||||||||||||||||||||||||
10.03 | 11.57 | 18,770 | 2.48 | 2.53 | 2.45 | 2.50 | (2.26 | ) | — | |||||||||||||||||||||||||
8.99 | (11.74 | ) | 21,891 | 2.48 | 2.55 | 2.45 | 2.52 | (2.24 | ) | — | ||||||||||||||||||||||||
10.25 | (0.51 | ) | 24,838 | 2.46 | 2.56 | 2.45 | 2.54 | (2.22 | ) | — | ||||||||||||||||||||||||
10.58 | 13.04 | 2,357 | 2.47 | 3.31 | 2.45 | 3.29 | (2.17 | ) | — | |||||||||||||||||||||||||
10.66 | 4.89 | 930,365 | 1.48 | 1.54 | 1.45 | 1.51 | (1.29 | ) | — | |||||||||||||||||||||||||
10.26 | 12.75 | 695,307 | 1.48 | 1.53 | 1.45 | 1.51 | (1.26 | ) | — | |||||||||||||||||||||||||
9.10 | (10.90 | ) | 593,013 | 1.48 | 1.56 | 1.45 | 1.52 | (1.24 | ) | — | ||||||||||||||||||||||||
10.34 | 0.57 | 410,166 | 1.46 | 1.57 | 1.45 | 1.56 | (1.22 | ) | — | |||||||||||||||||||||||||
10.60 | 13.39 | 49,803 | 1.48 | 2.68 | 1.45 | 2.65 | (1.20 | ) | — | |||||||||||||||||||||||||
$ | 11.60 | 7.74 | $ | 929 | 1.40 | 1.66 | 1.40 | 1.66 | (0.02 | ) | 43 | |||||||||||||||||||||||
11.02 | 12.96 | 29 | 1.40 | 2.21 | �� | 1.40 | 2.21 | (0.38 | ) | 13 | ||||||||||||||||||||||||
11.54 | 7.39 | 634 | 2.15 | 2.42 | 2.15 | 2.42 | (0.83 | ) | 43 | |||||||||||||||||||||||||
11.00 | 12.76 | 8 | 2.15 | 2.80 | 2.15 | 2.80 | (1.00 | ) | 13 | |||||||||||||||||||||||||
11.62 | 7.83 | 43,408 | 1.15 | 1.37 | 1.15 | 1.37 | 0.10 | 43 | ||||||||||||||||||||||||||
11.03 | 13.06 | 22,595 | 1.15 | 1.93 | 1.15 | 1.93 | (0.13 | ) | 13 |
(g) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation for ASG Managed Futures Strategy Fund. |
(h) | For the six months ended June 30, 2014 (Unaudited). |
(i) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(j) | From commencement of operations on July 30, 2010 through December 31, 2010. |
(k) | From commencement of operations on September 30, 2013 through December 31, 2013. |
See accompanying notes to financial statements.
| 38
Table of Contents
June 30, 2014 (Unaudited)
1. Organization. Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
ASG Global Alternatives Fund (the “Global Alternatives Fund”)
ASG Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”)
ASG Tactical U.S. Market Fund (the “Tactical U.S. Market Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C and Class Y shares. Global Alternatives Fund also offers Class N shares. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered exclusively through intermediaries and are primarily intended for employer-sponsored retirement plans. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.
Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and, for Global Alternatives Fund, transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
Global Alternatives Fund and Managed Futures Strategy Fund invest in commodity-related instruments through ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., wholly-owned subsidiaries (individually, a “Subsidiary” and collectively, the “Subsidiaries”) of Global Alternatives Fund and Managed Futures Strategy Fund, respectively, organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Funds and their respective Subsidiaries with the intent that each Fund will remain the sole shareholder and primary beneficiary of its respective Subsidiary. The Subsidiaries are governed by a separate Board of Directors that is independent of the Funds’ Board of Trustees.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
As of June 30, 2014, the value of each Fund’s investment in its respective Subsidiary was as follows:
Fund | Investment in | Percentage of | ||||||
Global Alternatives Fund | $ | 39,333,090 | 1.3 | % | ||||
Managed Futures Strategy Fund | 58,943,045 | 5.5 | % |
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Consolidation. The accompanying financial statements of Global Alternatives Fund and Managed Futures Strategy Fund present the consolidated accounts of the Funds and their respective Subsidiaries. All interfund accounts and transactions have been eliminated in consolidation.
b. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value). Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid
| 40
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
quotations on the applicable NASDAQ Market. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, a Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time a Fund’s Net Asset Value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
d. Foreign Currency Translation. The books and records of the Funds 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
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
e. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ 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 reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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. Contracts are traded over-the-counter directly with a counterparty. 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. When a Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
f. Futures Contracts. The Funds and the Subsidiaries may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
| 42
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
When a Fund or a Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund or a Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s or a Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds and the Subsidiaries are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
g. Due from Brokers. Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds or the Subsidiaries and the various broker/dealers. Due from brokers’ balances in the Statements of Assets and Liabilities for the Funds represent cash, including foreign currency, on deposit with the broker for open futures contracts and cash pledged as collateral for forward foreign currency contracts. In certain circumstances the Funds’ or the Subsidiaries’ use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
h. Federal and Foreign Income Taxes. The Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
Each Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Global Alternatives Fund and Managed Futures Strategy Fund will each include in its taxable income its share of its Subsidiary’s current earnings and profits (including net realized gains). Any deficit generated by a Subsidiary will be disregarded for purposes of computing the Funds’ taxable income in the current period and also disregarded for all future periods.
i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, distribution redesignations, capital gain distributions received, foreign currency transactions, deferred Trustees’ fees, non-deductible expenses, and subsidiary basis adjustments. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, futures and forward foreign currency contract mark to market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2013 was as follows:
2013 Distributions Paid From: | ||||||||||||
Fund | Ordinary | Long-Term | Total | |||||||||
Global Alternatives Fund | $ | 98,942,838 | $ | 73,167,927 | $ | 172,110,765 | ||||||
Managed Futures Strategy Fund | 13,582 | — | 13,582 | |||||||||
Tactical U.S. Market Fund | 218,073 | 328,003 | 546,076 |
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
| 44
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
j. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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 each 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 Funds’ investments as of June 30, 2014, at value:
Global Alternatives Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments(a) | $ | — | $ | 2,697,744,410 | $ | — | $ | 2,697,744,410 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 528,088 | — | 528,088 | ||||||||||||
Futures Contracts (unrealized appreciation) | 19,486,909 | — | — | 19,486,909 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 19,486,909 | $ | 2,698,272,498 | $ | — | $ | 2,717,759,407 | ||||||||
|
|
|
|
|
|
|
|
45 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Global Alternatives Fund (continued)
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (10,590,859 | ) | $ | — | $ | (10,590,859 | ) | ||||||
Futures Contracts (unrealized depreciation) | (13,375,510 | ) | — | — | (13,375,510 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (13,375,510 | ) | $ | (10,590,859 | ) | $ | — | $ | (23,966,369 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
Managed Futures Strategy Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments(a) | $ | — | $ | 905,887,151 | $ | — | $ | 905,887,151 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 2,420,860 | — | 2,420,860 | ||||||||||||
Futures Contracts (unrealized appreciation) | 23,223,920 | — | — | 23,223,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 23,223,920 | $ | 908,308,011 | $ | — | $ | 931,531,931 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency | $ | — | $ | (1,128,952 | ) | $ | — | $ | (1,128,952 | ) | ||||||
Futures Contracts (unrealized depreciation) | (5,701,316 | ) | — | — | (5,701,316 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (5,701,316 | ) | $ | (1,128,952 | ) | $ | — | $ | (6,830,268 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
| 46
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Tactical U.S. Market Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 21,140,709 | $ | — | $ | — | $ | 21,140,709 | ||||||||
Exchange Traded Funds | 4,051,991 | — | — | 4,051,991 | ||||||||||||
Short-Term Investments(a) | — | 17,899,481 | — | 17,899,481 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 25,192,700 | 17,899,481 | — | 43,092,181 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts (unrealized appreciation) | 249,243 | — | — | 249,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 25,441,943 | $ | 17,899,481 | $ | — | $ | 43,341,424 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
4. 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 Funds used during the period include forward foreign currency contracts and futures contracts.
Global Alternatives Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 2014, the Fund used long contracts on U.S. and foreign equity market indices and long and short contracts on U.S. and foreign government bonds, short-term interest rates, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.
Managed Futures Strategy Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These
47 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the six months ended June 30, 2014, the Fund used long and short contracts on foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on U.S. equity market indices and short-term interest rates, to capture the exposures suggested by the quantitative investment models.
Tactical U.S. Market Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. During the six months ended June 30, 2014, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.
The following is a summary of derivative instruments for Global Alternatives Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | Unrealized | Total | |||||||||
Over-the-counter asset derivatives | ||||||||||||
Foreign exchange contracts | $ | 528,088 | $ | — | $ | 528,088 | ||||||
|
|
|
|
|
| |||||||
Exchange traded asset derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 4,540,944 | $ | 4,540,944 | ||||||
Equity contracts | — | 11,494,477 | 11,494,477 | |||||||||
Commodity contracts | — | 3,451,488 | 3,451,488 | |||||||||
|
|
|
|
|
| |||||||
Total exchange traded asset derivatives | $ | — | $ | 19,486,909 | $ | 19,486,909 | ||||||
|
|
|
|
|
| |||||||
Total asset derivatives | $ | 528,088 | $ | 19,486,909 | $ | 20,014,997 | ||||||
|
|
|
|
|
|
| 48
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Liabilities | Unrealized | Unrealized | Total | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Foreign exchange contracts | $ | 10,590,859 | $ | — | $ | 10,590,859 | ||||||
|
|
|
|
|
| |||||||
Exchange traded liability derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 718,918 | $ | 718,918 | ||||||
Equity contracts | — | 7,277,091 | 7,277,091 | |||||||||
Commodity contracts | — | 5,379,501 | 5,379,501 | |||||||||
|
|
|
|
|
| |||||||
Total exchange traded liability derivatives | $ | — | $ | 13,375,510 | $ | 13,375,510 | ||||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | 10,590,859 | $ | 13,375,510 | $ | 23,966,369 | ||||||
|
|
|
|
|
|
Transactions in derivative instruments for Global Alternatives Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Foreign | ||||||
Interest rate contracts | $ | 12,744,232 | $ | — | ||||
Foreign exchange contracts | — | 3,802,020 | ||||||
Equity contracts | 129,044,746 | — | ||||||
Commodity contracts | 8,385,881 | — | ||||||
|
|
|
| |||||
Total | $ | 150,174,859 | $ | 3,802,020 | ||||
|
|
|
| |||||
Net Change in Unrealized | Futures | Foreign | ||||||
Interest rate contracts | $ | 8,169,463 | $ | — | ||||
Foreign exchange contracts | — | (20,780,465 | ) | |||||
Equity contracts | (58,817,331 | ) | — | |||||
Commodity contracts | (743,886 | ) | — | |||||
|
|
|
| |||||
Total | $ | (51,391,754 | ) | $ | (20,780,465 | ) | ||
|
|
|
|
1 | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations. |
49 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a summary of derivative instruments for Managed Futures Strategy Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | Unrealized | Total | |||||||||
Over-the-counter asset derivatives | ||||||||||||
Foreign exchange contracts | $ | 2,420,860 | $ | — | $ | 2,420,860 | ||||||
|
|
|
|
|
| |||||||
Exchange traded asset derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 13,751,343 | $ | 13,751,343 | ||||||
Equity contracts | — | 4,299,152 | 4,299,152 | |||||||||
Commodity contracts | — | 5,173,425 | 5,173,425 | |||||||||
|
|
|
|
|
| |||||||
Total exchange traded asset derivatives | $ | — | $ | 23,223,920 | $ | 23,223,920 | ||||||
|
|
|
|
|
| |||||||
Total asset derivatives | $ | 2,420,860 | $ | 23,223,920 | $ | 25,644,780 | ||||||
|
|
|
|
|
| |||||||
Liabilities | Unrealized | Unrealized | Total | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Foreign exchange contracts | $ | 1,128,952 | $ | — | $ | 1,128,952 | ||||||
|
|
|
|
|
| |||||||
Exchange traded liability derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 569,250 | $ | 569,250 | ||||||
Equity contracts | — | 2,443,085 | 2,443,085 | |||||||||
Commodity contracts | — | 2,688,981 | 2,688,981 | |||||||||
|
|
|
|
|
| |||||||
Total exchange traded liability derivatives | $ | — | $ | 5,701,316 | $ | 5,701,316 | ||||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | 1,128,952 | $ | 5,701,316 | $ | 6,830,268 | ||||||
|
|
|
|
|
|
| 50
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Transactions in derivative instruments for Managed Futures Strategy Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Foreign | ||||||
Interest rate contracts | $ | 46,272,797 | $ | — | ||||
Foreign exchange contracts | — | (8,580,436 | ) | |||||
Equity contracts | 44,505,579 | — | ||||||
Commodity contracts | (7,379,870 | ) | — | |||||
|
|
|
| |||||
Total | $ | 83,398,506 | $ | (8,580,436 | ) | |||
|
|
|
| |||||
Net Change in Unrealized | Futures | Foreign | ||||||
Interest rate contracts | $ | 13,373,006 | $ | — | ||||
Foreign exchange contracts | — | (2,107,803 | ) | |||||
Equity contracts | (31,498,456 | ) | — | |||||
Commodity contracts | 2,579,092 | — | ||||||
|
|
|
| |||||
Total | $ | (15,546,358 | ) | $ | (2,107,803 | ) | ||
|
|
|
|
1 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations. |
The following is a summary of derivative instruments for Tactical U.S. Market Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized | |||
Exchange traded asset derivatives | ||||
Equity contracts | $ | 249,243 |
Transactions in derivative instruments for Tactical U.S. Market Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | |||
Equity contracts | $ | 2,280,203 | ||
Net Change in Unrealized | Futures | |||
Equity contracts | $ | (329,307 | ) |
51 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they 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 these disclosures.
The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:
Global Alternatives Fund | Forwards | Futures | ||||||
Average Notional Amount Outstanding | 40.08 | % | 130.86 | % | ||||
Highest Notional Amount Outstanding | 74.51 | % | 161.07 | % | ||||
Lowest Notional Amount Outstanding | 26.94 | % | 105.36 | % | ||||
Notional Amount Outstanding as of June 30, 2014 | 26.94 | % | 137.29 | % | ||||
Managed Futures Strategy Fund | Forwards | Futures | ||||||
Average Notional Amount Outstanding | 156.21 | % | 874.40 | % | ||||
Highest Notional Amount Outstanding | 247.78 | % | 1,300.18 | % | ||||
Lowest Notional Amount Outstanding | 25.31 | % | 566.51 | % | ||||
Notional Amount Outstanding as of June 30, 2014 | 25.31 | % | 566.51 | % | ||||
Tactical U.S. Market Fund | Futures | |||||||
Average Notional Amount Outstanding | 71.46 | % | ||||||
Highest Notional Amount Outstanding | 73.81 | % | ||||||
Lowest Notional Amount Outstanding | 69.69 | % | ||||||
Notional Amount Outstanding as of June 30, 2014 | 70.77 | % |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do
| 52
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
not offset derivative assets and liabilities, and any related collateral pledged, on the Statements of Assets and Liabilities.
As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Global Alternatives Fund
Counterparty | Gross Amounts | Offset | Net Asset | Collateral | Net | |||||||||||||||
UBS AG | $ | 528,088 | $ | (528,088 | ) | $ | — | $ | — | $ | — | |||||||||
Counterparty | Gross Amounts | Offset | Net Liability | Collateral | Net | |||||||||||||||
UBS AG | $ | (10,590,859 | ) | $ | 528,088 | $ | (10,062,771 | ) | $ | 10,062,771 | $ | — | ||||||||
Managed Futures Strategy Fund | ||||||||||||||||||||
Counterparty | Gross Amounts | Offset | Net Asset | Collateral | Net | |||||||||||||||
UBS AG | $ | 2,420,860 | $ | (1,128,952 | ) | $ | 1,291,908 | $ | — | $ | 1,291,908 | (a) | ||||||||
Counterparty | Gross Amounts | Offset | Net Liability | Collateral | Net | |||||||||||||||
UBS AG | $ | (1,128,952 | ) | $ | 1,128,952 | $ | — | $ | — | $ | — |
(a) | In lieu of receiving cash collateral for its net exposure to the counterparty, the Fund’s unrealized gains are used to satisfy the independent amount of collateral required by the counterparty for open contracts. |
The Funds are required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Funds’ ISDA agreements. As of June 30, 2014, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:
Fund | Independent | Increase | Required | Collateral | Excess/ | |||||||||||||||
Global Alternatives Fund | $ | 16,491,044 | $ | 10,011,797 | $ | 26,502,841 | $ | 26,238,496 | $ | (264,345 | ) | |||||||||
Managed Futures Strategy Fund | $ | 5,593,914 | $ | (1,450,129 | ) | $ | 4,143,785 | $ | 3,698,540 | $ | (445,245 | ) |
53 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Amounts in excess or short of the required collateral amount are received or paid by the Funds on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Statements of Assets and Liabilities.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, each as of June 30, 2014:
| 54
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Fund | Maximum Amount | Maximum Amount | ||||||
Global Alternatives Fund | ||||||||
Over-the-counter counterparty credit risk | ||||||||
Forward foreign currency contracts | $ | 528,088 | $ | — | ||||
Collateral pledged to UBS AG | 26,238,495 | 26,238,495 | ||||||
|
|
|
| |||||
Total over-the-counter counterparty credit risk | 26,766,583 | 26,238,495 | ||||||
|
|
|
| |||||
Exchange traded counterparty credit risk | ||||||||
Futures contracts | 19,486,909 | 19,486,909 | ||||||
Margin with brokers | 179,692,081 | 179,692,081 | ||||||
|
|
|
| |||||
Total exchange traded counterparty credit risk | 199,178,990 | 199,178,990 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 225,945,573 | $ | 225,417,485 | ||||
|
|
|
| |||||
Managed Futures Strategy Fund | ||||||||
Over-the-counter counterparty credit risk | ||||||||
Forward foreign currency contracts | $ | 2,420,860 | $ | 1,291,908 | ||||
Collateral pledged to UBS AG | 3,698,539 | 3,698,539 | ||||||
|
|
|
| |||||
Total over-the-counter counterparty credit risk | 6,119,399 | 4,990,447 | ||||||
|
|
|
| |||||
Exchange traded counterparty credit risk | ||||||||
Futures contracts | 23,223,920 | 23,223,920 | ||||||
Margin with brokers | 67,344,084 | 67,344,084 | ||||||
|
|
|
| |||||
Total exchange traded counterparty credit risk | 90,568,004 | 90,568,004 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 96,687,403 | $ | 95,558,451 | ||||
|
|
|
| |||||
Tactical U.S. Market Fund | ||||||||
Exchange traded counterparty credit risk | ||||||||
Futures contracts | $ | 249,243 | $ | 249,243 | ||||
Margin with brokers | 1,309,853 | 1,309,853 | ||||||
|
|
|
| |||||
Total exchange traded counterparty credit risk | $ | 1,559,096 | $ | 1,559,096 | ||||
|
|
|
|
55 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
5. Purchases and Sales of Securities. For the six months ended June 30, 2014, purchases and proceeds from sales or maturities of short-term investments were as follows:
Fund | Purchases | Sales/Maturities | ||||||
Global Alternatives Fund | $ | 36,679,342,737 | $ | 36,243,146,638 | ||||
Managed Futures Strategy Fund | 12,180,653,564 | 11,977,572,866 |
For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments) were as follows:
Fund | Purchases | Sales | ||||||
Tactical U.S. Market Fund | $ | 19,560,283 | $ | 8,710,554 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”), serves as investment adviser to the Funds. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets, less the net asset value of each Subsidiary, where applicable:
Fund | Percentage of Average Daily | |||
Managed Futures Strategy Fund | 1.25 | % | ||
Tactical U.S. Market Fund | 0.80 | % |
Global Alternatives Fund pays a management fee at an annual rate of 1.15% on the first $2 billion of the Fund’s average daily net assets (including the net asset value of the Subsidiary), and 1.10% thereafter, calculated daily and payable monthly, less the management fees paid by the Subsidiary.
AlphaSimplex also serves as investment adviser to ASG Global Alternatives Cayman Fund Ltd. and ASG Managed Futures Strategy Cayman Fund Ltd., which pay AlphaSimplex a management fee at the annual rate of 1.15% and 1.25%, respectively, of its average daily net assets.
AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of each Fund. Under the terms of the subadvisory agreement, each Fund pays a subadvisory fee at the annual rate of 0.05% of the average daily net assets of the Funds that are allocated by AlphaSimplex to be managed by Reich & Tang, subject to a minimum annual subadvisory fee of $50,000 per Fund.
Additionally, AlphaSimplex has entered into a subadvisory agreement with NGAM Advisors (through its division, Active Investment Advisors), on behalf of Tactical U.S.
| 56
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Market Fund. Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.10% of the average daily net assets of the Fund that are allocated by AlphaSimplex to be managed by NGAM Advisors.
Payments to AlphaSimplex are reduced by the amount of payments to NGAM Advisors and Reich & Tang, as described above.
AlphaSimplex has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses, including expenses of each Subsidiary, if applicable, to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.
For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Global Alternatives Fund | 1.60 | % | 2.35 | % | 1.30 | % | 1.35 | % | ||||||||
Managed Futures Strategy Fund | 1.70 | % | 2.45 | % | — | 1.45 | % | |||||||||
Tactical U.S. Market Fund | 1.40 | % | 2.15 | % | — | 1.15 | % |
AlphaSimplex shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2014, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross Management Fees | Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||||||||||||||||
Gross | Net | |||||||||||||||||||
Global Alternatives Fund | $ | 15,206,247 | $ | — | $ | 15,206,247 | 1.14 | % | 1.14 | % | ||||||||||
Managed Futures Strategy Fund | 5,654,451 | 258,088 | 5,396,363 | 1.25 | % | 1.19 | % | |||||||||||||
Tactical U.S. Market Fund | 143,959 | 39,845 | 104,114 | 0.80 | % | 0.58 | % |
1 | Management fee waivers are subject to possible recovery until December 31, 2015. |
57 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, class specific expenses have been reimbursed as follows:
Fund | Reimbursement2 | |||
Global Alternatives Fund | $ | 14 |
2 | Expense reimbursements are subject to possible recovery until December 31, 2015. |
No expenses were recovered for any of the Funds during the six months ended June 30, 2014 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class C shares (the “Class C Plans”).
Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2014, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Class A | Class C | Class C | |||||||||
Global Alternatives Fund | $ | 268,062 | $ | 109,709 | $ | 329,128 | ||||||
Managed Futures Strategy Fund | 151,160 | 23,617 | 70,852 | |||||||||
Tactical U.S. Market Fund | 281 | 366 | 1,097 |
| 58
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
NGAM Advisors also provides certain administrative services to the Subsidiaries for which the Subsidiaries pay NGAM Advisors fees equal to an annual rate of 0.05% of the average daily net assets of each Subsidiary. Payments by the Funds are reduced by the amount of payments to NGAM Advisors by the Subsidiaries. In addition, NGAM Advisors and each Subsidiary contract with State Street Bank to serve as sub-administrator.
For the six months ended June 30, 2014, the administrative fees paid to NGAM Advisors for each Fund were as follows (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiaries):
Fund | Administrative | |||
Global Alternatives Fund | $ | 582,010 | ||
Managed Futures Strategy Fund | 196,848 | |||
Tactical U.S. Market Fund | 7,828 |
Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the
59 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer Agent | |||
Global Alternatives Fund | $ | 583,405 | ||
Managed Futures Strategy Fund | 587,274 | |||
Tactical U.S. Market Fund | 11,600 |
As of June 30, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
Global Alternatives Fund | $ | 15,070 | ||
Managed Futures Strategy Fund | 17,197 | |||
Tactical U.S. Market Fund | 1,691 |
Sub-transfer agent fees attributable to Class A, Class C and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 were as follows:
Fund | Commissions | |||
Global Alternatives Fund | $ | 142,507 | ||
Managed Futures Strategy Fund | 54,793 | |||
Tactical U.S. Market Fund | 4,813 |
| 60
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at an annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.
g. Affiliated Ownership. As of June 30, 2014, Natixis US held shares of Global Alternatives Fund and Tactical U.S. Market Fund representing less than 0.01% and 40.67% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.
h. Reimbursement of Transfer Agent Fees and Expenses. Effective July 1, 2014, NGAM Advisors has given a binding contractual undertaking to the Global Alternatives Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is in effect through April 30, 2016.
61 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2014, Global Alternatives Fund incurred the following class-specific transfer agent fees and expenses:
Fund | Class A | Class C | Class N | Class Y | ||||||||||||
Transfer Agent Fees and Expenses | $ | 78,313 | $ | 32,106 | $ | 15 | $ | 867,006 |
Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participates in the line of credit. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2014, none of the Funds had borrowings under this agreement.
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
The Funds’ (excluding Tactical U.S. Market Fund) investments in commodity-related instruments may subject the Funds to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
10. Interest Expense. Global Alternatives Fund and Managed Futures Strategy Fund incur interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2014 is reflected on the Statements of Operations.
11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2014, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than
| 62
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of >5% | Percentage of | Percentage of | Total | ||||||||||||
Global Alternatives Fund | 2 | 45.08 | % | 0.00 | %* | 45.08 | % | |||||||||
Managed Futures Strategy Fund | 2 | 25.33 | % | — | 25.33 | % | ||||||||||
Tactical U.S. Market Fund | 1 | 51.88 | % | 40.67 | % | 92.55 | % |
* | Represents less than 0.01% of the Fund’s net assets. |
Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
63 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
12. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2014 |
|
| Year Ended December 31, 2013* |
| |||||||||||
Global Alternatives Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 6,856,155 | $ | 75,893,439 | 9,255,476 | $ | 105,133,683 | ||||||||||
Issued in connection with the reinvestment of distributions | 588,519 | 6,338,344 | 1,078,510 | 12,091,299 | ||||||||||||
Redeemed | (2,973,501 | ) | (32,885,863 | ) | (5,509,604 | ) | (61,053,583 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 4,471,173 | $ | 49,345,920 | 4,824,382 | $ | 56,171,399 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 1,480,855 | $ | 15,758,503 | 2,213,016 | $ | 24,377,767 | ||||||||||
Issued in connection with the reinvestment of distributions | 158,144 | 1,635,212 | 332,687 | 3,596,587 | ||||||||||||
Redeemed | (826,362 | ) | (8,766,657 | ) | (1,630,903 | ) | (17,586,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 812,637 | $ | 8,627,058 | 914,800 | $ | 10,387,499 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | — | (a) | $ | 1 | 90 | $ | 1,000 | |||||||||
Issued in connection with the reinvestment of distributions | 3 | 33 | 5 | 61 | ||||||||||||
Redeemed | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 3 | $ | 34 | 95 | $ | 1,061 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 69,447,857 | $ | 777,767,389 | 136,977,976 | $ | 1,571,204,245 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,242,468 | 35,245,561 | 7,103,742 | 79,970,492 | ||||||||||||
Redeemed | (32,611,438 | ) | (364,041,578 | ) | (47,757,768 | ) | (536,877,032 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 40,078,887 | $ | 448,971,372 | 96,323,950 | $ | 1,114,297,705 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 45,362,700 | $ | 506,944,384 | 102,063,227 | $ | 1,180,857,664 | ||||||||||
|
|
|
|
|
|
|
|
* | From commencement of Class operations on May 1, 2013 through December 31, 2013 for Class N shares. |
(a) | Amount rounds to less than one share. |
| 64
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended June 30, 2014 |
|
| Year Ended December 31, 2013 |
| |||||||||||
Managed Futures Strategy Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 3,091,479 | $ | 31,255,055 | 5,560,803 | $ | 53,140,778 | ||||||||||
Issued in connection with the reinvestment of distributions | 105,677 | 1,044,086 | — | — | ||||||||||||
Redeemed | (3,305,394 | ) | (33,483,091 | ) | (9,269,437 | ) | (88,138,943 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (108,238 | ) | $ | (1,183,950 | ) | (3,708,634 | ) | $ | (34,998,165 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 439,681 | $ | 4,343,788 | 668,726 | $ | 6,337,507 | ||||||||||
Issued in connection with the reinvestment of distributions | 10,984 | 105,991 | — | — | ||||||||||||
Redeemed | (312,294 | ) | (3,069,727 | ) | (1,233,925 | ) | (11,633,458 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 138,371 | $ | 1,380,052 | (565,199 | ) | $ | (5,295,951 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 31,047,872 | $ | 314,773,962 | 37,299,578 | $ | 357,017,117 | ||||||||||
Issued in connection with the reinvestment of distributions | 693,884 | 6,876,392 | 1,192 | 12,231 | ||||||||||||
Redeemed | (12,213,763 | ) | (123,699,491 | ) | (34,714,808 | ) | (330,050,675 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 19,527,993 | $ | 197,950,863 | 2,585,962 | $ | 26,978,673 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 19,558,126 | $ | 198,146,965 | (1,687,871 | ) | $ | (13,315,443 | ) | ||||||||
|
|
|
|
|
|
|
|
65 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
12. Capital Shares (continued).
| Six Months Ended June 30, 2014 |
|
| Period Ended December 31, 2013* |
| |||||||||||
Tactical U.S. Market Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 78,454 | $ | 888,188 | 2,909 | $ | 29,541 | ||||||||||
Issued in connection with the reinvestment of distributions | 384 | 4,137 | 63 | 697 | ||||||||||||
Redeemed | (1,372 | ) | (15,322 | ) | (375 | ) | (4,095 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 77,466 | $ | 877,003 | 2,597 | $ | 26,143 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 53,633 | $ | 592,976 | 665 | $ | 7,001 | ||||||||||
Issued in connection with the reinvestment of distributions | 700 | 7,508 | 17 | 183 | ||||||||||||
Redeemed | (41 | ) | (436 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 54,292 | $ | 600,048 | 682 | $ | 7,184 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 1,755,816 | $ | 19,248,215 | 2,016,489 | $ | 20,544,458 | ||||||||||
Issued in connection with the reinvestment of distributions | 78,326 | 844,352 | 49,426 | 542,699 | ||||||||||||
Redeemed | (148,563 | ) | (1,650,926 | ) | (16,997 | ) | (185,859 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,685,579 | $ | 18,441,641 | 2,048,918 | $ | 20,901,298 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 1,817,337 | $ | 19,918,692 | 2,052,197 | $ | 20,934,625 | ||||||||||
|
|
|
|
|
|
|
|
* | From commencement of operations on September 30, 2013 through December 31, 2013. |
| 66
Table of Contents
SEMIANNUAL REPORT
June 30, 2014
ASG Diversifying Strategies Fund
Portfolio of Investments page 8
Notes to Financial Statements page 17
Table of Contents
ASG DIVERSIFYING STRATEGIES FUND
Managers | Symbols | |
Andrew W. Lo, PhD | Class A DSFAX | |
Alexander D. Healy, PhD | Class C DSFCX | |
Peter A. Lee | Class Y DSFYX | |
Philippe P. Lüdi, CFA®, PhD | ||
Robert W. Sinnott | ||
AlphaSimplex Group, LLC (Adviser) | ||
Robert S. Rickard | ||
Reich & Tang Asset Management, LLC (Subadviser) |
Objective
Pursues an absolute return strategy that seeks to provide capital appreciation while maintaining a low or negative correlation over time with the returns of major equity indices.
Average Annual Total Returns—June 30, 20144
6 Months | 1 Year | Life of Fund | ||||||||||
Class A (Inception 8/3/09) | ||||||||||||
NAV | -1.57 | % | -3.21 | % | -1.16 | % | ||||||
With 5.75% Maximum Sales Charge | -7.18 | -8.74 | -2.34 | |||||||||
Class C (Inception 8/3/09) | ||||||||||||
NAV | -1.86 | -4.00 | -1.90 | |||||||||
With CDSC1 | -2.84 | -4.96 | -1.90 | |||||||||
Class Y (Inception 8/3/09) | ||||||||||||
NAV | -1.56 | -3.19 | -0.96 | |||||||||
Comparative Performance | ||||||||||||
3-Month LIBOR2 | 0.12 | 0.26 | 0.35 | |||||||||
Barclay Fund of Funds Index3 | 1.86 | 7.34 | 3.61 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
3 | The Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by Barclay Hedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others. Benchmark since inception performance is calculated from 7/31/09. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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ADDITIONAL INFORMATION
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived form third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities during the 12 months ended June 30, 2014 is available on the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
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UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following example is intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.
The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
ASG DIVERSIFYING STRATEGIES FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $984.30 | $8.86 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.87 | $9.00 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $981.40 | $12.48 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,012.20 | $12.67 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $984.40 | $7.53 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.21 | $7.65 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement), including expenses of the Subsidiary (see Note 1 of Notes to Financial Statements) and interest expense: 1.80%, 2.54% and 1.53% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on the Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Fund’s investment adviser and sub-adviser (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Fund and the performance of peer groups and categories of funds and the Fund’s performance benchmarks, (ii) information on the Fund’’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Fund’s expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Fund, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) the Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Fund’s shares and the related costs, (iv) the procedures employed to determine the value of the Fund’s assets, (v) the allocation of the Fund’s brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Fund’s portfolio managers in the Fund or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s performance and fee differentials against the Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and
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third-party performance rankings for various periods comparing the Fund against similarly categorized funds. The portfolio management team for the Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and if the Fund is identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about the Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Fund under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Fund and the resources dedicated to the Fund by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Fund, but also the administrative services provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Fund.
The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Fund and the Advisers. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of peer groups and categories of funds and the Fund’s respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that also measured the performance of the Fund on a risk adjusted basis.
Although the performance of the Fund lagged that of a relevant peer group median and/or category median for all periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance, although lagging in certain periods, had shown
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improvement relative to its category; or (3) that the Fund is meeting its targets for volatility and equity market correlation.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Fund and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory and sub-advisory services as well as the total expense levels of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that management had instituted an expense cap for the Fund, and they considered the amounts waived or reimbursed by the adviser under these caps for the Fund.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Fund, the expense levels of the Fund, and whether the Advisers had implemented breakpoints and/or expense caps with respect to the Fund.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to the Fund were fair and reasonable, and that the costs of these services generally and the
related profitability of the Advisers and their affiliates in respect of their relationships with the Fund supported the renewal of the Agreements.
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Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Fund through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that the Fund was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Fund, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Fund supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of the Fund. |
· | Whether the Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Fund and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Fund. |
· | The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Fund, the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Fund’s securities transactions and the benefits to NGAM Advisors of being able to offer “alternative” products in the Natixis family of funds. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Fund’s advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.
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Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Diversifying Strategies Fund
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 84.0% of Net Assets | ||||||||
Certificates of Deposit — 50.9% | ||||||||
$ | 500,000 | Canadian Imperial Bank, 0.010%, 7/01/2014 | $ | 500,000 | ||||
350,000 | Royal Bank of Canada, 0.050%, 7/01/2014 | 350,000 | ||||||
500,000 | Credit Agricole, 0.070%, 7/01/2014 | 500,000 | ||||||
450,000 | Industrial & Commercial Bank of China, 0.340%, 7/09/2014 | 450,000 | ||||||
500,000 | DNB Bank ASA (NY), 0.220%, 7/10/2014 | 500,014 | ||||||
600,000 | Bank of Montreal (IL), 0.150%, 7/15/2014 | 600,017 | ||||||
400,000 | Credit Industriel et Commercial, 0.250%, 7/15/2014 | 400,011 | ||||||
250,000 | Agricultural Bank of China, 0.400%, 7/15/2014 | 250,000 | ||||||
500,000 | Mitsubishi UFJ Trust and Banking Corp., 0.200%, 8/11/2014(b) | 500,011 | ||||||
500,000 | Sumitomo Mitsui Bank (NY), 0.210%, 9/10/2014 | 499,980 | ||||||
500,000 | Mizuho Corporate Bank, 0.210%, 10/02/2014 | 499,974 | ||||||
450,000 | Banco Del Estado de Chile, 0.231%, 11/10/2014(b)(c) | 450,000 | ||||||
600,000 | Norinchukin Bank, 0.250%, 11/14/2014 | 600,000 | ||||||
500,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014 | 499,978 | ||||||
|
| |||||||
6,599,985 | ||||||||
|
| |||||||
Financial Company Commercial Paper — 26.2% | ||||||||
500,000 | ING (U.S.) Funding LLC, 0.150%, 7/03/2014(d) | 499,996 | ||||||
450,000 | Dexia Credit Local, 0.180%, 7/08/2014(d) | 449,986 | ||||||
500,000 | Societe Generale North America, 0.055%, 7/09/2014(d) | 499,994 | ||||||
500,000 | Oversea-Chinese Banking Corp. Ltd., 0.130%, 7/14/2014(d) | 499,977 | ||||||
500,000 | General Electric Capital Corp., 0.050%, 7/15/2014(d) | 499,990 | ||||||
500,000 | Bank of Nova Scotia (NY), 0.150%, 8/06/2014(d) | 499,951 | ||||||
450,000 | Swedbank, 0.170%, 8/19/2014(b)(d) | 449,929 | ||||||
|
| |||||||
3,399,823 | ||||||||
|
| |||||||
Commercial Paper — 6.9% | ||||||||
400,000 | Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.390%, 7/14/2014(d) | 399,944 | ||||||
500,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.180%, 7/15/2014(d) | 499,965 | ||||||
|
| |||||||
899,909 | ||||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $10,899,698) | 10,899,717 | |||||||
|
| |||||||
Total Investments — 84.0% (Identified Cost $10,899,698)(a) | 10,899,717 | |||||||
Other assets less liabilities — 16.0% | 2,080,897 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 12,980,614 | ||||||
|
|
See accompanying notes to financial statements.
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Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Diversifying Strategies Fund – (continued)
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information: | |||||||
At June 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $10,899,698 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 | $ | 87 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (68 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 19 | ||||||
|
| |||||||
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost. | ||||||||
(b) | All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts. | |||||||
(c) | Variable rate security. Rate as of June 30, 2014 is disclosed. | |||||||
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
At June 30, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Buy | 9/17/2014 | Australian Dollar | 1,300,000 | $ | 1,219,177 | $ | 20,742 | |||||||||||
Sell | 9/17/2014 | Australian Dollar | 200,000 | 187,566 | (672 | ) | ||||||||||||
Buy | 9/17/2014 | British Pound | 62,500 | 106,895 | 959 | |||||||||||||
Sell | 9/17/2014 | British Pound | 125,000 | 213,791 | (4,390 | ) | ||||||||||||
Buy | 9/17/2014 | Canadian Dollar | 300,000 | 280,619 | 7,059 | |||||||||||||
Sell | 9/17/2014 | Canadian Dollar | 100,000 | 93,540 | (2,142 | ) | ||||||||||||
Sell | 9/17/2014 | Euro | 250,000 | 342,424 | (1,475 | ) | ||||||||||||
Sell | 9/17/2014 | Japanese Yen | 37,500,000 | 370,374 | (4,325 | ) | ||||||||||||
Buy | 9/17/2014 | New Zealand Dollar | 2,100,000 | 1,825,485 | 70,087 | |||||||||||||
Sell | 9/17/2014 | New Zealand Dollar | 400,000 | 347,711 | (2,727 | ) | ||||||||||||
Buy | 9/17/2014 | Norwegian Krone | 2,000,000 | 325,112 | (7,333 | ) | ||||||||||||
Buy | 9/17/2014 | Swiss Franc | 125,000 | 141,049 | 1,250 | |||||||||||||
Sell | 9/17/2014 | Swiss Franc | 500,000 | 564,194 | (5,391 | ) | ||||||||||||
|
| |||||||||||||||||
Total | $ | 71,642 | ||||||||||||||||
|
|
1Counterparty is UBS AG.
At June 30, 2014, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
AEX-Index® | 7/18/2014 | 3 | $ | 339,518 | $ | (739 | ) | |||||||||
E-mini Dow | 9/19/2014 | 20 | 1,674,000 | (4,500 | ) | |||||||||||
E-mini NASDAQ 100 | 9/19/2014 | 21 | 1,613,010 | 20,559 | ||||||||||||
Euro Schatz | 9/08/2014 | 49 | 7,424,812 | 4,354 | ||||||||||||
EURO STOXX 50® | 9/19/2014 | 7 | 309,791 | (4,313 | ) |
See accompanying notes to financial statements.
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Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Diversifying Strategies Fund – (continued)
Financial Futures (continued) | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
FTSE MIB | 9/19/2014 | 1 | $ | 145,851 | $ | (3,848 | ) | |||||||||
FTSE/JSE Top 40 Index | 9/18/2014 | 10 | 433,192 | (446 | ) | |||||||||||
German Euro BOBL | 9/08/2014 | 9 | 1,579,036 | 10,064 | ||||||||||||
German Euro Bund | 9/08/2014 | 16 | 3,220,813 | 42,202 | ||||||||||||
IBEX 35 | 7/18/2014 | 3 | 445,933 | (2,342 | ) | |||||||||||
Mini-Russell 2000 | 9/19/2014 | 17 | 2,023,510 | 49,640 | ||||||||||||
OMXS30® | 7/18/2014 | 38 | 784,563 | (2,758 | ) | |||||||||||
S&P/TSX 60 Index | 9/18/2014 | 3 | 485,657 | 9,379 | ||||||||||||
UK Long Gilt | 9/26/2014 | 40 | 7,524,683 | 10,440 | ||||||||||||
2 Year U.S. Treasury Note | 9/30/2014 | 26 | 5,709,437 | (2,844 | ) | |||||||||||
3 Year Australia Government Bond | 9/15/2014 | 12 | 1,238,796 | 7,334 | ||||||||||||
5 Year U.S. Treasury Note | 9/30/2014 | 5 | 597,305 | (703 | ) | |||||||||||
10 Year U.S. Treasury Note | 9/19/2014 | 58 | 7,259,969 | 57,375 | ||||||||||||
30 Year U.S. Treasury Bond | 9/19/2014 | 2 | 274,375 | 1,125 | ||||||||||||
|
| |||||||||||||||
Total | $ | 189,979 | ||||||||||||||
|
| |||||||||||||||
Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Brent Crude Oil | 7/16/2014 | 2 | $ | 224,720 | $ | 8,460 | ||||||||||
Gasoline | 7/31/2014 | 7 | 894,730 | (4,322 | ) | |||||||||||
Soybean | 11/14/2014 | 10 | 578,625 | (38,550 | ) | |||||||||||
Soybean Meal | 12/12/2014 | 22 | 808,280 | (61,710 | ) | |||||||||||
WTI Crude Oil | 7/22/2014 | 4 | 421,480 | (2,000 | ) | |||||||||||
|
| |||||||||||||||
Total | $ | (98,122 | ) | |||||||||||||
|
|
At June 30, 2014, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
CAC 40® | 7/18/2014 | 8 | $ | 484,404 | $ | 7,600 | ||||||||||
CBOE SPX Volatility Index | 7/15/2014 | 42 | 522,900 | 39,060 | ||||||||||||
E-mini S&P 500® | 9/19/2014 | 25 | 2,440,625 | (19,812 | ) | |||||||||||
FTSE 100 Index | 9/19/2014 | 4 | 459,408 | 2,772 | ||||||||||||
Hang Seng Index® | 7/30/2014 | 9 | 1,341,454 | (19,218 | ) | |||||||||||
MSCI Singapore | 7/30/2014 | 11 | 653,701 | (353 | ) | |||||||||||
Nikkei 225™ | 9/11/2014 | 1 | 149,647 | (79 | ) | |||||||||||
S&P CNX Nifty Futures Index | 7/31/2014 | 57 | 869,421 | (1,197 | ) | |||||||||||
TOPIX | 9/11/2014 | 6 | 747,742 | (14,214 | ) | |||||||||||
10 Year Australia Government Bond | 9/15/2014 | 114 | 12,950,324 | (225,192 | ) | |||||||||||
10 Year Canada Government Bond | 9/19/2014 | 18 | 2,293,838 | (12,877 | ) | |||||||||||
|
| |||||||||||||||
Total | $ | (243,510 | ) | |||||||||||||
|
|
See accompanying notes to financial statements.
| 10
Table of Contents
Consolidated Portfolio of Investments – as of June 30, 2014 (Unaudited)
ASG Diversifying Strategies Fund – (continued)
Commodity Futures2 | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Cocoa | 9/15/2014 | 1 | $ | 31,270 | $ | (840 | ) | |||||||||
Coffee | 9/18/2014 | 2 | 131,325 | (206 | ) | |||||||||||
Corn | 12/12/2014 | 10 | 212,625 | 6,275 | ||||||||||||
Soybean Oil | 12/12/2014 | 4 | 93,960 | 3,192 | ||||||||||||
Sugar | 9/30/2014 | 12 | 242,054 | 34 | ||||||||||||
Wheat | 9/12/2014 | 15 | 433,125 | 12,137 | ||||||||||||
|
| |||||||||||||||
Total | $ | 20,592 | ||||||||||||||
|
|
2 Commodity futures are held by ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary. See Note 1 of Notes to Financial Statements.
Investment Summary at June 30, 2014 (Unaudited)
Certificates of Deposit | 50.9 | % | ||
Financial Company Commercial Paper | 26.2 | |||
Commercial Paper | 6.9 | |||
|
| |||
Total Investments | 84.0 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 16.0 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
11 |
Table of Contents
Consolidated Statement of Assets and Liabilities
June 30, 2014 (Unaudited)
ASSETS | ||||
Investments at cost | $ | 10,899,698 | ||
Net unrealized appreciation | 19 | |||
|
| |||
Investments at value | 10,899,717 | |||
Cash | 710,697 | |||
Due from brokers (including variation margin on futures contracts) (Note 2) | 1,644,169 | |||
Receivable for Fund shares sold | 65 | |||
Receivable from investment adviser (Note 6) | 10,472 | |||
Interest receivable | 1,774 | |||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 100,097 | |||
Unrealized appreciation on futures contracts (Note 2) | 292,002 | |||
Receivable from distributor (Note 6d) | 539 | |||
|
| |||
TOTAL ASSETS | 13,659,532 | |||
|
| |||
LIABILITIES | ||||
Payable for Fund shares redeemed | 128,987 | |||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 28,455 | |||
Unrealized depreciation on futures contracts (Note 2) | 423,063 | |||
Deferred Trustees’ fees (Note 6) | 51,649 | |||
Administrative fees payable (Note 6) | 11,657 | |||
Other accounts payable and accrued expenses | 35,107 | |||
|
| |||
TOTAL LIABILITIES | 678,918 | |||
|
| |||
NET ASSETS | $ | 12,980,614 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 83,143,198 | ||
Accumulated net investment loss | (268,061 | ) | ||
Accumulated net realized loss on investments, futures contracts and foreign currency transactions | (69,834,793 | ) | ||
Net unrealized depreciation on investments, futures contracts and foreign currency translations | (59,730 | ) | ||
|
| |||
NET ASSETS | $ | 12,980,614 | ||
|
| |||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||
Class A shares: | ||||
Net assets | $ | 4,299,183 | ||
|
| |||
Shares of beneficial interest | 527,986 | |||
|
| |||
Net asset value and redemption price per share | $ | 8.14 | ||
|
| |||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 8.64 | ||
|
| |||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $ | 2,364,964 | ||
|
| |||
Shares of beneficial interest | 298,810 | |||
|
| |||
Net asset value and offering price per share | $ | 7.91 | ||
|
| |||
Class Y shares: | ||||
Net assets | $ | 6,316,467 | ||
|
| |||
Shares of beneficial interest | 769,458 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 8.21 | ||
|
|
See accompanying notes to financial statements.
| 12
Table of Contents
Consolidated Statement of Operations
For the Six Months Ended June 30, 2014 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 26,610 | ||
|
| |||
Expenses | ||||
Management fees (Note 6) | 178,617 | |||
Service and distribution fees (Note 6) | 21,687 | |||
Administrative fees (Note 6) | 38,769 | |||
Trustees’ and directors’ fees and expenses (Note 6) | 18,507 | |||
Transfer agent fees and expenses (Note 6) | 20,379 | |||
Audit and tax services fees | 17,952 | |||
Custodian fees and expenses | 25,862 | |||
Interest expense (Note 9) | 11,886 | |||
Legal fees | 6,503 | |||
Registration fees | 36,964 | |||
Shareholder reporting expenses | 5,945 | |||
Miscellaneous expenses | 11,576 | |||
|
| |||
Total expenses | 394,647 | |||
Less waiver and/or expense reimbursement (Note 6) | (153,842 | ) | ||
|
| |||
Net expenses | 240,805 | |||
|
| |||
Net investment loss | (214,195 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investments | 2,185 | |||
Futures contracts | (856,013 | ) | ||
Foreign currency transactions | 181,198 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,839 | ) | ||
Futures contracts | 617,142 | |||
Foreign currency translations | 122,081 | |||
|
| |||
Net realized and unrealized gain on investments, futures contracts and foreign currency transactions | 64,754 | |||
|
| |||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (149,441 | ) | |
|
|
See accompanying notes to financial statements.
13 |
Table of Contents
Consolidated Statement of Changes in Net Assets
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment loss | $ | (214,195 | ) | $ | (1,222,023 | ) | ||
Net realized loss on investments, futures contracts and foreign currency transactions | (672,630 | ) | (5,137,727 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations | 737,384 | (442,697 | ) | |||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (149,441 | ) | (6,802,447 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | (26,818,458 | ) | (130,804,494 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (26,967,899 | ) | (137,606,941 | ) | ||||
NET ASSETS | ||||||||
Beginning of the period | 39,948,513 | 177,555,454 | ||||||
|
|
|
| |||||
End of the period | $ | 12,980,614 | $ | 39,948,513 | ||||
|
|
|
| |||||
ACCUMULATED NET INVESTMENT (LOSS) | $ | (268,061 | ) | $ | (53,866 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
| 14
Table of Contents
Consolidated Financial Highlights
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment loss (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(g) | $ | 8.27 | $ | (0.07 | ) | $ | (0.06 | )(h) | $ | (0.13 | ) | $ | — | $ | — | $ | — | |||||||||||
12/31/2013 | 9.00 | (0.13 | ) | (0.60 | ) | (0.73 | ) | — | — | — | ||||||||||||||||||
12/31/2012 | 9.75 | (0.14 | ) | (0.61 | ) | (0.75 | ) | — | — | — | ||||||||||||||||||
12/31/2011 | 10.45 | (0.15 | ) | (0.14 | ) | (0.29 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||
12/31/2010 | 10.19 | (0.16 | ) | 1.02 | (h) | 0.86 | (0.15 | ) | (0.45 | ) | (0.60 | ) | ||||||||||||||||
12/31/2009(i) | 10.00 | (0.07 | ) | 0.80 | 0.73 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(g) | 8.06 | (0.09 | ) | (0.06 | )(h) | (0.15 | ) | — | — | — | ||||||||||||||||||
12/31/2013 | 8.85 | (0.20 | ) | (0.59 | ) | (0.79 | ) | — | — | — | ||||||||||||||||||
12/31/2012 | 9.65 | (0.21 | ) | (0.59 | ) | (0.80 | ) | — | — | — | ||||||||||||||||||
12/31/2011 | 10.34 | (0.23 | ) | (0.12 | ) | (0.35 | ) | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||
12/31/2010 | 10.16 | (0.24 | ) | 1.01 | (h) | 0.77 | (0.14 | ) | (0.45 | ) | (0.59 | ) | ||||||||||||||||
12/31/2009(i) | 10.00 | (0.10 | ) | 0.79 | 0.69 | (0.09 | ) | (0.44 | ) | (0.53 | ) | |||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(g) | 8.33 | (0.06 | ) | (0.06 | )(h) | (0.12 | ) | — | — | — | ||||||||||||||||||
12/31/2013 | 9.05 | (0.11 | ) | (0.61 | ) | (0.72 | ) | — | — | — | ||||||||||||||||||
12/31/2012 | 9.77 | (0.12 | ) | (0.60 | ) | (0.72 | ) | — | — | — | ||||||||||||||||||
12/31/2011 | 10.46 | (0.13 | ) | (0.13 | ) | (0.26 | ) | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||
12/31/2010 | 10.19 | (0.13 | ) | 1.01 | (h) | 0.88 | (0.16 | ) | (0.45 | ) | (0.61 | ) | ||||||||||||||||
12/31/2009(i) | 10.00 | (0.05 | ) | 0.78 | 0.73 | (0.10 | ) | (0.44 | ) | (0.54 | ) |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | Due to the short-term nature of the portfolio of investments there is no portfolio turnover calculation. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
(h) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(i) | From commencement of operations on August 3, 2009 through December 31, 2009. |
See accompanying notes to financial statements.
15 |
Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (b)(c) | Net assets, end of the period (000’s) | Net expenses including interest expense (%) (d)(e) | Gross expenses including interest expense (%) (e) | Net expenses, excluding interest expense (%) (d)(e) | Gross expenses, excluding interest expense (%) (e) | Net investment loss (%) (e) | Portfolio turnover rate (%) (f) | ||||||||||||||||||||||||||
$ | 8.14 | (1.57 | ) | $ | 4,299 | 1.80 | 3.00 | 1.70 | 2.90 | (1.62 | ) | — | ||||||||||||||||||||||
8.27 | (8.11 | ) | 9,602 | 1.75 | 2.11 | 1.70 | 2.07 | (1.54 | ) | — | ||||||||||||||||||||||||
9.00 | (7.69 | ) | 69,190 | 1.74 | 1.83 | 1.70 | 1.79 | (1.49 | ) | — | ||||||||||||||||||||||||
9.75 | (2.75 | ) | 134,758 | 1.72 | 1.80 | 1.70 | 1.78 | (1.46 | ) | — | ||||||||||||||||||||||||
10.45 | 8.46 | 61,411 | 1.74 | 2.05 | 1.70 | 2.02 | (1.45 | ) | — | |||||||||||||||||||||||||
10.19 | 7.26 | 2,887 | 1.71 | 4.88 | 1.70 | 4.87 | (1.48 | ) | — | |||||||||||||||||||||||||
7.91 | (1.86 | ) | 2,365 | 2.54 | 3.78 | 2.45 | 3.69 | (2.36 | ) | — | ||||||||||||||||||||||||
8.06 | (8.93 | ) | 3,536 | 2.50 | 2.88 | 2.45 | 2.83 | (2.29 | ) | — | ||||||||||||||||||||||||
8.85 | (8.29 | ) | 11,263 | 2.49 | 2.58 | 2.45 | 2.54 | (2.24 | ) | — | ||||||||||||||||||||||||
9.65 | (3.43 | ) | 26,032 | 2.47 | 2.55 | 2.45 | 2.53 | (2.21 | ) | — | ||||||||||||||||||||||||
10.34 | 7.58 | 20,742 | 2.49 | 2.72 | 2.45 | 2.68 | (2.20 | ) | — | |||||||||||||||||||||||||
10.16 | 6.90 | 131 | 2.47 | 5.76 | 2.45 | 5.75 | (2.23 | ) | — | |||||||||||||||||||||||||
8.21 | (1.56 | ) | 6,316 | 1.53 | 2.55 | 1.45 | 2.47 | (1.34 | ) | — | ||||||||||||||||||||||||
8.33 | (7.96 | ) | 26,810 | 1.50 | 1.87 | 1.45 | 1.83 | (1.29 | ) | — | ||||||||||||||||||||||||
9.05 | (7.37 | ) | 97,102 | 1.49 | 1.57 | 1.45 | 1.54 | (1.24 | ) | — | ||||||||||||||||||||||||
9.77 | (2.48 | ) | 243,695 | 1.47 | 1.55 | 1.45 | 1.53 | (1.21 | ) | — | ||||||||||||||||||||||||
10.46 | 8.63 | 173,034 | 1.49 | 1.94 | 1.45 | 1.91 | (1.21 | ) | — | |||||||||||||||||||||||||
10.19 | 7.29 | 19,549 | 1.47 | 5.11 | 1.45 | 5.09 | (1.22 | ) | — |
See accompanying notes to financial statements.
| 16
Table of Contents
Consolidated Notes to Financial Statements
June 30, 2014 (Unaudited)
1. Organization. Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in these financial statements pertains to ASG Diversifying Strategies Fund (the “Fund”).
The Fund is a diversified investment company.
The Fund offers Class A, Class C and Class Y shares. As of the close of business on June 12, 2014 and July 11, 2014, the Fund ceased to offer its shares to new investors and no longer accepted additional investments from existing shareholders, respectively. Class A shares are sold with a maximum front-end sales charge of 5.75%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.
Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trust. Expenses of the Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
The Fund invests in commodity-related instruments through ASG Diversifying Strategies Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”) of the Fund, organized under the laws of the Cayman Islands. A Subscription agreement was entered into between the Fund and the Subsidiary with the intent that the Fund will remain the sole shareholder and primary beneficiary of the Subsidiary. The Subsidiary is governed by a separate Board of Directors that is independent of the Fund’s Board of Trustees.
As of June 30, 2014, the value of the Fund’s investment in the Subsidiary was as follows:
Investment in | Percentage of | |
$779,694 | 6.0% |
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund’s financial statements are prepared in accordance with
17 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.
a. Consolidation. The accompanying financial statements of the Fund present the consolidated accounts of the Fund and its Subsidiary. All interfund accounts and transactions have been eliminated in consolidation.
b. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value). Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or sub-adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other
| 18
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s Net Asset Value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
c. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
d. Foreign Currency Translation. 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
The Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
19 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
e. 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 reflected in the Fund’s Statement of Assets and Liabilities. 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. Contracts are traded over-the-counter directly with a counterparty. 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. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
f. Futures Contracts. The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary is reduced; however, in the event that a counterparty enters into bankruptcy,
| 20
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
g. Due from Brokers. Transactions and positions in certain futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Fund or the Subsidiary and the various broker/dealers. Due from brokers’ balances in the Statement of Assets and Liabilities represent cash, including foreign currency, on deposit with the broker for open futures contracts. In certain circumstances the Fund’s or the Subsidiary’s use of cash and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
h. Federal and Foreign Income Taxes. The Trust treats each fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
The Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Fund will include in its taxable income its share of the Subsidiary’s current earnings and profits (including net realized gains). Any deficit generated by the Subsidiary will be disregarded for purposes of computing the Fund’s taxable income in the current period and also disregarded for all future periods.
i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, foreign currency transactions, deferred Trustees’ fees and subsidiary basis adjustments. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are
21 |
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Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
primarily due to deferred Trustees’ fees, commissions on open futures contracts, wash sales, futures and forward foreign currency contract mark-to-market and Subsidiary basis adjustments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
As of December 31, 2013, the capital loss carryforwards were as follows:
Capital loss carryforward: | ||||
Short-term: | ||||
No expiration date | $ | (34,288,729 | ) | |
Long-term: | ||||
No expiration date | (7,976,544 | ) | ||
|
| |||
Total capital loss carryforward | $ | (42,265,273 | ) | |
|
|
j. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
3. 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 each 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.
| 22
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2014, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments(a) | $ | — | $ | 10,899,717 | $ | — | $ | 10,899,717 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 100,097 | — | 100,097 | ||||||||||||
Futures Contracts (unrealized appreciation) | 292,002 | — | — | 292,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 292,002 | $ | 10,999,814 | $ | — | $ | 11,291,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (28,455 | ) | $ | — | $ | (28,455 | ) | ||||||
Futures Contracts (unrealized depreciation) | (423,063 | ) | — | — | (423,063 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (423,063 | ) | $ | (28,455 | ) | $ | — | $ | (451,518 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
4. 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 and futures contracts.
The Fund seeks to generate positive absolute returns over time rather than track the performance of any particular index. The Fund uses multiple quantitative investment models and strategies, each of which has an absolute return objective and may involve a broad range of market exposures. These market exposures, which are expected to change over time, may include exposures to the returns of equity and fixed income securities, currencies and commodities. Under normal market conditions, the Fund will make extensive use of a variety of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategies while also adding value through volatility management and correlation management. During the six months ended June 30, 2014, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary), to capture the exposures suggested by the quantitative investment models. The Fund also used short
23 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
contracts on U.S. and foreign equity market indices to hedge correlation to the global equity markets.
The following is a summary of derivative instruments for the Fund as of June 30, 2014, as reflected within the Statement of Assets and Liabilities:
Assets | Unrealized | Unrealized | Total | |||||||||
Over-the-counter asset derivatives Foreign exchange contracts | $ | 100,097 | $ | — | $ | 100,097 | ||||||
|
|
|
|
|
| |||||||
Exchange traded asset derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 132,894 | $ | 132,894 | ||||||
Equity contracts | — | 129,010 | 129,010 | |||||||||
Commodity contracts | — | 30,098 | 30,098 | |||||||||
|
|
|
|
|
| |||||||
Total exchange traded asset derivatives | $ | — | $ | 292,002 | $ | 292,002 | ||||||
|
|
|
|
|
| |||||||
Total asset derivatives | $ | 100,097 | $ | 292,002 | $ | 392,099 | ||||||
|
|
|
|
|
| |||||||
Liabilities | Unrealized | Unrealized | Total | |||||||||
Over-the-counter liability derivatives Foreign exchange contracts | $ | 28,455 | $ | — | $ | 28,455 | ||||||
|
|
|
|
|
| |||||||
Exchange traded liability derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 241,616 | $ | 241,616 | ||||||
Equity contracts | — | 73,819 | 73,819 | |||||||||
Commodity contracts | — | 107,628 | 107,628 | |||||||||
|
|
|
|
|
| |||||||
Total exchange traded liability derivatives | $ | — | $ | 423,063 | $ | 423,063 | ||||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | 28,455 | $ | 423,063 | $ | 451,518 | ||||||
|
|
|
|
|
|
| 24
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Transactions in derivative instruments for the Fund during the six months ended June 30, 2014 as reflected within the Statement of Operations were as follows:
Net Realized Gain (Loss) on: | Futures | Foreign | ||||||
Interest rate contracts | $ | (689,172 | ) | $ | — | |||
Foreign exchange contracts | — | 183,882 | ||||||
Equity contracts | (318,955 | ) | — | |||||
Commodity contracts | 152,114 | — | ||||||
|
|
|
| |||||
Total | $ | (856,013 | ) | $ | 183,882 | |||
|
|
|
| |||||
Net Change in Unrealized | Futures | Foreign | ||||||
Interest rate contracts | $ | 1,115,466 | $ | — | ||||
Foreign exchange contracts | — | 122,254 | ||||||
Equity contracts | (500,515 | ) | — | |||||
Commodity contracts | 2,191 | — | ||||||
|
|
|
| |||||
Total | $ | 617,142 | $ | 122,254 | ||||
|
|
|
|
1 | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations. |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:
Forwards | Futures | |||||||
Average Notional Amount Outstanding | 65.11 | % | 617.30 | % | ||||
Highest Notional Amount Outstanding | 130.32 | % | 755.44 | % | ||||
Lowest Notional Amount Outstanding | 39.63 | % | 458.52 | % | ||||
Notional Amount Outstanding as of June 30, 2014 | 46.36 | % | 539.80 | % |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
25 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Unrealized gain and/or loss on open forwards and futures is recorded in the Statement of Assets and Liabilities. The aggregate notional values of forward and futures contracts are not recorded in the Statement of Assets and Liabilities, and therefore are not included in the Fund’s net assets.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement negotiated between the Fund and its counterparty. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreement contains provisions that allow the counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral pledged, on the Statement of Assets and Liabilities.
As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Counterparty | Gross Amounts of | Offset | Net Asset | Collateral | Net | |||||||||||||||
UBS AG | $ | 100,097 | $ | (28,455 | ) | $ | 71,642 | $ | — | $ | 71,642 | |||||||||
Counterparty | Gross Amounts of | Offset | Net | Collateral | Net | |||||||||||||||
UBS AG | $ | (28,455 | ) | $ | 28,455 | $ | — | $ | — | $ | — |
The Fund is required to pledge an independent amount of collateral to the counterparty for open forward foreign currency contracts. In addition to the independent amount, the amount of collateral pledged to the counterparty is subsequently increased (for losses) or decreased (for gains) based on the change in value of the contracts, as calculated by the counterparty under the terms of the Fund’s ISDA agreement. As of June 30, 2014, amounts pledged to the counterparty (which may exceed the amounts shown in the table above) are as follows:
Independent | Increase | Required | Collateral | Excess/ | ||||
$158,177 | $(72,766) | $85,411 | $ — | $(85,411) |
| 26
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Amounts in excess or short of the required collateral amount are received or paid by the Fund on the next business day, subject to collateral thresholds and minimum transfer requirements. The ISDA agreements include a tri-party control agreement under which collateral pledged from the Fund to the broker is held for the benefit of the broker, as secured party, at a third party custodian, State Street Bank and Trust Company (“State Street Bank”). Collateral pledged to the broker is reflected in “due from brokers” on the Statement of Assets and Liabilities.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the
27 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2014:
Maximum Amount | Maximum Amount | |||||||
Over-the-counter counterparty credit risk | ||||||||
Forward foreign currency contracts | $ | 100,097 | $ | 71,642 | ||||
|
|
|
| |||||
Exchange traded counterparty credit risk | ||||||||
Futures contracts | 292,002 | 292,002 | ||||||
Margin with brokers | 1,737,771 | 1,737,771 | ||||||
|
|
|
| |||||
Total exchange traded counterparty credit risk | 2,029,773 | 2,029,773 | ||||||
|
|
|
| |||||
Total counterparty credit risk | $ | 2,129,870 | $ | 2,101,415 | ||||
|
|
|
|
5. Purchases and Sales of Securities. For the six months ended June 30, 2014, purchases and proceeds from sales or maturities of short-term investments were $332,041,361 and $354,195,633, respectively.
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. AlphaSimplex Group, LLC (“AlphaSimplex”), which is a subsidiary of Natixis Global Asset Management, L.P. (“Natixis US”), serves as investment adviser to the Fund. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 1.25% of the Fund’s average daily net assets, less the net asset value of the Subsidiary, calculated daily and payable monthly.
AlphaSimplex also serves as investment adviser to ASG Diversifying Strategies Cayman Fund Ltd., which pays AlphaSimplex a management fee at the annual rate of 1.25% of its average daily net assets.
AlphaSimplex has entered into a subadvisory agreement with Reich & Tang Asset Management, LLC (“Reich & Tang”) on behalf of the Fund. Under the terms of the subadvisory agreement, the Fund pays a subadvisory fee at the annual rate of 0.05% of the average daily net assets of the Fund that are allocated by AlphaSimplex to be managed by Reich & Tang, subject to a minimum annual subadvisory fee of $50,000.
Payments to AlphaSimplex are reduced by the amount of payments to Reich & Tang, as described above.
AlphaSimplex has given binding undertakings to the Fund to waive management fees and/or reimburse certain expenses, including expenses of the Subsidiary, if applicable, to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.
| 28
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage | ||||
Class A | Class C | Class Y | ||
1.70% | 2.45% | 1.45% |
AlphaSimplex shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2014, the management fees and waivers of management fees for the Fund were as follows:
Gross | Waivers of | Net | Percentage of | |||||
Gross | Net | |||||||
$178,617 | $153,842 | $24,775 | 1.25% | 0.17% |
1 | Management fee waivers are subject to possible recovery until December 31, 2015. |
b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to the Fund’s Class A shares (the “Class A Plan”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plan”).
Under the Class A Plan, the Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plan, the Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
29 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Also under the Class C Plan, the Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2014, the service and distribution fees for the Fund were as follows:
Service Fees | Distribution Fees | |||
Class A | Class C | Class C | ||
$7,063 | $3,656 | $10,968 |
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Fund and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM Advisors, the Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
NGAM Advisors also provides certain administrative services to the Subsidiary for which the Subsidiary pays NGAM Advisors fees equal to an annual rate of 0.05% of the average daily net assets of the Subsidiary. Payments by the Fund are reduced by the amount of payments to NGAM Advisors by the Subsidiary. In addition, NGAM Advisors and the Subsidiary contract with State Street Bank to serve as sub-administrator.
For the six months ended June 30, 2014, the administrative fees paid to NGAM Advisors for the Fund were $6,231 (exclusive of sub-administrative fees paid to State Street Bank by the Subsidiary).
Effective July 1, 2014, the Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping,
| 30
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers.
For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $10,735.
As of June 30, 2014, NGAM Distribution owes the Fund $539 for overpayments of sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as receivable from distributor).
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 amounted to $1,225.
f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
31 |
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.
g. Affiliated Ownership. At June 30, 2014, Natixis US and AlphaSimplex Group held shares of Diversifying Strategies Fund representing 15.37% and 2.62% of the Fund’s net assets, respectively. Investment activities of affiliated shareholders could have material impacts on the Funds.
7. Line of Credit. The Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participates in the line of credit. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2014, the Fund had no borrowings under this agreement.
8. Concentration of Risk. The Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
The Fund’s investments in commodity-related instruments may subject the Fund to greater volatility than investments in other securities. The value of these investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
9. Interest Expense. The Fund incurs interest expense on net cash and foreign currency debit balances, if any, for accounts held at brokers. Interest expense incurred for the six months ended June 30, 2014 is reflected on the Statement of Operations.
| 32
Table of Contents
Consolidated Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
10. Capital Shares. The Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2014 |
|
| Year Ended December 31, 2013 |
| |||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 31,823 | $ | 264,071 | 581,643 | $ | 5,101,556 | ||||||||||
Redeemed | (665,602 | ) | (5,562,930 | ) | (7,105,046 | ) | (62,540,450 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (633,779 | ) | $ | (5,298,859 | ) | (6,523,403 | ) | $ | (57,438,894 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 11,558 | $ | 94,017 | 33,890 | $ | 292,651 | ||||||||||
Redeemed | (151,417 | ) | (1,225,123 | ) | (868,533 | ) | (7,400,661 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (139,859 | ) | $ | (1,131,106 | ) | (834,643 | ) | $ | (7,108,010 | ) | ||||||
|
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| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 473,509 | $ | 3,943,432 | 1,420,736 | $ | 12,558,419 | ||||||||||
Redeemed | (2,923,690 | ) | (24,331,925 | ) | (8,934,974 | ) | (78,816,009 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (2,450,181 | ) | $ | (20,388,493 | ) | (7,514,238 | ) | $ | (66,257,590 | ) | ||||||
|
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|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (3,223,819 | ) | $ | (26,818,458 | ) | (14,872,284 | ) | $ | (130,804,494 | ) | ||||||
|
| �� |
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11. Subsequent Event. On June 13, 2014, the Board of Trustees approved the liquidation and termination of the Fund and its Subsidiary. The Fund liquidated its position in the Subsidiary on July 22, 2014. The sale of the Fund’s assets and the corresponding liquidating distributions to shareholders were completed on August 8, 2014.
33 |
Table of Contents
SEMIANNUAL REPORT
June 30, 2014
CGM Advisor Targeted Equity Fund
Natixis Oakmark Fund (formerly Harris Associates Large Cap Value Fund)
Natixis Oakmark International Fund
Vaughan Nelson Small Cap Value Fund
Vaughan Nelson Value Opportunity Fund
Portfolio of Investments page 15
Notes to Financial Statementspage 55
Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.
For more details visit ngam.natixis.com/TopFundFamily
Table of Contents
CGM ADVISOR TARGETED EQUITY FUND
Manager | Symbols | |
G. Kenneth Heebner, CFA® | Class A NEFGX | |
Capital Growth Management Limited Partnership | Class B NEBGX | |
Class C NEGCX | ||
Class Y NEGYX |
Objective
The Fund seeks long-term growth of capital through investments in equity securities of companies whose earnings are expected to grow at a faster rate than that of the overall United States economy.
Average Annual Total Returns — June 30, 2014
6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
Class A (Inception 11/27/68) | ||||||||||||||||
NAV | 5.83 | % | 19.38 | % | 14.25 | % | 8.20 | % | ||||||||
With 5.75% Maximum Sales Charge | -0.26 | 12.55 | 12.90 | 7.57 | ||||||||||||
Class B (Inception 2/28/97) | ||||||||||||||||
NAV | 5.39 | 18.39 | 13.41 | 7.40 | ||||||||||||
With CDSC1 | 0.39 | 13.53 | 13.17 | 7.40 | ||||||||||||
Class C (Inception 9/1/98) | ||||||||||||||||
NAV | 5.43 | 18.53 | 13.41 | 7.40 | ||||||||||||
With CDSC1 | 4.43 | 17.56 | 13.41 | 7.40 | ||||||||||||
Class Y (Inception 6/30/99) | ||||||||||||||||
NAV | 5.91 | 19.64 | 14.52 | 8.48 | ||||||||||||
Comparative Performance | ||||||||||||||||
S&P 500® Index2 | 7.14 | 24.61 | 18.83 | 7.78 |
Past performance does not guarantee future results. The table(s) does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
1 |
Table of Contents
NATIXIS OAKMARK FUND (formerly Harris Associates Large Cap Value Fund)
Managers | Symbols | |
William C. Nygren, CFA® | Class A NEFOX | |
Kevin G. Grant, CFA® | Class B NEGBX | |
M. Colin Hudson, CFA® | Class C NECOX | |
Michael J. Mangan, CFA®, CPA* | Class Y NEOYX | |
Harris Associates L.P. |
* | Michael J. Mangan became a portfolio manager of the Fund effective August 1, 2014. |
Objective
The Fund seeks opportunities for long-term capital growth and income.**
** | Effective July 1, 2014, the Fund’s Objective changed to “The Fund seeks long-term capital appreciation.” |
Average Annual Total Returns — June 30, 20144
6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
Class A (Inception 5/6/31) | ||||||||||||||||
NAV | 6.55 | % | 27.03 | % | 19.67 | % | 6.96 | % | ||||||||
With 5.75% Maximum Sales Charge | 0.40 | 19.76 | 18.26 | 6.33 | ||||||||||||
Class B (Inception 9/13/93) | ||||||||||||||||
NAV | 6.13 | 26.02 | 18.77 | 6.16 | ||||||||||||
With CDSC1 | 1.13 | 21.02 | 18.57 | 6.16 | ||||||||||||
Class C (Inception 5/1/95) | ||||||||||||||||
NAV | 6.11 | 26.02 | 18.77 | 6.16 | ||||||||||||
With CDSC1 | 5.11 | 25.02 | 18.77 | 6.16 | ||||||||||||
Class Y (Inception 11/18/98) | ||||||||||||||||
NAV | 6.64 | 27.27 | 19.96 | 7.28 | ||||||||||||
Comparative Performance | ||||||||||||||||
S&P 500® Index2 | 7.14 | 24.61 | 18.83 | 7.78 | ||||||||||||
Russell 1000® Value Index3 | 8.28 | 23.81 | 19.23 | 8.03 |
Past performance does not guarantee future results. The table(s) does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. Effective at the close of business on February 28, 2014, the S&P 500® Index replaced the Russell 1000® Value Index as the Fund’s primary benchmark because Harris Associates believes the S&P 500® Index is a more appropriate representation of the universe of securities in which the Fund may invest. |
3 | Russell 1000® Value Index is an unmanaged index that measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 2
Table of Contents
NATIXIS OAKMARK INTERNATIONAL FUND
Managers | Symbols | |
David G. Herro, CFA® | Class A NOIAX | |
Robert A. Taylor, CFA® | Class C NOICX | |
Harris Associates L.P. |
Objective
The Fund seeks long-term capital appreciation.
Average Annual Total Returns — June 30, 20143
6 Months | 1 Year | Life of Fund | ||||||||||
Class A (Inception 12/15/10) | ||||||||||||
NAV | 1.83 | % | 20.07 | % | 11.26 | % | ||||||
With 5.75% Maximum Sales Charge | -4.03 | 13.19 | 9.42 | |||||||||
Class C (Inception 12/15/10) | ||||||||||||
NAV | 1.49 | 19.24 | 10.45 | |||||||||
With CDSC1 | 0.49 | 18.24 | 10.45 | |||||||||
Comparative Performance | ||||||||||||
MSCI World ex USA Index (Net)2 | 5.40 | 23.83 | 8.21 |
Past performance does not guarantee future results. The table(s) does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States. The index calculates reinvested dividends net of withholding taxes using Luxembourg tax rates. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
3 |
Table of Contents
VAUGHAN NELSON SMALL CAP VALUE FUND
Managers | Symbols | |
Dennis G. Alff, CFA® | Class A NEFJX | |
Chad D. Fargason | Class B NEJBX | |
Chris D. Wallis, CFA® | Class C NEJCX | |
Scott J. Weber, CFA® | Class Y NEJYX | |
Vaughan Nelson Investment Management, L.P. |
Effective July 31, 2009, the fund was closed to new investors.
Objective
The Fund seeks capital appreciation.
Average Annual Total Returns — June 30, 20144
6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
Class A (Inception 12/31/96) | ||||||||||||||||
NAV | 6.46 | % | 26.89 | % | 20.32 | % | 12.00 | % | ||||||||
With 5.75% Maximum Sales Charge | 0.35 | 19.57 | 18.91 | 11.34 | ||||||||||||
Class B (Inception 12/31/96) | ||||||||||||||||
NAV | 5.96 | 25.88 | 19.42 | 11.17 | ||||||||||||
With CDSC1 | 0.96 | 20.88 | 19.23 | 11.17 | ||||||||||||
Class C (Inception 12/31/96) | ||||||||||||||||
NAV | 6.03 | 25.91 | 19.42 | 11.16 | ||||||||||||
With CDSC1 | 5.03 | 24.91 | 19.42 | 11.16 | ||||||||||||
Class Y (Inception 8/31/06)2 | ||||||||||||||||
NAV | 6.57 | 27.21 | 20.62 | 12.24 | ||||||||||||
Comparative Performance | ||||||||||||||||
Russell 2000® Value Index3 | 4.20 | 22.54 | 19.88 | 8.24 |
Past performance does not guarantee future results. The table(s) does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | Prior to the inception of Class Y shares (8/31/06), performance is that of Class A shares and reflects the higher net expenses of that share class. |
3 | Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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Table of Contents
VAUGHAN NELSON VALUE OPPORTUNITY FUND
Managers | Symbols | |
Dennis G. Alff, CFA® | Class A VNVAX | |
Chad D. Fargason | Class C VNVCX | |
Chris D. Wallis, CFA® | Class N VNVNX | |
Scott J. Weber, CFA® | Class Y VNVYX | |
Vaughan Nelson Investment Management, L.P. |
Objective
The Fund seeks long-term capital appreciation.
Average Annual Total Returns — June 30, 20143
6 Months | 1 Year | 5 Years | Life of Class | |||||||||||||||||
Class A/C/Y | Class N | |||||||||||||||||||
Class A (Inception 10/31/08) | ||||||||||||||||||||
NAV | 7.98 | % | 28.53 | % | 20.60 | % | 18.33 | % | — | |||||||||||
With 5.75% Maximum Sales Charge | 1.76 | 21.16 | 19.18 | 17.10 | ||||||||||||||||
Class C (Inception 10/31/08) | ||||||||||||||||||||
NAV | 7.60 | 27.57 | 19.70 | 17.46 | — | |||||||||||||||
With CDSC1 | 6.60 | 26.57 | 19.70 | 17.46 | ||||||||||||||||
Class N (Inception 5/1/13) | ||||||||||||||||||||
NAV | 8.07 | 28.74 | — | — | 29.21 | % | ||||||||||||||
Class Y (Inception 10/31/08) | ||||||||||||||||||||
NAV | 8.11 | 28.86 | 20.89 | 18.62 | — | |||||||||||||||
Comparative Performance | ||||||||||||||||||||
Russell Midcap® Value Index2 | 11.14 | 27.76 | 22.97 | 19.47 | 25.36 |
Past performance does not guarantee future results. The table(s) does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
5 |
Table of Contents
ADDITIONAL INFORMATION
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-months ended June 30, 2014 is available from the Fund’s website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public
Reference Room may be obtained by calling 800-SEC-0330.
| 6
Table of Contents
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.
The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
CGM ADVISOR TARGETED EQUITY FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,058.30 | $5.77 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.19 | $5.66 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,053.90 | $9.57 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.47 | $9.39 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,054.30 | $9.58 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.47 | $9.39 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,059.10 | $4.49 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.43 | $4.41 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.13%, 1.88%, 1.88% and 0.88% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
7 |
Table of Contents
NATIXIS OAKMARK FUND (formerly Harris Associates Large Cap Value Fund) | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,065.50 | $6.35 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.65 | $6.21 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,061.30 | $10.12 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.98 | $9.89 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,061.10 | $10.22 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.88 | $9.99 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,066.40 | $5.07 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.89 | $4.96 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.24%, 1.98%, 2.00% and 0.99% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
NATIXIS OAKMARK INTERNATIONAL FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,018.30 | $6.51 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | $6.51 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,014.90 | $10.24 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.30% and 2.05% for Class A and C, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
| 8
Table of Contents
VAUGHAN NELSON SMALL CAP VALUE FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,064.60 | $7.01 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $6.85 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,059.60 | $10.78 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.33 | $10.54 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,060.30 | $10.83 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.28 | $10.59 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,065.70 | $5.74 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.24 | $5.61 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.37%, 2.11%, 2.12% and 1.12% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
VAUGHAN NELSON VALUE OPPORTUNITY FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,079.80 | $6.55 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.50 | $6.36 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,076.00 | $10.40 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.78 | $10.09 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,080.70 | $4.75 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.23 | $4.61 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,081.10 | $5.26 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.74 | $5.11 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.27%, 2.02%, 0.92% and 1.02% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
9 |
Table of Contents
BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund (and segment, in the case of Funds managed by multiple subadvisers) based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a
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third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.
With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group and/or category for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors
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included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s performance, although lagging in certain periods, was stronger over the long term; (3) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category and benchmark; or (4) that although the Fund’s performance lagged that of its relevant category for certain periods, performance was competitive when compared to relevant performance benchmarks or peer groups.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that four of the five Natixis Equity Funds included in this report have expense caps in place. The Trustees noted that several Funds had total advisory fee rates that were above the median of a peer group of funds. The Trustees considered the factors which management believed justified such relatively higher fees. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund’s net expense ratio was near, at, or below the median of a peer group of; and (2) that the Fund’s investment discipline was capacity constrained. The Trustees also noted that the Natixis Oakmark Fund had a net expense ratio that was above the median of a peer group of funds, but noted that the Fund’s current net expense ratio is only slightly higher than its peer group median.
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The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds, and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that two Funds had breakpoints in their advisory fees and that four of the Funds were subject to an expense cap. With respect to the CGM Advisor Targeted Equity Fund, which does not have an expense cap, the Trustees noted that the Fund’s assets have been declining over time. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
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· | The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | Plans for maintaining continuity of portfolio management where that was thought to be a potential issue. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.
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Portfolio of Investments – as of June 30, 2014 (Unaudited)
CGM Advisor Targeted Equity Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 97.6% of Net Assets | ||||||||
Airlines — 9.0% | ||||||||
670,000 | American Airlines Group, Inc.(b) | $ | 28,783,200 | |||||
580,000 | Delta Air Lines, Inc. | 22,457,600 | ||||||
|
| |||||||
51,240,800 | ||||||||
|
| |||||||
Auto Components — 5.1% | ||||||||
420,000 | Delphi Automotive PLC | 28,870,800 | ||||||
|
| |||||||
Banks — 5.2% | ||||||||
620,000 | Citigroup, Inc. | 29,202,000 | ||||||
|
| |||||||
Biotechnology — 5.7% | ||||||||
390,000 | Gilead Sciences, Inc.(b) | 32,334,900 | ||||||
|
| |||||||
Capital Markets — 20.3% | ||||||||
260,000 | Ameriprise Financial, Inc. | 31,200,000 | ||||||
54,000 | BlackRock, Inc. | 17,258,400 | ||||||
1,060,000 | Charles Schwab Corp. (The) | 28,545,800 | ||||||
1,170,000 | Morgan Stanley | 37,826,100 | ||||||
|
| |||||||
114,830,300 | ||||||||
|
| |||||||
Energy Equipment & Services — 5.4% | ||||||||
260,000 | Schlumberger Ltd. | 30,667,000 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 5.0% | ||||||||
440,000 | Marriott International, Inc., Class A | 28,204,000 | ||||||
|
| |||||||
Household Durables — 18.4% | ||||||||
1,470,000 | DR Horton, Inc. | 36,132,600 | ||||||
810,000 | Lennar Corp., Class A | 34,003,800 | ||||||
920,000 | Toll Brothers, Inc.(b) | 33,948,000 | ||||||
|
| |||||||
104,084,400 | ||||||||
|
| |||||||
Insurance — 5.2% | ||||||||
335,000 | Prudential Financial, Inc. | 29,737,950 | ||||||
|
| |||||||
Machinery — 4.2% | ||||||||
155,000 | Cummins, Inc. | 23,914,950 | ||||||
|
| |||||||
Media — 5.4% | ||||||||
360,000 | Walt Disney Co. (The) | 30,866,400 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.2% | ||||||||
60,000 | EOG Resources, Inc. | 7,011,600 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.3% | ||||||||
1,080,000 | Micron Technology, Inc.(b) | 35,586,000 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% | ||||||||
110,000 | VF Corp. | 6,930,000 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $480,922,624) | 553,481,100 | |||||||
|
| |||||||
See accompanying notes to financial statements.
15 |
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Portfolio of Investments – as of June 30, 2014 (Unaudited)
CGM Advisor Targeted Equity Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 2.3% | ||||||||
$ | 13,055,000 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $13,055,004 on 7/01/2014 collateralized by $13,420,000 U.S. Treasury Note, 1.250% due 11/30/2018 valued at $13,319,350 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $13,055,000) | $ | 13,055,000 | ||||
|
| |||||||
Total Investments — 99.9% (Identified Cost $493,977,624)(a) | 566,536,100 | |||||||
Other assets less liabilities — 0.1% | 723,549 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 567,259,649 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $493,977,624 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 | $ | 72,558,476 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | 0 | |||||||
|
| |||||||
Net unrealized appreciation | $ | 72,558,476 | ||||||
|
| |||||||
(b) | Non-income producing security. |
Industry Summary at June 30, 2014 (Unaudited)
Capital Markets | 20.3 | % | ||
Household Durables | 18.4 | |||
Airlines | 9.0 | |||
Semiconductors & Semiconductor Equipment | 6.3 | |||
Biotechnology | 5.7 | |||
Media | 5.4 | |||
Energy Equipment & Services | 5.4 | |||
Insurance | 5.2 | |||
Banks | 5.2 | |||
Auto Components | 5.1 | |||
Hotels, Restaurants & Leisure | 5.0 | |||
Machinery | 4.2 | |||
Other Investments, less than 2% each | 2.4 | |||
Short-Term Investments | 2.3 | |||
|
| |||
Total Investments | 99.9 | |||
Other assets less liabilities | 0.1 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark Fund*
Shares | Description | Value (†) | ||||||
Common Stocks — 86.4% of Net Assets | ||||||||
Air Freight & Logistics — 2.0% | ||||||||
30,000 | FedEx Corp. | $ | 4,541,400 | |||||
|
| |||||||
Automobiles — 2.2% | ||||||||
103,000 | General Motors Co. | 3,738,900 | ||||||
15,600 | Harley-Davidson, Inc. | 1,089,660 | ||||||
|
| |||||||
4,828,560 | ||||||||
|
| |||||||
Banks — 8.4% | ||||||||
425,000 | Bank of America Corp. | 6,532,250 | ||||||
90,000 | Citigroup, Inc. | 4,239,000 | ||||||
72,100 | JPMorgan Chase & Co. | 4,154,402 | ||||||
72,400 | Wells Fargo & Co. | 3,805,344 | ||||||
|
| |||||||
18,730,996 | ||||||||
|
| |||||||
Beverages — 1.6% | ||||||||
28,200 | Diageo PLC, Sponsored ADR | 3,589,014 | ||||||
|
| |||||||
Capital Markets — 7.2% | ||||||||
91,800 | Bank of New York Mellon Corp. (The) | 3,440,664 | ||||||
76,300 | Franklin Resources, Inc. | 4,413,192 | ||||||
24,800 | Goldman Sachs Group, Inc. (The) | 4,152,512 | ||||||
61,900 | State Street Corp. | 4,163,394 | ||||||
|
| |||||||
16,169,762 | ||||||||
|
| |||||||
Chemicals — 1.3% | ||||||||
23,000 | Monsanto Co. | 2,869,020 | ||||||
|
| |||||||
Communications Equipment — 1.8% | ||||||||
51,000 | QUALCOMM, Inc. | 4,039,200 | ||||||
|
| |||||||
Consumer Finance — 2.0% | ||||||||
53,600 | Capital One Financial Corp. | 4,427,360 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.9% | ||||||||
67,100 | TE Connectivity Ltd. | 4,149,464 | ||||||
|
| |||||||
Energy Equipment & Services — 3.6% | ||||||||
56,400 | Halliburton Co. | 4,004,964 | ||||||
48,200 | National Oilwell Varco, Inc. | 3,969,270 | ||||||
|
| |||||||
7,974,234 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% | ||||||||
35,000 | Wal-Mart Stores, Inc. | 2,627,450 | ||||||
|
| |||||||
Food Products — 4.2% | ||||||||
76,200 | General Mills, Inc. | 4,003,548 | ||||||
25,700 | Nestle S.A., Sponsored ADR | 1,996,119 | ||||||
72,500 | Unilever PLC, Sponsored ADR | 3,284,975 | ||||||
|
| |||||||
9,284,642 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.6% | ||||||||
23,100 | Baxter International, Inc. | 1,670,130 | ||||||
65,400 | Medtronic, Inc. | 4,169,904 | ||||||
|
| |||||||
5,840,034 | ||||||||
|
|
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark Fund* – (continued)
Shares | Description | Value (†) | ||||||
Health Care Providers & Services — 1.8% | ||||||||
49,700 | UnitedHealth Group, Inc. | $ | 4,062,975 | |||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
34,200 | McDonald’s Corp. | 3,445,308 | ||||||
|
| |||||||
Insurance — 6.3% | ||||||||
50,200 | Aflac, Inc. | 3,124,950 | ||||||
78,500 | American International Group, Inc. | 4,284,530 | ||||||
39,400 | Aon PLC | 3,549,546 | ||||||
63,000 | Principal Financial Group, Inc. | 3,180,240 | ||||||
|
| |||||||
14,139,266 | ||||||||
|
| |||||||
Internet & Catalog Retail — 3.6% | ||||||||
13,240 | Amazon.com, Inc.(b) | 4,300,087 | ||||||
129,700 | Liberty Interactive Corp., Class A(b) | 3,807,992 | ||||||
|
| |||||||
8,108,079 | ||||||||
|
| |||||||
Internet Software & Services — 2.0% | ||||||||
4,790 | Google, Inc., Class A(b) | 2,800,569 | ||||||
2,810 | Google, Inc., Class C(b) | 1,616,537 | ||||||
|
| |||||||
4,417,106 | ||||||||
|
| |||||||
IT Services — 5.7% | ||||||||
53,000 | Automatic Data Processing, Inc. | 4,201,840 | ||||||
59,600 | MasterCard, Inc., Class A | 4,378,812 | ||||||
20,080 | Visa, Inc., Class A | 4,231,057 | ||||||
|
| |||||||
12,811,709 | ||||||||
|
| |||||||
Machinery — 3.2% | ||||||||
43,600 | Illinois Tool Works, Inc. | 3,817,616 | ||||||
26,800 | Parker Hannifin Corp. | 3,369,564 | ||||||
|
| |||||||
7,187,180 | ||||||||
|
| |||||||
Media — 3.4% | ||||||||
57,000 | Comcast Corp., Special Class A | 3,039,810 | ||||||
48,500 | News Corp., Class A(b) | 870,090 | ||||||
51,100 | Omnicom Group, Inc. | 3,639,342 | ||||||
|
| |||||||
7,549,242 | ||||||||
|
| |||||||
Multiline Retail — 1.0% | ||||||||
41,200 | Kohl’s Corp. | 2,170,416 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.3% | ||||||||
49,400 | Apache Corp. | 4,970,628 | ||||||
56,900 | Cenovus Energy, Inc. | 1,841,853 | ||||||
6,900 | Devon Energy Corp. | 547,860 | ||||||
|
| |||||||
7,360,341 | ||||||||
|
| |||||||
Pharmaceuticals — 1.6% | ||||||||
69,600 | Sanofi, ADR | 3,700,632 | ||||||
|
| |||||||
Road & Rail — 1.1% | ||||||||
24,400 | Union Pacific Corp. | 2,433,900 | ||||||
|
|
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark Fund* – (continued)
Shares | Description | Value (†) | ||||||
Semiconductors & Semiconductor Equipment — 4.7% | ||||||||
102,100 | Applied Materials, Inc. | $ | 2,302,355 | |||||
142,300 | Intel Corp. | 4,397,070 | ||||||
77,500 | Texas Instruments, Inc. | 3,703,725 | ||||||
|
| |||||||
10,403,150 | ||||||||
|
| |||||||
Software — 3.7% | ||||||||
84,400 | Microsoft Corp. | 3,519,480 | ||||||
114,900 | Oracle Corp. | 4,656,897 | ||||||
|
| |||||||
8,176,377 | ||||||||
|
| |||||||
Specialty Retail — 1.9% | ||||||||
52,700 | Home Depot, Inc. (The) | 4,266,592 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.6% | ||||||||
38,150 | Apple, Inc. | 3,545,280 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $160,014,043) | 192,848,689 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 10.0% | ||||||||
$ | 22,324,457 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $22,324,463 on 7/01/2014 collateralized by $23,355,000 Federal National Mortgage Association, 1.630% due 1/10/2020 valued at $22,771,125 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,324,457) | 22,324,457 | |||||
|
| |||||||
Total Investments — 96.4% (Identified Cost $182,338,500)(a) | 215,173,146 | |||||||
Other assets less liabilities — 3.6% | 8,098,630 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 223,271,776 | ||||||
|
| |||||||
* | Formerly Harris Associates Large Cap Value Fund. | |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $182,338,500 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 | $ | 33,459,135 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (624,489 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 32,834,646 | ||||||
|
| |||||||
(b) | Non-income producing security. | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark Fund* – (continued)
Industry Summary at June 30, 2014 (Unaudited)
Banks | 8.4 | % | ||
Capital Markets | 7.2 | |||
Insurance | 6.3 | |||
IT Services | 5.7 | |||
Semiconductors & Semiconductor Equipment | 4.7 | |||
Food Products | 4.2 | |||
Software | 3.7 | |||
Internet & Catalog Retail | 3.6 | |||
Energy Equipment & Services | 3.6 | |||
Media | 3.4 | |||
Oil, Gas & Consumable Fuels | 3.3 | |||
Machinery | 3.2 | |||
Health Care Equipment & Supplies | 2.6 | |||
Automobiles | 2.2 | |||
Air Freight & Logistics | 2.0 | |||
Consumer Finance | 2.0 | |||
Internet Software & Services | 2.0 | |||
Other Investments, less than 2% each | 18.3 | |||
Short-Term Investments | 10.0 | |||
|
| |||
Total Investments | 96.4 | |||
Other assets less liabilities | 3.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark International Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 94.9% of Net Assets | ||||||||
Australia — 4.3% | ||||||||
4,703,768 | AMP Ltd. | $ | 23,513,416 | |||||
1,077,490 | Orica Ltd. | 19,789,592 | ||||||
|
| |||||||
43,303,008 | ||||||||
|
| |||||||
Canada — 0.6% | ||||||||
153,000 | Thomson Reuters Corp. | 5,570,545 | ||||||
|
| |||||||
France — 15.1% | ||||||||
490,500 | BNP Paribas S.A. | 33,333,761 | ||||||
32,600 | Christian Dior S.A. | 6,490,614 | ||||||
366,658 | Danone | 27,264,106 | ||||||
124,100 | Kering | 27,223,950 | ||||||
98,500 | LVMH Moet Hennessy Louis Vuitton S.A. | 19,007,434 | ||||||
167,000 | Pernod-Ricard S.A. | 20,060,130 | ||||||
62,829 | Publicis Groupe S.A. | 5,325,163 | ||||||
142,400 | Safran S.A. | 9,322,175 | ||||||
52,900 | Sanofi | 5,622,714 | ||||||
|
| |||||||
153,650,047 | ||||||||
|
| |||||||
Germany — 10.4% | ||||||||
214,200 | Allianz SE, (Registered) | 35,752,938 | ||||||
216,400 | Bayerische Motoren Werke AG | 27,402,659 | ||||||
273,200 | Daimler AG, (Registered) | 25,520,859 | ||||||
219,700 | SAP AG | 16,928,916 | ||||||
|
| |||||||
105,605,372 | ||||||||
|
| |||||||
Ireland — 2.5% | ||||||||
1,534,031 | Experian PLC | 25,917,688 | ||||||
|
| |||||||
Israel — 0.5% | ||||||||
71,900 | Check Point Software Technologies Ltd.(b) | 4,819,457 | ||||||
|
| |||||||
Italy — 3.3% | ||||||||
8,202,100 | Intesa Sanpaolo SpA | 25,306,179 | ||||||
1,144,000 | Prada SpA | 8,092,766 | ||||||
|
| |||||||
33,398,945 | ||||||||
|
| |||||||
Japan — 13.9% | ||||||||
799,300 | Canon, Inc. | 26,122,710 | ||||||
2,727,000 | Daiwa Securities Group, Inc. | 23,627,469 | ||||||
987,900 | Honda Motor Co. Ltd. | 34,472,519 | ||||||
81,600 | Meitec Corp. | 2,547,408 | ||||||
414,900 | Olympus Corp.(b) | 14,275,184 | ||||||
87,600 | Omron Corp. | 3,694,056 | ||||||
49,900 | Secom Co. Ltd. | 3,046,166 | ||||||
568,400 | Toyota Motor Corp. | 34,031,594 | ||||||
|
| |||||||
141,817,106 | ||||||||
|
| |||||||
Korea — 2.1% | ||||||||
16,580 | Samsung Electronics Co. Ltd. | 21,652,628 | ||||||
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark International Fund – (continued)
Shares | Description | Value (†) | ||||||
Netherlands — 7.1% | ||||||||
42,554 | Akzo Nobel NV | $ | 3,190,666 | |||||
2,781,300 | CNH Industrial NV | 28,538,640 | ||||||
209,200 | Heineken Holding NV | 13,747,592 | ||||||
216,746 | Koninklijke Ahold NV | 4,064,223 | ||||||
723,424 | Koninklijke Philips NV | 22,960,244 | ||||||
|
| |||||||
72,501,365 | ||||||||
|
| |||||||
Sweden — 4.5% | ||||||||
359,900 | Atlas Copco AB, Series B | 9,604,079 | ||||||
420,000 | Hennes & Mauritz AB, Series B | 18,337,126 | ||||||
709,500 | SKF AB, Series B | 18,090,577 | ||||||
|
| |||||||
46,031,782 | ||||||||
|
| |||||||
Switzerland — 15.4% | ||||||||
105,600 | Adecco S.A., (Registered) | 8,690,238 | ||||||
262,800 | Cie Financiere Richemont S.A., (Registered) | 27,538,607 | ||||||
1,734,358 | Credit Suisse Group AG, (Registered) | 49,324,207 | ||||||
125 | Geberit AG, (Registered) | 43,849 | ||||||
2,430 | Givaudan S.A., (Registered) | 4,048,201 | ||||||
214,000 | Holcim Ltd., (Registered) | 18,797,199 | ||||||
152,300 | Kuehne & Nagel International AG, (Registered) | 20,251,304 | ||||||
238,700 | Nestle S.A., (Registered) | 18,496,124 | ||||||
32,700 | Novartis AG, (Registered) | 2,961,258 | ||||||
42,600 | Schindler Holding AG | 6,470,748 | ||||||
|
| |||||||
156,621,735 | ||||||||
|
| |||||||
United Kingdom — 15.2% | ||||||||
865,600 | Diageo PLC | 27,568,555 | ||||||
621,100 | GlaxoSmithKline PLC | 16,536,899 | ||||||
20,608,700 | Lloyds Banking Group PLC(b) | 26,195,142 | ||||||
30,400 | Meggitt PLC | 263,205 | ||||||
327,200 | Schroders PLC | 14,021,187 | ||||||
100 | Schroders PLC, (Non Voting) | 3,295 | ||||||
538,400 | Smiths Group PLC | 11,930,817 | ||||||
5,472,000 | Tesco PLC | 26,594,926 | ||||||
421,900 | Willis Group Holdings PLC | 18,268,270 | ||||||
60,496 | Wolseley PLC | 3,314,035 | ||||||
479,000 | WPP PLC | 10,438,307 | ||||||
|
| |||||||
155,134,638 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $929,095,508) | 966,024,316 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark International Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 4.7% | ||||||||
$ | 48,317,803 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $48,317,816 on 7/01/2014 collateralized by $49,660,000 U.S. Treasury Note, 1.250% due 11/30/2018 valued at $49,287,550 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $48,317,803) | $ | 48,317,803 | ||||
|
| |||||||
Total Investments — 99.6% (Identified Cost $977,413,311)(a) | 1,014,342,119 | |||||||
Other assets less liabilities — 0.4% | 3,801,162 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,018,143,281 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $977,413,311 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 | $ | 51,995,517 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (15,066,709 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 36,928,808 | ||||||
|
| |||||||
(b) | Non-income producing security. |
At June 30, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 | Delivery Date | Currency | Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Sell | 9/17/2014 | Australian Dollar | 15,146,000 | $ | 14,204,352 | $ | (606,520 | ) | ||||||||||
Sell | 3/18/2015 | Swedish Krona | 92,571,000 | 13,824,398 | (36,312 | ) | ||||||||||||
Sell | 12/17/2014 | Swiss Franc | 45,300,000 | 51,162,623 | 876,435 | |||||||||||||
|
| |||||||||||||||||
Total | $ | 233,603 | ||||||||||||||||
|
|
1 Counterparty is State Street Bank and Trust Company.
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Oakmark International Fund – (continued)
Industry Summary at June 30, 2014 (Unaudited)
Automobiles | 11.9 | % | ||
Textiles, Apparel & Luxury Goods | 8.7 | |||
Capital Markets | 8.5 | |||
Banks | 8.4 | |||
Insurance | 7.6 | |||
Machinery | 6.1 | |||
Beverages | 6.0 | |||
Food Products | 4.5 | |||
Professional Services | 3.6 | |||
Industrial Conglomerates | 3.5 | |||
Food & Staples Retailing | 3.0 | |||
Chemicals | 2.7 | |||
Technology Hardware, Storage & Peripherals | 2.6 | |||
Pharmaceuticals | 2.4 | |||
Software | 2.2 | |||
Semiconductors & Semiconductor Equipment | 2.1 | |||
Media | 2.1 | |||
Marine | 2.0 | |||
Other Investments, less than 2% each | 7.0 | |||
Short-Term Investments | 4.7 | |||
|
| |||
Total Investments | 99.6 | |||
Other assets less liabilities (including forward foreign currency contracts) | 0.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2014 (Unaudited)
Euro | 35.1 | % | ||
British Pound | 15.9 | |||
Swiss Franc | 15.4 | |||
Japanese Yen | 13.9 | |||
United States Dollar | 7.0 | |||
Swedish Krona | 4.5 | |||
Australian Dollar | 4.3 | |||
South Korean Won | 2.1 | |||
Other, less than 2% each | 1.4 | |||
|
| |||
Total Investments | 99.6 | |||
Other assets less liabilities (including forward foreign currency contracts) | 0.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Small Cap Value Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 97.9% of Net Assets | ||||||||
Aerospace & Defense — 1.8% | ||||||||
53,675 | Esterline Technologies Corp.(b) | $ | 6,179,066 | |||||
|
| |||||||
Banks — 8.9% | ||||||||
142,150 | Capital Bank Financial Corp., Class A(b) | 3,356,161 | ||||||
430,680 | FirstMerit Corp. | 8,505,930 | ||||||
97,850 | Prosperity Bancshares, Inc. | 6,125,410 | ||||||
175,500 | Union Bankshares Corp. | 4,501,575 | ||||||
267,150 | Webster Financial Corp. | 8,425,911 | ||||||
|
| |||||||
30,914,987 | ||||||||
|
| |||||||
Building Products — 1.0% | ||||||||
38,450 | Lennox International, Inc. | 3,443,967 | ||||||
|
| |||||||
Capital Markets — 2.5% | ||||||||
120,475 | LPL Financial Holdings, Inc. | 5,992,426 | ||||||
147,950 | TCP Capital Corp. | 2,694,170 | ||||||
|
| |||||||
8,686,596 | ||||||||
|
| |||||||
Chemicals — 1.0% | ||||||||
154,225 | Taminco Corp.(b) | 3,587,274 | ||||||
|
| |||||||
Commercial Services & Supplies — 2.4% | ||||||||
260,925 | KAR Auction Services, Inc. | 8,315,680 | ||||||
|
| |||||||
Communications Equipment — 2.1% | ||||||||
213,075 | CommScope Holding Co., Inc.(b) | 4,928,425 | ||||||
199,350 | Ixia(b) | 2,278,570 | ||||||
|
| |||||||
7,206,995 | ||||||||
|
| |||||||
Consumer Finance — 2.9% | ||||||||
92,150 | First Cash Financial Services, Inc.(b) | 5,306,918 | ||||||
78,450 | Portfolio Recovery Associates, Inc.(b) | 4,670,129 | ||||||
|
| |||||||
9,977,047 | ||||||||
|
| |||||||
Containers & Packaging — 5.2% | ||||||||
645,200 | Graphic Packaging Holding Co.(b) | 7,548,840 | ||||||
65,625 | Packaging Corp. of America | 4,691,531 | ||||||
118,125 | Silgan Holdings, Inc. | 6,003,113 | ||||||
|
| |||||||
18,243,484 | ||||||||
|
| |||||||
Electrical Equipment — 0.9% | ||||||||
120,175 | Thermon Group Holdings, Inc.(b) | 3,163,006 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.4% | ||||||||
53,375 | Littelfuse, Inc. | 4,961,206 | ||||||
|
| |||||||
Energy Equipment & Services — 2.2% | ||||||||
213,550 | Forum Energy Technologies, Inc.(b) | 7,779,626 | ||||||
|
| |||||||
Gas Utilities — 0.5% | ||||||||
32,750 | Atmos Energy Corp. | 1,748,850 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 6.6% | ||||||||
150,425 | Alere, Inc.(b) | 5,628,904 | ||||||
110,150 | Haemonetics Corp.(b) | 3,886,092 |
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Shares | Description | Value (†) | ||||||
Health Care Equipment & Supplies — continued | ||||||||
120,325 | Integra LifeSciences Holdings Corp.(b) | $ | 5,662,494 | |||||
98,250 | Merit Medical Systems, Inc.(b) | 1,483,575 | ||||||
61,625 | Teleflex, Inc. | 6,507,600 | ||||||
|
| |||||||
23,168,665 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.2% | ||||||||
113,550 | Amsurg Corp.(b) | 5,174,473 | ||||||
65,275 | Community Health Systems, Inc.(b) | 2,961,527 | ||||||
48,650 | LifePoint Hospitals, Inc.(b) | 3,021,165 | ||||||
|
| |||||||
11,157,165 | ||||||||
|
| |||||||
Health Care Technology — 1.4% | ||||||||
212,850 | MedAssets, Inc.(b) | 4,861,494 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% | ||||||||
28,700 | Bob Evans Farms, Inc. | 1,436,435 | ||||||
57,025 | Jack in the Box, Inc. | 3,412,376 | ||||||
|
| |||||||
4,848,811 | ||||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
60,175 | Ryland Group, Inc. (The) | 2,373,302 | ||||||
|
| |||||||
Insurance — 7.4% | ||||||||
142,050 | American Equity Investment Life Holding Co. | 3,494,430 | ||||||
112,775 | Aspen Insurance Holdings Ltd. | 5,122,241 | ||||||
289,275 | CNO Financial Group, Inc. | 5,149,095 | ||||||
152,512 | HCC Insurance Holdings, Inc. | 7,463,937 | ||||||
72,975 | Platinum Underwriters Holdings Ltd. | 4,732,429 | ||||||
|
| |||||||
25,962,132 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.3% | ||||||||
77,925 | HSN, Inc. | 4,616,277 | ||||||
|
| |||||||
IT Services — 5.5% | ||||||||
158,675 | Broadridge Financial Solutions, Inc. | 6,607,227 | ||||||
59,875 | CACI International, Inc., Class A(b) | 4,203,824 | ||||||
120,025 | iGATE Corp.(b) | 4,367,709 | ||||||
64,400 | Jack Henry & Associates, Inc. | 3,827,292 | ||||||
|
| |||||||
19,006,052 | ||||||||
|
| |||||||
Machinery — 6.8% | ||||||||
69,675 | Actuant Corp., Class A | 2,408,665 | ||||||
118,350 | Barnes Group, Inc. | 4,561,209 | ||||||
170,100 | Hillenbrand, Inc. | 5,548,662 | ||||||
207,175 | Rexnord Corp.(b) | 5,831,976 | ||||||
26,625 | Standex International Corp. | 1,983,030 | ||||||
229,925 | Wabash National Corp.(b) | 3,276,431 | ||||||
|
| |||||||
23,609,973 | ||||||||
|
| |||||||
Metals & Mining — 2.1% | ||||||||
106,600 | Globe Specialty Metals, Inc. | 2,215,148 | ||||||
69,375 | Reliance Steel & Aluminum Co. | 5,113,631 | ||||||
|
| |||||||
7,328,779 | ||||||||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Shares | Description | Value (†) | ||||||
Oil, Gas & Consumable Fuels — 3.8% | ||||||||
311,350 | Kodiak Oil & Gas Corp.(b) | $ | 4,530,143 | |||||
153,914 | Oasis Petroleum, Inc.(b) | 8,602,253 | ||||||
|
| |||||||
13,132,396 | ||||||||
|
| |||||||
Paper & Forest Products — 1.0% | ||||||||
54,875 | Clearwater Paper Corp.(b) | 3,386,885 | ||||||
|
| |||||||
Professional Services — 2.4% | ||||||||
47,150 | Dun & Bradstreet Corp. (The) | 5,195,930 | ||||||
94,675 | ICF International, Inc.(b) | 3,347,708 | ||||||
|
| |||||||
8,543,638 | ||||||||
|
| |||||||
REITs – Hotels — 1.3% | ||||||||
675,250 | Hersha Hospitality Trust | 4,530,928 | ||||||
|
| |||||||
REITs – Office Property — 0.7% | ||||||||
58,450 | Highwoods Properties, Inc. | 2,451,978 | ||||||
|
| |||||||
Road & Rail — 2.0% | ||||||||
58,450 | Celadon Group, Inc. | 1,246,154 | ||||||
110,650 | Con-way, Inc. | 5,577,867 | ||||||
|
| |||||||
6,824,021 | ||||||||
|
| |||||||
Software — 7.0% | ||||||||
118,450 | BroadSoft, Inc.(b) | 3,125,896 | ||||||
66,025 | CommVault Systems, Inc.(b) | 3,246,449 | ||||||
65,400 | Ellie Mae, Inc.(b) | 2,035,902 | ||||||
56,475 | Fair Isaac Corp. | 3,600,846 | ||||||
125,250 | SS&C Technologies Holdings, Inc.(b) | 5,538,555 | ||||||
141,525 | Verint Systems, Inc.(b) | 6,941,801 | ||||||
|
| |||||||
24,489,449 | ||||||||
|
| |||||||
Specialty Retail — 6.7% | ||||||||
144,672 | Aaron’s, Inc. | 5,156,110 | ||||||
77,175 | Abercrombie & Fitch Co., Class A | 3,337,819 | ||||||
126,500 | GNC Holdings, Inc., Class A | 4,313,650 | ||||||
53,600 | Group 1 Automotive, Inc. | 4,519,016 | ||||||
111,025 | Men’s Wearhouse, Inc. (The) | 6,195,195 | ||||||
|
| |||||||
23,521,790 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% | ||||||||
88,900 | Steven Madden Ltd.(b) | 3,049,270 | ||||||
113,500 | Wolverine World Wide, Inc. | 2,957,810 | ||||||
|
| |||||||
6,007,080 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.1% | ||||||||
30,725 | DXP Enterprises, Inc.(b) | 2,320,966 | ||||||
58,000 | WESCO International, Inc.(b) | 5,010,040 | ||||||
|
| |||||||
7,331,006 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $265,774,692) | 341,359,605 | |||||||
|
| |||||||
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Shares | Description | Value (†) | ||||||
Closed-End Investment Companies — 0.8% | ||||||||
151,250 | Ares Capital Corp. (Identified Cost $2,409,228) | $ | 2,701,325 | |||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 1.1% | ||||||||
$ | 3,807,211 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $3,807,212 on 7/01/2014 collateralized by $3,985,000 Federal National Mortgage Association, 1.630% due 1/10/2020 valued at $3,885,375 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,807,211) | 3,807,211 | |||||
|
| |||||||
Total Investments — 99.8% (Identified Cost $271,991,131)(a) | 347,868,141 | |||||||
Other assets less liabilities — 0.2% | 857,438 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 348,725,579 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $271,991,131 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 | $ | 77,541,107 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (1,664,097 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 75,877,010 | ||||||
|
| |||||||
(b) | Non-income producing security. | |||||||
REITs | Real Estate Investment Trusts |
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Small Cap Value Fund – (continued)
Industry Summary at June 30, 2014 (Unaudited)
Banks | 8.9 | % | ||
Insurance | 7.4 | |||
Software | 7.0 | |||
Machinery | 6.8 | |||
Specialty Retail | 6.7 | |||
Health Care Equipment & Supplies | 6.6 | |||
IT Services | 5.5 | |||
Containers & Packaging | 5.2 | |||
Oil, Gas & Consumable Fuels | 3.8 | |||
Health Care Providers & Services | 3.2 | |||
Consumer Finance | 2.9 | |||
Capital Markets | 2.5 | |||
Professional Services | 2.4 | |||
Commercial Services & Supplies | 2.4 | |||
Energy Equipment & Services | 2.2 | |||
Trading Companies & Distributors | 2.1 | |||
Metals & Mining | 2.1 | |||
Communications Equipment | 2.1 | |||
Road & Rail | 2.0 | |||
Other Investments, less than 2% each | 16.9 | |||
Short-Term Investments | 1.1 | |||
|
| |||
Total Investments | 99.8 | |||
Other assets less liabilities | 0.2 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 95.4% of Net Assets | ||||||||
Auto Components — 2.2% | ||||||||
145,075 | Delphi Automotive PLC | $ | 9,972,455 | |||||
84,125 | Tenneco, Inc.(b) | 5,527,013 | ||||||
|
| |||||||
15,499,468 | ||||||||
|
| |||||||
Banks — 7.1% | ||||||||
223,475 | CIT Group, Inc. | 10,226,216 | ||||||
423,700 | Fifth Third Bancorp | 9,045,995 | ||||||
916,125 | Investors Bancorp, Inc. | 10,123,181 | ||||||
293,100 | PacWest Bancorp | 12,653,127 | ||||||
842,600 | Regions Financial Corp. | 8,948,412 | ||||||
|
| |||||||
50,996,931 | ||||||||
|
| |||||||
Capital Markets — 3.0% | ||||||||
213,775 | LPL Financial Holdings, Inc. | 10,633,169 | ||||||
330,825 | SEI Investments Co. | 10,841,135 | ||||||
|
| |||||||
21,474,304 | ||||||||
|
| |||||||
Chemicals — 1.3% | ||||||||
134,425 | FMC Corp. | 9,569,716 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.9% | ||||||||
193,475 | KAR Auction Services, Inc. | 6,166,048 | ||||||
|
| |||||||
Communications Equipment — 1.5% | ||||||||
462,375 | CommScope Holding Co., Inc.(b) | 10,694,734 | ||||||
|
| |||||||
Construction & Engineering — 1.0% | ||||||||
205,050 | Quanta Services, Inc.(b) | 7,090,629 | ||||||
|
| |||||||
Consumer Finance — 1.9% | ||||||||
231,150 | Portfolio Recovery Associates, Inc.(b) | 13,760,360 | ||||||
|
| |||||||
Containers & Packaging — 4.7% | ||||||||
245,000 | Crown Holdings, Inc.(b) | 12,191,200 | ||||||
332,775 | Owens-Illinois, Inc.(b) | 11,527,326 | ||||||
137,325 | Packaging Corp. of America | 9,817,364 | ||||||
|
| |||||||
33,535,890 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% | ||||||||
284,350 | NASDAQ OMX Group, Inc. (The) | 10,981,597 | ||||||
|
| |||||||
Energy Equipment & Services — 3.1% | ||||||||
219,600 | Atwood Oceanics, Inc.(b) | 11,524,608 | ||||||
293,100 | Superior Energy Services, Inc. | 10,592,634 | ||||||
|
| |||||||
22,117,242 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.6% | ||||||||
311,475 | Alere, Inc.(b) | 11,655,395 | ||||||
|
| |||||||
Health Care Providers & Services �� 3.8% | ||||||||
244,275 | Community Health Systems, Inc.(b) | 11,082,757 | ||||||
287,300 | HCA Holdings, Inc.(b) | 16,197,974 | ||||||
|
| |||||||
27,280,731 | ||||||||
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Shares | Description | Value (†) | ||||||
Health Care Technology — 1.5% | ||||||||
472,075 | MedAssets, Inc.(b) | $ | 10,782,193 | |||||
|
| |||||||
Household Durables — 4.3% | ||||||||
82,200 | Harman International Industries, Inc. | 8,830,746 | ||||||
215,700 | Jarden Corp.(b) | 12,801,795 | ||||||
211,825 | Lennar Corp., Class A | 8,892,413 | ||||||
|
| |||||||
30,524,954 | ||||||||
|
| |||||||
Household Products — 1.4% | ||||||||
113,150 | Spectrum Brands Holdings, Inc. | 9,734,295 | ||||||
|
| |||||||
Insurance — 4.0% | ||||||||
355,000 | First American Financial Corp. | 9,865,450 | ||||||
124,775 | Reinsurance Group of America, Inc., Class A | 9,844,747 | ||||||
225,350 | Validus Holdings Ltd. | 8,617,384 | ||||||
|
| |||||||
28,327,581 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% | ||||||||
189,600 | HSN, Inc. | 11,231,904 | ||||||
|
| |||||||
Internet Software & Services — 1.4% | ||||||||
143,125 | IAC/InterActiveCorp | 9,908,544 | ||||||
|
| |||||||
IT Services — 8.2% | ||||||||
169,250 | CACI International, Inc., Class A(b) | 11,883,042 | ||||||
189,600 | Fiserv, Inc.(b) | 11,436,672 | ||||||
158,650 | Global Payments, Inc. | 11,557,653 | ||||||
567,175 | Sabre Corp.(b) | 11,371,859 | ||||||
405,300 | Total System Services, Inc. | 12,730,473 | ||||||
|
| |||||||
58,979,699 | ||||||||
|
| |||||||
Machinery — 4.6% | ||||||||
86,075 | Flowserve Corp. | 6,399,676 | ||||||
128,675 | Pentair PLC | 9,280,041 | ||||||
59,950 | Snap-on, Inc. | 7,105,274 | ||||||
98,650 | WABCO Holdings, Inc.(b) | 10,537,793 | ||||||
|
| |||||||
33,322,784 | ||||||||
|
| |||||||
Media — 1.5% | ||||||||
171,175 | AMC Networks, Inc., Class A(b) | 10,525,551 | ||||||
|
| |||||||
Metals & Mining — 4.9% | ||||||||
184,750 | Carpenter Technology Corp. | 11,685,438 | ||||||
447,875 | Constellium NV, Class A(b) | 14,358,872 | ||||||
124,775 | Reliance Steel & Aluminum Co. | 9,197,165 | ||||||
|
| |||||||
35,241,475 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
178,950 | Gulfport Energy Corp.(b) | 11,238,060 | ||||||
134,425 | Noble Energy, Inc. | 10,412,560 | ||||||
|
| |||||||
21,650,620 | ||||||||
|
|
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Shares | Description | Value (†) | ||||||
Pharmaceuticals — 2.1% | ||||||||
42,700 | Mallinckrodt PLC(b) | $ | 3,416,854 | |||||
91,011 | Valeant Pharmaceuticals International, Inc.(b) | 11,478,307 | ||||||
|
| |||||||
14,895,161 | ||||||||
|
| |||||||
Road & Rail — 3.2% | ||||||||
226,325 | Con-way, Inc. | 11,409,043 | ||||||
408,225 | Hertz Global Holdings, Inc.(b) | 11,442,547 | ||||||
|
| |||||||
22,851,590 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.1% | ||||||||
171,175 | Avago Technologies Ltd. | 12,336,582 | ||||||
363,700 | Micron Technology, Inc.(b) | 11,983,915 | ||||||
259,225 | Skyworks Solutions, Inc. | 12,173,206 | ||||||
|
| |||||||
36,493,703 | ||||||||
|
| |||||||
Software — 2.4% | ||||||||
132,500 | Check Point Software Technologies Ltd.(b) | 8,881,475 | ||||||
434,325 | Nuance Communications, Inc.(b) | 8,152,280 | ||||||
|
| |||||||
17,033,755 | ||||||||
|
| |||||||
Specialty Retail — 4.9% | ||||||||
182,750 | Cabela’s, Inc.(b) | 11,403,600 | ||||||
302,125 | GNC Holdings, Inc., Class A | 10,302,463 | ||||||
118,950 | Signet Jewelers Ltd. | 13,154,680 | ||||||
|
| |||||||
34,860,743 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.4% | ||||||||
498,175 | NCR Corp.(b) | 17,480,961 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% | ||||||||
92,825 | PVH Corp. | 10,823,395 | ||||||
|
| |||||||
Trading Companies & Distributors — 3.8% | ||||||||
371,475 | HD Supply Holdings, Inc.(b) | 10,546,175 | ||||||
278,325 | MRC Global, Inc.(b) | 7,873,814 | ||||||
86,075 | United Rentals, Inc.(b) | 9,014,635 | ||||||
|
| |||||||
27,434,624 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $584,136,565) | 682,926,577 | |||||||
|
| |||||||
Closed-End Investment Companies — 1.7% | ||||||||
681,025 | Ares Capital Corp. (Identified Cost $11,520,009) | 12,163,106 | ||||||
|
| |||||||
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments — 3.2% | ||||||||
$ | 22,739,937 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $22,739,943 on 7/01/2014 collateralized by $23,080,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $23,195,400 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,739,937) | $ | 22,739,937 | ||||
|
| |||||||
Total Investments — 100.3% (Identified Cost $618,396,511)(a) | 717,829,620 | |||||||
Other assets less liabilities — (0.3)% | (2,390,575 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 715,439,045 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $618,396,511 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 | $ | 103,386,658 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,953,549 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 99,433,109 | ||||||
|
| |||||||
(b) | Non-income producing security. |
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Vaughan Nelson Value Opportunity Fund – (continued)
Industry Summary at June 30, 2014 (Unaudited)
IT Services | 8.2 | % | ||
Banks | 7.1 | |||
Semiconductors & Semiconductor Equipment | 5.1 | |||
Metals & Mining | 4.9 | |||
Specialty Retail | 4.9 | |||
Containers & Packaging | 4.7 | |||
Machinery | 4.6 | |||
Household Durables | 4.3 | |||
Insurance | 4.0 | |||
Trading Companies & Distributors | 3.8 | |||
Health Care Providers & Services | 3.8 | |||
Road & Rail | 3.2 | |||
Energy Equipment & Services | 3.1 | |||
Oil, Gas & Consumable Fuels | 3.0 | |||
Capital Markets | 3.0 | |||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Software | 2.4 | |||
Auto Components | 2.2 | |||
Pharmaceuticals | 2.1 | |||
Other Investments, less than 2% each | 20.3 | |||
Short-Term Investments | 3.2 | |||
|
| |||
Total Investments | 100.3 | |||
Other assets less liabilities | (0.3 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 34
Table of Contents
Statements of Assets and Liabilities
June 30, 2014 (Unaudited)
CGM Advisor Targeted Equity Fund | Natixis Oakmark Fund* | Natixis Oakmark International Fund | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | ||||||||||||||||
ASSETS | ||||||||||||||||||||
Investments at cost | $ | 480,922,624 | $ | 160,014,043 | $ | 929,095,508 | $ | 268,183,920 | $ | 595,656,574 | ||||||||||
Repurchase agreement(s) at cost | 13,055,000 | 22,324,457 | 48,317,803 | 3,807,211 | 22,739,937 | |||||||||||||||
Net unrealized appreciation | 72,558,476 | 32,834,646 | 36,928,808 | 75,877,010 | 99,433,109 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments at value | 566,536,100 | 215,173,146 | 1,014,342,119 | 347,868,141 | 717,829,620 | |||||||||||||||
Cash | 1,246 | 11,846 | — | 194,173 | — | |||||||||||||||
Foreign currency at value (identified cost $0, $0, $54, $0 and $0, respectively) | — | — | 54 | — | — | |||||||||||||||
Receivable for Fund shares sold | 67,829 | 8,741,759 | 9,272,286 | 140,294 | 2,677,549 | |||||||||||||||
Receivable for securities sold | 3,137,323 | — | 2,013,934 | 3,980,646 | 15,799,000 | |||||||||||||||
Dividends and interest receivable | 80,000 | 127,813 | 2,828,273 | 253,407 | 268,755 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | — | 876,435 | — | — | |||||||||||||||
Tax reclaims receivable | — | — | 876,392 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL ASSETS | 569,822,498 | 224,054,564 | 1,030,209,493 | 352,436,661 | 736,574,924 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
LIABILITIES | ||||||||||||||||||||
Payable for securities purchased | 958,545 | — | 10,030,497 | 2,741,540 | 20,296,259 | |||||||||||||||
Payable for Fund shares redeemed | 316,139 | 132,894 | 559,886 | 432,799 | 215,319 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 642,832 | — | — | |||||||||||||||
Management fees payable (Note 6) | 328,297 | 117,441 | 693,942 | 256,143 | 456,637 | |||||||||||||||
Deferred Trustees’ fees (Note 6) | 814,425 | 445,830 | 32,546 | 198,514 | 59,245 | |||||||||||||||
Administrative fees payable (Note 6) | 19,887 | 7,256 | 35,229 | 12,284 | 24,632 | |||||||||||||||
Payable to distributor (Note 6d) | 2,403 | 1,073 | 14,337 | 3,786 | 12,462 | |||||||||||||||
Other accounts payable and accrued expenses | 123,153 | 78,294 | 56,943 | 66,016 | 71,325 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TOTAL LIABILITIES | 2,562,849 | 782,788 | 12,066,212 | 3,711,082 | 21,135,879 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 567,259,649 | $ | 223,271,776 | $ | 1,018,143,281 | $ | 348,725,579 | $ | 715,439,045 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||||||
Paid-in capital | $ | 445,608,589 | $ | 159,114,257 | $ | 958,035,258 | $ | 239,952,385 | $ | 579,057,131 | ||||||||||
Accumulated net investment (loss)/Undistributed net investment income | (1,658,460 | ) | (77,898 | ) | 11,101,490 | (447,726 | ) | (664,478 | ) | |||||||||||
Accumulated net realized gain on investments and foreign currency transactions | 50,751,044 | 31,400,771 | 11,818,283 | 33,343,910 | 37,613,283 | |||||||||||||||
Net unrealized appreciation on investments and foreign currency translations | 72,558,476 | 32,834,646 | 37,188,250 | 75,877,010 | 99,433,109 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
NET ASSETS | $ | 567,259,649 | $ | 223,271,776 | $ | 1,018,143,281 | $ | 348,725,579 | $ | 715,439,045 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
35 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2014 (Unaudited)
CGM Advisor Targeted Equity Fund | Natixis Oakmark Fund* | Natixis Oakmark International Fund | Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | ||||||||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||||||||||
Class A shares: | ||||||||||||||||||||
Net assets | $ | 485,323,630 | $ | 175,419,167 | $ | 661,741,967 | $ | 152,356,140 | $ | 113,484,061 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares of beneficial interest | 41,307,927 | 7,889,052 | 47,354,153 | 6,607,492 | 5,142,280 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value and redemption price per share | $ | 11.75 | $ | 22.24 | $ | 13.97 | $ | 23.06 | $ | 22.07 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Offering price per share (100/94.25 of net asset value) (Note 1) | $ | 12.47 | $ | 23.60 | $ | 14.82 | $ | 24.47 | $ | 23.42 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||||||||||
Net assets | $ | 1,492,225 | $ | 1,026,231 | $ | — | $ | 1,405,406 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares of beneficial interest | 147,121 | 50,780 | — | 78,232 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value and offering price per share | $ | 10.14 | $ | 20.21 | $ | — | $ | 17.96 | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||||||||||
Net assets | $ | 34,184,466 | $ | 25,831,683 | $ | 356,401,314 | $ | 30,905,620 | $ | 30,754,327 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares of beneficial interest | 3,396,000 | 1,284,472 | 25,986,806 | 1,721,924 | 1,438,029 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value and offering price per share | $ | 10.07 | $ | 20.11 | $ | 13.71 | $ | 17.95 | $ | 21.39 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class N shares: | ||||||||||||||||||||
Net assets | $ | — | $ | — | $ | — | $ | — | $ | 9,021,161 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares of beneficial interest | — | — | — | — | 405,781 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | — | $ | — | $ | 22.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class Y shares: | ||||||||||||||||||||
Net assets | $ | 46,259,328 | $ | 20,994,695 | $ | — | $ | 164,058,413 | $ | 562,179,496 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares of beneficial interest | 3,806,084 | 909,861 | — | 6,981,616 | 25,253,060 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, offering and redemption price per share | $ | 12.15 | $ | 23.07 | $ | — | $ | 23.50 | $ | 22.26 | ||||||||||
|
|
|
|
|
|
|
|
|
|
* | Formerly Harris Associates Large Cap Value Fund. |
See accompanying notes to financial statements.
| 36
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2014 (Unaudited)
CGM Advisor Targeted Equity Fund | Natixis Oakmark Fund* | Natixis Oakmark International Fund | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends | $ | 2,483,949 | $ | 1,547,091 | $ | 18,344,766 | ||||||
Interest | 12 | 47 | 125 | |||||||||
Less net foreign taxes withheld | (4,490 | ) | (24,536 | ) | (1,620,710 | ) | ||||||
|
|
|
|
|
| |||||||
2,479,471 | 1,522,602 | 16,724,181 | ||||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Management fees (Note 6) | 1,988,080 | 618,901 | 3,402,803 | |||||||||
Service and distribution fees (Note 6) | 774,890 | 253,254 | 2,114,648 | |||||||||
Administrative fees (Note 6) | 121,539 | 38,491 | 174,112 | |||||||||
Trustees’ fees and expenses (Note 6) | 18,142 | 12,838 | 13,340 | |||||||||
Transfer agent fees and expenses (Note 6) | 229,268 | 99,386 | 314,626 | |||||||||
Audit and tax services fees | 23,559 | 21,448 | 22,107 | |||||||||
Custodian fees and expenses | 14,130 | 11,562 | 162,506 | |||||||||
Legal fees | 2,992 | 827 | 3,748 | |||||||||
Registration fees | 30,855 | 52,554 | 73,993 | |||||||||
Shareholder reporting expenses | 22,438 | 11,677 | 24,764 | |||||||||
Miscellaneous expenses | 12,053 | 7,509 | 14,155 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 3,237,946 | 1,128,447 | 6,320,802 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (758,475 | ) | 394,155 | 10,403,379 | ||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 51,167,336 | 32,053,917 | 14,465,093 | |||||||||
Foreign currency transactions | 162 | 23 | (1,171,785 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (19,055,290 | ) | (20,579,579 | ) | (7,168,077 | ) | ||||||
Foreign currency translations | — | — | 987,766 | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments and foreign currency transactions | 32,112,208 | 11,474,361 | 7,112,997 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 31,353,733 | $ | 11,868,516 | $ | 17,516,376 | ||||||
|
|
|
|
|
|
* | Formerly Harris Associates Large Cap Value Fund. |
See accompanying notes to financial statements.
37 |
Table of Contents
Statements of Operations (continued)
For the Six Months Ended June 30, 2014 (Unaudited)
Vaughan Nelson Small Cap Value Fund | Vaughan Nelson Value Opportunity Fund | |||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 2,023,465 | $ | 2,539,650 | ||||
Interest | 18 | 48 | ||||||
|
|
|
| |||||
2,023,483 | 2,539,698 | |||||||
|
|
|
| |||||
Expenses | ||||||||
Management fees (Note 6) | 1,539,844 | 2,284,103 | ||||||
Service and distribution fees (Note 6) | 346,389 | 247,340 | ||||||
Administrative fees (Note 6) | 74,484 | 124,193 | ||||||
Trustees’ fees and expenses (Note 6) | 11,842 | 12,197 | ||||||
Transfer agent fees and expenses (Note 6) | 187,357 | 304,285 | ||||||
Audit and tax services fees | 20,460 | 19,858 | ||||||
Custodian fees and expenses | 15,446 | 18,291 | ||||||
Legal fees | 1,830 | 2,706 | ||||||
Registration fees | 31,168 | 106,022 | ||||||
Shareholder reporting expenses | 16,906 | 17,223 | ||||||
Miscellaneous expenses | 12,400 | 10,812 | ||||||
|
|
|
| |||||
Total expenses | 2,258,126 | 3,147,030 | ||||||
Fee/expense recovery (Note 6) | — | 20 | ||||||
|
|
|
| |||||
Net expenses | — | 3,147,050 | ||||||
|
|
|
| |||||
Net investment loss | (234,643 | ) | (607,352 | ) | ||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 34,508,134 | 38,762,062 | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments | (12,857,443 | ) | 9,369,838 | |||||
|
|
|
| |||||
Net realized and unrealized gain on investments | 21,650,691 | 48,131,900 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 21,416,048 | $ | 47,524,548 | ||||
|
|
|
|
See accompanying notes to financial statements.
| 38
Table of Contents
Statements of Changes in Net Assets
CGM Advisor Targeted Equity Fund | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment loss | $ | (758,475 | ) | $ | (1,138,950 | ) | ||
Net realized gain on investments and foreign currency transactions | 51,167,498 | 98,423,883 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (19,055,290 | ) | 46,132,544 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 31,353,733 | 143,417,477 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (4,304 | ) | |||||
Class B | — | (97 | ) | |||||
Class C | — | (360 | ) | |||||
Class Y | — | (464 | ) | |||||
Net realized capital gains | ||||||||
Class A | (14,477,715 | ) | (64,422,015 | ) | ||||
Class B | (61,939 | ) | (319,115 | ) | ||||
Class C | (1,228,632 | ) | (5,418,797 | ) | ||||
Class Y | (1,396,582 | ) | (6,313,726 | ) | ||||
|
|
|
| |||||
Total distributions | (17,164,868 | ) | (76,478,878 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE | (28,749,898 | ) | (11,961,194 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (14,561,033 | ) | 54,977,405 | |||||
NET ASSETS | ||||||||
Beginning of the period | 581,820,682 | 526,843,277 | ||||||
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|
|
| |||||
End of the period | $ | 567,259,649 | $ | 581,820,682 | ||||
|
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|
| |||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (1,658,460 | ) | $ | (899,985 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
39 |
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis Oakmark Fund* | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 394,155 | $ | 459,080 | ||||
Net realized gain on investments and foreign currency transactions | 32,053,940 | 16,250,184 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (20,579,579 | ) | 32,080,893 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 11,868,516 | 48,790,157 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (432,563 | ) | |||||
Class Y | — | (70,778 | ) | |||||
Net realized capital gains | ||||||||
Class A | (3,498,484 | ) | (4,641,585 | ) | ||||
Class B | (32,778 | ) | (53,345 | ) | ||||
Class C | (330,730 | ) | (294,950 | ) | ||||
Class Y | (435,227 | ) | (435,710 | ) | ||||
|
|
|
| |||||
Total distributions | (4,297,219 | ) | (5,928,931 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13) | 46,298,099 | (7,589,261 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 53,869,396 | 35,271,965 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 169,402,380 | 134,130,415 | ||||||
|
|
|
| |||||
End of the period | $ | 223,271,776 | $ | 169,402,380 | ||||
|
|
|
| |||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (77,898 | ) | $ | (472,053 | ) | ||
|
|
|
|
* | Formerly Harris Associates Large Cap Value Fund. |
See accompanying notes to financial statements.
| 40
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis Oakmark International Fund | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 10,403,379 | $ | 415,827 | ||||
Net realized gain on investments and foreign currency transactions | 13,293,308 | 11,401,208 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (6,180,311 | ) | 36,596,500 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 17,516,376 | 48,413,535 | ||||||
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|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (91,934 | ) | (1,179,127 | ) | ||||
Class C | (54,100 | ) | (154,136 | ) | ||||
Net realized capital gains | ||||||||
Class A | (743,149 | ) | (3,755,164 | ) | ||||
Class C | (437,306 | ) | (2,995,185 | ) | ||||
|
|
|
| |||||
Total distributions | (1,326,489 | ) | (8,083,612 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13) | 450,125,094 | 441,801,535 | ||||||
|
|
|
| |||||
Net increase in net assets | 466,314,981 | 482,131,458 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 551,828,300 | 69,696,842 | ||||||
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|
|
| |||||
End of the period | $ | 1,018,143,281 | $ | 551,828,300 | ||||
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|
| |||||
UNDISTRIBUTED NET INVESTMENT INCOME | $ | 11,101,490 | $ | 844,145 | ||||
|
|
|
|
See accompanying notes to financial statements.
41 |
Table of Contents
Statements of Changes in Net Assets (continued)
Vaughan Nelson Small Cap Value Fund | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (234,643 | ) | $ | 1,290,060 | |||
Net realized gain on investments | 34,508,134 | 58,527,986 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (12,857,443 | ) | 50,817,080 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 21,416,048 | 110,635,126 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | — | (368,339 | ) | |||||
Class B | — | (812 | ) | |||||
Class C | — | (8,031 | ) | |||||
Class Y | — | (821,635 | ) | |||||
Net realized capital gains | ||||||||
Class A | (4,587,599 | ) | (23,147,106 | ) | ||||
Class B | (68,029 | ) | (433,209 | ) | ||||
Class C | (1,199,019 | ) | (5,802,683 | ) | ||||
Class Y | (4,980,114 | ) | (25,293,191 | ) | ||||
|
|
|
| |||||
Total distributions | (10,834,761 | ) | (55,875,006 | ) | ||||
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|
|
| |||||
NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13) | (12,400,616 | ) | (27,872,472 | ) | ||||
|
|
|
| |||||
Increase from class action settlements (Note 8) | 201,690 | — | ||||||
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|
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| |||||
Net increase (decrease) in net assets | (1,617,639 | ) | 26,887,648 | |||||
NET ASSETS | ||||||||
Beginning of the period | 350,343,218 | 323,455,570 | ||||||
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| |||||
End of the period | $ | 348,725,579 | $ | 350,343,218 | ||||
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| |||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (447,726 | ) | $ | (213,083 | ) | ||
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See accompanying notes to financial statements.
| 42
Table of Contents
Statements of Changes in Net Assets (continued)
Vaughan Nelson Value Opportunity Fund | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | (607,352 | ) | $ | 141,131 | |||
Net realized gain on investments | 38,762,062 | 26,959,140 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 9,369,838 | 76,536,470 | ||||||
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| |||||
Net increase in net assets resulting from operations | 47,524,548 | 103,636,741 | ||||||
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| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class N | — | (1 | ) | |||||
Class Y | — | (163,927 | ) | |||||
Net realized capital gains | ||||||||
Class A | (934,042 | ) | (3,567,518 | ) | ||||
Class C | (248,968 | ) | (1,069,705 | ) | ||||
Class N | (78,221 | ) | (60 | ) | ||||
Class Y | (4,114,268 | ) | (18,839,663 | ) | ||||
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| |||||
Total distributions | (5,375,499 | ) | (23,640,874 | ) | ||||
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| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 13) | 223,746,754 | 174,487,517 | ||||||
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| |||||
Net increase in net assets | 265,895,803 | 254,483,384 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 449,543,242 | 195,059,858 | ||||||
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End of the period | $ | 715,439,045 | $ | 449,543,242 | ||||
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DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS) | $ | (664,478 | ) | $ | (57,126 | ) | ||
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See accompanying notes to financial statements.
43 |
Table of Contents
This Page Intentionally Left Blank
| 44
Table of Contents
Financial Highlights
For a share outstanding throughout the period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions (b) | ||||||||||||||||||||||
CGM ADVISOR TARGETED EQUITY FUND | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(f) | $ | 11.46 | $ | (0.01 | ) | $ | 0.65 | $ | 0.64 | $ | — | $ | (0.35 | ) | $ | (0.35 | ) | |||||||||||
12/31/2013 | 10.23 | (0.02 | ) | 2.94 | 2.92 | (0.00 | ) | (1.69 | ) | (1.69 | ) | |||||||||||||||||
12/31/2012 | 9.36 | 0.08 | (g) | 1.36 | 1.44 | (0.09 | ) | (0.48 | ) | (0.57 | ) | |||||||||||||||||
12/31/2011 | 11.12 | 0.05 | (1.76 | ) | (1.71 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||
12/31/2010 | 9.54 | 0.05 | (h) | 1.58 | 1.63 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
12/31/2009 | 7.66 | 0.05 | 1.88 | 1.93 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2014(f) | 9.98 | (0.05 | ) | 0.56 | 0.51 | – | (0.35 | ) | (0.35 | ) | ||||||||||||||||||
12/31/2013 | 9.15 | (0.10 | ) | 2.62 | 2.52 | (0.00 | ) | (1.69 | ) | (1.69 | ) | |||||||||||||||||
12/31/2012 | 8.41 | (0.00 | )(g) | 1.22 | 1.22 | (0.00 | ) | (0.48 | ) | (0.48 | ) | |||||||||||||||||
12/31/2011 | 10.01 | (0.03 | ) | (1.57 | ) | (1.60 | ) | — | — | — | ||||||||||||||||||
12/31/2010 | 8.61 | (0.02 | )(h) | 1.42 | 1.40 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2009 | 6.92 | (0.01 | ) | 1.70 | 1.69 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(f) | 9.91 | (0.05 | ) | 0.56 | 0.51 | — | (0.35 | ) | (0.35 | ) | ||||||||||||||||||
12/31/2013 | 9.09 | (0.10 | ) | 2.61 | 2.51 | (0.00 | ) | (1.69 | ) | (1.69 | ) | |||||||||||||||||
12/31/2012 | 8.37 | (0.00 | )(g) | 1.20 | 1.20 | (0.00 | ) | (0.48 | ) | (0.48 | ) | |||||||||||||||||
12/31/2011 | 9.96 | (0.03 | ) | (1.56 | ) | (1.59 | ) | — | — | — | ||||||||||||||||||
12/31/2010 | 8.57 | (0.02 | )(h) | 1.41 | 1.39 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
12/31/2009 | 6.89 | (0.01 | ) | 1.69 | 1.68 | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(f) | 11.83 | 0.00 | 0.67 | 0.67 | — | (0.35 | ) | (0.35 | ) | |||||||||||||||||||
12/31/2013 | 10.49 | 0.01 | 3.02 | 3.03 | (0.00 | ) | (1.69 | ) | (1.69 | ) | ||||||||||||||||||
12/31/2012 | 9.59 | 0.11 | (g) | 1.39 | 1.50 | (0.12 | ) | (0.48 | ) | (0.60 | ) | |||||||||||||||||
12/31/2011 | 11.40 | 0.07 | (1.80 | ) | (1.73 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
12/31/2010 | 9.78 | 0.07 | (h) | 1.63 | 1.70 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
12/31/2009 | 7.84 | 0.06 | 1.96 | 2.02 | (0.08 | ) | — | (0.08 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | For the six months ended June 30, 2014 (Unaudited). |
See accompanying notes to financial statements.
45 |
Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e) | Gross expenses (%) (e) | Net investment income (loss) (%) (e) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 11.75 | 5.83 | $ | 485,324 | 1.13 | 1.13 | (0.24 | ) | 124 | |||||||||||||||||
11.46 | 29.01 | 493,102 | 1.17 | 1.17 | (0.17 | ) | 205 | |||||||||||||||||||
10.23 | 15.44 | (g) | 438,288 | 1.18 | 1.18 | 0.78 | (g) | 192 | ||||||||||||||||||
9.36 | (15.36 | ) | 503,330 | 1.13 | 1.13 | 0.45 | 236 | |||||||||||||||||||
11.12 | 17.14 | 753,518 | 1.16 | 1.16 | 0.52 | (h) | 146 | |||||||||||||||||||
9.54 | 25.19 | 693,386 | 1.19 | 1.19 | 0.69 | 170 | ||||||||||||||||||||
10.14 | 5.39 | 1,492 | 1.88 | 1.88 | (0.99 | ) | 124 | |||||||||||||||||||
9.98 | 28.06 | 2,205 | 1.91 | 1.91 | (0.94 | ) | 205 | |||||||||||||||||||
9.15 | 14.54 | (g) | 3,447 | 1.93 | 1.93 | (0.05 | )(g) | 192 | ||||||||||||||||||
8.41 | (15.98 | ) | 5,296 | 1.88 | 1.88 | (0.32 | ) | 236 | ||||||||||||||||||
10.01 | 16.26 | 9,934 | 1.91 | 1.91 | (0.28 | )(h) | 146 | |||||||||||||||||||
8.61 | 24.42 | 12,401 | 1.94 | 1.94 | (0.11 | ) | 170 | |||||||||||||||||||
10.07 | 5.43 | 34,184 | 1.88 | 1.88 | (0.99 | ) | 124 | |||||||||||||||||||
9.91 | 28.13 | 36,417 | 1.91 | 1.91 | (0.92 | ) | 205 | |||||||||||||||||||
9.09 | 14.45 | (g) | 35,225 | 1.93 | 1.93 | (0.02 | )(g) | 192 | ||||||||||||||||||
8.37 | (15.96 | ) | 47,416 | 1.88 | 1.88 | (0.32 | ) | 236 | ||||||||||||||||||
9.96 | 16.22 | 81,291 | 1.91 | 1.91 | (0.23 | )(h) | 146 | |||||||||||||||||||
8.57 | 24.42 | 75,098 | 1.95 | 1.95 | (0.14 | ) | 170 | |||||||||||||||||||
12.15 | 5.91 | 46,259 | 0.88 | 0.88 | 0.01 | 124 | ||||||||||||||||||||
11.83 | 29.34 | 50,096 | 0.91 | 0.91 | 0.08 | 205 | ||||||||||||||||||||
10.49 | 15.69 | (g) | 49,884 | 0.93 | 0.93 | 1.02 | (g) | 192 | ||||||||||||||||||
9.59 | (15.16 | ) | 57,003 | 0.87 | 0.87 | 0.62 | 236 | |||||||||||||||||||
11.40 | 17.39 | 137,631 | 0.91 | 0.91 | 0.69 | (h) | 146 | |||||||||||||||||||
9.78 | 25.75 | 265,441 | 0.94 | 0.94 | 0.64 | 170 |
(g) | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A , Class B, Class C and Class Y shares, respectively, total returns would have been 14.81%, 13.83%, 13.86% and 14.96% for Class A , Class B, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.21%, (0.56)%, (0.55)% and 0.47% for Class A , Class B, Class C and Class Y shares, respectively. |
(h) | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.02, $(0.05), $(0.05) and $0.05 for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.23%, (0.53)%, (0.52)% and 0.48% for Class A, Class B, Class C and Class Y shares, respectively. |
See accompanying notes to financial statements.
| 46
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions (b) | ||||||||||||||||||||||
NATIXIS OAKMARK FUND* | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(g) | $ | 21.40 | $ | 0.05 | $ | 1.32 | $ | 1.37 | $ | — | $ | (0.53 | ) | $ | (0.53 | ) | ||||||||||||
12/31/2013 | 16.09 | 0.06 | 6.03 | 6.09 | (0.07 | ) | (0.71 | ) | (0.78 | ) | ||||||||||||||||||
12/31/2012 | 13.86 | 0.12 | 2.24 | 2.36 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||
12/31/2011 | 14.17 | 0.08 | (0.30 | ) | (0.22 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
12/31/2010 | 12.58 | 0.05 | 1.60 | 1.65 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
12/31/2009 | 8.77 | 0.05 | (j) | 3.81 | 3.86 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2014(g) | 19.57 | (0.03 | ) | 1.20 | 1.17 | — | (0.53 | ) | (0.53 | ) | ||||||||||||||||||
12/31/2013 | 14.83 | (0.07 | ) | 5.52 | 5.45 | — | (0.71 | ) | (0.71 | ) | ||||||||||||||||||
12/31/2012 | 12.76 | (0.01 | ) | 2.08 | 2.07 | — | — | — | ||||||||||||||||||||
12/31/2011 | 13.07 | (0.03 | ) | (0.28 | ) | (0.31 | ) | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||
12/31/2010 | 11.65 | (0.05 | ) | 1.48 | 1.43 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
12/31/2009 | 8.16 | (0.02 | )(j) | 3.52 | 3.50 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(g) | 19.48 | (0.03 | ) | 1.19 | 1.16 | — | (0.53 | ) | (0.53 | ) | ||||||||||||||||||
12/31/2013 | 14.75 | (0.07 | ) | 5.51 | 5.44 | — | (0.71 | ) | (0.71 | ) | ||||||||||||||||||
12/31/2012 | 12.72 | 0.00 | 2.05 | 2.05 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
12/31/2011 | 13.02 | (0.03 | ) | (0.27 | ) | (0.30 | ) | (0.00 | ) | — | (0.00 | ) | ||||||||||||||||
12/31/2010 | 11.61 | (0.05 | ) | 1.47 | 1.42 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
12/31/2009 | 8.13 | (0.02 | )(j) | 3.51 | 3.49 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(g) | 22.16 | 0.08 | 1.36 | 1.44 | — | (0.53 | ) | (0.53 | ) | |||||||||||||||||||
12/31/2013 | 16.63 | 0.11 | 6.24 | 6.35 | (0.11 | ) | (0.71 | ) | (0.82 | ) | ||||||||||||||||||
12/31/2012 | 14.32 | 0.17 | 2.31 | 2.48 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||
12/31/2011 | 14.65 | 0.12 | (0.33 | ) | (0.21 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||
12/31/2010 | 12.99 | 0.08 | 1.67 | 1.75 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
12/31/2009 | 9.05 | 0.08 | (j) | 3.93 | 4.01 | (0.07 | ) | — | (0.07 | ) |
* | Formerly Harris Associates Large Cap Value Fund |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
See accompanying notes to financial statements.
47 |
Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Increase from regulatory settlements (b) | Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | |||||||||||||||||||||||
$ — | $ | 22.24 | 6.55 | $ | 175,419 | 1.24 | 1.24 | 0.49 | 68 | |||||||||||||||||||||
— | 21.40 | 37.82 | 145,270 | 1.30 | (h) | 1.30 | (h) | 0.33 | 29 | |||||||||||||||||||||
— | 16.09 | 17.03 | 113,870 | 1.30 | 1.33 | 0.77 | 25 | |||||||||||||||||||||||
— | 13.86 | (1.56 | ) | 107,978 | 1.30 | (i) | 1.30 | (i) | 0.57 | 36 | ||||||||||||||||||||
— | 14.17 | 13.08 | 118,938 | 1.30 | 1.39 | 0.36 | 32 | |||||||||||||||||||||||
0.00 | 12.58 | 44.03 | 113,309 | 1.30 | 1.50 | 0.53 | 131 | |||||||||||||||||||||||
— | 20.21 | 6.13 | 1,026 | 1.98 | 1.98 | (0.27 | ) | 68 | ||||||||||||||||||||||
— | 19.57 | 36.75 | 1,532 | 2.05 | (h) | 2.05 | (h) | (0.43 | ) | 29 | ||||||||||||||||||||
— | 14.83 | 16.22 | 2,145 | 2.05 | 2.08 | (0.04 | ) | 25 | ||||||||||||||||||||||
— | 12.76 | (2.34 | ) | 3,341 | 2.05 | (i) | 2.05 | (i) | (0.21 | ) | 36 | |||||||||||||||||||
— | 13.07 | 12.31 | 5,614 | 2.05 | 2.13 | (0.40 | ) | 32 | ||||||||||||||||||||||
0.00 | 11.65 | 42.88 | 7,864 | 2.05 | 2.25 | (0.22 | ) | 131 | ||||||||||||||||||||||
— | 20.11 | 6.11 | 25,832 | 2.00 | 2.00 | (0.27 | ) | 68 | ||||||||||||||||||||||
— | 19.48 | 36.88 | 8,425 | 2.05 | (h) | 2.05 | (h) | (0.42 | ) | 29 | ||||||||||||||||||||
— | 14.75 | 16.13 | 6,016 | 2.05 | 2.08 | 0.02 | 25 | |||||||||||||||||||||||
— | 12.72 | (2.28 | ) | 5,667 | 2.05 | (i) | 2.05 | (i) | (0.19 | ) | 36 | |||||||||||||||||||
— | 13.02 | 12.26 | 7,399 | 2.05 | 2.14 | (0.39 | ) | 32 | ||||||||||||||||||||||
0.00 | 11.61 | 42.91 | 7,208 | 2.05 | 2.25 | (0.22 | ) | 131 | ||||||||||||||||||||||
— | 23.07 | 6.64 | 20,995 | 0.99 | 0.99 | 0.70 | 68 | |||||||||||||||||||||||
— | 22.16 | 38.21 | 14,176 | 1.05 | (h) | 1.05 | (h) | 0.54 | 29 | |||||||||||||||||||||
— | 16.63 | 17.33 | 12,100 | 1.05 | 1.09 | 1.04 | 25 | |||||||||||||||||||||||
— | 14.32 | (1.40 | ) | 7,567 | 1.05 | (i) | 1.05 | (i) | 0.80 | 36 | ||||||||||||||||||||
— | 14.65 | 13.47 | 9,586 | 1.05 | 1.14 | 0.61 | 32 | |||||||||||||||||||||||
0.00 | 12.99 | 44.39 | 7,450 | 1.05 | 1.12 | 0.77 | 131 |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
(h) | Includes fee/expense recovery of less than 0.01%. |
(i) | Includes fee/expense recovery of 0.01%. |
(j) | Includes a non-recurring dividend of $0.01 per share. |
See accompanying notes to financial statements.
| 48
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains (b) | Total distributions (b) | ||||||||||||||||||||||
NATIXIS OAKMARK INTERNATIONAL FUND | ||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
6/30/2014(g) | $ | 13.74 | $ | 0.20 | $ | 0.05 | $ | 0.25 | $ | (0.00 | ) | $ | (0.02 | ) | $ | (0.02 | ) | |||||||||||
12/31/2013 | 10.94 | 0.07 | 2.99 | 3.06 | (0.08 | ) | (0.18 | ) | (0.26 | ) | ||||||||||||||||||
12/31/2012 | 8.68 | 0.14 | 2.35 | 2.49 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
12/31/2011 | 10.16 | 0.09 | (i) | (1.57 | ) | (1.48 | ) | (0.00 | ) | (0.00 | ) | (0.00 | ) | |||||||||||||||
12/31/2010(j) | 10.00 | 0.00 | 0.16 | 0.16 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
6/30/2014(g) | 13.53 | 0.14 | 0.06 | 0.20 | (0.00 | ) | (0.02 | ) | (0.02 | ) | ||||||||||||||||||
12/31/2013 | 10.82 | (0.02 | ) | 2.94 | 2.92 | (0.03 | ) | (0.18 | ) | (0.21 | ) | |||||||||||||||||
12/31/2012 | 8.61 | 0.06 | 2.34 | 2.40 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
12/31/2011 | 10.15 | 0.02 | (i) | (1.56 | ) | (1.54 | ) | (0.00 | ) | (0.00 | ) | (0.00 | ) | |||||||||||||||
12/31/2010(j) | 10.00 | (0.00 | ) | 0.15 | 0.15 | (0.00 | ) | — | (0.00 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
See accompanying notes to financial statements.
49 |
Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 13.97 | 1.83 | $ | 661,742 | 1.30 | 1.30 | 2.94 | 9 | ||||||||||||||||||
13.74 | 28.13 | 314,579 | 1.44 | (h) | 1.44 | (h) | 0.52 | 20 | ||||||||||||||||||
10.94 | 28.78 | 35,555 | 1.45 | 1.64 | 1.50 | 53 | ||||||||||||||||||||
8.68 | (14.55 | )(i) | 33,852 | 1.45 | 1.87 | 0.93 | (i) | 48 | ||||||||||||||||||
10.16 | 1.62 | 5,487 | 1.45 | 22.77 | 0.23 | 0 | (k) | |||||||||||||||||||
13.71 | 1.49 | 356,401 | 2.05 | 2.05 | 2.03 | 9 | ||||||||||||||||||||
13.53 | 27.13 | 237,250 | 2.19 | (h) | 2.19 | (h) | (0.14 | ) | 20 | |||||||||||||||||
10.82 | 27.93 | 34,142 | 2.20 | 2.39 | 0.59 | 53 | ||||||||||||||||||||
8.61 | (15.17 | )(i) | 13,501 | 2.20 | 2.59 | 0.20 | (i) | 48 | ||||||||||||||||||
10.15 | 1.52 | 700 | 2.20 | 25.08 | (0.08 | ) | 0 | (k) |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
(h) | Includes fee/expense recovery of 0.05%, 0.04% for Class A and C, respectively. |
(i) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.08 and $0.01 for Class A and Class C shares, respectively, total return would have been (14.65)% and (15.27)% for Class A and Class C shares, respectively, the ratio of net investment income to average net assets would have been 0.81% and 0.08% for Class A and Class C shares, respectively. |
(j) | From commencement of operations on December 15, 2010 through December 31, 2010. |
(k) | Amount rounds to less than 1%. |
See accompanying notes to financial statements.
| 50
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
VAUGHAN NELSON SMALL CAP VALUE FUND | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(g) | $ | 22.34 | $ | (0.02 | ) | $ | 1.42 | $ | 1.40 | $ | — | $ | (0.69 | ) | $ | (0.69 | ) | |||||||||||
12/31/2013 | 18.97 | 0.07 | (h) | 7.14 | 7.21 | (0.06 | ) | (3.78 | ) | (3.84 | ) | |||||||||||||||||
12/31/2012 | 17.74 | 0.13 | (j) | 2.50 | 2.63 | (0.14 | ) | (1.26 | ) | (1.40 | ) | |||||||||||||||||
12/31/2011 | 22.69 | 0.10 | (0.83 | ) | (0.73 | ) | (0.09 | ) | (4.13 | ) | (4.22 | ) | ||||||||||||||||
12/31/2010 | 22.31 | (0.01 | ) | 5.27 | 5.26 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 | 17.42 | 0.05 | (k) | 4.88 | 4.93 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2014(g) | 17.63 | (0.09 | ) | 1.10 | 1.01 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||
12/31/2013 | 15.65 | (0.07 | )(h) | 5.84 | 5.77 | (0.01 | ) | (3.78 | ) | (3.79 | ) | |||||||||||||||||
12/31/2012 | 14.84 | (0.02 | )(j) | 2.09 | 2.07 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
12/31/2011 | 19.73 | (0.07 | ) | (0.69 | ) | (0.76 | ) | (0.00 | ) | (4.13 | ) | (4.13 | ) | |||||||||||||||
12/31/2010 | 20.06 | (0.17 | ) | 4.72 | 4.55 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 | 15.76 | (0.09 | )(k) | 4.39 | 4.30 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(g) | 17.61 | (0.08 | ) | 1.10 | 1.02 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||
12/31/2013 | 15.64 | (0.07 | )(h) | 5.83 | 5.76 | (0.01 | ) | (3.78 | ) | (3.79 | ) | |||||||||||||||||
12/31/2012 | 14.85 | (0.01 | )(j) | 2.08 | 2.07 | (0.02 | ) | (1.26 | ) | (1.28 | ) | |||||||||||||||||
12/31/2011 | 19.74 | (0.06 | ) | (0.70 | ) | (0.76 | ) | — | (4.13 | ) | (4.13 | ) | ||||||||||||||||
12/31/2010 | 20.07 | (0.16 | ) | 4.71 | 4.55 | — | (4.90 | ) | (4.90 | ) | ||||||||||||||||||
12/31/2009 | 15.76 | (0.08 | )(k) | 4.39 | 4.31 | — | — | — | ||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(g) | 22.73 | 0.01 | 1.44 | 1.45 | — | (0.69 | ) | (0.69 | ) | |||||||||||||||||||
12/31/2013 | 19.24 | 0.13 | (h) | 7.26 | 7.39 | (0.12 | ) | (3.78 | ) | (3.90 | ) | |||||||||||||||||
12/31/2012 | 17.99 | 0.18 | (j) | 2.53 | 2.71 | (0.20 | ) | (1.26 | ) | (1.46 | ) | |||||||||||||||||
12/31/2011 | 22.96 | 0.15 | (0.84 | ) | (0.69 | ) | (0.15 | ) | (4.13 | ) | (4.28 | ) | ||||||||||||||||
12/31/2010 | 22.47 | 0.06 | 5.31 | 5.37 | — | (4.90 | ) | (4.90 | ) | |||||||||||||||||||
12/31/2009 | 17.55 | 0.12 | (k) | 4.90 | 5.02 | (0.10 | ) | — | (0.10 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
See accompanying notes to financial statements.
51 |
Table of Contents
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Increase from class action/ regulatory settlements | Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | |||||||||||||||||||||||
$ | 0.01 | $ | 23.06 | 6.46 | $ | 152,356 | 1.37 | 1.37 | (0.19 | ) | 30 | |||||||||||||||||||
— | 22.34 | 39.01 | (h) | 152,792 | 1.39 | (i) | 1.39 | (i) | 0.33 | (h) | 58 | |||||||||||||||||||
— | 18.97 | 14.93 | (j) | 160,400 | 1.39 | 1.39 | 0.67 | (j) | 73 | |||||||||||||||||||||
— | 17.74 | (3.77 | ) | 228,445 | 1.36 | 1.36 | 0.44 | 88 | ||||||||||||||||||||||
0.02 | 22.69 | 23.67 | 267,192 | 1.41 | 1.41 | (0.03 | ) | 80 | ||||||||||||||||||||||
— | 22.31 | 28.30 | 322,961 | 1.45 | 1.49 | 0.27 | 102 | |||||||||||||||||||||||
0.01 | 17.96 | 5.96 | 1,405 | 2.11 | 2.11 | (1.03 | ) | 30 | ||||||||||||||||||||||
— | 17.63 | 38.03 | (h) | 2,239 | 2.14 | (i) | 2.14 | (i) | (0.40 | )(h) | 58 | |||||||||||||||||||
— | 15.65 | 14.12 | (j) | 3,106 | 2.14 | 2.14 | (0.14 | )(j) | 73 | |||||||||||||||||||||
— | 14.84 | (4.51 | ) | 4,657 | 2.11 | 2.11 | (0.38 | ) | 88 | |||||||||||||||||||||
0.02 | 19.73 | 22.78 | 7,996 | 2.16 | 2.16 | (0.78 | ) | 80 | ||||||||||||||||||||||
— | 20.06 | 27.28 | 10,630 | 2.20 | 2.24 | (0.56 | ) | 102 | ||||||||||||||||||||||
0.01 | 17.95 | 6.03 | 30,906 | 2.12 | 2.12 | (0.94 | ) | 30 | ||||||||||||||||||||||
— | 17.61 | 37.99 | (h) | 31,476 | 2.14 | (i) | 2.14 | (i) | (0.40 | )(h) | 58 | |||||||||||||||||||
— | 15.64 | 14.08 | (j) | 26,980 | 2.14 | 2.14 | (0.07 | )(j) | 73 | |||||||||||||||||||||
— | 14.85 | (4.51 | ) | 30,284 | 2.11 | 2.11 | (0.33 | ) | 88 | |||||||||||||||||||||
0.02 | 19.74 | 22.78 | 38,855 | 2.16 | 2.16 | (0.76 | ) | 80 | ||||||||||||||||||||||
— | 20.07 | 27.35 | 39,238 | 2.20 | 2.24 | (0.48 | ) | 102 | ||||||||||||||||||||||
0.01 | 23.50 | 6.57 | 164,058 | 1.12 | 1.12 | 0.07 | 30 | |||||||||||||||||||||||
— | 22.73 | 39.43 | (h) | 163,836 | 1.14 | (i) | 1.14 | (i) | 0.59 | (h) | 58 | |||||||||||||||||||
— | 19.24 | 15.18 | (j) | 132,970 | 1.14 | 1.14 | 0.95 | (j) | 73 | |||||||||||||||||||||
— | 17.99 | (3.54 | ) | 130,115 | 1.10 | 1.10 | 0.65 | 88 | ||||||||||||||||||||||
0.02 | 22.96 | 24.00 | 217,305 | 1.16 | 1.16 | 0.24 | 80 | |||||||||||||||||||||||
— | 22.47 | 28.61 | 232,903 | 1.18 | (l) | 1.18 | (l) | 0.60 | 102 |
(h) | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.00, $(0.14), $(0.13) and $0.06 for Class A, Class B, Class C and Class Y shares, respectively, total return would have been 38.63%, 37.63%, 37.59% and 39.06% for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.02%, (0.77)%, (0.73)% and 0.27% for Class A, Class B, Class C and Class Y shares, respectively. |
(i) | Includes interest expense of less than 0.01%. |
(j) | Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.04, $(0.09), $(0.08) and $0.10 for Class A , Class B, Class C and Class Y shares, respectively, total return would have been 14.42%, 13.64%, 13.52% and 14.73% for Class A, Class B, Class C and Class Y shares, respectively and the ratio of net investment income (loss) to average net assets would have been 0.22%, (0.56)%, (0.51)% and 0.50% for Class A, Class B, Class C and Class Y shares, respectively. |
(k) | Includes a non-recurring dividend of $0.03 per share. |
(l) | Includes fee/expense recovery of less than 0.01%. |
See accompanying notes to financial statements.
| 52
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains | Distributions from paid-in capital | ||||||||||||||||||||||
VAUGHAN NELSON VALUE OPPORTUNITY FUND | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(g) | $ | 20.63 | $ | (0.04 | ) | $ | 1.68 | $ | 1.64 | $ | — | $ | (0.20 | ) | $ | — | ||||||||||||
12/31/2013 | 15.49 | (0.03 | ) | 6.36 | 6.33 | — | (1.19 | ) | — | |||||||||||||||||||
12/31/2012 | 13.83 | 0.15 | (h) | 2.05 | 2.20 | (0.14 | ) | (0.40 | ) | — | ||||||||||||||||||
12/31/2011 | 14.75 | (0.01 | ) | (0.39 | ) | (0.40 | ) | — | (0.52 | ) | — | |||||||||||||||||
12/31/2010 | 12.46 | 0.08 | (j) | 2.36 | 2.44 | (0.07 | ) | (0.02 | ) | (0.06 | ) | |||||||||||||||||
12/31/2009 | 9.60 | 0.09 | 2.88 | 2.97 | (0.04 | ) | (0.07 | ) | — | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(g) | 20.07 | (0.12 | ) | 1.64 | 1.52 | — | (0.20 | ) | — | |||||||||||||||||||
12/31/2013 | 15.21 | (0.17 | ) | 6.22 | 6.05 | — | (1.19 | ) | — | |||||||||||||||||||
12/31/2012 | 13.60 | 0.04 | (h) | 2.01 | 2.05 | (0.04 | ) | (0.40 | ) | — | ||||||||||||||||||
12/31/2011 | 14.63 | (0.12 | ) | (0.39 | ) | (0.51 | ) | — | (0.52 | ) | — | |||||||||||||||||
12/31/2010 | 12.39 | (0.03 | )(j) | 2.36 | 2.33 | (0.04 | ) | (0.02 | ) | (0.03 | ) | |||||||||||||||||
12/31/2009 | 9.59 | (0.02 | ) | 2.89 | 2.87 | (0.00 | ) | (0.07 | ) | — | ||||||||||||||||||
Class N | ||||||||||||||||||||||||||||
6/30/2014(g) | 20.76 | (0.01 | ) | 1.68 | 1.67 | — | (0.20 | ) | — | |||||||||||||||||||
12/31/2013(k) | 17.53 | (0.04 | ) | 4.35 | 4.31 | (0.02 | ) | (1.06 | ) | — | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(g) | 20.78 | (0.01 | ) | 1.69 | 1.68 | — | (0.20 | ) | — | |||||||||||||||||||
12/31/2013 | 15.57 | 0.02 | 6.39 | 6.41 | (0.01 | ) | (1.19 | ) | — | |||||||||||||||||||
12/31/2012 | 13.89 | 0.18 | (h) | 2.08 | 2.26 | (0.18 | ) | (0.40 | ) | — | ||||||||||||||||||
12/31/2011 | 14.80 | 0.03 | (0.41 | ) | (0.38 | ) | (0.01 | ) | (0.52 | ) | — | |||||||||||||||||
12/31/2010 | 12.49 | 0.12 | (j) | 2.37 | 2.49 | (0.09 | ) | (0.02 | ) | (0.07 | ) | |||||||||||||||||
12/31/2009 | 9.60 | 0.10 | 2.90 | 3.00 | (0.04 | ) | (0.07 | ) | — |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
See accompanying notes to financial statements.
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Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Total distributions | Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | |||||||||||||||||||||||
$(0.20) | $ | 22.07 | 7.98 | $ | 113,484 | 1.27 | 1.27 | (0.37 | ) | 33 | ||||||||||||||||||||
(1.19) | 20.63 | 41.22 | 67,716 | 1.27 | 1.27 | (0.13 | ) | 39 | ||||||||||||||||||||||
(0.54) | 15.49 | 15.93 | (h) | 28,381 | 1.31 | 1.31 | 0.97 | (h) | 65 | |||||||||||||||||||||
(0.52) | 13.83 | (2.71 | ) | 21,308 | 1.40 | (i) | 1.40 | (i) | (0.07 | ) | 75 | |||||||||||||||||||
(0.15) | 14.75 | 19.64 | 11,268 | 1.40 | 1.69 | 0.62 | (j) | 143 | ||||||||||||||||||||||
(0.11) | 12.46 | 30.98 | 3,645 | 1.40 | 5.24 | 0.79 | 45 | |||||||||||||||||||||||
(0.20) | 21.39 | 7.60 | 30,754 | 2.02 | 2.02 | (1.13 | ) | 33 | ||||||||||||||||||||||
(1.19) | 20.07 | 40.13 | 21,005 | 2.02 | 2.02 | (0.89 | ) | 39 | ||||||||||||||||||||||
(0.44) | 15.21 | 15.10 | (h) | 3,090 | 2.06 | 2.06 | 0.24 | (h) | 65 | |||||||||||||||||||||
(0.52) | 13.60 | (3.48 | ) | 1,822 | 2.15 | (i) | 2.15 | (i) | (0.83 | ) | 75 | |||||||||||||||||||
(0.09) | 14.63 | 18.85 | 824 | 2.15 | 2.46 | (0.23 | )(j) | 143 | ||||||||||||||||||||||
(0.07) | 12.39 | 30.01 | 370 | 2.15 | 8.54 | (0.14 | ) | 45 | ||||||||||||||||||||||
(0.20) | 22.23 | 8.07 | 9,021 | 0.92 | 0.92 | (0.06 | ) | 33 | ||||||||||||||||||||||
(1.08) | 20.76 | 24.70 | 1 | 1.03 | 2.07 | (0.33 | ) | 39 | ||||||||||||||||||||||
(0.20) | 22.26 | 8.11 | 562,179 | 1.02 | 1.02 | (0.13 | ) | 33 | ||||||||||||||||||||||
(1.20) | 20.78 | 41.52 | 360,820 | 1.02 | 1.02 | 0.12 | 39 | |||||||||||||||||||||||
(0.58) | 15.57 | 16.28 | (h) | 163,589 | 1.06 | 1.06 | 1.22 | (h) | 65 | |||||||||||||||||||||
(0.53) | 13.89 | (2.53 | ) | 109,419 | 1.15 | (i) | 1.15 | (i) | 0.23 | 75 | ||||||||||||||||||||
(0.18) | 14.80 | 19.96 | 40,715 | 1.15 | 1.43 | 0.92 | (j) | 143 | ||||||||||||||||||||||
(0.11) | 12.49 | 31.37 | 8,626 | 1.15 | 7.22 | 0.90 | 45 |
(h) | Includes non-recurring dividends. Without these dividends, net investment income (loss) per share would have been $0.02, $(0.08) and $0.06 for Class A, Class C and Class Y shares, respectively, total returns would have been 15.06%, 14.21% and 15.41% for Class A, Class C and Class Y shares, respectively and the ratios of net investment income (loss) to average net assets would have been 0.16%, (0.57)% and 0.42% for Class A, Class C and Class Y shares, respectively. |
(i) | Includes fee/expense recovery of 0.01%. |
(j) | Includes non-recurring dividends. Without this dividend, net investment income (loss) per share would have been $0.01, $(0.09) and $0.04 for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income (loss) to average net assets would have been 0.07%, (0.74)% and 0.34% for Class A, Class C and Class Y shares, respectively. |
(k) | From commencement of Class operations on May 1, 2013 through December 31, 2013. |
See accompanying notes to financial statements.
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Notes to Financial Statements
June 30, 2014 (Unaudited)
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
CGM Advisor Targeted Equity Fund (the “Targeted Equity Fund”)
Natixis Oakmark International Fund
Vaughan Nelson Small Cap Value Fund (the “Small Cap Value Fund”)
Natixis Funds Trust II:
Natixis Oakmark Fund (formerly Harris Associates Large Cap Value Fund)
Vaughan Nelson Value Opportunity Fund (the “Value Opportunity Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A and Class C shares. Targeted Equity Fund, Small Cap Value Fund, Natixis Oakmark Fund and Value Opportunity Fund also offer Class Y shares. In addition, Value Opportunity Fund offers Class N shares. Effective October 12, 2007, Class B shares of Targeted Equity Fund, Natixis Oakmark Fund and Small Cap Value Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.
Effective July 31, 2009, the Small Cap Value Fund was closed to new investors. The Fund continues to offer Class A, Class C and Class Y shares to existing investors. The Fund, in its sole discretion, may permit an investor in another Vaughan Nelson-managed fund or product that follows the same investment strategy as the Fund to transfer assets from that fund or product into the Fund.
Class A shares are sold with a maximum front-end sales charge of 5.75%. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered exclusively through intermediaries primarily intended for employer-sponsored retirement plans. Class Y shares are intended for institutional investors with a minimum
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initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.
Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and, for Value Opportunity Fund, transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
As of June 30, 2014, approximately 92% of the market value of Natixis Oakmark International Fund’s investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these
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June 30, 2014 (Unaudited)
amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Certain Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. Certain Funds 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 reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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. Contracts are traded over-the-counter directly with a counterparty. 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
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June 30, 2014 (Unaudited)
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.
e. Federal and Foreign Income Taxes. Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, distribution redesignations, return of capital and capital gain distributions received, foreign currency gains and losses, distributions in excess of current earnings, passive foreign
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June 30, 2014 (Unaudited)
investment companies adjustment and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, return of capital distributions received and forward foreign currency contract mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2013 was as follows:
2013 Distributions Paid From: | ||||||||||||
Fund | Ordinary | Long-Term | Total | |||||||||
Targeted Equity Fund | $ | 37,213,633 | $ | 39,265,245 | $ | 76,478,878 | ||||||
Natixis Oakmark Fund | 503,341 | 5,425,590 | 5,928,931 | |||||||||
Natixis Oakmark International Fund | 1,974,167 | 6,109,445 | 8,083,612 | |||||||||
Small Cap Value Fund | 14,068,610 | 41,806,396 | 55,875,006 | |||||||||
Value Opportunity Fund | 4,109,936 | 19,530,938 | 23,640,874 |
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
g. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each 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. As of June 30, 2014, each Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
h. Securities Lending. Certain Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the
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June 30, 2014 (Unaudited)
market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2014, none of the Funds had loaned securities under this agreement.
i. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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 each 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.
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2014, at value:
Targeted Equity Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 553,481,100 | $ | — | $ | — | $ | 553,481,100 | ||||||||
Short-Term Investments | — | 13,055,000 | — | 13,055,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 553,481,100 | $ | 13,055,000 | $ | — | $ | 566,536,100 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
Natixis Oakmark Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 192,848,689 | $ | — | $ | — | $ | 192,848,689 | ||||||||
Short-Term Investments | — | 22,324,457 | — | 22,324,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 192,848,689 | $ | 22,324,457 | $ | — | $ | 215,173,146 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
Natixis Oakmark International Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 43,303,008 | $ | — | $ | 43,303,008 | ||||||||
France | — | 153,650,047 | — | 153,650,047 | ||||||||||||
Germany | — | 105,605,372 | — | 105,605,372 | ||||||||||||
Ireland | — | 25,917,688 | — | 25,917,688 | ||||||||||||
Italy | — | 33,398,945 | — | 33,398,945 | ||||||||||||
Japan | — | 141,817,106 | — | 141,817,106 | ||||||||||||
Korea | — | 21,652,628 | — | 21,652,628 | ||||||||||||
Netherlands | — | 72,501,365 | — | 72,501,365 | ||||||||||||
Sweden | — | 46,031,782 | — | 46,031,782 | ||||||||||||
Switzerland | — | 156,621,735 | — | 156,621,735 | ||||||||||||
United Kingdom | 18,268,270 | 136,866,368 | — | 155,134,638 | ||||||||||||
All Other Common Stocks(a) | 10,390,002 | — | — | 10,390,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 28,658,272 | 937,366,044 | — | 966,024,316 | ||||||||||||
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Natixis Oakmark International Fund (continued)
Asset Valuation Inputs (continued)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | — | $ | 48,317,803 | $ | — | $ | 48,317,803 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 28,658,272 | 985,683,847 | — | 1,014,342,119 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 876,435 | — | 876,435 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 28,658,272 | $ | 986,560,282 | $ | — | $ | 1,015,218,554 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (642,832 | ) | $ | — | $ | (642,832 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
A common stock valued at $14,810,131 was transferred from Level 1 to Level 2 during the period ended June 30, 2014. At December 31, 2013, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At June 30, 2014, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security.
All transfers are recognized as of the beginning of the reporting period.
Small Cap Value Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 341,359,605 | $ | — | $ | — | $ | 341,359,605 | ||||||||
Closed-End Investment Companies | 2,701,325 | — | — | 2,701,325 | ||||||||||||
Short-Term Investments | — | 3,807,211 | — | 3,807,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 344,060,930 | $ | 3,807,211 | $ | — | $ | 347,868,141 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
Value Opportunity Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 682,926,577 | $ | — | $ | — | $ | 682,926,577 | ||||||||
Closed-End Investment Companies | 12,163,106 | — | — | 12,163,106 | ||||||||||||
Short-Term Investments | — | 22,739,937 | — | 22,739,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 695,089,683 | $ | 22,739,937 | $ | — | $ | 717,829,620 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
63 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
4. 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 Natixis Oakmark International Fund used during the period include forward foreign currency contracts.
The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments.
The following is a summary of derivative instruments for Natixis Oakmark International Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized appreciation on forward | |||
Over-the-counter asset derivatives | ||||
Foreign exchange contracts | $ | 876,435 |
Liabilities | Unrealized depreciation on forward | |||
Over-the-counter liability derivatives | ||||
Foreign exchange contracts | $ | (642,832 | ) |
Transactions in derivative instruments for Natixis Oakmark International Fund during the six months ended June 30, 2014, as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Foreign currency transactions1 | |||
Foreign exchange contracts | $ | (994,482 | ) |
Net Change in Unrealized Appreciation | Foreign currency translations1 | |||
Foreign exchange contracts | $ | 959,951 |
1 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations. |
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract activity , as a percentage of net assets, for Natixis Oakmark International Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:
Natixis Oakmark International Fund | Forwards | |||
Average Notional Amount Outstanding | 7.46 | % | ||
Highest Notional Amount Outstanding | 8.06 | % | ||
Lowest Notional Amount Outstanding | 5.65 | % | ||
Notional Amount Outstanding as of June 30, 2014 | 7.78 | % |
Notional amounts outstanding at the end of the prior period for forward currency contracts are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.
The Fund enters into over-the-counter derivatives, including forward foreign currency contracts, pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. For financial reporting purposes, the Fund does not offset derivative assets and liabilities on the Statements of Assets and Liabilities.
As of June 30, 2014, gross amounts of derivative assets and liabilities not offset in the Statement of Assets & Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Natixis Oakmark International Fund
Counterparty | Gross Amounts | Offset | Net | |||||||||
State Street Bank and Trust Company | $ | 876,435 | $ | (642,832 | ) | $ | 233,603 | |||||
|
|
|
|
|
|
65 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Natixis Oakmark International Fund (continued)
Counterparty | Gross Amounts | Offset | Net | |||||||||
State Street Bank and Trust Company | $ | (642,832 | ) | $ | 642,832 | $ | — | |||||
|
|
|
|
|
|
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, each as of June 30, 2014:
Fund | Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | ||||||
Natixis Oakmark International Fund | $ | 876,435 | $ | 233,603 |
5. Purchases and Sales of Securities. For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:
Fund | Purchases | Sales | ||||||
Targeted Equity Fund | $ | 692,441,840 | $ | 748,766,037 | ||||
Natixis Oakmark Fund | 134,703,880 | 114,540,115 | ||||||
Natixis Oakmark International Fund | 518,405,363 | 66,026,364 | ||||||
Small Cap Value Fund | 103,119,674 | 126,455,914 | ||||||
Value Opportunity Fund | 389,693,648 | 183,781,188 |
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. NGAM Advisors, L.P. (“NGAM Advisors”), serves as investment adviser to each Fund except the Targeted Equity Fund. Capital Growth Management Limited Partnership (“CGM”) is the investment adviser to the Targeted Equity Fund. Under the terms of the management agreements, each Fund pays a management fee at
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||||||||||
Fund | First | Next | Next | Next | Over | |||||||||||||||
Targeted Equity Fund | 0.75 | % | 0.70 | % | 0.65 | % | 0.65 | % | 0.60 | % | ||||||||||
Natixis Oakmark Fund | 0.70 | % | 0.65 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||
Natixis Oakmark International Fund | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||
Small Cap Value Fund | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||
Value Opportunity Fund | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % | 0.80 | % |
NGAM Advisors has entered into subadvisory agreements for each Fund as listed below.
Natixis Oakmark Fund | Harris Associates L.P. (“Harris”) | |
Natixis Oakmark International Fund | Harris | |
Small Cap Value Fund | Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) | |
Value Opportunity Fund | Vaughan Nelson |
Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||
Fund | Subadviser | First | Over | |||||||
Natixis Oakmark Fund | Harris | 0.52 | % | 0.50 | % | |||||
Natixis Oakmark International Fund | Harris | 0.60 | % | 0.60 | % | |||||
Small Cap Value Fund | Vaughan Nelson | 0.55 | % | 0.55 | % | |||||
Value Opportunity Fund | Vaughan Nelson | 0.50 | % | 0.50 | % |
Prior to February 28, 2014, Natixis Oakmark Fund paid a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||
Fund | Subadviser | First | Over | |||||||||
Natixis Oakmark Fund | Harris | 0.45 | % | 0.40 | % |
67 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Payments to NGAM Advisors are reduced by the amount of payments to the subadvisers, as calculated based on the table above.
NGAM Advisors has given binding undertakings to certain Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.
For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense limit as a Percentage of Average Daily Net Assets | ||||||||||||||||||||
Fund | Class A | Class B | Class C | Class N | Class Y | |||||||||||||||
Natixis Oakmark Fund | 1.30 | % | 2.05 | % | 2.05 | % | — | 1.05 | % | |||||||||||
Natixis Oakmark International Fund | 1.45 | % | — | 2.20 | % | — | — | |||||||||||||
Small Cap Value Fund | 1.45 | % | 2.20 | % | 2.20 | % | — | 1.20 | % | |||||||||||
Value Opportunity Fund | 1.40 | % | — | 2.15 | % | 1.10 | % | 1.15 | % |
NGAM Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2014, the management fees and waivers of management fees for each Fund were as follows:
Gross Management Fees | Waivers of Management Fees 1 | Net Management Fees | Percentage of Average Daily Net Assets | |||||||||||||||||
Fund | Gross | Net | ||||||||||||||||||
Targeted Equity Fund | $ | 1,988,080 | $ | — | $ | 1,988,080 | 0.71 | % | 0.71% | |||||||||||
Natixis Oakmark Fund | 618,901 | — | 618,901 | 0.70 | % | 0.70% | ||||||||||||||
Natixis Oakmark International Fund | 3,402,803 | — | 3,402,803 | 0.85 | % | 0.85% | ||||||||||||||
Small Cap Value Fund | 1,539,844 | — | 1,539,844 | 0.90 | % | 0.90% | ||||||||||||||
Value Opportunity Fund | 2,284,103 | — | 2,284,103 | 0.80 | % | 0.80% |
1 | Management fee waivers are subject to possible recovery until December 31, 2015. |
| 68
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, expense reimbursements related to the prior fiscal year were recovered as follows:
Fund | Recovered Expenses | |||
Value Opportunity Fund | $ | 20 |
Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, CGM, Harris and Vaughan Nelson are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class B (if applicable) and Class C shares (the “Class B and Class C Plans”).
Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.
Also under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.
69 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||||||||||
Fund | Class A | Class B | Class C | Class B | Class C | |||||||||||||||
Targeted Equity Fund | $ | 593,640 | $ | 2,193 | $ | 43,119 | $ | 6,580 | $ | 129,358 | ||||||||||
Natixis Oakmark Fund | 182,955 | 1,503 | 16,072 | 4,507 | 48,217 | |||||||||||||||
Natixis Oakmark International Fund | 629,549 | — | 371,275 | — | 1,113,824 | |||||||||||||||
Small Cap Value Fund | 185,677 | 2,113 | 38,065 | 6,338 | 114,196 | |||||||||||||||
Value Opportunity Fund | 119,154 | — | 32,047 | — | 96,139 |
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
For the six months ended June 30, 2014, the administrative fees for each Fund were as follows:
Fund | Administrative | |||
Targeted Equity Fund | $ | 121,539 | ||
Natixis Oakmark Fund | 38,491 | |||
Natixis Oakmark International Fund | 174,112 | |||
Small Cap Value Fund | 74,484 | |||
Value Opportunity Fund | 124,193 |
Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.
For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were the following:
Fund | Sub-Transfer | |||
Targeted Equity Fund | $ | 91,775 | ||
Natixis Oakmark Fund | 30,904 | |||
Natixis Oakmark International Fund | 300,592 | |||
Small Cap Value Fund | 137,736 | |||
Value Opportunity Fund | 295,868 |
As of June 30, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
Targeted Equity Fund | $ | 2,403 | ||
Natixis Oakmark Fund | 1,073 | |||
Natixis Oakmark International Fund | 14,337 | |||
Small Cap Value Fund | 3,786 | |||
Value Opportunity Fund | 12,462 |
Sub-transfer agent fees attributable to Class A, Class B, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
71 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014, were as follows:
Fund | Commissions | |||
Targeted Equity Fund | $ | 79,656 | ||
Natixis Oakmark Fund | 194,501 | |||
Natixis Oakmark International Fund | 880,156 | |||
Small Cap Value Fund | 8,441 | |||
Value Opportunity Fund | 111,426 |
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at an annual rate of $17,500. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees on the Statements of Assets and Liabilities.
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
g. Reimbursement of Transfer Agent Fees and Expenses. Effective July 1, 2014, NGAM Advisors has given a binding contractual undertaking to the Value Opportunity Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking is effective through April 30, 2016.
7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended June 30, 2014, Value Opportunity Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):
Class A | Class C | Class Y | Class N | |||||||||||||
Transfer Agent Fees and Expenses | $ | 50,841 | $ | 13,833 | $ | 239,598 | $ | 13 |
Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
8. Class Action Settlements. During the six months ended June 30, 2014, Small Cap Value Fund received a payment of $201,690 as part of a class action settlement related to a security previously held by the Fund. The payment has been included in “Increase from Class Action Settlements” on the Statements of Changes in Net Assets.
9. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2014 none of the Funds had borrowings under these agreements.
10. Brokerage Commission Recapture. Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended June 30, 2014, amounts rebated under these agreements were as follows:
Fund | Rebates | |||
Targeted Equity Fund | $ | 124,480 |
11. Concentration of Risk. The Natixis Oakmark International Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S.
73 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
12. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2014, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of >5% Non-Affiliated | Percentage of | ||||||
Small Cap Value Fund | 2 | 14.36 | % | |||||
Value Opportunity Fund | 2 | 19.86 | % |
Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
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June 30, 2014 (Unaudited)
13. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2014 |
|
| Year Ended December 31, 2013 |
| |||||||||||
Targeted Equity Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 483,493 | $ | 5,510,582 | 1,458,995 | $ | 16,947,507 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,276,833 | 13,853,623 | 5,498,306 | 61,361,100 | ||||||||||||
Redeemed | (3,484,489 | ) | (39,600,356 | ) | (6,773,819 | ) | (79,452,307 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,724,163 | ) | $ | (20,236,151 | ) | 183,482 | $ | (1,143,700 | ) | |||||||
|
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|
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| |||||||||
Class B | ||||||||||||||||
Issued from the sale of shares | 3,345 | $ | 32,270 | 9,622 | $ | 104,266 | ||||||||||
Issued in connection with the reinvestment of distributions | 6,484 | 60,819 | 31,669 | 307,820 | ||||||||||||
Redeemed | (83,733 | ) | (823,905 | ) | (197,033 | ) | (2,058,965 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (73,904 | ) | $ | (730,816 | ) | (155,742 | ) | $ | (1,646,879 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 102,419 | $ | 985,285 | 346,867 | $ | 3,419,390 | ||||||||||
Issued in connection with the reinvestment of distributions | 85,070 | 792,005 | 357,986 | 3,454,570 | ||||||||||||
Redeemed | (468,073 | ) | (4,528,466 | ) | (902,542 | ) | (9,267,379 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (280,584 | ) | $ | (2,751,176 | ) | (197,689 | ) | $ | (2,393,419 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 353,080 | $ | 4,084,526 | 1,018,288 | $ | 12,174,489 | ||||||||||
Issued in connection with the reinvestment of distributions | 88,591 | 993,990 | 385,629 | 4,442,449 | ||||||||||||
Redeemed | (871,310 | ) | (10,110,271 | ) | (1,924,481 | ) | (23,394,134 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (429,639 | ) | $ | (5,031,755 | ) | (520,564 | ) | $ | (6,777,196 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (2,508,290 | ) | $ | (28,749,898 | ) | (690,513 | ) | $ | (11,961,194 | ) | ||||||
|
|
|
|
|
|
|
|
75 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
13. Capital Shares (continued).
| Six Months Ended June 30, 2014 |
|
| Year Ended December 31, 2013 |
| |||||||||||
Natixis Oakmark Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 1,835,890 | $ | 39,711,523 | 594,097 | $ | 11,371,063 | ||||||||||
Issued in connection with the reinvestment of distributions | 155,838 | 3,263,246 | 206,364 | 4,393,477 | ||||||||||||
Redeemed | (890,216 | ) | (18,999,268 | ) | (1,091,588 | ) | (20,603,657 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,101,512 | $ | 23,975,501 | (291,127 | ) | $ | (4,839,117 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued from the sale of shares | 717 | $ | 13,917 | 2,215 | $ | 39,142 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,705 | 32,498 | 2,720 | 52,955 | ||||||||||||
Redeemed | (29,902 | ) | (579,999 | ) | (71,336 | ) | (1,232,916 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (27,480 | ) | $ | (533,584 | ) | (66,401 | ) | $ | (1,140,819 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 891,860 | $ | 17,468,220 | 77,627 | $ | 1,397,844 | ||||||||||
Issued in connection with the reinvestment of distributions | 11,361 | 215,527 | 10,127 | 196,273 | ||||||||||||
Redeemed | (51,276 | ) | (989,836 | ) | (63,084 | ) | (1,112,010 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 851,945 | $ | 16,693,911 | 24,670 | $ | 482,107 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 397,081 | $ | 8,820,735 | 423,721 | $ | 8,459,458 | ||||||||||
Issued in connection with the reinvestment of distributions | 18,685 | 405,824 | 20,978 | 462,557 | ||||||||||||
Redeemed | (145,524 | ) | (3,064,288 | ) | (532,575 | ) | (11,013,447 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 270,242 | $ | 6,162,271 | (87,876 | ) | $ | (2,091,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 2,196,219 | $ | 46,298,099 | (420,734 | ) | $ | (7,589,261 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Natixis Oakmark International Fund | ||||||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 27,193,357 | $ | 373,399,778 | 21,056,422 | $ | 277,082,046 | ||||||||||
Issued in connection with the reinvestment of distributions | 54,896 | 757,009 | 319,731 | 4,302,790 | ||||||||||||
Redeemed | (2,795,457 | ) | (38,404,226 | ) | (1,725,547 | ) | (21,871,254 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 24,452,796 | $ | 335,752,561 | 19,650,606 | $ | 259,513,582 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 9,258,067 | $ | 125,197,647 | 14,898,386 | $ | 188,703,775 | ||||||||||
Issued in connection with the reinvestment of distributions | 24,730 | 335,344 | 162,333 | 2,145,259 | ||||||||||||
Redeemed | (828,606 | ) | (11,160,458 | ) | (684,178 | ) | (8,561,081 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 8,454,191 | $ | 114,372,533 | 14,376,541 | $ | 182,287,953 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 32,906,987 | $ | 450,125,094 | 34,027,147 | $ | 441,801,535 | ||||||||||
|
|
|
|
|
|
|
|
| 76
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
13. Capital Shares (continued).
| Six Months Ended June 30, 2014 | | | Year Ended December 31, 2013 | | |||||||||||
Small Cap Value Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 238,150 | $ | 5,296,028 | 599,022 | $ | 13,053,903 | ||||||||||
Issued in connection with the reinvestment of distributions | 179,070 | 3,894,771 | 912,982 | 19,850,490 | ||||||||||||
Redeemed | (647,780 | ) | (14,372,933 | ) | (3,131,075 | ) | (66,811,043 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (230,560 | ) | $ | (5,182,134 | ) | (1,619,071 | ) | $ | (33,906,650 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued from the sale of shares | 7,513 | $ | 131,328 | 11,456 | $ | 209,832 | ||||||||||
Issued in connection with the reinvestment of distributions | 4,005 | 68,009 | 25,074 | 431,817 | ||||||||||||
Redeemed | (60,316 | ) | (1,049,378 | ) | (108,007 | ) | (1,942,239 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (48,798 | ) | $ | (850,041 | ) | (71,477 | ) | $ | (1,300,590 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 34,024 | $ | 586,143 | 129,833 | $ | 2,289,227 | ||||||||||
Issued in connection with the reinvestment of distributions | 53,749 | 911,590 | 252,715 | 4,356,398 | ||||||||||||
Redeemed | (153,279 | ) | (2,660,890 | ) | (320,688 | ) | (5,693,761 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (65,506 | ) | $ | (1,163,157 | ) | 61,860 | $ | 951,864 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 466,000 | $ | 10,550,598 | 1,039,846 | $ | 23,037,927 | ||||||||||
Issued in connection with the reinvestment of distributions | 148,931 | 3,298,833 | 785,493 | 17,359,014 | ||||||||||||
Redeemed | (841,188 | ) | (19,054,715 | ) | (1,527,529 | ) | (34,014,037 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (226,257 | ) | $ | (5,205,284 | ) | 297,810 | $ | 6,382,904 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (571,121 | ) | $ | (12,400,616 | ) | (1,330,878 | ) | $ | (27,872,472 | ) | ||||||
|
|
|
|
|
|
|
|
77 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
13. Capital Shares (continued).
| Six Months Ended June 30, 2014 | | | Year Ended December 31, 2013 | | |||||||||||
Value Opportunity Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 2,400,464 | $ | 49,739,845 | 1,783,255 | $ | 33,448,462 | ||||||||||
Issued in connection with the reinvestment of distributions | 43,329 | 909,478 | 173,512 | 3,452,669 | ||||||||||||
Redeemed | (584,095 | ) | (12,328,546 | ) | (506,160 | ) | (9,482,644 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 1,859,698 | $ | 38,320,777 | 1,450,607 | $ | 27,418,487 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 425,593 | $ | 8,710,545 | 851,169 | $ | 15,880,914 | ||||||||||
Issued in connection with the reinvestment of distributions | 9,978 | 203,253 | 45,963 | 896,367 | ||||||||||||
Redeemed | (44,077 | ) | (897,172 | ) | (53,768 | ) | (967,373 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 391,494 | $ | 8,016,626 | 843,364 | $ | 15,809,908 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 402,926 | $ | 8,881,339 | 57 | $ | 1,892 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,702 | 78,221 | 3 | 61 | ||||||||||||
Redeemed | (907 | ) | (20,078 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 405,721 | $ | 8,939,482 | 60 | $ | 1,953 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 9,595,195 | $ | 204,854,456 | 9,218,173 | $ | 175,491,968 | ||||||||||
Issued in connection with the reinvestment of distributions | 162,237 | 3,432,929 | 775,935 | 15,564,482 | ||||||||||||
Redeemed | (1,866,154 | ) | (39,817,516 | ) | (3,139,077 | ) | (59,799,281 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 7,891,278 | $ | 168,469,869 | 6,855,031 | $ | 131,257,169 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 10,548,191 | $ | 223,746,754 | 9,149,062 | $ | 174,487,517 | ||||||||||
|
|
|
|
|
|
|
|
* | From commencement of Class operations on May 1, 2013 through December 31, 2013 for Class N shares. |
| 78
Table of Contents
SEMIANNUAL REPORT
June 30, 2014
McDonnell Intermediate Municipal Bond Fund
Natixis Diversified Income Fund
Natixis U.S. Equity Opportunities Fund
(formerly Natixis U.S. Multi-Cap Equity Fund)
Portfolio Review page 1
Portfolio of Investments page 13
Financial Statements page 43
Notes to Financial Statements page 55
Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.
For more details visit ngam.natixis.com/TopFundFamily
Table of Contents
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND
Managers | Symbols | |
Dawn Mangerson | Class A MIMAX | |
James Grabovac, CFA® | Class C MIMCX | |
Lawrence Jones | Class Y MIMYX | |
Steve Wlodarski, CFA® | ||
McDonnell Investment Management, LLC |
Objective
Seeks a high level of federal tax-exempt current income, consistent with the preservation of capital.
Average Annual Total Returns — June 30, 20144
6 Months | 1 Year | Life of Fund | ||||||||||
Class A (Inception 12/31/12)1 | ||||||||||||
NAV | 3.99 | % | 4.60 | % | 0.82 | % | ||||||
With 3.50% Maximum Sales Charge | 0.31 | 0.89 | -1.56 | |||||||||
Class C (Inception 12/31/12)1 | ||||||||||||
NAV | 3.49 | 3.82 | 0.02 | |||||||||
With CDSC2 | 2.49 | 2.82 | 0.02 | |||||||||
Class Y (Inception 12/31/12)1 | ||||||||||||
NAV | 4.13 | 4.87 | 1.15 | |||||||||
Comparative Performance | ||||||||||||
Barclays 3-15 Year Blend Municipal Bond Index3 | 4.62 | 5.63 | 2.22 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | 12/31/12 represents the date shares were first registered for public sale under the Securities Act of 1933. 11/16/12 represents commencement of operations for accounting and financial reporting purposes only. |
2 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | Barclays 3-15 Year Blend Municipal Bond Index tracks the performance of municipal bonds issued after December 31, 1990 with remaining maturities between 2 and 17 years and at least $5 million in principal amount outstanding. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
1 |
Table of Contents
NATIXIS DIVERSIFIED INCOME FUND
Managers | Symbols | |
Dividend Equity Discipline | Class A IIDPX | |
Active Investment Advisors | Class C CIDPX | |
(a division of NGAM Advisors, L.P.) | Class Y YIDPX | |
Diversified REIT Discipline | ||
AEW Capital Management, L.P. | ||
Inflation Protected Securities Discipline | ||
Multi-Sector Bond Discipline | ||
Loomis, Sayles & Company, L.P. |
Objective
Seeks current income with a secondary objective of capital appreciation.
| 2
Table of Contents
NATIXIS DIVERSIFIED INCOME FUND
Average Annual Total Returns — June 30, 20145
6 Months | 1 Year | 5 Years | Life of Class | |||||||||||||||||
Class A (Inception 11/17/05) | Class A/C | Class Y | ||||||||||||||||||
NAV | 9.66 | % | 13.14 | % | 15.21 | % | 7.34 | % | — | |||||||||||
With 4.50% Maximum Sales Charge | 4.69 | 8.09 | 14.15 | 6.77 | — | |||||||||||||||
Class C (Inception 11/17/05) | ||||||||||||||||||||
NAV | 9.30 | 12.24 | 14.36 | 6.53 | — | |||||||||||||||
With CDSC2 | 8.30 | 11.24 | 14.36 | 6.53 | — | |||||||||||||||
Class Y (Inception 12/3/12)1 | ||||||||||||||||||||
NAV | 9.48 | 13.01 | 15.20 | — | 10.82 | % | ||||||||||||||
Comparative Performance | ||||||||||||||||||||
Barclays U.S. Aggregate Bond Index3 | 3.93 | 4.37 | 4.85 | 5.07 | 1.09 | |||||||||||||||
Blended Index4 | 8.77 | 10.59 | 13.09 | 6.83 | 8.61 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Prior to the inception of Class Y shares (12/3/2012), performance is that of Class A shares and reflects the higher net expenses of that share class. |
2 | Class C share performance assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
3 | Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
4 | Blended Index is an unmanaged, blended index composed of the following weights: 40% Barclays U.S. Aggregate Bond Index, 25% MSCI US REIT Index, 20% Dow Jones U.S. Select Dividend™ Index, and 15% Barclays U.S. TIPS Index. The four indices composing the Blended Index measure, respectively, the performance of investment-grade fixed-income securities, equity REIT securities, dividend-yielding equity securities, and Treasury inflation-protected securities. The weightings of the indices that compose the Blended Index are rebalanced on a monthly basis to maintain the allocations as described above. These rebalancings will not necessarily correspond to the rebalancings of the fund’s investment portfolio, and the relative weightings of the asset classes in the fund will generally differ to some extent from the weightings in the Blended Index. |
5 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
3 |
Table of Contents
NATIXIS U.S. EQUITY OPPORTUNITIES FUND
(formerly Natixis U.S. Multi-Cap Equity Fund)
Managers | Symbols | |
Large Cap Value Segment | Class A NEFSX | |
Harris Associates L.P. | Class B NESBX | |
All Cap Growth Segment | Class C NECCX | |
Loomis, Sayles & Company, L.P. | Class Y NESYX |
Objective
Seeks long-term growth of capital.
Average Annual Total Returns — June 30, 20144
6 Months | 1 Year | 5 Years | 10 Years | |||||||||||||
Class A (Inception 7/7/94) | ||||||||||||||||
NAV | 7.71 | % | 28.71 | % | 20.72 | % | 9.51 | % | ||||||||
With 5.75% Maximum Sales Charge | 1.51 | 21.29 | 19.31 | 8.86 | ||||||||||||
Class B (Inception 7/7/94) | ||||||||||||||||
NAV | 7.32 | 27.74 | 19.83 | 8.69 | ||||||||||||
With CDSC1 | 2.32 | 22.74 | 19.63 | 8.69 | ||||||||||||
Class C (Inception 7/7/94) | ||||||||||||||||
NAV | 7.31 | 27.73 | 19.82 | 8.69 | ||||||||||||
With CDSC1 | 6.31 | 26.73 | 19.82 | 8.69 | ||||||||||||
Class Y (Inception 11/15/94) | ||||||||||||||||
NAV | 7.85 | 29.04 | 21.02 | 9.85 | ||||||||||||
Comparative Performance | ||||||||||||||||
S&P 500® Index2 | 7.14 | 24.61 | 18.83 | 7.78 | ||||||||||||
Russell 1000® Index3 | 7.27 | 25.35 | 19.25 | 8.19 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class B shares assumes a maximum 5.00% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. |
3 | The Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® represents approximately 92% of the U.S. market. The Russell 1000® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
| 4
Table of Contents
ADDITIONAL INFORMATION
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the 12-months ended June 30, 2014 is available from the Funds’ website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
5 |
Table of Contents
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table of each class of Fund shares shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your class.
The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,039.90 | $4.05 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | $4.01 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,034.90 | $7.82 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.11 | $7.75 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,041.30 | $2.78 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.07 | $2.76 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent half-year (181), divided by 365 (to reflect the half-year period). |
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NATIXIS DIVERSIFIED INCOME FUND | BEGINNING 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,096.60 | $5.51 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.54 | $5.31 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,093.00 | $9.39 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.82 | $9.05 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,094.80 | $4.26 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.73 | $4.11 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.06%, 1.81% and 0.82% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
NATIXIS U.S. EQUITY OPPORTUNITIES FUND** | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,077.10 | $6.70 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.35 | $6.51 | |||||||||
Class B | ||||||||||||
Actual | $1,000.00 | $1,073.20 | $10.54 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,073.10 | $10.54 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,014.63 | $10.24 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | $1,078.50 | $5.41 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.59 | $5.26 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.30%, 2.05%, 2.05% and 1.05% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
** | Formerly Natixis U.S. Multi-Cap Equity Fund. |
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BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory and sub-advisory agreements (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.
In connection with these meetings, the Trustees receive materials that the Funds’ investment advisers and sub-advisers (collectively, the “Advisers”) believe to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups and categories of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory and sub-advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Advisers, if any, and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Advisers and (v) information obtained through the completion by the Advisers of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) each Adviser’s financial results and/or financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Advisers’ respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Advisers and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Advisers.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category,
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performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Advisers make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreements at its meeting held in June 2014. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Advisers and their affiliates to the Funds and the resources dedicated to the Funds by the Advisers and their affiliates.
The Trustees considered not only the advisory services provided by the Advisers to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”) with respect to sub-advised Funds. They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds.
For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.
Investment performance of the Funds and the Advisers. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups and categories of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis. With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement(s) relating to that Fund. In the case of the McDonnell Intermediate Municipal Bond Fund, the performance of which lagged that of a relevant peer group median and category median for all periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors
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included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Advisers that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund had a limited operating history.
The Trustees also considered each Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Advisers to Trustee concerns about performance and the willingness of the Advisers to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Advisers supported the renewal of the Agreements.
The costs of the services to be provided and profits to be realized by the Advisers and their affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory and sub-advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Advisers to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory and sub-advisory fees, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Advisers to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Funds had expense caps in place, and they considered the amounts waived or reimbursed, if any, by the Adviser under these caps. The Trustees noted that the Natixis U.S. Equity Opportunities Fund had an advisory fee rate that was above the median of a peer group of funds. The Trustees considered the factors that management believed justified the relatively higher advisory fee rate, including the complexity of managing a Fund with two investment disciplines, and noted that the Fund had an expense cap in place that had the effect of reducing the advisory fee.
The Trustees also considered the compensation directly or indirectly received by the Advisers and their affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Advisers’ and their affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser
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compensation or profitability were issues, the performance of the relevant Funds, the expense levels of the Funds and whether the Advisers had implemented breakpoints and/or expense caps with respect to such Funds.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fees charged to each of the Funds were fair and reasonable, and that the costs of these services generally and the related profitability of the Advisers and their affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Advisers and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that the Natixis Diversified Income Fund had breakpoints in its advisory fees and that each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Advisers and their affiliates of their relationships with the Funds, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of each Fund. |
· | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Advisers. They also considered the compliance-related resources the Advisers and their affiliates were providing to the Funds. |
· | The nature, quality, cost and extent of administrative and shareholder services performed by the Advisers and their affiliates, both under the Agreements and under separate agreements covering administrative services. |
· | So-called “fallout benefits” to the Advisers, such as the engagement of affiliates of the Advisers to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Advisers by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated |
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with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2015.
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Portfolio of Investments – as of June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes — 93.8% of Net Assets | ||||||||
Municipals — 93.8% | ||||||||
Arizona — 1.3% | ||||||||
$ | 300,000 | Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024 | $ | 346,749 | ||||
|
| |||||||
California — 7.3% | ||||||||
250,000 | Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024 | 294,512 | ||||||
380,000 | Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024 | 457,832 | ||||||
700,000 | Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035 | 782,194 | ||||||
400,000 | Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025(b) | 461,840 | ||||||
|
| |||||||
1,996,378 | ||||||||
|
| |||||||
Colorado — 8.5% | ||||||||
260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033(b) | 294,234 | ||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028(b) | 442,152 | ||||||
400,000 | Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026 | 470,776 | ||||||
500,000 | Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028 | 608,565 | ||||||
450,000 | University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019 | 528,728 | ||||||
|
| |||||||
2,344,455 | ||||||||
|
| |||||||
Connecticut — 3.1% | ||||||||
375,000 | Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024 | 444,454 | ||||||
375,000 | State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016 | 402,536 | ||||||
|
| |||||||
846,990 | ||||||||
|
| |||||||
Florida — 10.1% | ||||||||
500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 | 560,410 | ||||||
250,000 | Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015 | 261,105 | ||||||
400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 | 462,328 | ||||||
500,000 | JEA Water & Sewer System Revenue, Series A, 5.000%, 10/01/2016(c) | 550,980 | ||||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 | 473,648 | ||||||
400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 | 482,804 | ||||||
|
| |||||||
2,791,275 | ||||||||
|
|
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Georgia — 3.2% | ||||||||
$ | 500,000 | Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021 | $ | 589,595 | ||||
250,000 | Savannah Hospital Authority Revenue, St. Joseph’s/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 | 288,297 | ||||||
|
| |||||||
877,892 | ||||||||
|
| |||||||
Hawaii — 1.6% | ||||||||
400,000 | Honolulu City and County, GO, Series B, 5.000%, 8/01/2016 | 437,860 | ||||||
|
| |||||||
Illinois — 5.2% | ||||||||
370,000 | Illinois Finance Authority Revenue, Children’s Memorial Hospital, Series B, 5.500%, 8/15/2028(b) | 406,460 | ||||||
500,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020 | 578,220 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 | 116,649 | ||||||
320,000 | Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017 | 335,350 | ||||||
|
| |||||||
1,436,679 | ||||||||
|
| |||||||
Kentucky — 1.2% | ||||||||
275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Mary’s Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037 | 326,332 | ||||||
|
| |||||||
Massachusetts — 0.6% | ||||||||
150,000 | Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018 | 165,591 | ||||||
|
| |||||||
Michigan — 2.1% | ||||||||
545,000 | State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018 | 579,896 | ||||||
|
| |||||||
Minnesota — 3.1% | ||||||||
250,000 | Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017 | 276,865 | ||||||
300,000 | Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017 | 329,826 | ||||||
200,000 | Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023 | 232,402 | ||||||
|
| |||||||
839,093 | ||||||||
|
| |||||||
Missouri — 2.0% | ||||||||
500,000 | Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016 | 536,570 | ||||||
|
| |||||||
Nebraska — 2.1% | ||||||||
500,000 | Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028(c) | 566,310 | ||||||
|
| |||||||
New Jersey — 9.0% | ||||||||
400,000 | New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030 | 413,144 | ||||||
265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023 | 309,237 |
See accompanying notes to financial statements.
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Portfolio of Investments – as of June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
New Jersey — continued | ||||||||
$ | 580,000 | New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM Insured), 5.000%, 6/15/2019 | $ | 606,581 | ||||
500,000 | New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032 | 562,345 | ||||||
500,000 | Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024 | 595,400 | ||||||
|
| |||||||
2,486,707 | ||||||||
|
| |||||||
New York — 1.4% | ||||||||
350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 | 388,759 | ||||||
|
| |||||||
Ohio — 8.0% | ||||||||
400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 | 456,592 | ||||||
500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023(b) | 613,215 | ||||||
500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 | 578,190 | ||||||
500,000 | Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030 | 552,305 | ||||||
|
| |||||||
2,200,302 | ||||||||
|
| |||||||
Pennsylvania — 4.2% | ||||||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 | 383,465 | ||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 | 296,679 | ||||||
450,000 | Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016 | 487,044 | ||||||
|
| |||||||
1,167,188 | ||||||||
|
| |||||||
Rhode Island — 2.2% | ||||||||
500,000 | Rhode Island Clean Water Finance Agency, Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024 | 605,805 | ||||||
|
| |||||||
South Dakota — 1.8% | ||||||||
465,000 | Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036 | 494,081 | ||||||
|
| |||||||
Texas — 8.1% | ||||||||
250,000 | Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021 | 292,010 | ||||||
400,000 | Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016 | 429,484 | ||||||
500,000 | Harris County Health Facilities Development Authority Revenue, Memorial Hermann Healthcare System, Prerefunded 12/01/2018@100, Series B, 7.125%, 12/01/2031 | 630,835 | ||||||
350,000 | State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022 | 415,667 | ||||||
400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 | 474,084 | ||||||
|
| |||||||
2,242,080 | ||||||||
|
| |||||||
Utah — 1.0% | ||||||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 | 287,608 | ||||||
|
|
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund – (continued)
Principal Amount | Description | Value (†) | ||||||
Washington — 6.7% | ||||||||
$ | 500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 | $ | 547,745 | ||||
400,000 | Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020 | 458,648 | ||||||
500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 | 579,130 | ||||||
250,000 | Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014 | 253,985 | ||||||
|
| |||||||
1,839,508 | ||||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $25,465,164) | 25,804,108 | |||||||
|
| |||||||
Short-Term Investments — 9.3% | ||||||||
2,559,007 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $2,559,008 on 7/01/2014 collateralized by $2,615,000 U.S. Treasury Note, 1.500% due 12/31/2018 valued at $2,615,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,559,007) | 2,559,007 | ||||||
|
| |||||||
Total Investments — 103.1% (Identified Cost $28,024,171)(a) | 28,363,115 | |||||||
Other assets less liabilities — (3.1)% | (853,138 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 27,509,977 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $28,024,171 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 | $ | 435,416 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (96,472 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 338,944 | ||||||
|
| |||||||
(b) | All of this security has been designated to cover the Fund’s obligations under delayed delivery securities. | |||||||
(c) | Delayed delivery. See Note 2 of Notes to Financial Statements. | |||||||
AGM | Assured Guaranty Municipal Corporation | |||||||
AMT | Alternative Minimum Tax | |||||||
GO | General Obligation | |||||||
NATL-RE | National Public Finance Guarantee Corporation |
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund – (continued)
Holdings Summary at June 30, 2014 (Unaudited)
Medical | 17.3 | % | ||
Higher Education | 15.5 | |||
General | 12.0 | |||
General Obligation | 10.7 | |||
Water | 9.7 | |||
Transportation | 8.8 | |||
School District | 6.6 | |||
Power | 5.9 | |||
Utilities | 3.1 | |||
Airport | 2.7 | |||
Education | 1.5 | |||
Short-Term Investments | 9.3 | |||
|
| |||
Total Investments | 103.1 | |||
Other assets less liabilities | (3.1 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund
Shares | Description | Value (†) | ||||||
Common Stocks — 50.6% of Net Assets | ||||||||
Aerospace & Defense — 1.9% | ||||||||
4,697 | General Dynamics Corp. | $ | 547,435 | |||||
3,883 | Honeywell International, Inc. | 360,925 | ||||||
7,280 | Lockheed Martin Corp. | 1,170,114 | ||||||
4,277 | Northrop Grumman Corp. | 511,658 | ||||||
|
| |||||||
2,590,132 | ||||||||
|
| |||||||
Automobiles — 0.2% | ||||||||
7,408 | General Motors Co. | 268,910 | ||||||
|
| |||||||
Banks — 0.9% | ||||||||
5,888 | Bank of Hawaii Corp. | 345,567 | ||||||
4,985 | BB&T Corp. | 196,558 | ||||||
7,301 | F.N.B. Corp. | 93,599 | ||||||
5,530 | First Niagara Financial Group, Inc. | 48,332 | ||||||
5,413 | FirstMerit Corp. | 106,907 | ||||||
6,565 | Trustmark Corp. | 162,090 | ||||||
7,676 | United Bankshares, Inc. | 248,165 | ||||||
8,354 | Valley National Bancorp | 82,788 | ||||||
|
| |||||||
1,284,006 | ||||||||
|
| |||||||
Beverages — 0.2% | ||||||||
5,271 | Coca-Cola Co. (The) | 223,280 | ||||||
|
| |||||||
Biotechnology — 0.1% | ||||||||
13,765 | PDL BioPharma, Inc. | 133,245 | ||||||
|
| |||||||
Capital Markets — 0.2% | ||||||||
7,324 | Federated Investors, Inc., Class B | 226,458 | ||||||
|
| |||||||
Chemicals — 0.3% | ||||||||
5,415 | Olin Corp. | 145,772 | ||||||
4,582 | RPM International, Inc. | 211,597 | ||||||
|
| |||||||
357,369 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.8% | ||||||||
3,856 | Deluxe Corp. | 225,885 | ||||||
6,418 | Pitney Bowes, Inc. | 177,265 | ||||||
10,313 | R.R. Donnelley & Sons Co. | 174,908 | ||||||
5,793 | Republic Services, Inc. | 219,960 | ||||||
6,289 | Waste Management, Inc. | 281,307 | ||||||
|
| |||||||
1,079,325 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% | ||||||||
4,532 | Avery Dennison Corp. | 232,265 | ||||||
5,380 | MeadWestvaco Corp. | 238,119 | ||||||
5,786 | Sonoco Products Co. | 254,179 | ||||||
|
| |||||||
724,563 | ||||||||
|
| |||||||
Distributors — 0.3% | ||||||||
4,958 | Genuine Parts Co. | 435,312 | ||||||
|
|
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Diversified Telecommunication Services — 0.6% | ||||||||
9,893 | AT&T, Inc. | $ | 349,817 | |||||
13,232 | CenturyLink, Inc. | 478,998 | ||||||
|
| |||||||
828,815 | ||||||||
|
| |||||||
Electric Utilities — 4.1% | ||||||||
8,217 | American Electric Power Co., Inc. | 458,262 | ||||||
5,998 | Cleco Corp. | 353,582 | ||||||
5,567 | Edison International | 323,499 | ||||||
10,264 | Entergy Corp. | 842,572 | ||||||
8,250 | Exelon Corp. | 300,960 | ||||||
12,881 | FirstEnergy Corp. | 447,228 | ||||||
6,351 | IDACORP, Inc. | 367,278 | ||||||
6,026 | NextEra Energy, Inc. | 617,545 | ||||||
6,693 | Northeast Utilities | 316,378 | ||||||
4,721 | OGE Energy Corp. | 184,497 | ||||||
8,130 | Pinnacle West Capital Corp. | 470,239 | ||||||
9,472 | PPL Corp. | 336,540 | ||||||
7,144 | UNS Energy Corp. | 431,569 | ||||||
7,623 | Xcel Energy, Inc. | 245,689 | ||||||
|
| |||||||
5,695,838 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% | ||||||||
4,417 | Eaton Corp. PLC | 340,904 | ||||||
4,833 | Emerson Electric Co. | 320,718 | ||||||
|
| |||||||
661,622 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.4% | ||||||||
9,756 | Ensco PLC, Class A | 542,141 | ||||||
|
| |||||||
Food & Staples Retailing — 0.2% | ||||||||
5,928 | Sysco Corp. | 222,004 | ||||||
|
| |||||||
Food Products — 0.4% | ||||||||
5,727 | Campbell Soup Co. | 262,354 | ||||||
5,647 | General Mills, Inc. | 296,693 | ||||||
|
| |||||||
559,047 | ||||||||
|
| |||||||
Gas Utilities — 0.7% | ||||||||
7,832 | AGL Resources, Inc. | 430,995 | ||||||
7,185 | New Jersey Resources Corp. | 410,694 | ||||||
6,047 | Questar Corp. | 149,966 | ||||||
|
| |||||||
991,655 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% | ||||||||
8,041 | Darden Restaurants, Inc. | 372,057 | ||||||
13,700 | Hilton Worldwide Holdings, Inc.(b) | 319,210 | ||||||
6,398 | McDonald’s Corp. | 644,535 | ||||||
|
| |||||||
1,335,802 | ||||||||
|
| |||||||
Household Durables — 0.8% | ||||||||
7,019 | Garmin Ltd. | 427,457 | ||||||
7,793 | Leggett & Platt, Inc. | 267,144 | ||||||
4,949 | Tupperware Brands Corp. | 414,231 | ||||||
|
| |||||||
1,108,832 | ||||||||
|
|
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Household Products — 0.8% | ||||||||
5,654 | Clorox Co. (The) | $ | 516,776 | |||||
5,784 | Kimberly-Clark Corp. | 643,296 | ||||||
|
| |||||||
1,160,072 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
5,403 | General Electric Co. | 141,991 | ||||||
|
| |||||||
Insurance — 0.8% | ||||||||
5,726 | Arthur J. Gallagher & Co. | 266,832 | ||||||
6,144 | Cincinnati Financial Corp. | 295,158 | ||||||
9,693 | Mercury General Corp. | 455,959 | ||||||
8,225 | Old Republic International Corp. | 136,041 | ||||||
|
| |||||||
1,153,990 | ||||||||
|
| |||||||
Leisure Products — 0.2% | ||||||||
5,962 | Mattel, Inc. | 232,339 | ||||||
|
| |||||||
Media — 0.4% | ||||||||
5,774 | Cinemark Holdings, Inc. | 204,169 | ||||||
6,231 | Meredith Corp. | 301,331 | ||||||
|
| |||||||
505,500 | ||||||||
|
| |||||||
Metals & Mining — 0.1% | ||||||||
4,621 | Cliffs Natural Resources, Inc. | 69,546 | ||||||
4,563 | Commercial Metals Co. | 78,986 | ||||||
|
| |||||||
148,532 | ||||||||
|
| |||||||
Multi-Utilities — 4.1% | ||||||||
6,944 | Alliant Energy Corp. | 422,612 | ||||||
8,553 | Avista Corp. | 286,697 | ||||||
5,704 | Black Hills Corp. | 350,168 | ||||||
6,896 | CenterPoint Energy, Inc. | 176,124 | ||||||
7,325 | CMS Energy Corp. | 228,174 | ||||||
6,691 | Dominion Resources, Inc. | 478,540 | ||||||
7,467 | DTE Energy Co. | 581,455 | ||||||
9,676 | Integrys Energy Group, Inc. | 688,254 | ||||||
6,055 | NiSource, Inc. | 238,204 | ||||||
8,503 | PG&E Corp. | 408,314 | ||||||
8,427 | Public Service Enterprise Group, Inc. | 343,737 | ||||||
8,254 | SCANA Corp. | 444,148 | ||||||
5,458 | Sempra Energy | 571,507 | ||||||
9,868 | TECO Energy, Inc. | 182,361 | ||||||
7,034 | Wisconsin Energy Corp. | 330,035 | ||||||
|
| |||||||
5,730,330 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.7% | ||||||||
6,163 | Chevron Corp. | 804,580 | ||||||
7,512 | ConocoPhillips | 644,004 | ||||||
13,109 | HollyFrontier Corp. | 572,732 | ||||||
4,863 | ONEOK, Inc. | 331,073 | ||||||
|
| |||||||
2,352,389 | ||||||||
|
|
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Pharmaceuticals — 0.9% | ||||||||
5,199 | Bristol-Myers Squibb Co. | $ | 252,204 | |||||
7,381 | Eli Lilly & Co. | 458,877 | ||||||
6,553 | Merck & Co., Inc. | 379,091 | ||||||
5,908 | Pfizer, Inc. | 175,349 | ||||||
|
| |||||||
1,265,521 | ||||||||
|
| |||||||
Real Estate — 0.1% | ||||||||
11,100 | American Homes 4 Rent, Class A | 197,136 | ||||||
|
| |||||||
Real Estate Management & Development — 0.6% | ||||||||
6,800 | Alexander & Baldwin, Inc. | 281,860 | ||||||
28,300 | Forest City Enterprises, Inc., Class A(b) | 562,321 | ||||||
�� |
| |||||||
844,181 | ||||||||
|
| |||||||
REITs – Apartments — 3.9% | ||||||||
11,300 | American Campus Communities, Inc. | 432,112 | ||||||
11,300 | AvalonBay Communities, Inc. | 1,606,747 | ||||||
10,000 | Camden Property Trust | 711,500 | ||||||
37,100 | Equity Residential | 2,337,300 | ||||||
1,920 | Essex Property Trust, Inc. | 355,027 | ||||||
|
| |||||||
5,442,686 | ||||||||
|
| |||||||
REITs – Diversified — 2.3% | ||||||||
12,600 | American Assets Trust, Inc. | 435,330 | ||||||
8,100 | Armada Hoffler Properties, Inc. | 78,408 | ||||||
20,900 | DuPont Fabros Technology, Inc. | 563,464 | ||||||
10,100 | EPR Properties | 564,287 | ||||||
17,700 | Liberty Property Trust | 671,361 | ||||||
7,900 | Vornado Realty Trust | 843,167 | ||||||
|
| |||||||
3,156,017 | ||||||||
|
| |||||||
REITs – Health Care — 2.8% | ||||||||
2,200 | Aviv REIT, Inc. | 61,974 | ||||||
34,500 | HCP, Inc. | 1,427,610 | ||||||
19,100 | Health Care REIT, Inc. | 1,196,997 | ||||||
19,000 | Ventas, Inc. | 1,217,900 | ||||||
|
| |||||||
3,904,481 | ||||||||
|
| |||||||
REITs – Hotels — 1.5% | ||||||||
69,000 | Host Hotels & Resorts, Inc. | 1,518,690 | ||||||
19,300 | RLJ Lodging Trust | 557,577 | ||||||
|
| |||||||
2,076,267 | ||||||||
|
| |||||||
REITs – Manufactured Homes — 0.4% | ||||||||
12,600 | Equity Lifestyle Properties, Inc. | 556,416 | ||||||
|
| |||||||
REITs – Office Property — 3.9% | ||||||||
8,500 | Alexandria Real Estate Equities, Inc. | 659,940 | ||||||
8,000 | American Realty Capital Properties, Inc. | 100,240 | ||||||
27,000 | BioMed Realty Trust, Inc. | 589,410 | ||||||
15,400 | Boston Properties, Inc. | 1,819,972 | ||||||
14,000 | Douglas Emmett, Inc. | 395,080 |
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Shares | Description | Value (†) | ||||||
REITs – Office Property — continued | ||||||||
22,800 | Empire State Realty Trust, Inc., Class A | $ | 376,200 | |||||
1,446 | First Potomac Realty Trust | 18,971 | ||||||
14,200 | Gramercy Property Trust, Inc. | 85,910 | ||||||
19,500 | Kilroy Realty Corp. | 1,214,460 | ||||||
10,500 | Piedmont Office Realty Trust, Inc., Class A | 198,870 | ||||||
|
| |||||||
5,459,053 | ||||||||
|
| |||||||
REITs – Regional Malls — 3.9% | ||||||||
11,900 | Macerich Co. (The) | 794,325 | ||||||
23,800 | Simon Property Group, Inc. | 3,957,464 | ||||||
8,400 | Taubman Centers, Inc. | 636,804 | ||||||
|
| |||||||
5,388,593 | ||||||||
|
| |||||||
REITs – Shopping Centers — 2.4% | ||||||||
14,300 | Acadia Realty Trust | 401,687 | ||||||
37,200 | DDR Corp. | 655,836 | ||||||
8,200 | Federal Realty Investment Trust | 991,544 | ||||||
16,700 | Ramco-Gershenson Properties Trust | 277,554 | ||||||
10,700 | Regency Centers Corp. | 595,776 | ||||||
21,000 | Retail Opportunity Investments Corp. | 330,330 | ||||||
6,900 | Washington Prime Group, Inc.(b) | 129,306 | ||||||
|
| |||||||
3,382,033 | ||||||||
|
| |||||||
REITs – Single Tenant — 0.3% | ||||||||
10,200 | National Retail Properties, Inc. | 379,338 | ||||||
|
| |||||||
REITs – Storage — 2.0% | ||||||||
16,000 | CubeSmart | 293,120 | ||||||
15,600 | Extra Space Storage, Inc. | 830,700 | ||||||
10,000 | Public Storage | 1,713,500 | ||||||
|
| |||||||
2,837,320 | ||||||||
|
| |||||||
REITs – Warehouse/Industrials — 1.3% | ||||||||
43,000 | ProLogis, Inc. | 1,766,870 | ||||||
6,300 | Rexford Industrial Realty, Inc. | 89,712 | ||||||
|
| |||||||
1,856,582 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||
6,910 | Intel Corp. | 213,519 | ||||||
|
| |||||||
Specialty Retail — 0.0% | ||||||||
5,589 | Staples, Inc. | 60,585 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.3% | ||||||||
6,471 | Seagate Technology PLC | 367,682 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||
11,709 | New York Community Bancorp, Inc. | 187,110 | ||||||
8,410 | People’s United Financial, Inc. | 127,580 | ||||||
|
| |||||||
314,690 | ||||||||
|
|
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Tobacco — 1.4% | ||||||||
9,587 | Altria Group, Inc. | $ | 402,079 | |||||
8,183 | Lorillard, Inc. | 498,917 | ||||||
8,233 | Philip Morris International, Inc. | 694,124 | ||||||
7,508 | Universal Corp. | 415,568 | ||||||
|
| |||||||
2,010,688 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.0% | ||||||||
176 | United Rentals, Inc.(b) | 18,432 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $59,469,692) | 70,424,719 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Bonds and Notes — 44.7% | ||||||||
Non-Convertible Bonds — 42.0% | ||||||||
ABS Car Loan — 0.8% | ||||||||
$ | 35,000 | First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A | 35,279 | |||||
73,755 | Ford Credit Auto Owner Trust, Series 2011-B, Class A4, 1.350%, 12/15/2016 | 74,091 | ||||||
160,000 | Ford Credit Auto Owner Trust, Series 2013-B, Class A3, 0.570%, 10/15/2017 | 160,213 | ||||||
310,000 | Honda Auto Receivables Owner Trust, Series 2013-2, Class A3, 0.530%, 2/16/2017 | 310,367 | ||||||
51,279 | Nissan Auto Receivables Owner Trust, Series 2011-A, Class A4, 1.940%, 9/15/2017 | 51,706 | ||||||
48,000 | Nissan Auto Receivables Owner Trust, Series 2013-A, Class A3, 0.500%, 5/15/2017 | 48,038 | ||||||
325,000 | Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018 | 324,679 | ||||||
30,000 | SNAAC Auto Receivables Trust, Series 2014-1A, Class D, 2.880%, 1/15/2020, 144A | 30,134 | ||||||
94,000 | World Omni Auto Receivables Trust, Series 2013-A, Class A3, 0.640%, 4/16/2018 | 94,134 | ||||||
|
| |||||||
1,128,641 | ||||||||
|
| |||||||
ABS Credit Card — 0.6% | ||||||||
300,000 | American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.392%, 5/15/2020(c) | 299,403 | ||||||
100,000 | Chase Issuance Trust, Series 2012-A5, Class A5, 0.590%, 8/15/2017 | 100,149 | ||||||
100,000 | Chase Issuance Trust, Series 2012-A8, Class A8, 0.540%, 10/16/2017 | 100,081 | ||||||
298,000 | Citibank Credit Card Issuance Trust, Series 2013-A2, Class A2, 0.434%, 5/26/2020(c) | 298,091 | ||||||
|
| |||||||
797,724 | ||||||||
|
| |||||||
ABS Home Equity — 2.1% | ||||||||
53,821 | Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033 | 56,513 | ||||||
57,720 | Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033 | 59,404 | ||||||
94,670 | Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033 | 97,148 |
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 135,711 | Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.578%, 11/20/2034(c) | $ | 129,727 | ||||
33,671 | Banc of America Funding Trust, Series 2005-4, Class 1A3, 5.500%, 8/25/2035 | 34,646 | ||||||
73,589 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 | 75,516 | ||||||
56,278 | Banc of America Mortgage Securities, Inc., Series 2004-8, Class 1A19, 5.500%, 10/25/2034 | 56,724 | ||||||
96,852 | Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A2, 2.680%, 2/25/2034(c) | 97,080 | ||||||
33,280 | Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.753%, 2/25/2035(c) | 33,454 | ||||||
12,829 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.443%, 7/25/2034(c) | 12,604 | ||||||
4,171 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.710%, 1/25/2035(c) | 4,137 | ||||||
63,820 | Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.590%, 2/25/2037(c) | 63,403 | ||||||
110,233 | Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033 | 112,383 | ||||||
177,924 | Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034 | 175,565 | ||||||
47,508 | Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034 | 49,610 | ||||||
25,000 | Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035 | 24,515 | ||||||
57,421 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034 | 59,947 | ||||||
25,621 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.450%, 9/20/2034(c) | 25,334 | ||||||
38,499 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.422%, 4/25/2035(c) | 31,278 | ||||||
14,493 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028 | 14,711 | ||||||
13,081 | GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033 | 13,503 | ||||||
71,087 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.012%, 7/19/2035(c) | 66,607 | ||||||
69,207 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.829%, 12/25/2034(c) | 62,543 | ||||||
97,481 | GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.778%, 12/25/2034(c) | 97,697 | ||||||
200,000 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(c) | 199,826 | ||||||
117,940 | HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.587%, 5/19/2034(c) | 117,975 | ||||||
11,290 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.792%, 7/25/2045(c) | 10,418 | ||||||
45,233 | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1, 2.663%, 7/25/2035(c) | 45,298 | ||||||
48,715 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.312%, 1/25/2047(c) | 35,191 | ||||||
48,806 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033 | 50,607 | ||||||
49,513 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034 | 52,264 | ||||||
73,446 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 74,670 |
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 53,086 | New York Mortgage Trust, Series 2006-1, Class 2A2, 2.696%, 5/25/2036(c) | $ | 48,319 | ||||
72,128 | Residential Accredit Loans, Inc., Series 2003-QS17, Class CB5, 5.500%, 9/25/2033 | 75,358 | ||||||
40,907 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.635%, 9/25/2034(c) | 40,787 | ||||||
128,610 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034 | 135,480 | ||||||
28,747 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-21XS, Class 1A5, 5.000%, 12/25/2034 | 29,243 | ||||||
34,523 | WaMu Mortgage Pass Through Certificates, Series 2004-AR1, Class A, 2.407%, 3/25/2034(c) | 34,714 | ||||||
110,242 | WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.397%, 1/25/2035(c) | 110,734 | ||||||
79,609 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034 | 83,956 | ||||||
22,631 | WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.883%, 4/25/2047(c) | 20,532 | ||||||
53,449 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-M, Class A1, 2.619%, 12/25/2033(c) | 53,888 | ||||||
38,166 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-N, Class 1A2, 2.483%, 12/25/2033(c) | 38,281 | ||||||
86,264 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.636%, 2/25/2034(c) | 87,857 | ||||||
49,003 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035 | 50,509 | ||||||
42,918 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(c) | 43,448 | ||||||
|
| |||||||
2,893,404 | ||||||||
|
| |||||||
ABS Other — 0.5% | ||||||||
120,000 | OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A | 119,998 | ||||||
280,000 | Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A | 288,305 | ||||||
170,000 | Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A | 170,300 | ||||||
100,000 | Springleaf Funding Trust, Series 2014-AA, Class B, 3.450%, 12/15/2022, 144A | 100,149 | ||||||
|
| |||||||
678,752 | ||||||||
|
| |||||||
Aerospace & Defense — 0.4% | ||||||||
200,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A | 192,500 | ||||||
300,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A | 318,750 | ||||||
|
| |||||||
511,250 | ||||||||
|
| |||||||
Airlines — 1.5% | ||||||||
48,808 | Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A | 49,418 | ||||||
200,000 | American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A | 208,508 | ||||||
179,212 | British Airways Pass Through Trust, Series 2013-1, Class B, 5.625%, 12/20/2021, 144A | 188,773 |
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Airlines — continued | ||||||||
$ | 19,022 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 | $ | 19,878 | ||||
80,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 | 85,600 | ||||||
35,766 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 | 41,152 | ||||||
12,641 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 | 14,158 | ||||||
730,300 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d) | 806,981 | ||||||
195,000 | United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027 | 200,517 | ||||||
120,523 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | 135,890 | ||||||
106,562 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 | 121,747 | ||||||
143,107 | US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015 | 152,051 | ||||||
|
| |||||||
2,024,673 | ||||||||
|
| |||||||
Automotive — 0.0% | ||||||||
40,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 42,300 | ||||||
25,000 | Lear Corp., 5.375%, 3/15/2024 | 25,687 | ||||||
|
| |||||||
67,987 | ||||||||
|
| |||||||
Banking — 3.0% | ||||||||
64,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 81,760 | ||||||
600,000 | Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL) | 259,335 | ||||||
500,000 | Bank of Montreal, 1.950%, 1/30/2018 | 512,864 | ||||||
500,000 | Bank of Nova Scotia, 1.950%, 1/30/2017 | 512,877 | ||||||
355,000 | Citigroup, Inc., 5.500%, 9/13/2025 | 395,991 | ||||||
105,000 | Citigroup, Inc., 5.875%, 2/22/2033 | 117,551 | ||||||
25,000 | Citigroup, Inc., 6.000%, 10/31/2033 | 28,443 | ||||||
20,000 | Citigroup, Inc., 6.125%, 8/25/2036 | 22,904 | ||||||
250,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 4.625%, 12/01/2023 | 264,236 | ||||||
100,000 | HBOS PLC, 6.000%, 11/01/2033, 144A | 111,280 | ||||||
200,000 | ING Bank NV, 5.800%, 9/25/2023, 144A | 225,300 | ||||||
400,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 | 461,455 | ||||||
100,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 | 115,492 | ||||||
65,000 | Morgan Stanley, 5.000%, 11/24/2025 | 69,327 | ||||||
175,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) | 183,096 | ||||||
100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 100,369 | ||||||
720,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023(d) | 730,377 | ||||||
40,000 | Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e) | 53,485 | ||||||
|
| |||||||
4,246,142 | ||||||||
|
| |||||||
Brokerage — 0.5% | ||||||||
140,000 | Jefferies Group LLC, 5.125%, 1/20/2023 | 150,089 | ||||||
45,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 47,091 | ||||||
20,000 | Jefferies Group LLC, 6.450%, 6/08/2027 | 22,694 | ||||||
295,000 | Jefferies Group LLC, 6.500%, 1/20/2043 | 325,408 | ||||||
95,000 | Jefferies Group LLC, 6.875%, 4/15/2021 | 111,068 | ||||||
|
| |||||||
656,350 | ||||||||
|
|
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Building Materials — 0.4% | ||||||||
$ | 25,000 | HD Supply, Inc., 7.500%, 7/15/2020 | $ | 27,312 | ||||
170,000 | Masco Corp., 5.850%, 3/15/2017 | 187,425 | ||||||
40,000 | Masco Corp., 6.500%, 8/15/2032 | 42,300 | ||||||
15,000 | Masco Corp., 7.750%, 8/01/2029 | 17,670 | ||||||
200,000 | Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A | 197,500 | ||||||
300,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) | 122,200 | ||||||
|
| |||||||
594,407 | ||||||||
|
| |||||||
Chemicals — 0.1% | ||||||||
200,000 | Hercules, Inc., 6.500%, 6/30/2029 | 181,000 | ||||||
25,000 | Methanex Corp., 5.250%, 3/01/2022 | 27,640 | ||||||
|
| |||||||
208,640 | ||||||||
|
| |||||||
Collateralized Mortgage Obligations — 0.0% | ||||||||
22,728 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.615%, 1/25/2036(c) | 22,494 | ||||||
|
| |||||||
Consumer Products — 0.1% | ||||||||
160,000 | Avon Products, Inc., 5.000%, 3/15/2023 | 161,947 | ||||||
|
| |||||||
Diversified Manufacturing — 0.2% | ||||||||
200,000 | Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A | 211,250 | ||||||
|
| |||||||
Electric — 0.8% | ||||||||
500,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | 528,800 | ||||||
115,000,000 | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) | 66,450 | ||||||
88,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP) | 49,648 | ||||||
100,000 | Enel Finance International NV, 5.125%, 10/07/2019, 144A | 112,587 | ||||||
300,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 341,813 | ||||||
|
| |||||||
1,099,298 | ||||||||
|
| |||||||
Entertainment — 0.0% | ||||||||
35,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027 | 39,900 | ||||||
|
| |||||||
Finance Companies — 2.2% | ||||||||
165,000 | Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A | 174,031 | ||||||
110,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A | 123,742 | ||||||
25,000 | CIT Group, Inc., 5.000%, 8/15/2022 | 25,875 | ||||||
85,000 | CIT Group, Inc., 5.000%, 8/01/2023 | 87,019 | ||||||
400,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(e) | 472,080 | ||||||
80,000 | International Lease Finance Corp., 5.875%, 4/01/2019 | 88,000 | ||||||
80,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 89,600 | ||||||
35,000 | International Lease Finance Corp., 8.250%, 12/15/2020 | 43,225 | ||||||
105,000 | International Lease Finance Corp., 8.625%, 1/15/2022 | 131,775 | ||||||
115,000 | iStar Financial, Inc., 4.000%, 11/01/2017 | 115,431 | ||||||
95,000 | iStar Financial, Inc., 5.000%, 7/01/2019 | 95,000 | ||||||
140,000 | iStar Financial, Inc., 7.125%, 2/15/2018 | 155,400 | ||||||
70,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017 | 75,425 | ||||||
30,000 | Navient Corp., 4.875%, 6/17/2019 | 30,918 |
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Finance Companies — continued | ||||||||
$ | 412,000 | Navient Corp., 5.500%, 1/25/2023 | $ | 408,395 | ||||
5,000 | Navient Corp., MTN, 5.500%, 1/15/2019 | 5,312 | ||||||
180,000 | Navient Corp., MTN, 7.250%, 1/25/2022 | 199,125 | ||||||
65,000 | Navient Corp., Series A, MTN, 5.000%, 6/15/2018 | 65,000 | ||||||
80,000 | Navient Corp., Series A, MTN, 8.450%, 6/15/2018 | 94,600 | ||||||
280,000 | Springleaf Finance Corp., 7.750%, 10/01/2021 | 315,000 | ||||||
110,000 | Springleaf Finance Corp., 8.250%, 10/01/2023 | 125,400 | ||||||
115,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 127,650 | ||||||
|
| |||||||
3,048,003 | ||||||||
|
| |||||||
Financial Other — 0.3% | ||||||||
200,000 | Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A | 190,250 | ||||||
105,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019 | 108,150 | ||||||
50,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022 | 52,375 | ||||||
|
| |||||||
350,775 | ||||||||
|
| |||||||
Food & Beverage — 0.2% | ||||||||
280,000 | BRF S.A., 3.950%, 5/22/2023, 144A | 264,600 | ||||||
|
| |||||||
Government Owned – No Guarantee — 0.9% | ||||||||
59,000 | Ecopetrol S.A., 5.875%, 9/18/2023 | 66,227 | ||||||
85,000 | Ecopetrol S.A., 5.875%, 5/28/2045 | 87,914 | ||||||
600,000 | Pertamina Persero PT, 4.300%, 5/20/2023, 144A(d) | 566,250 | ||||||
315,000 | Petrobras Global Finance BV, 6.250%, 3/17/2024 | 335,286 | ||||||
250,000 | Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A | 262,580 | ||||||
|
| |||||||
1,318,257 | ||||||||
|
| |||||||
Healthcare — 1.1% | ||||||||
25,000 | HCA, Inc., 7.050%, 12/01/2027 | 25,750 | ||||||
75,000 | HCA, Inc., 7.500%, 12/15/2023 | 84,000 | ||||||
520,000 | HCA, Inc., 7.500%, 11/06/2033 | 552,500 | ||||||
310,000 | HCA, Inc., 7.690%, 6/15/2025 | 349,525 | ||||||
20,000 | HCA, Inc., 8.360%, 4/15/2024 | 23,750 | ||||||
140,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 155,400 | ||||||
50,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 53,000 | ||||||
255,000 | Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A | 258,506 | ||||||
|
| |||||||
1,502,431 | ||||||||
|
| |||||||
Home Construction — 0.8% | ||||||||
40,000 | Beazer Homes USA, Inc., 7.250%, 2/01/2023 | 41,450 | ||||||
105,000 | KB Home, 7.250%, 6/15/2018 | 118,125 | ||||||
150,000 | KB Home, 7.500%, 9/15/2022 | 166,500 | ||||||
145,000 | Lennar Corp., 4.750%, 11/15/2022 | 144,275 | ||||||
80,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 75,200 | ||||||
515,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 517,575 | ||||||
|
| |||||||
1,063,125 | ||||||||
|
| |||||||
Independent Energy — 0.7% | ||||||||
85,000 | Continental Resources, Inc., 4.500%, 4/15/2023 | 90,796 | ||||||
240,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 263,400 |
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Independent Energy — continued | ||||||||
$ | 400,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(f) | $ | 23,000 | ||||
200,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(f) | 12,000 | ||||||
142,000 | Pioneer Natural Resources Co., 7.200%, 1/15/2028 | 181,111 | ||||||
5,000 | QEP Resources, Inc., 5.375%, 10/01/2022 | 5,150 | ||||||
50,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 | 54,250 | ||||||
45,000 | SandRidge Energy, Inc., 8.125%, 10/15/2022 | 49,556 | ||||||
105,000 | Southwestern Energy Co., 4.100%, 3/15/2022 | 111,282 | ||||||
125,000 | Talisman Energy, Inc., 3.750%, 2/01/2021 | 129,227 | ||||||
100,000 | Whiting Petroleum Corp., 5.750%, 3/15/2021 | 109,500 | ||||||
|
| |||||||
1,029,272 | ||||||||
|
| |||||||
Life Insurance — 0.4% | ||||||||
85,000 | American International Group, Inc., 4.875%, 6/01/2022 | 94,653 | ||||||
300,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 413,250 | ||||||
|
| |||||||
507,903 | ||||||||
|
| |||||||
Local Authorities — 0.2% | ||||||||
165,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR) | 243,876 | ||||||
|
| |||||||
Lodging — 0.0% | ||||||||
40,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021, 144A | 42,500 | ||||||
1,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 | 1,110 | ||||||
|
| |||||||
43,610 | ||||||||
|
| |||||||
Media Cable — 0.2% | ||||||||
10,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023 | 10,088 | ||||||
105,000 | Time Warner Cable, Inc., 4.500%, 9/15/2042 | 102,216 | ||||||
95,000 | Time Warner Cable, Inc., 5.500%, 9/01/2041 | 106,275 | ||||||
40,000 | Time Warner Cable, Inc., 5.875%, 11/15/2040 | 46,658 | ||||||
|
| |||||||
265,237 | ||||||||
|
| |||||||
Metals & Mining — 1.5% | ||||||||
255,000 | Alcoa, Inc., 5.900%, 2/01/2027 | 272,753 | ||||||
40,000 | Alcoa, Inc., 6.750%, 1/15/2028 | 44,581 | ||||||
160,000 | Allegheny Technologies, Inc., 5.950%, 1/15/2021 | 176,658 | ||||||
245,000 | ArcelorMittal, 6.000%, 3/01/2021 | 265,212 | ||||||
135,000 | ArcelorMittal, 6.750%, 2/25/2022 | 151,200 | ||||||
225,000 | ArcelorMittal, 7.250%, 3/01/2041 | 239,063 | ||||||
100,000 | ArcelorMittal, 7.500%, 10/15/2039 | 110,000 | ||||||
75,000 | Barrick North America Finance LLC, 4.400%, 5/30/2021 | 78,471 | ||||||
225,000 | Glencore Funding LLC, 4.625%, 4/29/2024, 144A | 231,953 | ||||||
200,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A | 210,000 | ||||||
200,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A | 189,500 | ||||||
145,000 | Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A | 156,432 | ||||||
|
| |||||||
2,125,823 | ||||||||
|
|
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Midstream — 0.5% | ||||||||
$ | 70,000 | Energy Transfer Partners LP, 5.200%, 2/01/2022 | $ | 77,463 | ||||
140,000 | EnLink Midstream Partners LP, 4.400%, 4/01/2024 | 146,912 | ||||||
100,000 | IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 107,062 | ||||||
80,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023 | 79,200 | ||||||
85,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020 | 91,588 | ||||||
60,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022 | 65,175 | ||||||
100,000 | Sunoco Logistics Partners Operations LP, 4.250%, 4/01/2024 | 102,946 | ||||||
|
| |||||||
670,346 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 1.3% | ||||||||
265,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 | 291,657 | ||||||
75,000 | CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048 | 77,488 | �� | |||||
100,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(c) | 108,171 | ||||||
400,000 | Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(c) | 419,962 | ||||||
185,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.997%, 8/10/2045(c) | 194,827 | ||||||
100,000 | Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A | 103,550 | ||||||
25,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 | 26,611 | ||||||
100,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(c) | 109,193 | ||||||
100,000 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.997%, 8/12/2045, 144A(c) | 109,593 | ||||||
100,000 | Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A | 101,535 | ||||||
130,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AM, 5.603%, 10/15/2048 | 140,371 | ||||||
60,000 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(c) | 64,022 | ||||||
|
| |||||||
1,746,980 | ||||||||
|
| |||||||
Paper — 0.2% | ||||||||
205,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 | 267,983 | ||||||
5,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 6,271 | ||||||
30,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 40,535 | ||||||
|
| |||||||
314,789 | ||||||||
|
| |||||||
Pharmaceuticals — 0.5% | ||||||||
620,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A(d) | 658,750 | ||||||
15,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 15,975 | ||||||
10,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A | 10,800 | ||||||
|
| |||||||
685,525 | ||||||||
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Retailers — 1.4% | ||||||||
$ | 125,000 | Advance Auto Parts, Inc., 4.500%, 12/01/2023 | $ | 131,806 | ||||
215,000 | Best Buy Co., Inc., 5.000%, 8/01/2018 | 225,481 | ||||||
252,216 | CVS Pass Through Trust, 4.704%, 1/10/2036, 144A | 267,212 | ||||||
208,381 | CVS Pass Through Trust, 7.507%, 1/10/2032, 144A | 260,155 | ||||||
400,000 | Dillard’s, Inc., 6.625%, 1/15/2018 | 447,000 | ||||||
205,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 213,200 | ||||||
100,000 | Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027 | 120,456 | ||||||
225,000 | Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029 | 281,437 | ||||||
45,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 33,750 | ||||||
|
| |||||||
1,980,497 | ||||||||
|
| |||||||
Supermarkets — 0.2% | ||||||||
35,000 | Delhaize Group S.A., 5.700%, 10/01/2040 | 37,332 | ||||||
320,000 | New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028 | 272,800 | ||||||
|
| |||||||
310,132 | ||||||||
|
| |||||||
Supranational — 0.7% | ||||||||
136,000,000 | International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP) | 249,220 | ||||||
26,380,000 | International Finance Corp., 7.800%, 6/03/2019, (INR) | 460,537 | ||||||
435,000 | International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL) | 200,874 | ||||||
|
| |||||||
910,631 | ||||||||
|
| |||||||
Technology — 1.1% | ||||||||
470,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 465,300 | ||||||
390,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 386,100 | ||||||
110,000 | Arrow Electronics, Inc., 3.000%, 3/01/2018 | 113,729 | ||||||
195,000 | Flextronics International Ltd., 5.000%, 2/15/2023 | 201,825 | ||||||
415,000 | Jabil Circuit, Inc., 4.700%, 9/15/2022 | 420,187 | ||||||
|
| |||||||
1,587,141 | ||||||||
|
| |||||||
Treasuries — 13.6% | ||||||||
15,000(††) | Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN) | 116,944 | ||||||
60,000(††) | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d) | 495,430 | ||||||
31,500(††) | Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN) | 274,951 | ||||||
60,000(††) | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) | 563,667 | ||||||
10,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP) | 247,423 | ||||||
700,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 306,517 | ||||||
844,210 | U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044(g) | 928,499 | ||||||
2,152,956 | U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(g)(h) | 2,716,425 | ||||||
7,670,461 | U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2018(g) | 7,923,348 | ||||||
2,996,964 | U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2024(g) | 3,105,604 | ||||||
1,310,000 | U.S. Treasury Note, 0.375%, 5/31/2016 | 1,308,824 | ||||||
1,000,000 | U.S. Treasury Note, 0.875%, 4/15/2017 | 1,002,422 | ||||||
|
| |||||||
18,990,054 | ||||||||
|
| |||||||
Wireless — 1.3% | ||||||||
4,000,000 | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) | 303,437 | ||||||
230,000 | American Tower Corp., 4.700%, 3/15/2022 | 247,336 |
See accompanying notes to financial statements.
31 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Wireless — continued | ||||||||
$ | 190,000 | Crown Castle International Corp., 4.875%, 4/15/2022 | $ | 196,412 | ||||
495,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 499,950 | ||||||
20,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 23,100 | ||||||
480,000 | Sprint Corp., 7.875%, 9/15/2023, 144A | 534,000 | ||||||
|
| |||||||
1,804,235 | ||||||||
|
| |||||||
Wirelines — 1.7% | ||||||||
10,000 | CenturyLink, Inc., 5.625%, 4/01/2020 | 10,550 | ||||||
80,000 | CenturyLink, Inc., 7.650%, 3/15/2042 | 79,800 | ||||||
240,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | 240,900 | ||||||
75,000 | Embarq Corp., 7.995%, 6/01/2036 | 81,937 | ||||||
35,000 | Level 3 Financing, Inc., 6.125%, 1/15/2021, 144A | 37,494 | ||||||
75,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 | 81,937 | ||||||
70,000 | Level 3 Financing, Inc., 8.125%, 7/01/2019 | 76,388 | ||||||
85,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 | 95,200 | ||||||
400,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) | 169,722 | ||||||
15,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 | 16,950 | ||||||
269,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 269,672 | ||||||
402,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 415,065 | ||||||
40,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 44,300 | ||||||
45,000 | Telecom Italia Capital S.A., 7.721%, 6/04/2038 | 51,863 | ||||||
75,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 | 83,741 | ||||||
75,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 | 85,160 | ||||||
75,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 95,662 | ||||||
100,000 | Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP) | 190,737 | ||||||
205,000 | Verizon Communications, Inc., 5.150%, 9/15/2023 | 229,414 | ||||||
|
| |||||||
2,356,492 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $55,785,806) | 58,462,593 | |||||||
|
| |||||||
Convertible Bonds — 2.7% | ||||||||
Automotive — 0.1% | ||||||||
65,000 | Ford Motor Co., 4.250%, 11/15/2016 | 129,878 | ||||||
|
| |||||||
Construction Machinery — 0.2% | ||||||||
190,000 | Ryland Group, Inc. (The), 1.625%, 5/15/2018 | 264,100 | ||||||
20,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 | 37,238 | ||||||
|
| |||||||
301,338 | ||||||||
|
| |||||||
Energy — 0.2% | ||||||||
135,000 | Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019 | 163,266 | ||||||
125,000 | Peabody Energy Corp., 4.750%, 12/15/2066 | 93,828 | ||||||
|
| |||||||
257,094 | ||||||||
|
| |||||||
Home Construction — 0.7% | ||||||||
160,000 | Lennar Corp., 2.750%, 12/15/2020, 144A | 305,500 | ||||||
210,000 | Lennar Corp., 3.250%, 11/15/2021, 144A | 386,662 | ||||||
220,000 | Standard Pacific Corp., 1.250%, 8/01/2032 | 276,513 | ||||||
|
| |||||||
968,675 | ||||||||
|
|
See accompanying notes to financial statements.
| 32
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Life Insurance — 0.1% | ||||||||
$ | 100,000 | Old Republic International Corp., 3.750%, 3/15/2018 | $ | 124,438 | ||||
|
| |||||||
Metals & Mining — 0.1% | ||||||||
85,000 | United States Steel Corp., 2.750%, 4/01/2019 | 105,559 | ||||||
|
| |||||||
Pharmaceuticals — 0.5% | ||||||||
83,000 | BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018 | 85,853 | ||||||
92,000 | BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020 | 96,887 | ||||||
75,000 | Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A | 78,422 | ||||||
75,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016 | 273,375 | ||||||
65,000 | Mylan, Inc., 3.750%, 9/15/2015 | 251,997 | ||||||
|
| |||||||
786,534 | ||||||||
|
| |||||||
REITs – Mortgage — 0.1% | ||||||||
70,000 | iStar Financial, Inc., 3.000%, 11/15/2016 | 99,181 | ||||||
|
| |||||||
Retailers — 0.3% | ||||||||
45,000 | Iconix Brand Group, Inc., 2.500%, 6/01/2016 | 65,081 | ||||||
246,000 | Priceline Group, Inc. (The), 0.350%, 6/15/2020 | 290,434 | ||||||
30,000 | Priceline Group, Inc. (The), 1.000%, 3/15/2018 | 42,506 | ||||||
|
| |||||||
398,021 | ||||||||
|
| |||||||
Technology — 0.4% | ||||||||
65,000 | Ciena Corp., 3.750%, 10/15/2018, 144A | 89,253 | ||||||
105,000 | Intel Corp., 2.950%, 12/15/2035 | 130,528 | ||||||
45,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032 | 154,856 | ||||||
70,000 | Novellus Systems, Inc., 2.625%, 5/15/2041 | 141,663 | ||||||
80,000 | Xilinx, Inc., 2.625%, 6/15/2017 | 132,550 | ||||||
|
| |||||||
648,850 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $2,924,675) | 3,819,568 | |||||||
|
| |||||||
Municipals — 0.0% | ||||||||
Michigan — 0.0% | ||||||||
45,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 (Identified Cost $44,999) | 38,931 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $58,755,480) | 62,321,092 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks — 1.2% | ||||||||
Non-Convertible Preferred Stocks — 0.7% | ||||||||
Banking — 0.7% | ||||||||
4,375 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% | 120,837 | ||||||
288 | Ally Financial, Inc., Series G, 7.000%, 144A | 288,729 | ||||||
4,125 | Countrywide Capital IV, 6.750% | 105,352 | ||||||
20,424 | SunTrust Banks, Inc., Series E, 5.875% | 488,134 | ||||||
|
| |||||||
Total Non-Convertible Preferred Stocks (Identified Cost $879,854) | 1,003,052 | |||||||
|
|
See accompanying notes to financial statements.
33 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Shares | Description | Value (†) | ||||||
Convertible Preferred Stocks — 0.5% | ||||||||
Banking — 0.1% | ||||||||
19 | Bank of America Corp., Series L, 7.250% | $ | 22,173 | |||||
70 | Wells Fargo & Co., Series L, Class A, 7.500% | 84,980 | ||||||
|
| |||||||
107,153 | ||||||||
|
| |||||||
Electric — 0.1% | ||||||||
1,400 | Dominion Resources, Inc., 6.375% | 73,675 | ||||||
882 | Dominion Resources, Inc., Series A, 6.125% | 50,847 | ||||||
827 | Dominion Resources, Inc., Series B, 6.000% | 47,983 | ||||||
467 | NextEra Energy, Inc., 5.889% | 30,350 | ||||||
|
| |||||||
202,855 | ||||||||
|
| |||||||
REITs – Diversified — 0.2% | ||||||||
2,440 | Crown Castle International Corp., Series A, 4.500% | 248,685 | ||||||
|
| |||||||
REITs – Mortgage — 0.1% | ||||||||
1,780 | iStar Financial, Inc., Series J, 4.500% | 113,929 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $608,499) | 672,622 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $1,488,353) | 1,675,674 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Senior Loans — 0.1% | ||||||||
Supermarkets — 0.1% | ||||||||
$ | 79,000 | New Albertson’s, Inc., Term Loan, 6/25/2021(i) (Identified Cost $78,605) | 79,148 | |||||
|
| |||||||
Notional Amount | ||||||||
Purchased Swaptions — 0.2% | ||||||||
Interest Rate Swaptions — 0.2% | ||||||||
35,000,000 | 1-year Interest Rate Swap Put, expiring 11/19/2014, Pay 3-month LIBOR, Receive 0.400%(j) | 13,370 | ||||||
9,000,000 | 10-year Interest Rate Swap Call, expiring 5/20/2016, Pay 3.388%, Receive 3-month LIBOR(k) | 305,082 | ||||||
|
| |||||||
Total Purchased Swaptions (Identified Cost $383,100) | 318,452 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 34
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Short-Term Investments — 3.1% | ||||||||
$ | 4,134,381 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $4,134,382 on 7/01/2014 collateralized by $1,590,000 U.S. Treasury Note, 1.500% due 12/31/2018 valued at $1,590,000; $2,620,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $2,633,100 including accrued interest (Note 2 of Notes to Financial Statements) | $ | 4,134,381 | ||||
35,000 | U.S. Treasury Bills, 0.087%, 7/03/2014(l) | 35,000 | ||||||
125,000 | U.S. Treasury Bills, 0.097%, 7/24/2014(l)(m) | 124,999 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $4,294,373) | 4,294,380 | |||||||
|
| |||||||
Total Investments — 99.9% (Identified Cost $124,469,603)(a) | 139,113,465 | |||||||
Other assets less liabilities — 0.1% | 158,124 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 139,271,589 | ||||||
|
| |||||||
Notional Amount | ||||||||
Written Swaptions — (0.1)% | ||||||||
Interest Rate Swaptions — (0.1)% | ||||||||
$ | 9,000,000 | 10-year Interest Rate Swap Call, expiring 5/20/2016, Pay 3-month LIBOR, Receive 3.888%(k) | ||||||
Total Written Swaptions (Premiums Received $212,040) | $ | (171,963 | ) | |||||
|
| |||||||
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. | |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(††) | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be 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 June 30, 2014, the net unrealized appreciation on investments based on a cost of $124,558,903 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 | $ | 16,706,705 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (2,152,143 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 14,554,562 | ||||||
|
| |||||||
(b) | Non-income producing security. | |||||||
(c) | Variable rate security. Rate as of June 30, 2014 is disclosed. | |||||||
(d) | All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts. | |||||||
(e) | Perpetual bond with no specified maturity date. |
See accompanying notes to financial statements.
35 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||
(g) | Treasury Inflation Protected Security (TIPS). | |||||
(h) | A portion of this security has been designated to cover the Fund’s obligations under open swaptions. | |||||
(i) | Position is unsettled. Contract rate was not determined at June 30, 2014 and does not take effect until settlement date. | |||||
(j) | Counterparty is Goldman Sachs International. | |||||
(k) | Counterparty is Barclays Bank PLC. | |||||
(l) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||
(m) | A portion of this security has been pledged as initial margin for open futures contracts. | |||||
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 June 30, 2014, the value of Rule 144A holdings amounted to $10,994,066 or 7.9% of net assets. | |||||
ABS | Asset-Backed Securities | |||||
EMTN | Euro Medium Term Note | |||||
GMTN | Global Medium Term Note | |||||
MTN | Medium Term Note | |||||
REITs | Real Estate Investment Trusts | |||||
REMIC | Real Estate Mortgage Investment Conduit | |||||
AUD | Australian Dollar | |||||
BRL | Brazilian Real | |||||
CLP | Chilean Peso | |||||
COP | Colombian Peso | |||||
EUR | Euro | |||||
GBP | British Pound | |||||
INR | Indian Rupee | |||||
MXN | Mexican Peso | |||||
PHP | Philippine Peso |
At June 30, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell | Delivery Date | Currency | Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Sell1 | 9/04/2014 | British Pound | 67,000 | $ | 114,605 | $ | (2,455 | ) | ||||||||||
Buy2 | 7/31/2014 | Euro | 470,000 | 643,641 | 3,021 | |||||||||||||
Sell2 | 7/31/2014 | Euro | 668,000 | 914,792 | 10,000 | |||||||||||||
|
| |||||||||||||||||
Total | $ | 10,566 | ||||||||||||||||
|
|
1 Counterparty is Credit Suisse International.
2 Counterparty is Barclays Bank PLC.
See accompanying notes to financial statements.
| 36
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis Diversified Income Fund – (continued)
At June 30, 2014, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
30 Year U.S. Treasury Bond | 9/19/2014 | 14 | $ | 1,920,625 | $ | 9,928 | ||||||||||
|
|
Industry Summary at June 30, 2014 (Unaudited)
Treasuries | 13.6 | % | ||
Multi-Utilities | 4.1 | |||
Electric Utilities | 4.1 | |||
REITs – Office Property | 3.9 | |||
REITs – Apartments | 3.9 | |||
REITs – Regional Malls | 3.9 | |||
Banking | 3.8 | |||
REITs – Health Care | 2.8 | |||
REITs – Diversified | 2.5 | |||
REITs – Shopping Centers | 2.4 | |||
Aerospace & Defense | 2.3 | |||
Finance Companies | 2.2 | |||
ABS Home Equity | 2.1 | |||
REITs – Storage | 2.0 | |||
Other Investments, less than 2% each | 43.2 | |||
Short-Term Investments | 3.1 | |||
|
| |||
Total Investments | 99.9 | |||
Other assets less liabilities (including open written swaptions, forward foreign currency contracts and futures contracts) | 0.1 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
37 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis U.S. Equity Opportunities Fund*
Shares | Description | Value (†) | ||||||
Common Stocks — 98.5% of Net Assets | ||||||||
Air Freight & Logistics — 5.3% | ||||||||
239,123 | Expeditors International of Washington, Inc. | $ | 10,559,672 | |||||
67,000 | FedEx Corp. | 10,142,460 | ||||||
41,532 | United Parcel Service, Inc., Class B | 4,263,675 | ||||||
|
| |||||||
24,965,807 | ||||||||
|
| |||||||
Automobiles — 1.8% | ||||||||
231,700 | General Motors Co. | 8,410,710 | ||||||
|
| |||||||
Banks — 5.6% | ||||||||
766,300 | Bank of America Corp. | 11,778,031 | ||||||
134,500 | Citigroup, Inc. | 6,334,950 | ||||||
145,000 | JPMorgan Chase & Co. | 8,354,900 | ||||||
|
| |||||||
26,467,881 | ||||||||
|
| |||||||
Beverages — 5.4% | ||||||||
116,573 | Coca-Cola Co. (The) | 4,938,032 | ||||||
45,800 | Diageo PLC, Sponsored ADR | 5,828,966 | ||||||
147,581 | Monster Beverage Corp.(b) | 10,482,679 | ||||||
74,284 | SABMiller PLC, Sponsored ADR | 4,348,585 | ||||||
|
| |||||||
25,598,262 | ||||||||
|
| |||||||
Biotechnology — 0.8% | ||||||||
33,344 | Amgen, Inc. | 3,946,929 | ||||||
|
| |||||||
Capital Markets — 4.9% | ||||||||
150,800 | Franklin Resources, Inc. | 8,722,272 | ||||||
150,542 | Greenhill & Co., Inc. | 7,414,194 | ||||||
218,116 | SEI Investments Co. | 7,147,661 | ||||||
|
| |||||||
23,284,127 | ||||||||
|
| |||||||
Communications Equipment — 5.7% | ||||||||
498,279 | Cisco Systems, Inc. | 12,382,233 | ||||||
187,456 | QUALCOMM, Inc. | 14,846,515 | ||||||
|
| |||||||
27,228,748 | ||||||||
|
| |||||||
Consumer Finance — 2.6% | ||||||||
26,339 | American Express Co. | 2,498,781 | ||||||
116,600 | Capital One Financial Corp. | 9,631,160 | ||||||
|
| |||||||
12,129,941 | ||||||||
|
| |||||||
Diversified Financial Services — 1.3% | ||||||||
131,109 | MSCI, Inc.(b) | 6,011,348 | ||||||
|
| |||||||
Energy Equipment & Services — 3.7% | ||||||||
122,900 | Halliburton Co. | 8,727,129 | ||||||
76,058 | Schlumberger Ltd. | 8,971,041 | ||||||
|
| |||||||
17,698,170 | ||||||||
|
| |||||||
Food Products — 3.2% | ||||||||
522,250 | Danone, Sponsored ADR | 7,797,193 | ||||||
163,800 | Unilever PLC, Sponsored ADR | 7,421,778 | ||||||
|
| |||||||
15,218,971 | ||||||||
|
|
See accompanying notes to financial statements.
| 38
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis U.S. Equity Opportunities Fund* – (continued)
Shares | Description | Value (†) | ||||||
Health Care Equipment & Supplies — 4.8% | ||||||||
142,500 | Medtronic, Inc. | $ | 9,085,800 | |||||
106,344 | Varian Medical Systems, Inc.(b) | 8,841,440 | ||||||
47,055 | Zimmer Holdings, Inc. | 4,887,132 | ||||||
|
| |||||||
22,814,372 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.9% | ||||||||
108,200 | UnitedHealth Group, Inc. | 8,845,350 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.5% | ||||||||
68,000 | McDonald’s Corp. | 6,850,320 | ||||||
61,568 | Yum! Brands, Inc. | 4,999,322 | ||||||
|
| |||||||
11,849,642 | ||||||||
|
| |||||||
Household Products — 0.9% | ||||||||
57,490 | Procter & Gamble Co. (The) | 4,518,139 | ||||||
|
| |||||||
Insurance — 4.8% | ||||||||
100,400 | Aflac, Inc. | 6,249,900 | ||||||
167,100 | American International Group, Inc. | 9,120,318 | ||||||
84,400 | Aon PLC | 7,603,596 | ||||||
|
| |||||||
22,973,814 | ||||||||
|
| |||||||
Internet & Catalog Retail — 5.5% | ||||||||
49,896 | Amazon.com, Inc.(b) | 16,205,223 | ||||||
54,850 | HomeAway, Inc.(b) | 1,909,877 | ||||||
277,900 | Liberty Interactive Corp., Class A(b) | 8,159,144 | ||||||
|
| |||||||
26,274,244 | ||||||||
|
| |||||||
Internet Software & Services — 7.2% | ||||||||
161,490 | Facebook, Inc., Class A(b) | 10,866,662 | ||||||
21,766 | Google, Inc., Class A(b) | 12,725,927 | ||||||
9,766 | Google, Inc., Class C(b) | 5,618,185 | ||||||
120,157 | Vistaprint NV(b) | 4,861,552 | ||||||
|
| |||||||
34,072,326 | ||||||||
|
| |||||||
IT Services — 3.9% | ||||||||
31,272 | Automatic Data Processing, Inc. | 2,479,244 | ||||||
106,000 | MasterCard, Inc., Class A | 7,787,820 | ||||||
39,558 | Visa, Inc., Class A | 8,335,266 | ||||||
|
| |||||||
18,602,330 | ||||||||
|
| |||||||
Machinery — 1.8% | ||||||||
97,400 | Illinois Tool Works, Inc. | 8,528,344 | ||||||
|
| |||||||
Media — 1.5% | ||||||||
102,900 | Omnicom Group, Inc. | 7,328,538 | ||||||
|
| |||||||
Metals & Mining — 0.6% | ||||||||
30,779 | Compass Minerals International, Inc. | 2,946,781 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.2% | ||||||||
105,900 | Apache Corp. | 10,655,658 | ||||||
|
|
See accompanying notes to financial statements.
39 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis U.S. Equity Opportunities Fund* – (continued)
Shares | Description | Value (†) | ||||||
Pharmaceuticals — 2.9% | ||||||||
42,617 | Merck & Co., Inc. | $ | 2,465,393 | |||||
71,916 | Novartis AG, ADR | 6,510,556 | ||||||
101,852 | Novo Nordisk AS, Sponsored ADR | 4,704,544 | ||||||
|
| |||||||
13,680,493 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.0% | ||||||||
8,188 | Altera Corp. | 284,615 | ||||||
15,291 | Analog Devices, Inc. | 826,784 | ||||||
158,336 | ARM Holdings PLC, Sponsored ADR | 7,163,121 | ||||||
321,100 | Intel Corp. | 9,921,990 | ||||||
22,590 | Linear Technology Corp. | 1,063,311 | ||||||
|
| |||||||
19,259,821 | ||||||||
|
| |||||||
Software — 9.5% | ||||||||
138,607 | Autodesk, Inc.(b) | 7,814,663 | ||||||
50,213 | FactSet Research Systems, Inc. | 6,039,619 | ||||||
278,141 | Microsoft Corp. | 11,598,480 | ||||||
482,632 | Oracle Corp. | 19,561,075 | ||||||
|
| |||||||
45,013,837 | ||||||||
|
| |||||||
Specialty Retail — 2.5% | ||||||||
93,400 | Home Depot, Inc. (The) | 7,561,664 | ||||||
92,829 | Lowe’s Cos., Inc. | 4,454,864 | ||||||
|
| |||||||
12,016,528 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% | ||||||||
84,700 | Apple, Inc. | 7,871,171 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $406,429,847) | 468,212,282 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments — 1.6% | ||||||||
$ | 7,815,088 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $7,815,090 on 7/01/2014 collateralized by $7,935,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $7,974,675 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,815,088) | 7,815,088 | |||||
|
| |||||||
Total Investments — 100.1% (Identified Cost $414,244,935)(a) | 476,027,370 | |||||||
Other assets less liabilities — (0.1)% | (548,224 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 475,479,146 | ||||||
|
| |||||||
* | Formerly Natixis U.S. Multi-Cap Equity Fund. | |||||||
(†) | See Note 2 of Notes to Financial Statements. |
See accompanying notes to financial statements.
| 40
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Natixis U.S. Equity Opportunities Fund* – (continued)
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |||||||
At June 30, 2014, the net unrealized appreciation on investments based on a cost of $414,244,935 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 | $ | 65,538,618 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (3,756,183 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 61,782,435 | ||||||
|
| |||||||
(b) | Non-income producing security. | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Industry Summary at June 30, 2014 (Unaudited)
Software | 9.5 | % | ||
Internet Software & Services | 7.2 | |||
Communications Equipment | 5.7 | |||
Banks | 5.6 | |||
Internet & Catalog Retail | 5.5 | |||
Beverages | 5.4 | |||
Air Freight & Logistics | 5.3 | |||
Capital Markets | 4.9 | |||
Insurance | 4.8 | |||
Health Care Equipment & Supplies | 4.8 | |||
Semiconductors & Semiconductor Equipment | 4.0 | |||
IT Services | 3.9 | |||
Energy Equipment & Services | 3.7 | |||
Food Products | 3.2 | |||
Pharmaceuticals | 2.9 | |||
Consumer Finance | 2.6 | |||
Specialty Retail | 2.5 | |||
Hotels, Restaurants & Leisure | 2.5 | |||
Oil, Gas & Consumable Fuels | 2.2 | |||
Other Investments, less than 2% each | 12.3 | |||
Short-Term Investments | 1.6 | |||
|
| |||
Total Investments | 100.1 | |||
Other assets less liabilities | (0.1 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
41 |
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This Page Intentionally Left Blank
| 42
Table of Contents
Statements of Assets and Liabilities
June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund | Natixis Diversified Income Fund | Natixis U.S. Equity Opportunities Fund* | ||||||||||
ASSETS | ||||||||||||
Investments at cost | $ | 28,024,171 | $ | 124,469,603 | $ | 414,244,935 | ||||||
Net unrealized appreciation | 338,944 | 14,643,862 | 61,782,435 | |||||||||
|
|
|
|
|
| |||||||
Investments at value | 28,363,115 | 139,113,465 | 476,027,370 | |||||||||
Cash | — | 3,369 | — | |||||||||
Foreign currency at value (identified cost $0, $13,133 and $0, respectively) | — | 13,187 | — | |||||||||
Receivable for Fund shares sold | 1,481 | 305,697 | 363,276 | |||||||||
Receivable from investment adviser (Note 6) | 257 | — | — | |||||||||
Receivable for securities sold | — | 156,917 | — | |||||||||
Dividends and interest receivable | 318,343 | 757,986 | 233,948 | |||||||||
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | 13,021 | — | |||||||||
Tax reclaims receivable | — | 376 | — | |||||||||
|
|
|
|
|
| |||||||
TOTAL ASSETS | 28,683,196 | 140,364,018 | 476,624,594 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Swaptions written, at value (premiums received $0, $212,040 and $0, respectively) (Note 2) | — | 171,963 | — | |||||||||
Payable for securities purchased | — | 507,811 | — | |||||||||
Payable for delayed delivery securities purchased (Note 2) | 1,110,875 | — | — | |||||||||
Payable for Fund shares redeemed | 12,574 | 202,982 | 128,963 | |||||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | 2,455 | — | |||||||||
Payable for variation margin on futures contracts (Note 2) | — | 3,938 | — | |||||||||
Distributions payable | 5,885 | — | — | |||||||||
Management fees payable (Note 6) | — | 62,346 | 348,325 | |||||||||
Deferred Trustees’ fees (Note 6) | 12,289 | 83,536 | 485,030 | |||||||||
Administrative fees payable (Note 6) | 961 | 4,889 | 16,657 | |||||||||
Payable to distributor (Note 6d) | 163 | 989 | 2,090 | |||||||||
Other accounts payable and accrued expenses | 30,472 | 51,520 | 164,383 | |||||||||
|
|
|
|
|
| |||||||
TOTAL LIABILITIES | 1,173,219 | 1,092,429 | 1,145,448 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 27,509,977 | $ | 139,271,589 | $ | 475,479,146 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital | $ | 27,584,023 | $ | 134,729,913 | $ | 293,068,460 | ||||||
Undistributed (Distributions in excess of) net investment income/Accumulated net investment (loss) | (345 | ) | 64,136 | (548,365 | ) | |||||||
Accumulated net realized gain (loss) on investments, futures contracts, options/swaptions written and foreign currency transactions | (412,645 | ) | (10,228,160 | ) | 121,176,616 | |||||||
Net unrealized appreciation on investments, futures contracts, swaptions written and foreign currency translations | 338,944 | 14,705,700 | 61,782,435 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 27,509,977 | $ | 139,271,589 | $ | 475,479,146 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
43 |
Table of Contents
Statements of Assets and Liabilities (continued)
June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund | Natixis Diversified Income Fund | Natixis U.S. Equity Opportunities Fund* | ||||||||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||||||||||
Class A shares: | ||||||||||||
Net assets | $ | 1,442,681 | $ | 86,079,662 | $ | 391,886,051 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 146,329 | 6,510,091 | 11,160,855 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 9.86 | $ | 13.22 | $ | 35.11 | ||||||
|
|
|
|
|
| |||||||
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1) | $ | 10.22 | $ | 13.84 | $ | 37.25 | ||||||
|
|
|
|
|
| |||||||
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | — | $ | — | $ | 4,938,356 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | — | — | 174,042 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | — | $ | — | $ | 28.37 | ||||||
|
|
|
|
|
| |||||||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||||||||||
Net assets | $ | 536,512 | $ | 51,188,154 | $ | 48,909,117 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 54,442 | 3,883,163 | 1,723,111 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 9.85 | $ | 13.18 | $ | 28.38 | ||||||
|
|
|
|
|
| |||||||
Class Y shares: | ||||||||||||
Net assets | $ | 25,530,784 | $ | 2,003,773 | $ | 29,745,622 | ||||||
|
|
|
|
|
| |||||||
Shares of beneficial interest | 2,589,434 | 152,256 | 769,362 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.86 | $ | 13.16 | $ | 38.66 | ||||||
|
|
|
|
|
|
* | Formerly Natixis U.S. Multi-Cap Equity Fund. |
See accompanying notes to financial statements.
| 44
Table of Contents
Statements of Operations
For the Six Months Ended June 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund | Natixis Diversified Income Fund | Natixis U.S. Equity Opportunities Fund* | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends | $ | — | $ | 1,245,310 | $ | 3,135,857 | ||||||
Interest | 248,257 | 1,384,825 | 18 | |||||||||
Less net foreign taxes withheld | — | — | (58,305 | ) | ||||||||
|
|
|
|
|
| |||||||
248,257 | 2,630,135 | 3,077,570 | ||||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Management fees (Note 6) | 48,365 | 360,385 | 1,804,419 | |||||||||
Service and distribution fees (Note 6) | 2,468 | 346,748 | 723,656 | |||||||||
Administrative fees (Note 6) | 5,262 | 28,521 | 98,182 | |||||||||
Trustees’ fees and expenses (Note 6) | 7,769 | 9,142 | 14,682 | |||||||||
Transfer agent fees and expenses (Note 6) | 1,202 | 41,414 | 246,942 | |||||||||
Audit and tax services fees | 21,806 | 24,293 | 29,043 | |||||||||
Custodian fees and expenses | 6,683 | 23,672 | 21,697 | |||||||||
Legal fees | 118 | 648 | 2,333 | |||||||||
Registration fees | 32,954 | 30,622 | 66,409 | |||||||||
Shareholder reporting expenses | 526 | 7,300 | 34,355 | |||||||||
Miscellaneous expenses | 4,493 | 8,200 | 10,910 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 131,646 | 880,945 | 3,052,628 | |||||||||
Fee/expense recovery (Note 6) | — | — | 39,552 | |||||||||
Less waiver and/or expense reimbursement (Note 6) | (62,677 | ) | (3,009 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net expenses | 68,969 | 877,936 | 3,092,180 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 179,288 | 1,752,199 | (14,610 | ) | ||||||||
|
|
|
|
|
| |||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (64,319 | ) | (134,834 | ) | 121,505,276 | |||||||
Futures contracts | — | (92,227 | ) | 268,061 | ||||||||
Options/swaptions written | — | 475,362 | (21,977 | ) | ||||||||
Foreign currency transactions | — | (7,515 | ) | — | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 843,892 | 10,000,544 | (87,930,375 | ) | ||||||||
Futures contracts | — | 6,057 | — | |||||||||
Swaptions written | — | 45,741 | — | |||||||||
Foreign currency translations | — | 12,118 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain on investments, futures contracts, options/swaptions written and foreign currency transactions | 779,573 | 10,305,246 | 33,820,985 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 958,861 | $ | 12,057,445 | $ | 33,806,375 | ||||||
|
|
|
|
|
|
* | Formerly Natixis U.S. Multi-Cap Equity Fund. |
See accompanying notes to financial statements.
45 |
Table of Contents
Statements of Changes in Net Assets
McDonnell Intermediate Municipal Bond Fund | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 179,288 | $ | 219,809 | ||||
Net realized loss on investments | (64,319 | ) | (348,326 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 843,892 | (347,464 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 958,861 | (475,981 | ) | |||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (6,756 | ) | (3,763 | ) | ||||
Class C | (495 | ) | (41 | ) | ||||
Class Y | (172,056 | ) | (222,054 | ) | ||||
|
|
|
| |||||
Total distributions | (179,307 | ) | (225,858 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | 3,924,897 | 8,678,272 | ||||||
|
|
|
| |||||
Net increase in net assets | 4,704,451 | 7,976,433 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 22,805,526 | 14,829,093 | ||||||
|
|
|
| |||||
End of the period | $ | 27,509,977 | $ | 22,805,526 | ||||
|
|
|
| |||||
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME | $ | (345 | ) | $ | (326 | ) | ||
|
|
|
|
See accompanying notes to financial statements.
| 46
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis Diversified Income Fund | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income | $ | 1,752,199 | $ | 2,842,327 | ||||
Net realized gain on investments, futures contracts, swaptions written and foreign currency transactions | 240,786 | 6,816,963 | ||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations | 10,064,460 | (2,922,350 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 12,057,445 | 6,736,940 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (1,044,633 | ) | (2,123,101 | ) | ||||
Class C | (458,602 | ) | (943,848 | ) | ||||
Class Y | (19,087 | ) | (21,931 | ) | ||||
|
|
|
| |||||
Total distributions | (1,522,322 | ) | (3,088,880 | ) | ||||
|
|
|
| |||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | 557,156 | (3,382,992 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 11,092,279 | 265,068 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 128,179,310 | 127,914,242 | ||||||
|
|
|
| |||||
End of the period | $ | 139,271,589 | $ | 128,179,310 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME | $ | 64,136 | $ | (165,741 | ) | |||
|
|
|
|
See accompanying notes to financial statements.
47 |
Table of Contents
Statements of Changes in Net Assets (continued)
Natixis U.S. Equity Opportunities Fund* | ||||||||
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | (14,610 | ) | $ | (762,450 | ) | ||
Net realized gain on investments, futures contracts and options written | 121,751,360 | 37,957,408 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (87,930,375 | ) | 82,618,997 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 33,806,375 | 119,813,955 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net realized capital gains | ||||||||
Class A | (5,336,761 | ) | (27,351,336 | ) | ||||
Class B | (107,961 | ) | (739,952 | ) | ||||
Class C | (810,687 | ) | (3,885,125 | ) | ||||
Class Y | (353,085 | ) | (1,541,929 | ) | ||||
|
|
|
| |||||
Total distributions | (6,608,494 | ) | (33,518,342 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10) | 660,171 | 18,695,182 | ||||||
|
|
|
| |||||
Net increase in net assets | 27,858,052 | 104,990,795 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 447,621,094 | 342,630,299 | ||||||
|
|
|
| |||||
End of the period | $ | 475,479,146 | $ | 447,621,094 | ||||
|
|
|
| |||||
ACCUMULATED NET INVESTMENT (LOSS) | $ | (548,365 | ) | $ | (533,755 | ) | ||
|
|
|
|
* | Formerly Natixis U.S. Multi-Cap Equity Fund. |
See accompanying notes to financial statements.
| 48
Table of Contents
Financial Highlights
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
MCDONNELL INTERMEDIATE MUNICIPAL BOND FUND | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(f) | $ | 9.54 | $ | 0.06 | $ | 0.32 | $ | 0.38 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | ||||||||||||
12/31/2013 | 9.89 | 0.09 | (0.35 | ) | (0.26 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
12/31/2012(g) | 10.00 | (0.01 | ) | (0.10 | ) | (0.11 | ) | — | — | — | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(f) | 9.54 | 0.02 | 0.31 | 0.33 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
12/31/2013 | 9.89 | 0.01 | (0.34 | ) | (0.33 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||
12/31/2012(g) | 10.00 | (0.01 | ) | (0.10 | ) | (0.11 | ) | — | — | — | ||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(f) | 9.54 | 0.07 | 0.32 | 0.39 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
12/31/2013 | 9.88 | 0.11 | (0.34 | ) | (0.23 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
12/31/2012(g) | 10.00 | (0.01 | ) | (0.11 | ) | (0.12 | ) | — | — | — |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | For the six months ended June 30, 2014 (Unaudited). |
(g) | From commencement of operations on November 16, 2012 through December 31, 2012. |
(h) | Prior to December 31, 2012, there was no expense limitation agreement in place for the Fund. |
See accompanying notes to financial statements.
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Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (b)(c) | Net assets, end of the period (000’s) | Net expenses (%) (d)(e) | Gross expenses (%) (e) | Net investment income (loss) (%) (e) | Portfolio turnover rate (%) | ||||||||||||||||||||
$9.86 | 3.99 | $ | 1,443 | 0.80 | 1.30 | 1.25 | 7 | |||||||||||||||||||
9.54 | (2.66 | ) | 1,047 | 0.80 | 1.37 | 0.90 | 37 | |||||||||||||||||||
9.89 | (1.10 | ) | 1 | 2.19 | (h) | 2.23 | (0.71 | ) | 0 | |||||||||||||||||
9.85 | 3.49 | 537 | 1.55 | 2.08 | 0.43 | 7 | ||||||||||||||||||||
9.54 | (3.35 | ) | 55 | 1.55 | 2.08 | 0.14 | 37 | |||||||||||||||||||
9.89 | (1.10 | ) | 1 | 2.20 | (h) | 2.24 | (0.73 | ) | 0 | |||||||||||||||||
9.86 | 4.13 | 25,531 | 0.55 | 1.07 | 1.50 | 7 | ||||||||||||||||||||
9.54 | (2.31 | ) | 21,704 | 0.55 | 1.04 | 1.13 | 37 | |||||||||||||||||||
9.88 | (1.20 | ) | 14,827 | 2.33 | (h) | 2.37 | (0.84 | ) | 0 |
See accompanying notes to financial statements.
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Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a) | Net realized and unrealized gain | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
NATIXIS DIVERSIFIED INCOME FUND | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(f) | $ | 12.21 | $ | 0.19 | $ | 0.98 | $ | 1.17 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | ||||||||||||
12/31/2013 | 11.83 | 0.29 | 0.40 | 0.69 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
12/31/2012 | 10.74 | 0.29 | 1.12 | 1.41 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
12/31/2011 | 10.41 | 0.34 | 0.40 | 0.74 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||
12/31/2010 | 9.22 | 0.34 | 1.18 | 1.52 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
12/31/2009 | 7.18 | 0.36 | 1.97 | 2.33 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(f) | 12.17 | 0.14 | 0.99 | 1.13 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
12/31/2013 | 11.80 | 0.19 | 0.39 | 0.58 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
12/31/2012 | 10.71 | 0.20 | 1.12 | 1.32 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
12/31/2011 | 10.39 | 0.26 | 0.39 | 0.65 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||
12/31/2010 | 9.20 | 0.27 | 1.17 | 1.44 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
12/31/2009 | 7.17 | 0.30 | 1.97 | 2.27 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(f) | 12.19 | 0.22 | 0.93 | 1.15 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
12/31/2013 | 11.83 | 0.33 | 0.37 | 0.70 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
12/31/2012(g) | 11.72 | (0.02 | ) | 0.18 | 0.16 | (0.05 | ) | — | (0.05 | ) |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year, if applicable. |
(f) | For the six months ended June 30, 2014 (Unaudited). |
(g) | From commencement of Class operations on December 3, 2012, through December 31, 2012. |
See accompanying notes to financial statements.
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Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (b)(c) | Net assets, end of the period (000’s) | Net expenses (%) (d)(e) | Gross expenses (%) (e) | Net investment income (loss) (%) (e) | Portfolio turnover rate (%) | ||||||||||||||||||||
$13.22 | 9.66 | $ | 86,080 | 1.06 | 1.07 | 2.95 | 21 | |||||||||||||||||||
12.21 | 5.84 | 79,039 | 1.09 | 1.09 | 2.34 | 41 | ||||||||||||||||||||
11.83 | 13.22 | 78,216 | 1.11 | 1.11 | 2.53 | 29 | ||||||||||||||||||||
10.74 | 7.21 | 45,211 | 1.13 | 1.13 | 3.17 | 20 | ||||||||||||||||||||
10.41 | 16.73 | 35,787 | 1.19 | 1.19 | 3.51 | 28 | ||||||||||||||||||||
9.22 | 33.32 | 33,796 | 1.21 | 1.21 | 4.67 | 22 | ||||||||||||||||||||
13.18 | 9.30 | 51,188 | 1.81 | 1.81 | 2.20 | 21 | ||||||||||||||||||||
12.17 | 4.98 | 48,512 | 1.84 | 1.84 | 1.59 | 41 | ||||||||||||||||||||
11.80 | 12.43 | 49,697 | 1.86 | 1.86 | 1.79 | 29 | ||||||||||||||||||||
10.71 | 6.33 | 29,814 | 1.88 | 1.88 | 2.42 | 20 | ||||||||||||||||||||
10.39 | 15.90 | 27,355 | 1.94 | 1.94 | 2.76 | 28 | ||||||||||||||||||||
9.20 | 32.24 | 25,301 | 1.96 | 1.96 | 3.90 | 22 | ||||||||||||||||||||
13.16 | 9.48 | 2,004 | 0.82 | 0.82 | 3.45 | 21 | ||||||||||||||||||||
12.19 | 5.93 | 628 | 0.83 | 0.83 | 2.71 | 41 | ||||||||||||||||||||
11.83 | 1.35 | 1 | 1.00 | 1.00 | (2.37 | ) | 29 |
See accompanying notes to financial statements.
| 52
Table of Contents
Financial Highlights (continued)
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (loss) (a) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income | Distributions from net realized capital gains | Total distributions | ||||||||||||||||||||||
NATIXIS U.S. EQUITY OPPORTUNITIES FUND* | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
6/30/2014(g) | $ | 33.07 | $ | 0.01 | $ | 2.51 | $ | 2.52 | $ | — | $ | (0.48 | ) | $ | (0.48 | ) | ||||||||||||
12/31/2013 | 26.35 | (0.04 | ) | 9.34 | 9.30 | — | (2.58 | ) | (2.58 | ) | ||||||||||||||||||
12/31/2012 | 23.56 | 0.07 | 4.12 | 4.19 | (0.07 | ) | (1.33 | ) | (1.40 | ) | ||||||||||||||||||
12/31/2011 | 25.17 | (0.04 | ) | (0.69 | ) | (0.73 | ) | — | (0.88 | ) | (0.88 | ) | ||||||||||||||||
12/31/2010 | 20.68 | 0.03 | (i) | 4.50 | 4.53 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
12/31/2009 | 15.16 | (0.01 | ) | 5.53 | 5.52 | — | — | — | ||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
6/30/2014(g) | 26.91 | (0.10 | ) | 2.04 | 1.94 | — | (0.48 | ) | (0.48 | ) | ||||||||||||||||||
12/31/2013 | 21.98 | (0.22 | ) | 7.73 | 7.51 | — | (2.58 | ) | (2.58 | ) | ||||||||||||||||||
12/31/2012 | 19.93 | (0.12 | ) | 3.50 | 3.38 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
12/31/2011 | 21.60 | (0.21 | ) | (0.58 | ) | (0.79 | ) | — | (0.88 | ) | (0.88 | ) | ||||||||||||||||
12/31/2010 | 17.85 | (0.12 | )(i) | 3.87 | 3.75 | — | — | — | ||||||||||||||||||||
12/31/2009 | 13.19 | (0.12 | ) | 4.78 | 4.66 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
6/30/2014(g) | 26.92 | (0.09 | ) | 2.03 | 1.94 | — | (0.48 | ) | (0.48 | ) | ||||||||||||||||||
12/31/2013 | 21.99 | (0.22 | ) | 7.73 | 7.51 | — | (2.58 | ) | (2.58 | ) | ||||||||||||||||||
12/31/2012 | 19.94 | (0.11 | ) | 3.49 | 3.38 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
12/31/2011 | 21.61 | (0.20 | ) | (0.59 | ) | (0.79 | ) | — | (0.88 | ) | (0.88 | ) | ||||||||||||||||
12/31/2010 | 17.86 | (0.12 | )(i) | 3.87 | 3.75 | — | — | — | ||||||||||||||||||||
12/31/2009 | 13.19 | (0.12 | ) | 4.79 | 4.67 | — | — | — | ||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||
6/30/2014(g) | 36.32 | 0.06 | 2.76 | 2.82 | — | (0.48 | ) | (0.48 | ) | |||||||||||||||||||
12/31/2013 | 28.68 | 0.05 | 10.17 | 10.22 | — | (2.58 | ) | (2.58 | ) | |||||||||||||||||||
12/31/2012 | 25.52 | 0.17 | 4.46 | 4.63 | (0.14 | ) | (1.33 | ) | (1.47 | ) | ||||||||||||||||||
12/31/2011 | 27.12 | 0.04 | (0.76 | ) | (0.72 | ) | — | (0.88 | ) | (0.88 | ) | |||||||||||||||||
12/31/2010 | 22.27 | 0.05 | (i) | 4.90 | 4.95 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
12/31/2009 | 16.29 | 0.04 | 5.94 | 5.98 | — | — | — |
* | Formerly Natixis U.S. Multi-Cap Equity Fund. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(d) | A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
See accompanying notes to financial statements.
53 |
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|
|
|
| Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Increase from regulatory settlements (b) | Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (loss) (%) (f) | Portfolio turnover rate (%) | |||||||||||||||||||||||
$ — | $ | 35.11 | 7.71 | $ | 391,886 | 1.30 | (h) | 1.30 | (h) | 0.06 | 85 | |||||||||||||||||||
— | 33.07 | 35.75 | 371,102 | 1.30 | 1.32 | (0.12 | ) | 50 | ||||||||||||||||||||||
— | 26.35 | 17.79 | 289,898 | 1.30 | 1.35 | 0.25 | 52 | |||||||||||||||||||||||
— | 23.56 | (2.79 | ) | 281,467 | 1.34 | (i) | 1.38 | (0.15 | ) | 97 | ||||||||||||||||||||
0.00 | 25.17 | 21.90 | 314,384 | 1.40 | 1.50 | 0.14 | (j) | 79 | ||||||||||||||||||||||
— | 20.68 | 36.41 | 280,846 | 1.40 | 1.56 | (0.05 | ) | 115 | ||||||||||||||||||||||
— | 28.37 | 7.32 | 4,938 | 2.05 | (h) | 2.05 | (h) | (0.72 | ) | 85 | ||||||||||||||||||||
— | 26.91 | 34.70 | 7,708 | 2.05 | 2.07 | (0.89 | ) | 50 | ||||||||||||||||||||||
— | 21.98 | 16.97 | 11,172 | 2.05 | 2.10 | (0.55 | ) | 52 | ||||||||||||||||||||||
— | 19.93 | (3.53 | ) | 16,820 | 2.10 | (i) | 2.13 | (0.94 | ) | 97 | ||||||||||||||||||||
0.00 | 21.60 | 21.01 | 28,787 | 2.15 | 2.25 | (0.66 | )(j) | 79 | ||||||||||||||||||||||
— | 17.85 | 35.33 | 37,406 | 2.15 | 2.31 | (0.80 | ) | 115 | ||||||||||||||||||||||
— | 28.38 | 7.31 | 48,909 | 2.05 | (h) | 2.05 | (h) | (0.68 | ) | 85 | ||||||||||||||||||||
— | 26.92 | 34.69 | 44,150 | 2.05 | 2.07 | (0.86 | ) | 50 | ||||||||||||||||||||||
— | 21.99 | 16.96 | 30,525 | 2.05 | 2.10 | (0.49 | ) | 52 | ||||||||||||||||||||||
— | 19.94 | (3.53 | ) | 28,462 | 2.09 | (i) | 2.13 | (0.90 | ) | 97 | ||||||||||||||||||||
0.00 | 21.61 | 21.00 | 30,912 | 2.15 | 2.25 | (0.62 | )(j) | 79 | ||||||||||||||||||||||
— | 17.86 | 35.41 | 28,580 | 2.15 | 2.31 | (0.80 | ) | 115 | ||||||||||||||||||||||
— | 38.66 | 7.85 | 29,746 | 1.05 | (h) | 1.05 | (h) | 0.32 | 85 | |||||||||||||||||||||
— | 36.32 | 36.06 | 24,661 | 1.05 | 1.07 | 0.13 | 50 | |||||||||||||||||||||||
— | 28.68 | 18.15 | 11,035 | 1.05 | 1.10 | 0.61 | 52 | |||||||||||||||||||||||
— | 25.52 | (2.56 | ) | 2,047 | 1.09 | (i) | 1.14 | 0.16 | 97 | |||||||||||||||||||||
0.00 | 27.12 | 22.21 | 1,317 | 1.15 | 1.24 | 0.22 | (j) | 79 | ||||||||||||||||||||||
— | 22.27 | 36.71 | 5,325 | 1.15 | 1.22 | 0.20 | 115 |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
(h) | Includes fee/expense recovery of 0.02%. |
(i) | Effective June 1, 2011, the expense limit decreased to 1.30%, 2.05%, 2.05% and 1.05% for Class A, Class B, Class C and Class Y shares, respectively. |
(j) | Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.04), $(0.18), $(0.18) and $(0.02) for Class A, Class B, Class C and Class Y shares, respectively, and the ratio of net investment loss to average net assets would have been (0.19)%, (0.98)%, (0.94)% and (0.08)% for Class A, Class B, Class C and Class Y shares, respectively. |
See accompanying notes to financial statements.
| 54
Table of Contents
June 30, 2014 (Unaudited)
1. Organization. Natixis Funds Trust I and Natixis Funds Trust II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Natixis Funds Trust I:
Natixis Diversified Income Fund (the “Diversified Income Fund”)
Natixis U.S. Equity Opportunities Fund (the “U.S. Equity Opportunities Fund”) (formerly Natixis U.S. Multi-Cap Equity Fund)
Natixis Funds Trust II:
McDonnell Intermediate Municipal Bond Fund (the “Intermediate Municipal Bond Fund”)
Each Fund is a diversified investment company.
Each Fund offers Class A, Class C and Class Y shares. Effective October 12, 2007, Class B shares of U.S. Equity Opportunities Fund are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the prospectus.
Class A shares are sold with a maximum front-end sales charge of 3.50%, 4.50% and 5.75%, for Intermediate Municipal Bond Fund, Diversified Income Fund and U.S. Equity Opportunities Fund, respectively. Class B shares do not pay a front-end sales charge; however, they are charged higher Rule 12b-1 fees, and are subject to a contingent deferred sales charge (“CDSC”) of 5.00% if such shares are redeemed within six years of purchase. After eight years of ownership, Class B shares convert to Class A shares. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher ongoing Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.
Most expenses of the Trusts can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each
55 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. Domestic exchange-traded single equity option contracts are valued at the mean of the National
| 56
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Best Bid and Offer quotations. Bilateral interest rate swaps are valued based on prices supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Centrally cleared interest rate swaps are valued at settlement prices of the clearinghouse on which the contracts were traded, if available, or prices obtained from broker-dealers. Interest rate swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices obtained from broker-dealers. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time a Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of the investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions
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received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. The books and records of the Funds 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. Certain Funds 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 reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a 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
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date. Contracts are traded over-the-counter directly with a counterparty. 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.
e. Futures Contracts. Certain Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Option Contracts. Certain Funds may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
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When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the equity underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced. Over-the-counter (“OTC”) options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
For the six months ended June 30, 2014, the Funds were not party to any OTC options.
g. Swaptions. Diversified Income Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.
When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap
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to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.
OTC interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.
h. Swap Agreements. Diversified Income Fund may enter into interest rate swaps.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or loss when received or paid. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking liquid assets or cash.
For the six months ended June 30, 2014, Diversified Income Fund was not party to any interest rate swaps.
i. Federal and Foreign Income Taxes. Each Trust treats each fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Funds’
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June 30, 2014 (Unaudited)
federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as net operating losses, inflation protected securities, contingent payment debt instruments, premium amortization, paydown gains and losses, defaulted bonds, interest rate swap adjustments, return of capital and capital gain distributions received, foreign currency transactions and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, defaulted bonds, trust preferred securities, contingent payment debt instruments, return of capital distributions received, wash sales and futures and forward foreign currency contract mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
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The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2013 was as follows:
2013 Distributions Paid From: | ||||||||||||||||
Fund | Ordinary Income | Tax Income | Long-Term | Total | ||||||||||||
Intermediate Municipal Bond Fund | $ | — | $ | 225,858 | $ | — | $ | 225,858 | ||||||||
Diversified Income Fund | 3,088,880 | — | — | 3,088,880 | ||||||||||||
U.S. Equity Opportunities Fund | 2,591,791 | — | 30,926,551 | 33,518,342 |
Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.
As of December 31, 2013, capital loss carryforwards were as follows:
Intermediate Bond Fund | Diversified | |||||||
Capital loss carryforward: | ||||||||
Short-term: | ||||||||
Expires December 31, 2017 | $ | — | $ | (10,106,858 | ) | |||
No expiration date | (342,616 | ) | — | |||||
Long-term: | ||||||||
No expiration date | (5,710 | ) | — | |||||
|
|
|
| |||||
Total capital loss carryforward | $ | (348,326 | ) | $ | (10,106,858 | ) | ||
|
|
|
|
Capital losses may be utilized to offset future capital gains until expiration. The Regulated Investment Company Modernization Act of 2010 (the “Act”) allows capital loss carryforwards to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date may expire unused.
k. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each 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
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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. As of June 30, 2014, each Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.
l. Delayed Delivery Commitments. The Funds 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.
m. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of
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June 30, 2014 (Unaudited)
the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.
For the six months ended June 30, 2014, none of the Funds had loaned securities under this agreement.
n. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each 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 each 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 Funds’ investments as of June 30, 2014, at value:
Intermediate Municipal Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes(a) | $ | — | $ | 25,804,108 | $ | — | $ | 25,804,108 | ||||||||
Short-Term Investments | — | 2,559,007 | — | 2,559,007 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 28,363,115 | $ | — | $ | 28,363,115 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
Diversified Income Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 70,424,719 | $ | — | $ | — | $ | 70,424,719 | ||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Other | — | — | 678,752 | (b) | 678,752 | |||||||||||
Airlines | — | 597,798 | 1,426,875 | (b) | 2,024,673 | |||||||||||
All Other Non-Convertible Bonds(a) | — | 55,759,168 | — | 55,759,168 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 56,356,966 | 2,105,627 | 58,462,593 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 3,819,568 | — | 3,819,568 | ||||||||||||
Municipals(a) | — | 38,931 | — | 38,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 60,215,465 | 2,105,627 | 62,321,092 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Non-Convertible Preferred Stocks(a) | 1,003,052 | — | — | 1,003,052 | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
REITs – Mortgage | — | 113,929 | — | 113,929 | ||||||||||||
All Other Convertible Preferred Stocks(a) | 558,693 | — | — | 558,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stocks | 558,693 | 113,929 | — | 672,622 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 1,561,745 | 113,929 | — | 1,675,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 79,148 | — | 79,148 | ||||||||||||
Purchased Swaptions(a) | — | 318,452 | — | 318,452 | ||||||||||||
Short-Term Investments | — | 4,294,380 | — | 4,294,380 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 71,986,464 | 65,021,374 | 2,105,627 | 139,113,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 13,021 | — | 13,021 | ||||||||||||
Futures Contracts (unrealized appreciation) | 9,928 | — | — | 9,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 71,996,392 | $ | 65,034,395 | $ | 2,105,627 | $ | 139,136,414 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Swaptions(a) | $ | — | $ | (171,963 | ) | $ | — | $ | (171,963 | ) | ||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (2,455 | ) | — | (2,455 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (174,418 | ) | $ | — | $ | (174,418 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Valued using broker-dealer bid prices. |
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A preferred stock valued at $89,334 was transferred from Level 2 to Level 1 during the period ended June 30, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available. At June 30, 2014, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.
U.S. Equity Opportunities Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks(a) | $ | 468,212,282 | $ | — | $ | — | $ | 468,212,282 | ||||||||
Short-Term Investments | — | 7,815,088 | — | 7,815,088 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 468,212,282 | $ | 7,815,088 | $ | — | $ | 476,027,370 | ||||||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
For the six months ended June 30, 2014, there were no transfers among Levels 1, 2 and 3.
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or June 30, 2014:
Diversified Income Fund
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Other | $ | 284,200 | $ | — | $ | — | $ | 4,613 | $ | 389,939 | ||||||||||
Airlines | 1,487,108 | 35 | 962 | 42,617 | — | |||||||||||||||
Retailers | 254,668 | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,025,976 | $ | 35 | $ | 962 | $ | 47,230 | $ | 389,939 | ||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Other | $ | — | $ | — | $ | — | $ | 678,752 | $ | 4,613 | ||||||||||
Airlines | (103,847 | ) | — | — | 1,426,875 | 46,096 | ||||||||||||||
Retailers | — | — | (254,668 | ) | — | — | ||||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Total | $ | (103,847 | ) | $ | — | $ | (254,668 | ) | $ | 2,105,627 | $ | 50,709 | ||||||||
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|
|
A debt security valued at $254,668 was transferred from Level 3 to Level 2 during the period ended June 30, 2014. At December 31, 2013, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
4. 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 Diversified Income Fund and U.S. Equity Opportunities Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and interest rate swaptions.
Diversified Income Fund may use interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the six months ended June 30, 2014, the Fund engaged in interest rate swaptions for this purpose.
Diversified Income 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. During the six months ended June 30, 2014, the Fund engaged in forward foreign currency transactions for hedging purposes.
Diversified Income Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the six months ended June 30, 2014, the Fund used futures contracts to manage duration and used interest rate swaptions for hedging purposes and to manage duration.
The Funds are subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. U.S. Equity Opportunities Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use futures contracts, purchased call options and written put options for investment purposes. During the six months ended June 30, 2014, the Fund engaged in futures contracts and purchased put option transactions for hedging purposes and futures contracts and written put option transactions for investment purposes.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a summary of derivative instruments for Diversified Income Fund as of June 30, 2014, as reflected within the Statements of Assets and Liabilities:
Assets | Investments at value1 | Unrealized | Unrealized | Total | ||||||||||||
Over-the-counter asset derivatives | ||||||||||||||||
Interest rate contracts | $ | 318,452 | $ | — | $ | — | $ | 318,452 | ||||||||
Foreign exchange contracts | — | 13,021 | — | 13,021 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total over-the-counter asset derivatives | $ | 318,452 | $ | 13,021 | $ | — | $ | 331,473 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange traded/cleared asset derivatives | ||||||||||||||||
Interest rate contracts | — | — | 9,928 | 9,928 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Total asset derivatives | $ | 318,452 | $ | 13,021 | $ | 9,928 | $ | 341,401 | ||||||||
|
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|
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|
|
| |||||||||
Liabilities | Swaptions written at value | Unrealized | Total | |||||||||||||
Over-the-counter liability derivatives | ||||||||||||||||
Interest rate contracts | $ | (171,963 | ) | $ | — | $ | (171,963 | ) | ||||||||
Foreign exchange contracts | — | (2,455 | ) | (2,455 | ) | |||||||||||
|
|
|
|
|
| |||||||||||
Total over-the-counter liability derivatives | $ | (171,963 | ) | $ | (2,455 | ) | $ | (174,418 | ) | |||||||
|
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|
|
|
|
1 | Represents purchased swaptions, at value. |
2 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Transactions in derivative instruments for Diversified Income Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Investments3 | Futures | Swaptions | Foreign | ||||||||||||
Interest rate contracts | $ | (659,054 | ) | $ | (92,227 | ) | $ | 475,362 | $ | — | ||||||
Foreign exchange contracts | — | — | — | (5,272 | ) | |||||||||||
Net Change in Unrealized Appreciation | Investments3 | Futures | Swaptions | Foreign | ||||||||||||
Interest rate contracts | $ | (78,232 | ) | $ | 6,057 | $ | 45,741 | $ | — | |||||||
Foreign exchange contracts | — | — | — | 9,285 |
3 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for purchased swaptions during the period. |
4 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations. |
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Transactions in derivative instruments for U.S. Equity Opportunities Fund during the six months ended June 30, 2014 as reflected within the Statements of Operations were as follows:
Net Realized Gain (Loss) on: | Investments1 | Options written | Futures | |||||||||
Equity contracts | $ | 85,425 | $ | (21,977 | ) | $ | 268,061 |
1 | Represents realized gain for purchased options during the period. |
As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they 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 these disclosures.
The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets, for Diversified Income Fund and U.S. Equity Opportunities Fund, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:
Diversified Income Fund | Forwards | Futures | ||||||
Average Notional Amount Outstanding | 1.08 | % | 1.08 | % | ||||
Highest Notional Amount Outstanding | 1.32 | % | 1.42 | % | ||||
Lowest Notional Amount Outstanding | 0.77 | % | 0.21 | % | ||||
Notional Amount Outstanding as of June 30, 2014 | 1.20 | % | 1.38 | % | ||||
U.S. Equity Opportunities Fund | Futures | |||||||
Average Notional Amount Outstanding | 0.18 | % | ||||||
Highest Notional Amount Outstanding | 2.09 | % | ||||||
Lowest Notional Amount Outstanding | 0.00 | % | ||||||
Notional Amount Outstanding as of June 30, 2014 | 0.00 | % |
Notional amounts outstanding at the end of the prior period, if applicable, for forward foreign currency contracts are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward and futures are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Fund’s net assets.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The volume of interest rate swaption activity, as a percentage of net assets, for Diversified Income Fund, based on average premiums paid or received during the period, including long and short positions, at absolute value, was as follows for the six months ended June 30, 2014:
Diversified Income Fund | Interest Rate Put Swaptions | Interest Rate Call Written | Interest Rate Call Purchased | Interest Rate Put | ||||||||||||
Average Premium Paid/Received | 0.01 | % | 0.35 | % | 0.54 | % | 0.07 | % | ||||||||
Highest Premium Paid/Received | 0.02 | % | 0.44 | % | 0.67 | % | 0.12 | % | ||||||||
Lowest Premium Paid/Received | 0.00 | % | 0.15 | % | 0.26 | % | 0.02 | % | ||||||||
Premium Paid/Received as of June 30, 2014 | 0.00 | % | 0.15 | % | 0.26 | % | 0.02 | % |
The volume of option contract activity, as a percentage of net assets, for U.S. Equity Opportunities Fund, based on daily market values of equity securities underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2014:
U.S. Equity Opportunities Fund* | Put Options | Put Options Written | ||||||
Average Market Value of Underlying Securities | 0.75 | % | 0.01 | % | ||||
Highest Market Value of Underlying Securities | 4.41 | % | 2.78 | % | ||||
Lowest Market Value of Underlying Securities | 0.00 | % | 0.00 | % | ||||
Market Value of Underlying Securities as of June 30, 2014 | 0.00 | % | 0.00 | % |
* | Market value of underlying securities is determined by multiplying option shares by the price of the option’s underlying security, as determined by the Fund’s Pricing Policies and Procedures. |
Market value of underlying securities at the end of the prior period, if applicable, are included in the averages above.
The following is a summary of Diversified Income Fund’s written swaption activity:
Notional Amount | Premiums | |||||||
Outstanding at December 31, 2013 | $ | 34,950,000 | $ | 588,139 | ||||
Swaptions written | 9,000,000 | 212,040 | ||||||
Swaptions expired | (17,450,000 | ) | (28,139 | ) | ||||
Swaptions terminated in closing purchase transactions | (17,500,000 | ) | (560,000 | ) | ||||
|
|
|
| |||||
Outstanding at June 30, 2014 | $ | 9,000,000 | $ | 212,040 | ||||
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|
|
|
| 72
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a summary of U.S. Equity Opportunities Fund’s written option activity:
Notional Amount | Premiums | |||||||
Outstanding at December 31, 2013 | $ | — | $ | — | ||||
Options written | 486 | 35,026 | ||||||
Options terminated in closing purchase transactions | (486 | ) | (35,026 | ) | ||||
|
|
|
| |||||
Outstanding at June 30, 2014 | $ | — | $ | — | ||||
|
|
|
|
Diversified Income Fund enters into over-the counter derivatives, including forward foreign currency contracts and interest rate swaptions, pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.
As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements for Diversified Income Fund, by counterparty, are as follows:
Counterparty | Gross | Offset | Net | Collateral | Net | |||||||||||||||
Barclays Bank PLC | $ | 318,103 | $ | (171,963 | ) | $ | 146,140 | $ | — | $ | 146,140 | |||||||||
Goldman Sachs International | 13,370 | — | 13,370 | — | 13,370 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 331,473 | $ | (171,963 | ) | $ | 159,510 | $ | — | $ | 159,510 | ||||||||||
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|
|
|
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|
|
|
73 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Counterparty | Gross | Offset | Net | Collateral | Net | |||||||||||||||
Barclays Bank PLC | $ | (171,963 | ) | $ | 171,963 | $ | — | $ | — | $ | — | |||||||||
Credit Suisse International | (2,455 | ) | — | (2,455 | ) | — | (2,455 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (174,418 | ) | $ | 171,963 | $ | (2,455 | ) | $ | — | $ | (2,455 | ) | ||||||||
|
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|
|
|
|
|
|
|
|
The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements for Diversified Income Fund include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
into account master netting provisions pursuant to ISDA agreements, as of June 30, 2014:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||
$371,473 | $ | 199,510 |
5. Purchases and Sales of Securities. For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were as follows:
Fund | Purchases | Sales | ||||||
Intermediate Municipal Bond Fund | $ | 6,430,962 | $ | 1,511,009 | ||||
Diversified Income Fund | 8,496,473 | 12,517,257 | ||||||
U.S. Equity Opportunities Fund | 377,562,651 | 377,638,418 |
For the six months ended June 30, 2014, purchases and sales of U.S. Government/Agency securities by Diversified Income Fund were $18,056,950 and $15,313,354, respectively.
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. NGAM Advisors, L.P. (“NGAM Advisors”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||||
Fund | First $200 million | Next $800 million | Over $1 billion | |||||||||
Intermediate Municipal Bond Fund | 0.40 | % | 0.40 | % | 0.40 | % | ||||||
Diversified Income Fund | 0.55 | % | 0.55 | % | 0.50 | % | ||||||
U.S. Equity Opportunities Fund | 0.80 | % | 0.80 | % | 0.80 | % |
NGAM Advisors has entered into subadvisory agreements for each Fund as listed below.
Intermediate Municipal Bond Fund | McDonnell Investment Management, LLC (“McDonnell”) | |
Diversified Income Fund | AEW Capital Management, L.P. (“AEW”) Loomis, Sayles & Company, L.P. (“Loomis Sayles”) | |
U.S. Equity Opportunities Fund | Harris Associates L.P. (“Harris”) Loomis Sayles |
75 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Under the terms of the subadvisory agreements, each Fund has agreed to pay its respective subadviser(s) a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s/Segment’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||
Fund | Subadviser | First $250 million | Over $250 million | |||||||
Intermediate Municipal Bond Fund | McDonnell | 0.20 | % | 0.20 | % | |||||
Diversified Income Fund | ||||||||||
Diversified REIT Discipline | AEW | 0.45 | % | 0.40 | % | |||||
Inflation Protected Securities Discipline | Loomis Sayles | 0.25 | % | 0.20 | % | |||||
Multi-Sector Bond Discipline | Loomis Sayles | 0.35 | % | 0.30 | % | |||||
U.S. Equity Opportunities Fund | ||||||||||
Large Cap Growth Segment | Harris | 0.52 | % | 0.52 | % | |||||
All Cap Growth Segment | Loomis Sayles | 0.35 | % | 0.35 | % |
Prior to February 28, 2014, U.S. Equity Opportunities Fund paid a subadvisory fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s/Segment’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||||||
Fund | Subadviser | First $250 million | Over $250 million | |||||||
U.S. Equity Opportunities Fund | ||||||||||
Harris Associates Segment | Harris | 0.45 | % | 0.40 | % | |||||
Large Cap Growth Segment | Loomis Sayles | 0.25 | % | 0.25 | % | |||||
Mid Cap Growth Segment | Loomis Sayles | 0.50 | % | 0.45 | % | |||||
Small/Mid Core Segment | Loomis Sayles | 0.50 | % | 0.45 | % |
Payments to NGAM Advisors are reduced by the amounts of payments to the subadvisers, as calculated based on the table above.
NGAM Advisors has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until April 30, 2015 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
| 76
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Class A | Class B | Class C | Class Y | ||||||||||||
Intermediate Municipal Bond Fund | 0.80 | % | — | 1.55 | % | 0.55 | % | |||||||||
Diversified Income Fund | 1.25 | % | — | 2.00 | % | 1.00 | % | |||||||||
U.S. Equity Opportunities Fund | 1.30 | % | 2.05 | % | 2.05 | % | 1.05 | % |
NGAM Advisors shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2014, the management fees and waivers of management fees for each Fund were as follows:
Fund | Gross | Contractual | Voluntary | Net | Percentage of | |||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Intermediate Municipal Bond Fund | $ | 48,365 | $ | 48,365 | $ | — | $ | — | 0.40 | % | — | |||||||||||||
Diversified Income Fund | 360,385 | — | 3,009 | 357,376 | 0.55 | % | 0.55 | % | ||||||||||||||||
U.S. Equity Opportunities Fund | 1,804,419 | — | — | 1,804,419 | 0.80 | % | 0.80 | % |
1 | Management fee waivers are subject to possible recovery until December 31, 2015. |
For the six months ended June 30, 2014, expenses have been reimbursed as follows:
Fund | Reimbursement2 | |||
Intermediate Municipal Bond Fund | $ | 14,312 |
2 | Expense reimbursements are subject to possible recovery until December 31, 2015. |
For the six months ended June 30, 2014, expense reimbursements related to the prior fiscal year were recovered as follows:
Recovered Expenses | ||||||||
Fund | Class A | Class B | Class C | Class Y | ||||
U.S. Equity Opportunities Fund | $32,820 | $709 | $3,922 | $2,101 |
Certain officers and directors of NGAM Advisors and its affiliates are also officers or Trustees of the Funds. NGAM Advisors, AEW, McDonnell, Hansberger, Loomis Sayles and Harris are subsidiaries of Natixis Global Asset Management, L.P. (“Natixis US”),
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.
b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.
Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class B (if applicable) and Class C shares (the “Class B and Class C Plans”).
Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class B (if applicable) and Class C shares and/or the maintenance of shareholder accounts.
Also under the Class B (if applicable) and Class C Plans, each Fund pays NGAM Distribution a monthly distribution fee at an annual rate of 0.75% of the average daily net assets attributable to the Funds’ Class B (if applicable) and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B (if applicable) and Class C shares.
For the six months ended June 30, 2014, the service and distribution fees for each Fund were as follows:
Service Fees | Distribution Fees | |||||||||||||||||||
Fund | Class A | Class B | Class C | Class B | Class C | |||||||||||||||
Intermediate Municipal Bond Fund | $ | 1,356 | $ | — | $ | 278 | $ | — | $ | 834 | ||||||||||
Diversified Income Fund | 100,994 | — | 61,439 | — | 184,315 | |||||||||||||||
U.S. Equity Opportunities Fund | 465,811 | 7,521 | 56,940 | 22,564 | 170,820 |
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and NGAM
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
For the six months ended June 30, 2014, the administrative fees for each Fund were as follows:
Fund | Administrative | |||
Intermediate Municipal Bond Fund | $ | 5,262 | ||
Diversified Income Fund | 28,521 | |||
U.S. Equity Opportunities Fund | 98,182 |
Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers.
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:
Fund | Sub-Transfer | |||
Intermediate Municipal Bond Fund | $ | 964 | ||
Diversified Income Fund | 36,095 | |||
U.S. Equity Opportunities Fund | 77,183 |
As of June 30, 2014, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):
Fund | Reimbursements | |||
Intermediate Municipal Bond Fund | $ | 163 | ||
Diversified Income Fund | 989 | |||
U.S. Equity Opportunities Fund | 2,090 |
Sub-transfer agent fees attributable to Class A, Class B, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 were as follows:
Fund | Commissions | |||
Intermediate Municipal Bond Fund | $ | 1,749 | ||
Diversified Income Fund | 51,795 | |||
U.S. Equity Opportunities Fund | 136,190 |
f. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
$6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees on the Statements of Assets and Liabilities.
g. Affiliated Ownership. As of June 30, 2014, Natixis US held shares of Intermediate Municipal Bond Fund representing 73.16% of the Fund’s net assets. Investment activities of affiliated shareholders could have material impacts on the Funds.
7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participates in the line of credit. Interest is charged to each participating Fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2014, none of the Funds had borrowings under this agreement.
8. Brokerage Commission Recapture. Certain Funds have entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Operations. For the six months ended June 30, 2014, amounts rebated under these agreements were as follows:
Fund | Rebates | |||
Diversified Income Fund | $ | 118 | ||
U.S. Equity Opportunities Fund | 5,359 |
9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
10. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2014 | | | Year Ended December 31, 2013 | | |||||||||||
Intermediate Municipal Bond Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 52,605 | $ | 517,029 | 110,750 | $ | 1,054,332 | ||||||||||
Issued in connection with the reinvestment of distributions | 655 | 6,408 | 394 | 3,760 | ||||||||||||
Redeemed | (16,641 | ) | (161,274 | ) | (1,534 | ) | (14,587 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net change | 36,619 | $ | 362,163 | 109,610 | $ | 1,043,505 | ||||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 49,912 | $ | 487,563 | 5,672 | $ | 54,216 | ||||||||||
Issued in connection with the reinvestment of distributions | 35 | 347 | 3 | 32 | ||||||||||||
Redeemed | (1,277 | ) | (12,578 | ) | (3 | ) | (30 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 48,670 | $ | 475,332 | 5,672 | $ | 54,218 | ||||||||||
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|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 365,833 | $ | 3,588,533 | 764,014 | $ | 7,476,085 | ||||||||||
Issued in connection with the reinvestment of distributions | 15,836 | 154,781 | 22,939 | 221,518 | ||||||||||||
Redeemed | (66,829 | ) | (655,912 | ) | (12,359 | ) | (117,054 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 314,840 | $ | 3,087,402 | 774,594 | $ | 7,580,549 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 400,129 | $ | 3,924,897 | 889,876 | $ | 8,678,272 | ||||||||||
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| |||||||||
| Six Months Ended June 30, 2014 | | | Year Ended December 31, 2013 | | |||||||||||
Diversified Income Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 793,660 | $ | 10,098,598 | 2,296,819 | $ | 28,186,176 | ||||||||||
Issued in connection with the reinvestment of distributions | 70,110 | 898,421 | 143,499 | 1,747,254 | ||||||||||||
Redeemed | (828,694 | ) | (10,457,987 | ) | (2,574,911 | ) | (31,275,395 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 35,076 | $ | 539,032 | (134,593 | ) | $ | (1,341,965 | ) | ||||||||
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
10. Capital Shares (continued).
Class C | ||||||||||||||||
Issued from the sale of shares | 263,059 | $ | 3,344,109 | 1,235,545 | $ | 15,057,397 | ||||||||||
Issued in connection with the reinvestment of distributions | 19,917 | 254,928 | 44,750 | 543,265 | ||||||||||||
Redeemed | (385,616 | ) | (4,873,294 | ) | (1,505,441 | ) | (18,273,142 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (102,640 | ) | $ | (1,274,257 | ) | (225,146 | ) | $ | (2,672,480 | ) | ||||||
|
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|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 200,829 | $ | 2,547,055 | 101,531 | $ | 1,240,996 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,471 | 18,912 | 1,769 | 21,605 | ||||||||||||
Redeemed | (101,589 | ) | (1,273,586 | ) | (51,841 | ) | (631,148 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 100,711 | $ | 1,292,381 | 51,459 | $ | 631,453 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 33,147 | $ | 557,156 | (308,280 | ) | $ | (3,382,992 | ) | ||||||||
|
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|
|
|
|
|
|
| Six Months Ended June 30, 2014 | | | Year Ended December 31, 2013 | | |||||||||||
U.S. Equity Opportunities Fund | Shares | Amount | Shares | Amount | ||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 405,110 | $ | 13,654,118 | 758,252 | $ | 23,078,823 | ||||||||||
Issued in connection with the reinvestment of distributions | 155,170 | 5,157,867 | 830,421 | 26,527,755 | ||||||||||||
Redeemed | (622,516 | ) | (20,926,176 | ) | (1,366,195 | ) | (41,781,217 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (62,236 | ) | $ | (2,114,191 | ) | 222,478 | $ | 7,825,361 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued from the sale of shares | 2,709 | $ | 73,674 | 8,879 | $ | 231,157 | ||||||||||
Issued in connection with the reinvestment of distributions | 3,931 | 105,786 | 28,040 | 726,359 | ||||||||||||
Redeemed | (119,021 | ) | (3,237,631 | ) | (258,805 | ) | (6,503,881 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (112,381 | ) | $ | (3,058,171 | ) | (221,886 | ) | $ | (5,546,365 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 183,171 | $ | 5,039,043 | 328,959 | $ | 8,489,719 | ||||||||||
Issued in connection with the reinvestment of distributions | 26,620 | 716,620 | 131,853 | 3,444,408 | ||||||||||||
Redeemed | (126,774 | ) | (3,459,440 | ) | (209,109 | ) | (5,252,836 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 83,017 | $ | 2,296,223 | 251,703 | $ | 6,681,291 | ||||||||||
|
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|
|
|
|
|
| |||||||||
Class Y | ||||||||||||||||
Issued from the sale of shares | 339,938 | $ | 12,514,901 | 696,498 | $ | 23,425,027 | ||||||||||
Issued in connection with the reinvestment of distributions | 7,456 | 272,738 | 39,615 | 1,392,630 | ||||||||||||
Redeemed | (257,084 | ) | (9,251,329 | ) | (441,890 | ) | (15,082,762 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 90,310 | $ | 3,536,310 | 294,223 | $ | 9,734,895 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | (1,290 | ) | $ | 660,171 | 546,518 | $ | 18,695,182 | |||||||||
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SEMIANNUAL REPORT
June 30, 2014
Loomis Sayles Strategic Alpha Fund
Portfolio Review page 1
Portfolio of Investments page 8
Financial Statements page 31
Notes to Financial Statements page 37
Barron’s/Lipper 2013 one-year ranking is based on 64 qualifying U.S. fund companies. Award recipient must have at least three funds in Lipper’s general U.S.-stock category (including at least one world and one mixed-asset/balanced), two taxable bond and one tax-exempt bond fund. Natixis was not ranked for the 5- and 10-year periods. Past performance is no guarantee of future results.
For more details visit ngam.natixis.com/TopFundFamily
Table of Contents
LOOMIS SAYLES STRATEGIC ALPHA FUND
Managers | Symbols | |
Matthew J. Eagan, CFA® | Class A LABAX | |
Kevin P. Kearns | Class C LABCX | |
Todd P. Vandam, CFA® | Class Y LASYX | |
Loomis, Sayles & Company, L.P. |
Objective
Seeks to provide an attractive absolute total return, complemented by prudent investment management designed to manage risks and protect investor capital while maintaining relatively low volatility.
Average Annual Total Returns — June 30, 20144
6 Months | 1 Year | Life of Fund | ||||||||||
Class A (Inception 12/15/10) | ||||||||||||
NAV | 2.15 | % | 3.69 | % | 3.17 | % | ||||||
With 4.50% Maximum Sales Charge | -2.41 | -0.95 | 1.84 | |||||||||
Class C (Inception 12/15/10) | ||||||||||||
NAV | 1.79 | 3.01 | 2.38 | |||||||||
With CDSC1 | 0.79 | 2.01 | 2.38 | |||||||||
Class Y (Inception 12/15/10) | ||||||||||||
NAV | 2.27 | 3.96 | 3.40 | |||||||||
Comparative Performance | ||||||||||||
3-Month LIBOR2 | 0.12 | 0.26 | 0.34 | |||||||||
3-Month LIBOR + 300 basis points3 | 1.62 | 3.31 | 3.40 |
Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses.
1 | Performance for Class C shares assumes a 1% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
2 | 3-Month LIBOR, or the London Interbank Offered Rate, represents the average rate at which a leading bank, for a given currency (in this case U.S. dollars), can obtain unsecured funding, and is representative of short-term interest rates. |
3 | 3-Month LIBOR +300 basis points is created by adding 3.00% to the annual percentage change of the 3-Month LIBOR. |
4 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
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Table of Contents
ADDITIONAL INFORMATION
ADDITIONAL INDEX INFORMATION
This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.
The index information contained herein is derived form third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information, disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.
PROXY VOTING INFORMATION
A description of the Fund’s proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the Fund’s website at ngam.natixis.com; and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. Information regarding how the fund voted proxies relating to portfolio securities during the 12-months ended June 30, 2014 is available on the Fund’s website and the SEC’s website.
QUARTERLY PORTFOLIO SCHEDULES
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
| 2
Table of Contents
UNDERSTANDING FUND EXPENSES
As a mutual fund shareholder, you incur different types of costs: transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class shows the actual account values and actual Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2014 through June 30, 2014. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown for your Class.
The second line for the table of each class provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
LOOMIS SAYLES STRATEGIC ALPHA FUND | BEGINNING ACCOUNT VALUE 1/1/2014 | ENDING ACCOUNT VALUE 6/30/2014 | EXPENSES PAID DURING PERIOD* 1/1/2014 – 6/30/2014 | |||||||||
Class A | ||||||||||||
Actual | $1,000.00 | $1,021.50 | $5.51 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.34 | $5.51 | |||||||||
Class C | ||||||||||||
Actual | $1,000.00 | $1,017.90 | $9.26 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.62 | $9.25 | |||||||||
Class Y | ||||||||||||
Actual | $1,000.00 | �� | $1,022.70 | $4.26 | ||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.58 | $4.26 |
* | Expenses are equal to the Fund’s annualized expense ratio: 1.10%, 1.85% and 0.85% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), divided by 365 (to reflect the half-year period). |
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Table of Contents
BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT
The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on the Fund’s advisory agreement (the “Agreement”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreement to determine whether to recommend that the full Board approve the continuation of the Agreement, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreement.
In connection with these meetings, the Trustees receive materials that the Fund’s investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreement. These materials generally include, among other items, (i) information on the investment performance of the Fund and the performance of a peer group of funds and the Fund’s performance benchmarks, (ii) information on the Fund’s advisory fees and other expenses, including information comparing the Fund’s expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser, if any, and to those of a peer group of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Fund, (iv) information about the profitability of the Agreement to the Adviser and (v) information obtained through the completion by the Adviser of a questionnaire distributed on behalf of the Trustees. The Board, including the Independent Trustees, also considers other matters such as (i) the Adviser’s financial results and financial condition, (ii) the Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Fund’s shares and the related costs, (iv) the procedures employed to determine the value of the Fund’s assets, (v) the allocation of the Fund’s brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Fund’s portfolio managers in the Fund or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.
In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s performance and fee differentials against the Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance
| 4
Table of Contents
rankings for various periods comparing the Fund against similarly categorized funds. The portfolio management team for the Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and if the Fund is identified as presenting possible performance concerns it may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about the Fund’s portfolio. The Trustees also receive periodic updates between meetings.
The Board most recently approved the continuation of the Agreement at its meeting held in June 2014. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.
The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates.
The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the administrative services provided by NGAM Advisors, L.P. (“NGAM Advisors”) and its affiliates to the Fund. The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the nature, extent and quality of services provided supported the renewal of the Agreement.
Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information that compared the performance of the Fund to the performance of a peer group and category of funds and the Fund’s performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Fund using a variety of performance metrics, including metrics that also measured the performance of the Fund on a risk adjusted basis. The Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement.
The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreement, that the performance of the Fund and the Adviser and/or other relevant factors supported the renewal of the Agreement.
5 |
Table of Contents
The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory services as well as the total expense levels of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fees and total expense levels to those of its peer group and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and to expend additional resources as the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Fund has an expense cap in place, and the Trustees considered that the current expenses are below the cap.
The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Fund, the expense levels of the Fund, whether the Adviser had implemented breakpoints and/or expense caps with respect to the Fund and the overall profit margin of the Adviser compared to other investment managers.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.
Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a
| 6
Table of Contents
fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although the Fund’s management fee was not subject to breakpoints, the Fund’s management fee was at or below the median fee for a peer group of funds. The Trustees further noted that the Fund was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.
After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale were shared with the Fund supported the renewal of the Agreement.
The Trustees also considered other factors, which included but were not limited to the following:
· | The effect of recent market and economic events on the performance, asset levels and expense ratios of the Fund. |
· | Whether the Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Fund and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Fund. |
· | The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreement and under a separate agreement covering administrative services. |
· | So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Fund, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest. |
· | The Trustees’ review and discussion of the Fund’s advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years. |
Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2015.
7 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes — 62.2% of Net Assets | ||||||||
Non-Convertible Bonds — 57.3% | ||||||||
ABS Car Loan — 1.9% | ||||||||
$ | 4,050,000 | Ally Master Owner Trust, Series 2014-2, Class A, 0.522%, 1/16/2018(b)(c) | $ | 4,050,000 | ||||
2,259,000 | AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(c) | 2,341,268 | ||||||
2,828,528 | Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(c) | 2,830,349 | ||||||
5,575,000 | Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017(c) | 5,585,113 | ||||||
2,964,919 | Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(c) | 2,966,449 | ||||||
4,625,000 | Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018(c) | 4,620,426 | ||||||
1,565,000 | USAA Auto Owner Trust, Series 2012-1, Class A4, 0.570%, 8/15/2017 | 1,567,573 | ||||||
|
| |||||||
23,961,178 | ||||||||
|
| |||||||
ABS Credit Card — 3.2% | ||||||||
3,145,000 | American Express Credit Account Master Trust, Series 2013-1, Class A, 0.572%, 2/16/2021(b)(c) | 3,153,834 | ||||||
1,860,000 | American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019 | 1,862,426 | ||||||
2,050,000 | BA Credit Card Trust, Series 2014-A1, Class A, 0.532%, 6/15/2021(b)(c) | 2,050,066 | ||||||
3,075,000 | Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(c) | 3,075,381 | ||||||
6,600,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(c) | 6,620,110 | ||||||
3,165,000 | Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(c) | 3,195,295 | ||||||
5,825,000 | Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.584%, 9/10/2020(b)(c) | 5,849,052 | ||||||
6,700,000 | Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10, 0.730%, 2/07/2018(c) | 6,716,509 | ||||||
2,925,000 | Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.351%, 5/09/2018(b)(c) | 2,926,705 | ||||||
3,000,000 | Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(c) | 3,006,456 | ||||||
1,990,000 | World Financial Network Credit Card Master Trust, Series 2014-A, Class A, 0.532%, 12/15/2019(b)(c) | 1,992,625 | ||||||
|
| |||||||
40,448,459 | ||||||||
|
| |||||||
ABS Home Equity — 13.0% | ||||||||
1,088,065 | Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.705%, 3/25/2035(b) | 1,037,336 | ||||||
1,268,164 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 4.047%, 4/25/2035(b) | 1,246,315 | ||||||
2,321,219 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.829%, 4/25/2035(b)(c) | 2,316,045 | ||||||
1,006,469 | Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033 | 1,028,109 | ||||||
1,135,015 | Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033 | 1,191,777 |
See accompanying notes to financial statements.
| 8
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 699,494 | Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035 | $ | 705,273 | ||||
2,388,150 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(c) | 2,433,754 | ||||||
1,445,187 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 1,489,332 | ||||||
1,585,541 | Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033 | 1,631,804 | ||||||
2,336,065 | Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033(c) | 2,397,221 | ||||||
1,997,853 | Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035 | 1,798,891 | ||||||
828,148 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.602%, 7/25/2037, 144A(b) | 526,431 | ||||||
2,335,568 | Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.578%, 11/20/2034(b)(c) | 2,232,576 | ||||||
987,066 | Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035 | 1,031,927 | ||||||
1,838,155 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(c) | 1,886,273 | ||||||
3,170,000 | Bayview Opportunity Master Fund Trust, Series 2014-18NP, Class A, 3.228%, 7/28/2034, 144A | 3,170,000 | ||||||
847,779 | Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 2.816%, 9/25/2034(b) | 798,735 | ||||||
1,868,191 | Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.590%, 2/25/2037(b) | 1,855,991 | ||||||
1,996,635 | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036(c) | 2,042,020 | ||||||
1,075,937 | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.530%, 5/25/2035(b) | 1,060,803 | ||||||
620,597 | CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 | 554,823 | ||||||
3,007,136 | CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036(c) | 2,646,601 | ||||||
1,170,239 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037 | 994,640 | ||||||
2,152,442 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037 | 1,829,459 | ||||||
1,919,652 | CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037 | 1,671,034 | ||||||
1,855,000 | Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A | 1,856,094 | ||||||
2,663,391 | Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(d) | 2,715,332 | ||||||
1,286,638 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034 | 1,342,018 | ||||||
4,447,116 | Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(d) | 4,388,156 | ||||||
1,187,058 | Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034 | 1,239,561 | ||||||
144,716 | Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034(b)(e) | 146,045 |
See accompanying notes to financial statements.
9 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 1,232,078 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.362%, 5/25/2035(b) | $ | 1,032,323 | ||||
1,012,995 | Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036 | 959,693 | ||||||
812,585 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 | 553,031 | ||||||
877,856 | Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037 | 788,909 | ||||||
1,435,517 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034 | 1,498,676 | ||||||
1,471,262 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.754%, 8/25/2034(b) | 1,383,243 | ||||||
239,985 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.450%, 9/20/2034(b) | 237,297 | ||||||
512,039 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.422%, 4/25/2035(b) | 415,995 | ||||||
1,824,973 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035 | 1,688,622 | ||||||
2,074,278 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036(c) | 1,916,262 | ||||||
2,836,262 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037(c) | 2,642,463 | ||||||
983,616 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.614%, 11/25/2033(b) | 952,108 | ||||||
836,151 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.603%, 12/25/2033(b) | 813,220 | ||||||
2,600,787 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.578%, 5/25/2034(b)(c) | 2,551,216 | ||||||
359,437 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028 | 364,825 | ||||||
1,285,618 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035 | 1,143,404 | ||||||
654,904 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021 | 582,800 | ||||||
1,531,909 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035 | 1,562,913 | ||||||
1,276,621 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035 | 1,190,096 | ||||||
1,730,900 | FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A | 1,755,080 | ||||||
227,613 | GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033 | 234,951 | ||||||
2,159,821 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)(c) | 2,164,119 | ||||||
902,162 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.012%, 7/19/2035(b) | 845,308 | ||||||
313,087 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.829%, 12/25/2034(b) | 282,940 | ||||||
1,890,900 | GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.778%, 12/25/2034(b) | 1,895,097 |
See accompanying notes to financial statements.
| 10
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 876,642 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.472%, 7/25/2035(b) | $ | 820,889 | ||||
2,945,000 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.676%, 9/25/2035(b)(c) | 2,942,441 | ||||||
1,715,246 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 | 1,459,568 | ||||||
2,519,605 | Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.262%, 5/25/2037(b) | 1,716,554 | ||||||
1,203,097 | IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.932%, 12/25/2034(b) | 1,001,269 | ||||||
2,682,306 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.792%, 7/25/2045(b)(c) | 2,475,248 | ||||||
3,035,000 | Invitation Homes Trust, Series 2014-SFR1, Class B, 1.652%, 6/17/2031, 144A(b)(c) | 3,051,107 | ||||||
3,134,138 | JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.479%, 3/25/2036(b)(c) | 2,743,367 | ||||||
2,897,751 | JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.354%, 4/25/2035(b)(c) | 2,899,435 | ||||||
1,170,175 | JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.847%, 8/25/2035(b) | 1,175,416 | ||||||
2,991,722 | JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036(c) | 2,712,930 | ||||||
2,022,266 | JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.546%, 2/25/2036(b) | 1,800,157 | ||||||
3,605,304 | JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.626%, 1/25/2037(b)(c) | 3,222,428 | ||||||
2,983,329 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037(c) | 2,586,722 | ||||||
2,670,608 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.372%, 4/25/2046(b)(c) | 1,960,907 | ||||||
637 | Lehman XS Trust, Series 2006-12N, Class A2A1, 0.302%, 8/25/2046(b)(e)(f) | 612 | ||||||
535,272 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.494%, 5/25/2034(b) | 522,800 | ||||||
3,285,689 | MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.499%, 7/25/2034(b)(c) | 3,323,284 | ||||||
741,793 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.653%, 4/25/2036(b) | 716,713 | ||||||
633,298 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.312%, 1/25/2047(b) | 457,483 | ||||||
990,137 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033 | 1,026,661 | ||||||
1,114,692 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034 | 1,165,915 | ||||||
1,228,658 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034 | 1,296,931 | ||||||
2,739,126 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034(c) | 2,805,657 | ||||||
456,063 | MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034 | 458,697 | ||||||
2,080,104 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037 | 1,583,635 | ||||||
1,919,342 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037 | 1,461,243 | ||||||
418,538 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.112%, 5/25/2036(b) | 418,145 | ||||||
1,278,810 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 | 1,212,457 | ||||||
2,741,994 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c) | 2,787,695 |
See accompanying notes to financial statements.
11 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Home Equity — continued | ||||||||
$ | 868,814 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.441%, 10/25/2035(b) | $ | 855,480 | ||||
2,582,568 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(d) | 2,138,606 | ||||||
1,022,959 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 | 1,051,905 | ||||||
1,238,889 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.635%, 9/25/2034(b) | 1,235,230 | ||||||
7,040,058 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.429%, 11/25/2034(b)(d) | 7,007,484 | ||||||
714,589 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.462%, 7/25/2035(b) | 580,595 | ||||||
1,714,065 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034 | 1,805,623 | ||||||
2,401,227 | Vericrest Opportunity Loan Transferee, Series 2013-NPL4, Class A1, 3.960%, 11/25/2053, 144A | 2,415,486 | ||||||
2,160,236 | WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.397%, 1/25/2035(b)(c) | 2,169,862 | ||||||
787,353 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034 | 830,347 | ||||||
1,394,434 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.201%, 9/25/2046(b) | 1,298,389 | ||||||
3,047,978 | WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.951%, 1/25/2047(b)(c) | 2,836,101 | ||||||
400,435 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(b) | 407,254 | ||||||
1,430,954 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.636%, 2/25/2034(b) | 1,457,375 | ||||||
577,624 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 | 603,777 | ||||||
718,704 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035 | 740,799 | ||||||
2,625,000 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036(c) | 2,603,506 | ||||||
1,071,200 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b) | 1,084,426 | ||||||
|
| |||||||
163,647,578 | ||||||||
|
| |||||||
ABS Other — 1.4% | ||||||||
1,376,643 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A | 1,409,785 | ||||||
1,495,000 | OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A | 1,494,970 | ||||||
2,731,875 | Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(g) | 2,769,438 | ||||||
459,661 | Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A | 469,422 | ||||||
1,872,126 | Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(c) | 1,880,192 |
See accompanying notes to financial statements.
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Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
ABS Other — continued | ||||||||
$ | 4,070,747 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(c) | $ | 4,092,452 | ||||
1,895,000 | Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A | 1,898,345 | ||||||
3,493,583 | TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(c) | 3,559,965 | ||||||
|
| |||||||
17,574,569 | ||||||||
|
| |||||||
Aerospace & Defense — 1.2% | ||||||||
6,003,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c) | 5,777,887 | ||||||
825,000 | Rockwell Collins, Inc., 0.581%, 12/15/2016(b) | 827,018 | ||||||
5,905,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c) | 5,373,550 | ||||||
3,026,000 | TransDigm, Inc., 6.000%, 7/15/2022, 144A(c) | 3,109,215 | ||||||
|
| |||||||
15,087,670 | ||||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities — 0.1% | ||||||||
850,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.300%, 6/15/2034, 144A(b) | 850,000 | ||||||
855,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.900%, 6/15/2034, 144A(b) | 855,000 | ||||||
|
| |||||||
1,705,000 | ||||||||
|
| |||||||
Airlines — 0.5% | ||||||||
5,811,941 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d) | 6,422,194 | ||||||
|
| |||||||
Automotive — 3.1% | ||||||||
6,590,000 | Daimler Finance North America LLC, 0.905%, 8/01/2016, 144A(b)(c) | 6,650,101 | ||||||
5,250,000 | Ford Motor Credit Co. LLC, 1.474%, 5/09/2016(b)(c) | 5,327,380 | ||||||
5,960,000 | Nissan Motor Acceptance Corp., 0.777%, 3/03/2017, 144A(b)(c) | 5,977,367 | ||||||
6,640,000 | Nissan Motor Acceptance Corp., 0.934%, 9/26/2016, 144A(b)(c) | 6,684,023 | ||||||
10,650,000 | Toyota Motor Credit Corp., 0.516%, 5/17/2016(b)(c) | 10,684,144 | ||||||
3,210,000 | Volkswagen International Finance NV, 0.666%, 11/18/2016, 144A(b)(c) | 3,222,140 | ||||||
|
| |||||||
38,545,155 | ||||||||
|
| |||||||
Banking — 3.1% | ||||||||
3,310,000 | Bank of America Corp., 1.267%, 1/15/2019(b)(c) | 3,352,517 | ||||||
9,600,000 | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(c) | 9,713,424 | ||||||
9,280,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(c) | 7,793,918 | ||||||
11,135,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c) | 12,178,728 | ||||||
6,150,000 | Societe Generale S.A., 5.000%, 1/17/2024, 144A(c) | 6,431,892 | ||||||
|
| |||||||
39,470,479 | ||||||||
|
| |||||||
Brokerage — 0.2% | ||||||||
3,085,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A(c) | 3,115,850 | ||||||
|
| |||||||
Building Materials — 0.6% | ||||||||
3,585,000 | Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A(c) | 3,620,850 | ||||||
1,745,000 | CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A | 1,836,612 | ||||||
3,900,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) | 1,588,595 | ||||||
|
| |||||||
7,046,057 | ||||||||
|
|
See accompanying notes to financial statements.
13 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Chemicals — 0.2% | ||||||||
$ | 3,170,000 | Hercules, Inc., 6.500%, 6/30/2029(c) | $ | 2,868,850 | ||||
|
| |||||||
Collateralized Mortgage Obligations — 0.6% | ||||||||
29,887,127 | Government National Mortgage Association, Series 2010-83, Class IO, 0.494%, 7/16/2050(b)(h) | 898,407 | ||||||
12,810,515 | Government National Mortgage Association, Series 2012-78, Class IO, 1.061%, 6/16/2052(b)(h) | 924,112 | ||||||
73,913,114 | Government National Mortgage Association, Series 2012-135, Class IO, 1.047%, 1/16/2053(b)(c)(h) | 5,780,301 | ||||||
552,227 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.615%, 1/25/2036(b) | 546,540 | ||||||
|
| |||||||
8,149,360 | ||||||||
|
| |||||||
Construction Machinery — 1.4% | ||||||||
17,660,000 | Caterpillar Financial Services Corp., MTN, 0.467%, 2/26/2016(b)(c) | 17,693,395 | ||||||
|
| |||||||
Consumer Cyclical Services — 0.5% | ||||||||
5,345,000 | ServiceMaster Co. (The), 7.000%, 8/15/2020(c) | 5,685,744 | ||||||
|
| |||||||
Diversified Manufacturing — 0.2% | ||||||||
2,200,000 | Alfa SAB de CV, 6.875%, 3/25/2044, 144A(c) | 2,398,000 | ||||||
|
| |||||||
Electric — 1.2% | ||||||||
4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL) | 1,850,809 | ||||||
11,005,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(c) | 12,958,388 | ||||||
|
| |||||||
14,809,197 | ||||||||
|
| |||||||
Entertainment — 0.3% | ||||||||
3,575,000 | 24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A(c) | 3,557,125 | ||||||
|
| |||||||
Finance Companies — 1.9% | ||||||||
4,700,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(c)(i) | 5,546,940 | ||||||
12,535,000 | iStar Financial, Inc., 4.000%, 11/01/2017(c) | 12,582,006 | ||||||
5,315,000 | iStar Financial, Inc., 5.000%, 7/01/2019(c) | 5,315,000 | ||||||
|
| |||||||
23,443,946 | ||||||||
|
| |||||||
Financial Other — 1.6% | ||||||||
6,100,000 | Hyundai Capital Services, Inc., 1.031%, 3/18/2017, 144A(b)(c) | 6,117,873 | ||||||
5,176,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019(c) | 5,331,280 | ||||||
8,700,000 | Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(c) | 9,135,000 | ||||||
|
| |||||||
20,584,153 | ||||||||
|
| |||||||
Food & Beverage — 0.8% | ||||||||
10,800,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(c) | 4,215,886 | ||||||
2,300,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) | 938,425 | ||||||
1,101,000 | Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A | 1,230,367 | ||||||
3,500,000 | General Mills, Inc., Series FRN, 0.527%, 1/29/2016(b)(c) | 3,508,953 | ||||||
|
| |||||||
9,893,631 | ||||||||
|
|
See accompanying notes to financial statements.
| 14
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Government Owned – No Guarantee — 1.0% | ||||||||
700,000(††) | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(d) | $ | 5,816,979 | |||||
5,875,000 | Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A(c) | 6,170,630 | ||||||
|
| |||||||
11,987,609 | ||||||||
|
| |||||||
Healthcare — 0.9% | ||||||||
5,450,000 | Baxter International, Inc., 0.401%, 12/11/2014(b)(c) | 5,453,237 | ||||||
2,505,000 | BioScrip, Inc., 8.875%, 2/15/2021, 144A(c) | 2,617,725 | ||||||
2,485,000 | CHS/Community Health Systems, Inc., 6.875%, 2/01/2022, 144A(c) | 2,634,100 | ||||||
|
| |||||||
10,705,062 | ||||||||
|
| |||||||
Independent Energy — 0.8% | ||||||||
2,572,000 | Baytex Energy Corp., 5.125%, 6/01/2021, 144A(c) | 2,588,075 | ||||||
1,570,000 | Cimarex Energy Co., 4.375%, 6/01/2024 | 1,599,438 | ||||||
7,460,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(j) | 428,950 | ||||||
4,420,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(j) | 265,200 | ||||||
660,000 | QEP Resources, Inc., 5.250%, 5/01/2023 | 674,850 | ||||||
3,085,000 | QEP Resources, Inc., 5.375%, 10/01/2022 | 3,177,550 | ||||||
1,615,000 | Sanchez Energy Corp., 6.125%, 1/15/2023, 144A | 1,667,487 | ||||||
|
| |||||||
10,401,550 | ||||||||
|
| |||||||
Industrial Other — 0.2% | ||||||||
2,352,000 | Transfield Services Ltd., 8.375%, 5/15/2020, 144A(c) | 2,416,680 | ||||||
|
| |||||||
Integrated Energy — 0.2% | ||||||||
2,935,000 | BP Capital Markets PLC, 0.643%, 11/07/2016(b)(c) | 2,948,692 | ||||||
|
| |||||||
Life Insurance — 1.2% | ||||||||
8,600,000 | Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c) | 14,749,418 | ||||||
|
| |||||||
Lodging — 0.3% | ||||||||
1,650,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021, 144A | 1,753,125 | ||||||
2,105,000 | Host Hotels & Resorts LP, 5.250%, 3/15/2022(c) | 2,320,634 | ||||||
|
| |||||||
4,073,759 | ||||||||
|
| |||||||
Media Cable — 0.1% | ||||||||
720,000 | Wave Holdco LLC/Wave Holdco Corp., 8.250% (9.000% PIK), 7/15/2019, 144A(k) | 738,900 | ||||||
|
| |||||||
Media Non-Cable — 0.4% | ||||||||
2,820,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c) | 3,042,075 | ||||||
27,290,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 1,821,851 | ||||||
|
| |||||||
4,863,926 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
475,000 | Emeco Pty Ltd., 9.875%, 3/15/2019, 144A | 487,469 | ||||||
1,745,000 | Worthington Industries, Inc., 4.550%, 4/15/2026 | 1,815,051 | ||||||
|
| |||||||
2,302,520 | ||||||||
|
|
See accompanying notes to financial statements.
15 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Midstream — 0.3% | ||||||||
1,460,000 | Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD) | $ | 1,390,616 | |||||
345,000 | Gibson Energy, Inc., 6.750%, 7/15/2021, 144A | 373,463 | ||||||
680,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023 | 673,200 | ||||||
1,030,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020 | 1,109,825 | ||||||
630,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022 | 684,337 | ||||||
|
| |||||||
4,231,441 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities — 3.9% | ||||||||
950,000 | Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.619%, 5/11/2039, 144A(b) | 970,723 | ||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.730%, 4/15/2044, 144A(b)(c) | 5,034,040 | ||||||
2,765,000 | Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%, 5/10/2035, 144A(b)(c) | 2,622,951 | ||||||
1,605,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.550%, 6/15/2034, 144A(b) | 1,605,000 | ||||||
2,376,607 | CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(c) | 2,455,437 | ||||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(b)(c) | 2,760,884 | ||||||
1,300,000 | Del Coronado Trust, Series 2013-HDMZ, Class M, 5.152%, 3/15/2018, 144A(b) | 1,308,190 | ||||||
7,430,000 | Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c) | 7,800,787 | ||||||
4,340,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.997%, 8/10/2045(b)(c) | 4,570,528 | ||||||
1,915,000 | Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A | 1,958,235 | ||||||
1,460,000 | Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A | 1,511,837 | ||||||
1,580,000 | Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b) | 1,631,007 | ||||||
1,520,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 | 1,617,984 | ||||||
948,058 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.152%, 4/15/2018, 144A(b) | 955,074 | ||||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(b) | 1,446,811 | ||||||
1,300,000 | Morgan Stanley Capital I Trust, Series 2011-C1, Class E, 5.419%, 9/15/2047, 144A(b) | 1,342,505 | ||||||
2,125,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.482%, 6/15/2044, 144A(b)(c) | 2,246,097 | ||||||
2,280,000 | SCG Trust, Series 2013-SRP1, Class B, 2.652%, 11/15/2026, 144A(b)(c) | 2,285,746 | ||||||
2,200,000 | SCG Trust, Series 2013-SRP1, Class C, 3.402%, 11/15/2026, 144A(b)(c) | 2,208,208 | ||||||
2,587,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)(c) | 2,760,971 | ||||||
|
| |||||||
49,093,015 | ||||||||
|
|
See accompanying notes to financial statements.
| 16
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Oil Field Services — 0.8% | ||||||||
$ | 6,300,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A(c) | $ | 6,252,750 | ||||
3,310,000 | Shell International Finance BV, 0.434%, 11/15/2016(b)(c) | 3,313,141 | ||||||
|
| |||||||
9,565,891 | ||||||||
|
| |||||||
Packaging — 0.1% | ||||||||
800,000 | Ardagh Finance Holdings, 8.375% (8.375% PIK), 6/15/2019, 144A, (EUR)(k) | 1,106,395 | ||||||
|
| |||||||
Pharmaceuticals — 0.2% | ||||||||
3,070,000 | Johnson & Johnson, 0.299%, 11/28/2016(b)(c) | 3,072,972 | ||||||
|
| |||||||
Railroads — 0.4% | ||||||||
4,700,000 | Canadian National Railway Co., 0.423%, 11/06/2015(b)(c) | 4,701,283 | ||||||
|
| |||||||
Retailers — 0.3% | ||||||||
1,975,000 | Group 1 Automotive, Inc., 5.000%, 6/01/2022, 144A(c) | 1,975,000 | ||||||
1,080,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023 | 1,334,957 | ||||||
|
| |||||||
3,309,957 | ||||||||
|
| |||||||
Technology — 1.3% | ||||||||
1,425,000 | Advanced Micro Devices, Inc., 7.000%, 7/01/2024, 144A | 1,455,281 | ||||||
4,000,000 | Blackboard, Inc., 7.750%, 11/15/2019, 144A(c) | 4,180,000 | ||||||
4,900,000 | Jabil Circuit, Inc., 4.700%, 9/15/2022(c) | 4,961,250 | ||||||
5,605,000 | Sanmina Corp., 4.375%, 6/01/2019, 144A(c) | 5,597,994 | ||||||
|
| |||||||
16,194,525 | ||||||||
|
| |||||||
Treasuries — 6.4% | ||||||||
4,271,000(††) | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c) | 35,266,375 | ||||||
465,000(††) | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c) | 3,809,624 | ||||||
405,000(††) | Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(c) | 3,535,086 | ||||||
1,700,500(††) | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c) | 15,169,126 | ||||||
130,000(††) | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) | 1,170,677 | ||||||
7,091,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL)(c) | 3,105,020 | ||||||
18,120,000 | U.S. Treasury Bond, 3.375%, 5/15/2044(c) | 18,241,748 | ||||||
|
| |||||||
80,297,656 | ||||||||
|
| |||||||
Utility Other — 0.3% | ||||||||
3,925,000 | AES Corp. (The), 3.229%, 6/01/2019(b)(c) | 3,954,437 | ||||||
|
| |||||||
Wireless — 0.7% | ||||||||
3,350,000 | Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)(c) | 4,862,385 | ||||||
3,025,000 | Wind Acquisition Finance S.A., 4.215%, 7/15/2020, 144A, (EUR)(b) | 4,152,489 | ||||||
|
| |||||||
9,014,874 | ||||||||
|
| |||||||
Wirelines — 0.3% | ||||||||
7,800,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(c) | 3,309,572 | ||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $712,222,867) | 719,147,724 | |||||||
|
| |||||||
See accompanying notes to financial statements.
17 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Convertible Bonds — 4.9% | ||||||||
Automotive — 0.7% | ||||||||
$ | 3,195,000 | Ford Motor Co., 4.250%, 11/15/2016(c) | $ | 6,384,009 | ||||
755,000 | TRW Automotive, Inc., 3.500%, 12/01/2015(c) | 2,293,313 | ||||||
|
| |||||||
8,677,322 | ||||||||
|
| |||||||
Consumer Products — 0.2% | ||||||||
2,400,000 | Jarden Corp., 1.125%, 3/15/2034, 144A(c) | 2,451,000 | ||||||
|
| |||||||
Energy — 0.4% | ||||||||
425,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 | 450,500 | ||||||
2,445,000 | Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019(c) | 2,956,922 | ||||||
2,090,000 | Peabody Energy Corp., 4.750%, 12/15/2066 | 1,568,806 | ||||||
|
| |||||||
4,976,228 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
1,840,000 | United States Steel Corp., 2.750%, 4/01/2019(c) | 2,285,050 | ||||||
|
| |||||||
Pharmaceuticals — 1.1% | ||||||||
449,000 | BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018 | 464,434 | ||||||
863,000 | BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020 | 908,847 | ||||||
1,600,000 | Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A | 1,673,000 | ||||||
2,275,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(c) | 8,292,375 | ||||||
750,000 | Mylan, Inc., 3.750%, 9/15/2015(c) | 2,907,656 | ||||||
|
| |||||||
14,246,312 | ||||||||
|
| |||||||
Retailers — 0.8% | ||||||||
2,045,000 | MercadoLibre, Inc., 2.250%, 7/01/2019, 144A | 2,139,581 | ||||||
4,430,000 | Priceline Group, Inc. (The), 0.350%, 6/15/2020(c) | 5,230,169 | ||||||
1,603,000 | Priceline Group, Inc. (The), 1.000%, 3/15/2018(c) | 2,271,251 | ||||||
|
| |||||||
9,641,001 | ||||||||
|
| |||||||
Technology — 1.5% | ||||||||
1,810,000 | Ciena Corp., 3.750%, 10/15/2018, 144A(c) | 2,485,356 | ||||||
2,085,000 | Intel Corp., 3.250%, 8/01/2039(c) | 3,216,113 | ||||||
3,815,000 | JDS Uniphase Corp., 0.625%, 8/15/2033, 144A(c) | 3,824,538 | ||||||
915,000 | Novellus Systems, Inc., 2.625%, 5/15/2041 | 1,851,731 | ||||||
1,985,000 | Nuance Communications, Inc., 2.750%, 11/01/2031(c) | 1,982,519 | ||||||
2,110,000 | Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A | 2,177,256 | ||||||
1,675,000 | SanDisk Corp., 1.500%, 8/15/2017(c) | 3,407,578 | ||||||
|
| |||||||
18,945,091 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $51,647,629) | 61,222,004 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $763,870,496) | 780,369,728 | |||||||
|
| |||||||
See accompanying notes to financial statements.
| 18
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Senior Loans — 16.9% | ||||||||
Aerospace & Defense — 0.2% | ||||||||
$ | 640,250 | Sequa Corp., New Term Loan B, 5.250%, 6/19/2017(b) | $ | 633,847 | ||||
691,975 | Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(b) | 689,380 | ||||||
840,000 | Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(b) | 835,800 | ||||||
|
| |||||||
2,159,027 | ||||||||
|
| |||||||
Automotive — 0.3% | ||||||||
776,983 | American Tire Distributors Holdings, Inc., Term Loan B, 5.750%, 6/01/2018(b) | 781,839 | ||||||
901,778 | Dealertrack Technologies, Inc., Term Loan B, 3.500%, 2/28/2021(b) | 899,902 | ||||||
1,774,000 | Visteon Corp., Delayed Draw Term Loan B, 4/09/2021(l) | 1,760,251 | ||||||
|
| |||||||
3,441,992 | ||||||||
|
| |||||||
Banking — 0.1% | ||||||||
1,765,178 | Harland Clarke Holdings Corp., Extended Term Loan B2, 5.484%, 6/30/2017(b) | 1,769,591 | ||||||
|
| |||||||
Building Materials — 0.3% | ||||||||
1,114,578 | Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(b) | 1,114,923 | ||||||
2,804,413 | Wilsonart LLC, Term Loan B, 4.000%, 10/31/2019(b) | 2,784,558 | ||||||
|
| |||||||
3,899,481 | ||||||||
|
| |||||||
Chemicals — 1.2% | ||||||||
1,611,719 | Arysta LifeScience Corp., 1st Lien Term Loan, 4.500%, 5/29/2020(b) | 1,613,733 | ||||||
3,247,502 | Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b) | 3,217,073 | ||||||
1,632,107 | Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 4.000%, 2/01/2020(b) | 1,631,160 | ||||||
1,188,000 | MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/07/2020(b) | 1,187,703 | ||||||
678,855 | Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b) | 678,855 | ||||||
2,502,061 | Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b) | 2,502,061 | ||||||
1,282,227 | Taminco Global Chemical Corp., USD Term Loan B3, 3.250%, 2/15/2019(b) | 1,272,610 | ||||||
3,310,753 | Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b) | 3,323,168 | ||||||
|
| |||||||
15,426,363 | ||||||||
|
| |||||||
Consumer Cyclical Services — 0.6% | ||||||||
1,070,318 | AVSC Holding Corp., 1st Lien Term Loan, 4.500%, 1/24/2021(b) | 1,072,458 | ||||||
293,894 | Garda World Security Corp., Delayed Draw Term Loan, 4.000%, 11/06/2020(b) | 293,403 | ||||||
1,148,856 | Garda World Security Corp., New Term Loan B, 4.000%, 11/06/2020(b) | 1,146,938 | ||||||
2,411,700 | Inmar Holdings, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b) | 2,384,568 | ||||||
1,805,348 | ServiceMaster Co., 2014 Term Loan B, 7/01/2021(l) | 1,801,972 | ||||||
618,335 | Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(b) | 618,447 | ||||||
|
| |||||||
7,317,786 | ||||||||
|
| |||||||
Consumer Products — 0.3% | ||||||||
637,621 | Bauer Performance Sports Ltd., Term Loan B, 4.500%, 4/15/2021(b) | 638,023 | ||||||
425,226 | Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(b) | 424,694 | ||||||
2,761,102 | Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(b) | 2,753,040 | ||||||
|
| |||||||
3,815,757 | ||||||||
|
| |||||||
Diversified Manufacturing — 0.0% | ||||||||
622,469 | Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(b) | 624,417 | ||||||
|
|
See accompanying notes to financial statements.
19 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Electric — 0.4% | ||||||||
$ | 1,832,490 | Calpine Construction Finance Co. LP, Original Term Loan B1, 3.000%, 5/03/2020(b) | $ | 1,797,361 | ||||
2,779,813 | NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(b) | 2,772,613 | ||||||
|
| |||||||
4,569,974 | ||||||||
|
| |||||||
Entertainment — 0.3% | ||||||||
1,925,000 | Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(b) | 1,916,588 | ||||||
1,813,000 | Time, Inc., Term Loan B, 4.250%, 4/26/2021(b) | 1,820,941 | ||||||
|
| |||||||
3,737,529 | ||||||||
|
| |||||||
Financial Other — 0.4% | ||||||||
2,411,669 | American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(b) | 2,423,728 | ||||||
1,083,066 | Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b) | 1,086,109 | ||||||
1,238,775 | Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(b) | 1,230,004 | ||||||
644,494 | Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(b) | 638,049 | ||||||
|
| |||||||
5,377,890 | ||||||||
|
| |||||||
Food & Beverage — 1.0% | ||||||||
2,693,250 | Aramark Corp., USD Term Loan F, 3.250%, 2/24/2021(b) | 2,673,050 | ||||||
5,137,125 | Big Heart Pet Brands, New Term Loan, 3.500%, 3/08/2020(b) | 5,090,583 | ||||||
1,112,213 | Del Monte Foods, Inc., 1st Lien Term Loan, 4.250%, 2/18/2021(b) | 1,105,495 | ||||||
1,794,389 | Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(b) | 1,783,730 | ||||||
1,305,088 | Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(m) | 1,272,461 | ||||||
|
| |||||||
11,925,319 | ||||||||
|
| |||||||
Health Insurance — 0.2% | ||||||||
3,016,133 | Sedgwick, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(b) | 2,967,121 | ||||||
|
| |||||||
Healthcare — 1.1% | ||||||||
3,059,787 | Millennium Laboratories, Inc., Term Loan B, 5.250%, 4/16/2021(b) | 3,087,845 | ||||||
1,500,000 | Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(b) | 1,511,445 | ||||||
1,437,494 | Planet Fitness Holdings LLC, Term Loan, 4.750%, 3/31/2021(b) | 1,441,088 | ||||||
1,724,739 | Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(b) | 1,722,583 | ||||||
2,437,474 | SkillSoft Corp., 1st Lien Term Loan, 4.500%, 4/28/2021(b) | 2,435,963 | ||||||
3,161,112 | Springer Science+Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(b) | 3,164,084 | ||||||
|
| |||||||
13,363,008 | ||||||||
|
| |||||||
Independent Energy — 0.2% | ||||||||
2,216,361 | SRAM LLC, New Term Loan B, 4.009%, 4/10/2020(m) | 2,194,197 | ||||||
|
| |||||||
Industrial Other — 1.4% | ||||||||
1,094,500 | Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(b) | 1,082,997 | ||||||
2,327,305 | Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 4.000%, 11/23/2020(b) | 2,324,396 | ||||||
1,648,000 | Gates Global, Inc., Term Loan B, 7/05/2021(l) | 1,642,084 | ||||||
2,790,300 | Generac Power Systems, Inc., Term Loan B, 3.250%, 5/31/2020(b) | 2,767,978 | ||||||
517,992 | Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(b) | 517,344 | ||||||
1,940,310 | Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(b) | 1,947,586 |
See accompanying notes to financial statements.
| 20
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Industrial Other — continued | ||||||||
$ | 6,332,997 | Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(b) | $ | 6,312,668 | ||||
753,317 | Virtuoso U.S. LLC, USD Term Loan, 4.750%, 2/11/2021(b) | 756,616 | ||||||
92,368 | WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(b) | 92,368 | ||||||
|
| |||||||
17,444,037 | ||||||||
|
| |||||||
Lodging — 0.2% | ||||||||
2,500,349 | Hilton Worldwide Finance LLC, USD Term Loan B2, 3.500%, 10/26/2020(b) | 2,495,149 | ||||||
|
| |||||||
Media Cable — 0.4% | ||||||||
2,170,077 | CSC Holdings, Inc., New Term Loan B, 2.650%, 4/17/2020(b) | 2,144,188 | ||||||
3,295,000 | Virgin Media Bristol LLC, USD Term Loan B, 3.500%, 6/05/2020(b) | 3,283,665 | ||||||
|
| |||||||
5,427,853 | ||||||||
|
| |||||||
Media Non-Cable — 0.4% | ||||||||
1,123,885 | Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(b) | 1,085,178 | ||||||
1,181,047 | Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(b) | 1,165,989 | ||||||
2,815,850 | Tribune Co., 2013 Term Loan, 4.000%, 12/27/2020(b) | 2,820,243 | ||||||
|
| |||||||
5,071,410 | ||||||||
|
| |||||||
Metals & Mining — 0.1% | ||||||||
1,536,958 | Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b) | 1,546,564 | ||||||
|
| |||||||
Non-Captive Diversified — 0.3% | ||||||||
1,161,719 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(b) | 1,162,079 | ||||||
2,955,000 | Delos Finance S.a.r.l., Term Loan B, 3.500%, 3/06/2021(b) | 2,951,306 | ||||||
|
| |||||||
4,113,385 | ||||||||
|
| |||||||
Oil Field Services — 0.1% | ||||||||
1,439,460 | Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(b) | 1,443,505 | ||||||
|
| |||||||
Other Utility — 0.0% | ||||||||
456,390 | PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b) | 446,121 | ||||||
23,142 | PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b) | 22,621 | ||||||
|
| |||||||
468,742 | ||||||||
|
| |||||||
Packaging — 0.3% | ||||||||
453,000 | Ardagh Holdings USA, Inc., Incremental Term Loan, 4.000%, 12/17/2019(b) | 453,376 | ||||||
610,930 | Ardagh Holdings USA, Inc., USD Term Loan B, 4.250%, 12/17/2019(b) | 612,714 | ||||||
2,161,000 | Signode Industrial Group U.S., Inc., USD Term Loan B, 4.000%, 5/01/2021(b) | 2,153,566 | ||||||
|
| |||||||
3,219,656 | ||||||||
|
| |||||||
Pharmaceuticals — 1.2% | ||||||||
2,265,878 | Amneal Pharmaceuticals LLC, New Term Loan, 5.753%, 11/01/2019(m) | 2,275,326 | ||||||
3,234,893 | Grifols Worldwide Operations USA, Inc., USD Term Loan B, 3.150%, 2/27/2021(b) | 3,229,393 | ||||||
991,515 | IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(b) | 985,318 | ||||||
1,562,000 | JLL/Delta Dutch Newco BV, USD Term Loan, 4.250%, 3/11/2021(b) | 1,548,333 | ||||||
3,028,410 | Mallinckrodt International Finance S.A., Term Loan B, 3.500%, 3/19/2021(b) | 3,028,410 | ||||||
816,742 | PharMedium Healthcare Corp., 1st Lien Term Loan, 4.250%, 1/28/2021(b) | 814,023 | ||||||
2,601,762 | Quintiles Transnational Corp., Term Loan B3, 3.750%, 6/08/2018(b) | 2,599,160 | ||||||
|
| |||||||
14,479,963 | ||||||||
|
|
See accompanying notes to financial statements.
21 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Pipelines — 0.2% | ||||||||
$ | 1,930,000 | Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(b) | $ | 1,909,021 | ||||
|
| |||||||
Property & Casualty Insurance — 0.6% | ||||||||
1,152,463 | AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b) | 1,153,419 | ||||||
2,615,188 | Cooper Gay Swett & Crawford Ltd., 1st Lien Term Loan, 5.000%, 4/16/2020(b) | 2,560,714 | ||||||
1,115,000 | Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(b) | 1,071,794 | ||||||
3,085,268 | Hub International Ltd., Term Loan B, 4.250%, 10/02/2020(b) | 3,087,396 | ||||||
|
| |||||||
7,873,323 | ||||||||
|
| |||||||
Restaurants — 0.0% | ||||||||
246,429 | Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b) | 248,585 | ||||||
|
| |||||||
Retailers — 0.4% | ||||||||
324,228 | Hillman Group, Inc. (The), Term Loan B, 6/30/2021(l) | 325,444 | ||||||
2,213,000 | J.Crew Group, Inc., New Term Loan B, 4.000%, 3/05/2021(b) | 2,181,531 | ||||||
1,184,000 | Nine West Holdings, Inc., Term Loan B, 4.750%, 10/08/2019(b) | 1,188,890 | ||||||
1,915,764 | Talbots, Inc. (The), 1st Lien Term Loan, 4.750%, 3/19/2020(b) | 1,896,606 | ||||||
|
| |||||||
5,592,471 | ||||||||
|
| |||||||
Supermarkets — 0.5% | ||||||||
2,984,787 | Checkout Holding Corp., 1st Lien Term Loan, 4.500%, 4/09/2021(b) | 2,983,533 | ||||||
1,899,891 | New Albertson’s, Inc., Term Loan, 6/25/2021(l) | 1,903,463 | ||||||
963,593 | Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(b) | 965,202 | ||||||
|
| |||||||
5,852,198 | ||||||||
|
| |||||||
Technology — 2.7% | ||||||||
7,842,040 | Alcatel-Lucent USA, Inc., USD Term Loan C, 4.500%, 1/30/2019(b) | 7,843,295 | ||||||
2,882,775 | Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(b) | 2,893,586 | ||||||
1,526,988 | BMC Foreign Holding Co., Term Loan, 5.000%, 9/10/2020(b) | 1,520,910 | ||||||
3,059,082 | BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b) | 3,052,077 | ||||||
2,885,500 | Dell, Inc., USD Term Loan B, 4.500%, 4/29/2020(b) | 2,898,629 | ||||||
1,240,000 | Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(b) | 1,229,931 | ||||||
3,137,706 | Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(b) | 3,114,832 | ||||||
2,582,746 | IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(b) | 2,472,979 | ||||||
1,667,860 | M/A-COM Technology Solutions Holdings, Inc., Term Loan, 4.500%, 5/07/2021(b) | 1,676,199 | ||||||
1,173,524 | Microsemi Corp., Incremental Term Loan B2, 3.508%, 2/19/2020(m) | 1,171,564 | ||||||
962,707 | Nuance Communications, Inc., Term Loan C, 2.900%, 8/07/2019(b) | 955,968 | ||||||
1,454,013 | NXP B.V., Term Loan D, 3.250%, 1/11/2020(b) | 1,444,314 | ||||||
1,067,635 | Oberthur Technologies of America Corp., USD Term Loan B2, 4.500%, 10/18/2019(b) | 1,072,706 | ||||||
1,800,950 | Open Text Corp., Term Loan B, 3.250%, 1/16/2021(b) | 1,799,455 | ||||||
732,080 | Verint Systems, Inc., USD Term Loan, 3.500%, 9/06/2019(b) | 731,348 | ||||||
|
| |||||||
33,877,793 | ||||||||
|
| |||||||
Transportation Services — 0.1% | ||||||||
157,244 | Drew Marine Partners LP, 1st Lien Term Loan, 4.500%, 11/19/2020(b) | 157,736 | ||||||
787,126 | FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(b) | 783,190 | ||||||
|
| |||||||
940,926 | ||||||||
|
|
See accompanying notes to financial statements.
| 22
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Principal Amount (‡) | Description | Value (†) | ||||||
Wireless — 0.9% | ||||||||
$ | 3,065,890 | Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(b) | $ | 3,083,150 | ||||
925,650 | Asurion LLC, New Term Loan B2, 4.250%, 7/08/2020(b) | 924,493 | ||||||
3,356,157 | Crown Castle International Corp., Non-Extended Incremental B, 3.000%, 1/31/2019(b) | 3,357,566 | ||||||
2,163,912 | Crown Castle Operating Co., Term Loan B2, 3.000%, 1/31/2021(b) | 2,162,852 | ||||||
1,370,000 | SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(b) | 1,360,657 | ||||||
|
| |||||||
10,888,718 | ||||||||
|
| |||||||
Wirelines — 0.5% | ||||||||
1,305,138 | Cincinnati Bell, Inc., New Term Loan B, 4.000%, 9/10/2020(b) | 1,304,328 | ||||||
2,017,129 | LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(b) | 2,010,291 | ||||||
3,056,862 | Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(b) | 3,059,094 | ||||||
|
| |||||||
6,373,713 | ||||||||
|
| |||||||
Total Senior Loans (Identified Cost $211,528,267) | 211,856,464 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks — 5.3% | ||||||||
Automobiles — 0.5% | ||||||||
88,460 | General Motors Co. | 3,211,098 | ||||||
19,989 | Toyota Motor Corp., Sponsored ADR | 2,391,884 | ||||||
|
| |||||||
5,602,982 | ||||||||
|
| |||||||
Banks — 0.1% | ||||||||
23,543 | HSBC Holdings PLC, Sponsored ADR | 1,195,984 | ||||||
|
| |||||||
Chemicals — 0.6% | ||||||||
82,634 | Dow Chemical Co. (The) | 4,252,345 | ||||||
29,800 | Rockwood Holdings, Inc. | 2,264,502 | ||||||
54,452 | Tronox Ltd., Class A | 1,464,759 | ||||||
|
| |||||||
7,981,606 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.5% | ||||||||
58,003 | AT&T, Inc. | 2,050,986 | ||||||
83,630 | Verizon Communications, Inc. | 4,092,016 | ||||||
|
| |||||||
6,143,002 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% | ||||||||
35,903 | CVS Caremark Corp. | 2,706,009 | ||||||
25,113 | Wal-Mart Stores, Inc. | 1,885,233 | ||||||
|
| |||||||
4,591,242 | ||||||||
|
| |||||||
Gas Utilities — 0.1% | ||||||||
58,444 | Tokyo Gas Co Ltd., ADR | 1,369,343 | ||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
10,144 | Siemens AG, Sponsored ADR | 1,340,935 | ||||||
|
|
See accompanying notes to financial statements.
23 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Shares | Description | Value (†) | ||||||
Oil, Gas & Consumable Fuels — 0.3% | ||||||||
21,550 | Exxon Mobil Corp. | $ | 2,169,654 | |||||
54,651 | Statoil ASA, Sponsored ADR | 1,684,890 | ||||||
|
| |||||||
3,854,544 | ||||||||
|
| |||||||
Pharmaceuticals — 1.5% | ||||||||
28,438 | Bayer AG, Sponsored ADR | 4,017,436 | ||||||
64,155 | Eli Lilly & Co. | 3,988,516 | ||||||
24,258 | GlaxoSmithKline PLC, Sponsored ADR | 1,297,318 | ||||||
29,105 | Johnson & Johnson | 3,044,965 | ||||||
62,096 | Pfizer, Inc. | 1,843,009 | ||||||
71,312 | Roche Holding AG, ADR | 2,659,938 | ||||||
36,223 | Sanofi, ADR | 1,925,977 | ||||||
|
| |||||||
18,777,159 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.3% | ||||||||
19,771 | KLA-Tencor Corp. | 1,436,166 | ||||||
32,227 | Texas Instruments, Inc. | 1,540,128 | ||||||
|
| |||||||
2,976,294 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% | ||||||||
12,269 | Canon, Inc., Sponsored ADR | 401,810 | ||||||
80,565 | EMC Corp. | 2,122,082 | ||||||
|
| |||||||
2,523,892 | ||||||||
|
| |||||||
Tobacco — 0.3% | ||||||||
34,555 | Altria Group, Inc. | 1,449,237 | ||||||
11,732 | British American Tobacco PLC, Sponsored ADR | 1,397,047 | ||||||
14,375 | Philip Morris International, Inc. | 1,211,956 | ||||||
|
| |||||||
4,058,240 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% | ||||||||
47,823 | Mitsubishi Corp., Sponsored ADR | 1,983,698 | ||||||
6,777 | Mitsui & Co. Ltd., Sponsored ADR | 2,172,029 | ||||||
|
| |||||||
4,155,727 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% | ||||||||
40,938 | Vodafone Group PLC, Sponsored ADR | 1,366,920 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $58,581,000) | 65,937,870 | |||||||
|
| |||||||
Preferred Stocks — 3.9% | ||||||||
Convertible Preferred Stocks — 2.4% | ||||||||
Electric — 0.2% | ||||||||
17,432 | Dominion Resources, Inc., 6.375% | 917,359 | ||||||
11,055 | Dominion Resources, Inc., Series A, 6.125% | 637,321 | ||||||
9,938 | Dominion Resources, Inc., Series B, 6.000% | 576,603 | ||||||
9,050 | NextEra Energy, Inc., 5.889% | 588,159 | ||||||
|
| |||||||
2,719,442 | ||||||||
|
|
See accompanying notes to financial statements.
| 24
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Shares | Description | Value (†) | ||||||
Energy — 0.2% | ||||||||
1,977 | Chesapeake Energy Corp., Series A, 5.750%, 144A | $ | 2,504,612 | |||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
131,000 | ArcelorMittal, 6.000% | 2,946,190 | ||||||
|
| |||||||
REITs – Diversified — 1.4% | ||||||||
47,159 | Crown Castle International Corp., Series A, 4.500%(c) | 4,806,445 | ||||||
223,896 | Weyerhaeuser Co., Series A, 6.375%(c) | 12,706,098 | ||||||
|
| |||||||
17,512,543 | ||||||||
|
| |||||||
REITs – Health Care — 0.0% | ||||||||
8,000 | Health Care REIT, Inc., Series I, 6.500% | 461,920 | ||||||
|
| |||||||
REITs – Mortgage — 0.4% | ||||||||
67,436 | iStar Financial, Inc., Series J, 4.500%(c) | 4,316,241 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $27,288,132) | 30,460,948 | |||||||
|
| |||||||
Non-Convertible Preferred Stocks — 1.5% | ||||||||
Banking — 1.0% | ||||||||
6,776 | Ally Financial, Inc., Series G, 7.000%, 144A(c) | 6,793,152 | ||||||
220,957 | SunTrust Banks, Inc., Series E, 5.875%(c) | 5,280,873 | ||||||
|
| |||||||
12,074,025 | ||||||||
|
| |||||||
Media Cable — 0.3% | ||||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(c) | 4,221,800 | ||||||
|
| |||||||
Property & Casualty Insurance — 0.2% | ||||||||
102,000 | Montpelier Re Holdings Ltd., 8.875%(c) | 2,782,560 | ||||||
|
| |||||||
Total Non-Convertible Preferred Stocks (Identified Cost $18,712,393) | 19,078,385 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $46,000,525) | 49,539,333 | |||||||
|
| |||||||
Exchange Traded Funds — 1.0% | ||||||||
253,847 | WisdomTree Japan Hedged Equity Fund(c) (Identified Cost $12,158,407) | 12,529,888 | ||||||
|
| |||||||
Shares/ Notional Amount (†††) | ||||||||
Purchased Options — 0.1% | ||||||||
Options on Securities — 0.1% | ||||||||
219,300 | Consumer Staples Select Sector SPDR®, Call expiring September 20, 2014 at 46 | 61,404 | ||||||
230,000 | Health Care Select Sector SPDR®, Call expiring September 20, 2014 at 61 | 307,050 | ||||||
105,600 | iShares Russell 2000 ETF, Call expiring August 16, 2014 at 118 | 281,424 | ||||||
846,400 | WisdomTree Japan Hedged Equity Fund, Call expiring August 16, 2014 at 49.3800 | 986,056 | ||||||
|
| |||||||
Total Purchased Options (Identified Cost $1,622,859) | 1,635,934 | |||||||
|
|
See accompanying notes to financial statements.
25 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
Shares/ Notional Amount (†††) | Description | Value (†) | ||||||
Purchased Swaptions — 0.1% | ||||||||
Interest Rate Swaptions — 0.1% | ||||||||
$ | 114,500,000 | 10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(n) (Identified Cost $5,629,583) | $ | 1,099,429 | ||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments — 9.7% | ||||||||
997,380 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2014 at 0.000% to be repurchased at $977,380 on 7/01/2014 collateralized by $1,075,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $1,020,821 including accrued interest (Note 2 of Notes to Financial Statements) | 997,380 | ||||||
110,792,244 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2014 at 0.010% to be repurchased at $110,792,275 on 7/01/2014 collateralized by $92,880,000 U.S. Treasury Note, 1.250% due 11/30/2018 valued at $92,183,400; $400,000 U.S. Treasury Note, 2.750% due 2/15/2019 valued at $426,000; $20,300,000 Federal Home Loan Banks, 2.300% due 5/28/2021 valued at $20,401,500 including accrued interest (Note 2 of Notes to Financial Statements)(d) | 110,792,244 | ||||||
9,400,000 | U.S. Treasury Bills, 0.060%-0.106%, 8/21/2014(d)(o)(p) | 9,399,699 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $121,188,824) | 121,189,323 | |||||||
|
| |||||||
Total Investments — 99.2% (Identified Cost $1,220,579,961)(a) | 1,244,157,969 | |||||||
Other assets less liabilities — 0.8% | 9,974,266 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,254,132,235 | ||||||
|
| |||||||
Shares/ Notional Amount (†††) | ||||||||
Written Options — (0.0%) | ||||||||
Options on Securities — (0.0%) | ||||||||
846,400 | WisdomTree Japan Hedged Equity Fund, Call expiring August 16, 2014 at 52.3800 (Premiums Received $239,017) | $ | (186,208 | ) | ||||
|
| |||||||
Written Swaptions — (0.0%) | ||||||||
Interest Rate Swaptions — (0.0%) | ||||||||
$ | 114,500,000 | 10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(n) (Premiums Received $3,740,334) | $ | (370,866 | ) | |||
|
| |||||||
See accompanying notes to financial statements.
| 26
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. | |||||||
(†) | See Note 2 of Notes to Financial Statements. | |||||||
(††) | Amount shown represents units. One unit represents a principal amount of 100. | |||||||
(†††) | Options on securities are expressed as shares. Interest rate swaptions are expressed as notional amount. | |||||||
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be 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 June 30, 2014, the net unrealized appreciation on investments based on a cost of $1,221,307,942 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 | $ | 46,431,510 | ||||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (23,581,483 | ) | ||||||
|
| |||||||
Net unrealized appreciation | $ | 22,850,027 | ||||||
|
| |||||||
(b) | Variable rate security. Rate as of June 30, 2014 is disclosed. | |||||||
(c) | All of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions. | |||||||
(d) | A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts, swap agreements, options or interest rate swaptions. | |||||||
(e) | Fair valued by the Fund’s adviser. At June 30, 2014, the value of these securities amounted to $146,657 or less than 0.1% of net assets. | |||||||
(f) | The issuer is making partial payments with respect to principal. | |||||||
(g) | Illiquid security. At June 30, 2014, the value of this security amounted to $2,769,438 or 0.2% of net assets. | |||||||
(h) | Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. | |||||||
(i) | Perpetual bond with no specified maturity date. | |||||||
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||||
(k) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2014, the issuer has not paid out any interest payments. | |||||||
(l) | Position is unsettled. Contract rate was not determined at June 30, 2014 and does not take effect until settlement date. | |||||||
(m) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2014. | |||||||
(n) | Counterparty is Citibank, N.A. | |||||||
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
(p) | A portion of this security has been pledged as initial margin for open futures contracts. | |||||||
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 June 30, 2014, the value of Rule 144A holdings amounted to $264,301,523 or 21.1% of net assets. |
See accompanying notes to financial statements.
27 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||||
ABS | Asset-Backed Securities | |||||
EMTN | Euro Medium Term Note | |||||
ETF | Exchange Traded Fund | |||||
MTN | Medium Term Note | |||||
PIK | Payment-in-Kind | |||||
REITs | Real Estate Investment Trusts | |||||
SPDR | Standard & Poor’s Depositary Receipt | |||||
BRL | Brazilian Real | |||||
CAD | Canadian Dollar | |||||
EUR | Euro | |||||
MXN | Mexican Peso | |||||
NZD | New Zealand Dollar | |||||
USD | U.S. Dollar |
At June 30, 2014, the Fund had the following open bilateral credit default swap agreements:
Buy Protection | ||||||||||||||||||||||||||||
Counterparty | Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Notional Value(‡) | Unamortized Up Front Premium Paid/ (Received) | Market Value | Unrealized Appreciation (Depreciation) | Fees Receivable/ (Payable) | ||||||||||||||||||||
Bank of America, N.A. | iTraxx Europe Crossover Series 18, 5-Year | (5.00%) | 12/20/2017 | 3,797,500 | * | $ | 65,651 | $ | (614,086 | ) | $ | (679,737 | ) | $ | (7,900 | ) | ||||||||||||
Bank of America, N.A. | Republic of Brazil | (1.00%) | 6/20/2019 | 24,550,000 | 912,269 | 442,891 | (469,378 | ) | (7,501 | ) | ||||||||||||||||||
JPMorgan Chase Bank N.A. | General Mills, Inc. | (1.00%) | 9/20/2019 | 12,500,000 | (378,213 | ) | (389,708 | ) | (11,495 | ) | (2,431 | ) | ||||||||||||||||
JPMorgan Chase Bank N.A. | Kellogg Co. | (1.00%) | 9/20/2019 | 12,300,000 | (183,360 | ) | (171,088 | ) | 12,272 | (3,758 | ) | |||||||||||||||||
JPMorgan Chase Bank N.A. | Safeway, Inc. | (1.00%) | 9/20/2019 | 11,175,000 | 1,125,340 | 1,104,140 | (21,200 | ) | (3,415 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 372,149 | $ | (1,169,538 | ) | $ | (25,005 | ) | ||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
| 28
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
At June 30, 2014, the Fund had the following open centrally cleared credit default swap agreements:
Buy Protection | ||||||||||||||||||||||
Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Notional Value(‡) | Market Value | Unrealized Appreciation (Depreciation) | Fees Receivable/ (Payable) | ||||||||||||||||
CDX.NA.HY** Series 22, 5-Year | (5.00%) | 6/20/2019 | $ | 3,100,000 | $ | (268,454 | ) | $ | (12,467 | ) | $ | (431 | ) | |||||||||
CDX.NA.HY** Series 22, 5-Year | (5.00%) | 6/20/2019 | 37,224,000 | (3,223,524 | ) | (834,662 | ) | (5,170 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||
Total | $ | (3,491,978 | ) | $ | (847,129 | ) | $ | (5,601 | ) | |||||||||||||
|
|
|
|
|
|
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
* | Notional value denominated in euros. |
** | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
At June 30, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell | Delivery Date | Currency | Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Buy1 | 7/02/2014 | Australian Dollar | 27,000,000 | $ | 25,459,641 | $ | 452,349 | |||||||||||
Buy1 | 8/05/2014 | Australian Dollar | 27,000,000 | 25,397,811 | (2,169 | ) | ||||||||||||
Sell1 | 7/02/2014 | Australian Dollar | 27,000,000 | 25,459,641 | 1,359 | |||||||||||||
Sell1 | 7/28/2014 | Brazilian Real | 32,825,000 | 14,746,663 | (100,492 | ) | ||||||||||||
Sell2 | 7/11/2014 | Canadian Dollar | 1,460,000 | 1,367,960 | (30,057 | ) | ||||||||||||
Buy1 | 7/28/2014 | Chilean Peso | 6,900,000,000 | 12,443,197 | (45,038 | ) | ||||||||||||
Buy1 | 7/01/2014 | Euro | 8,900,000 | 12,186,773 | 69,565 | |||||||||||||
Buy1 | 7/02/2014 | Euro | 8,900,000 | 12,186,773 | 69,556 | |||||||||||||
Sell1 | 7/01/2014 | Euro | 8,900,000 | 12,186,773 | (31,589 | ) | ||||||||||||
Sell1 | 7/02/2014 | Euro | 8,900,000 | 12,186,773 | (31,277 | ) | ||||||||||||
Sell3 | 7/09/2014 | Euro | 825,000 | 1,129,703 | (3,054 | ) | ||||||||||||
Sell1 | 7/17/2014 | Euro | 9,845,000 | 13,481,522 | (156,315 | ) | ||||||||||||
Sell4 | 7/28/2014 | Euro | 3,025,000 | 4,142,539 | (26,575 | ) | ||||||||||||
Sell1 | 7/30/2014 | Euro | 10,640,000 | 14,570,890 | (104,107 | ) | ||||||||||||
Sell1 | 7/31/2014 | Euro | 3,350,000 | 4,587,656 | (32,795 | ) | ||||||||||||
Sell3 | 7/23/2014 | Hungarian Forint | 2,900,000,000 | 12,811,239 | 63,345 | |||||||||||||
Buy2 | 7/28/2014 | Indian Rupee | 753,000,000 | 12,443,539 | (10,977 | ) | ||||||||||||
Sell1 | 7/31/2014 | Mexican Peso | 859,300,000 | 66,100,693 | (310,917 | ) | ||||||||||||
Sell1 | 7/03/2014 | New Zealand Dollar | 29,700,000 | 26,001,475 | (996,084 | ) | ||||||||||||
Sell5 | 7/14/2014 | New Zealand Dollar | 8,860,000 | 7,748,917 | (227,282 | ) | ||||||||||||
Sell3 | 7/23/2014 | Polish Zloty | 39,500,000 | 12,988,993 | (42,630 | ) | ||||||||||||
Buy1 | 7/09/2014 | South Korean Won | 12,800,000,000 | 12,647,407 | (7,066 | ) | ||||||||||||
Sell1 | 7/09/2014 | South Korean Won | 12,800,000,000 | 12,647,407 | (178,458 | ) | ||||||||||||
Sell3 | 7/24/2014 | Swedish Krona | 87,000,000 | 13,017,489 | (36,793 | ) | ||||||||||||
Sell1 | 7/11/2014 | Swiss Franc | 2,156,000 | 2,431,393 | (18,640 | ) | ||||||||||||
|
| |||||||||||||||||
Total | $ | (1,736,141 | ) | |||||||||||||||
|
|
1 Counterparty is Credit Suisse International.
2 Counterparty is Barclays Bank PLC.
3 Counterparty is Bank of America, N.A.
4 Counterparty is Deutsche Bank AG.
5 Counterparty is Citibank, N.A.
See accompanying notes to financial statements.
29 |
Table of Contents
Portfolio of Investments – as of June 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund – (continued)
At June 30, 2014, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
E-mini S&P 500® | 9/19/2014 | 431 | $ | 42,074,220 | $ | 33,441 | ||||||||||
German Euro Bund | 9/08/2014 | 46 | 9,259,839 | (144,958 | ) | |||||||||||
5 Year U.S. Treasury Note | 9/30/2014 | 898 | 107,275,922 | (147,910 | ) | |||||||||||
10 Year U.S. Treasury Note | 9/19/2014 | 952 | 119,163,625 | 479,883 | ||||||||||||
30 Year U.S. Treasury Bond | 9/19/2014 | 184 | 25,242,500 | 130,476 | ||||||||||||
|
| |||||||||||||||
Total | $ | 350,932 | ||||||||||||||
|
|
Industry Summary at June 30, 2014 (Unaudited)
ABS Home Equity | 13.0 | % | ||
Treasuries | 6.4 | |||
Technology | 5.5 | |||
Banking | 4.2 | |||
Automotive | 4.1 | |||
Pharmaceuticals | 4.0 | |||
Non-Agency Commercial Mortgage-Backed Securities | 3.9 | |||
ABS Credit Card | 3.2 | |||
Chemicals | 2.0 | |||
Financial Other | 2.0 | |||
Healthcare | 2.0 | |||
Other Investments, less than 2% each | 39.2 | |||
Short-Term Investments | 9.7 | |||
|
| |||
Total Investments | 99.2 | |||
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts) | 0.8 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 30
Table of Contents
Statement of Assets and Liabilities
June 30, 2014 (Unaudited)
ASSETS | ||||
Investments at cost | $ | 1,220,579,961 | ||
Net unrealized appreciation | 23,578,008 | |||
|
| |||
Investments at value | 1,244,157,969 | |||
Cash | 123,804 | |||
Due from brokers (Note 2) | 6,080,000 | |||
Foreign currency at value (identified cost $11,503,285) | 11,573,853 | |||
Receivable for Fund shares sold | 3,751,914 | |||
Receivable for securities sold | 22,017,124 | |||
Collateral received for open forward foreign currency contracts, swaptions or swap agreements (Notes 2 and 4) | 1,380,000 | |||
Dividends and interest receivable | 5,646,939 | |||
Unrealized appreciation on bilateral swap agreements (Note 2) | 12,272 | |||
Unrealized appreciation on forward foreign currency contracts (Note 2) | 656,174 | |||
Tax reclaims receivable | 22,875 | |||
Receivable for variation margin on centrally cleared swap agreements (Note 2) | 59,030 | |||
Unamortized upfront premiums paid on bilateral swap agreements (Note 2) | 2,103,260 | |||
|
| |||
TOTAL ASSETS | 1,297,585,214 | |||
|
| |||
LIABILITIES | ||||
Options/swaptions written, at value (premiums received $3,979,351) (Note 2) | 557,074 | |||
Payable for securities purchased | 35,092,297 | |||
Unrealized depreciation on bilateral swap agreements (Note 2) | 1,181,810 | |||
Payable for Fund shares redeemed | 1,107,685 | |||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 2,392,315 | |||
Unamortized upfront premiums received on bilateral swap agreements (Note 2) | 561,573 | |||
Due to brokers (Note 2) | 1,380,000 | |||
Payable for variation margin on futures contracts (Note 2) | 203,844 | |||
Fees payable on swap agreements (Note 2) | 30,650 | |||
Management fees payable (Note 6) | 722,580 | |||
Deferred Trustees’ fees (Note 6) | 47,100 | |||
Administrative fees payable (Note 6) | 44,556 | |||
Payable to distributor (Note 6d) | 9,215 | |||
Other accounts payable and accrued expenses | 122,280 | |||
|
| |||
TOTAL LIABILITIES | 43,452,979 | |||
|
| |||
NET ASSETS | $ | 1,254,132,235 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 1,273,930,079 | ||
Undistributed net investment income | 6,201,377 | |||
Accumulated net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions | (49,589,717 | ) | ||
Net unrealized appreciation on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations | 23,590,496 | |||
|
| |||
NET ASSETS | $ | 1,254,132,235 | ||
|
|
See accompanying notes to financial statements.
31 |
Table of Contents
Statement of Assets and Liabilities (continued)
June 30, 2014 (Unaudited)
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||
Class A shares: | ||||
Net assets | $ | 172,239,329 | ||
|
| |||
Shares of beneficial interest | 16,931,830 | |||
|
| |||
Net asset value and redemption price per share | $ | 10.17 | ||
|
| |||
Offering price per share (100/95.50 of net asset value) (Note 1) | $ | 10.65 | ||
|
| |||
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $ | 80,370,856 | ||
|
| |||
Shares of beneficial interest | 7,928,434 | |||
|
| |||
Net asset value and offering price per share | $ | 10.14 | ||
|
| |||
Class Y shares: | ||||
Net assets | $ | 1,001,522,050 | ||
|
| |||
Shares of beneficial interest | 98,529,741 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.16 | ||
|
|
See accompanying notes to financial statements.
| 32
Table of Contents
Statement of Operations
For the Six Months Ended June 30, 2014 (Unaudited)
INVESTMENT INCOME | ||||
Interest | $ | 22,138,152 | ||
Dividends | 4,173,191 | (a) | ||
Less net foreign taxes withheld | (56,793 | ) | ||
|
| |||
26,254,550 | ||||
|
| |||
Expenses | ||||
Management fees (Note 6) | 4,270,699 | |||
Service and distribution fees (Note 6) | 642,211 | |||
Administrative fees (Note 6) | 265,582 | |||
Trustees’ fees and expenses (Note 6) | 18,054 | |||
Transfer agent fees and expenses (Note 6) | 370,325 | |||
Audit and tax services fees | 34,537 | |||
Custodian fees and expenses | 109,286 | |||
Legal fees | 6,266 | |||
Registration fees | 72,796 | |||
Shareholder reporting expenses | 33,504 | |||
Miscellaneous expenses | 21,443 | |||
|
| |||
Total expenses | 5,844,703 | |||
|
| |||
Net investment income | 20,409,847 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS/SWAPTIONS WRITTEN, SWAP AGREEMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investments | 9,480,756 | |||
Futures contracts | (16,009,796 | ) | ||
Options/swaptions written | (381,893 | ) | ||
Swap agreements | (1,847,238 | ) | ||
Foreign currency transactions | (3,008,318 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 18,763,875 | |||
Futures contracts | (1,356,725 | ) | ||
Options/swaptions written | 3,275,068 | |||
Swap agreements | (318,135 | ) | ||
Foreign currency translations | (1,909,219 | ) | ||
|
| |||
Net realized and unrealized gain on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions | 6,688,375 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 27,098,222 | ||
|
|
(a) | Includes a non-recurring dividend of $928,128. |
See accompanying notes to financial statements.
33 |
Table of Contents
Statement of Changes in Net Assets
Six Months Ended June 30, 2014 (Unaudited) | Year Ended December 31, 2013 | |||||||
FROM OPERATIONS: | ||||||||
Net investment income | $ | 20,409,847 | $ | 42,429,002 | ||||
Net realized loss on investments, futures contracts, options/swaptions written, swap agreements and foreign currency transactions | (11,766,489 | ) | (29,265,397 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, options/swaptions written, swap agreements and foreign currency translations | 18,454,864 | (11,633,783 | ) | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 27,098,222 | 1,529,822 | ||||||
|
|
|
| |||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income | ||||||||
Class A | (1,787,916 | ) | (4,183,150 | ) | ||||
Class C | (583,352 | ) | (1,514,071 | ) | ||||
Class Y | (11,267,479 | ) | (22,714,766 | ) | ||||
|
|
|
| |||||
Total distributions | (13,638,747 | ) | (28,411,987 | ) | ||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS FROM | 1,101,200 | 620,354,079 | ||||||
|
|
|
| |||||
Net increase in net assets | 14,560,675 | 593,471,914 | ||||||
NET ASSETS | ||||||||
Beginning of the period | 1,239,571,560 | 646,099,646 | ||||||
|
|
|
| |||||
End of the period | $ | 1,254,132,235 | $ | 1,239,571,560 | ||||
|
|
|
| |||||
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME | $ | 6,201,377 | $ | (569,723 | ) | |||
|
|
|
|
See accompanying notes to financial statements.
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Financial Highlights
For a share outstanding throughout each period.
Income (Loss) from Investment Operations: | Less Distributions: | |||||||||||||||||||||||||||
Net asset value, beginning of the period | Net investment income (a)(b) | Net realized and unrealized gain (loss) | Total from investment operations | Dividends from net investment income (b) | Distributions from net realized capital gains (b) | Total distributions (b) | ||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
6/30/2014(g) | $ | 10.06 | $ | 0.16 | (h) | $ | 0.06 | $ | 0.22 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | |||||||||||
12/31/2013 | 10.20 | 0.37 | (0.28 | ) | 0.09 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
12/31/2012 | 9.34 | 0.37 | 0.77 | 1.14 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
12/31/2011 | 10.06 | 0.34 | (0.75 | ) | (0.41 | ) | (0.31 | ) | (0.00 | ) | (0.31 | ) | ||||||||||||||||
12/31/2010(j) | 10.00 | 0.00 | 0.06 | 0.06 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
6/30/2014(g) | 10.03 | 0.12 | (h) | 0.06 | 0.18 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
12/31/2013 | 10.16 | 0.30 | (0.28 | ) | 0.02 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
12/31/2012 | 9.31 | 0.30 | 0.76 | 1.06 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
12/31/2011 | 10.05 | 0.28 | (0.77 | ) | (0.49 | ) | (0.25 | ) | (0.00 | ) | (0.25 | ) | ||||||||||||||||
12/31/2010(j) | 10.00 | 0.00 | 0.05 | 0.05 | (0.00 | ) | — | (0.00 | ) | |||||||||||||||||||
Class Y |
| |||||||||||||||||||||||||||
6/30/2014(g) | 10.05 | 0.17 | (h) | 0.06 | 0.23 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
12/31/2013 | 10.19 | 0.40 | (0.29 | ) | 0.11 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
12/31/2012 | 9.33 | 0.41 | 0.76 | 1.17 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
12/31/2011 | 10.05 | 0.37 | (0.75 | ) | (0.38 | ) | (0.34 | ) | (0.00 | ) | (0.34 | ) | ||||||||||||||||
12/31/2010(j) | 10.00 | 0.00 | 0.05 | 0.05 | (0.00 | ) | — | (0.00 | ) |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share, if applicable. |
(c) | A sales charge for Class A shares and a contingent deferred sales charge for Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized. |
(d) | Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period, if applicable. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year, if applicable. |
(g) | For the six months ended June 30, 2014 (Unaudited). |
(h) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.15, $0.11 and $0.17 for Class A, Class C and Class Y shares, respectively, total return would have been 2.05%, 1.69% and 2.27% for Class A, Class C and Class Y shares, respectively, and the ratio of net investment income to average net assets would have been 3.05%, 2.29% and 3.30% for Class A, Class C and Class Y shares, respectively. |
(i) | Includes fee/expense recovery of less than 0.01%. |
(j) | From commencement of operations on December 15, 2010 through December 31, 2010. |
See accompanying notes to financial statements.
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Ratios to Average Net Assets: | ||||||||||||||||||||||||||
Net asset value, end of the period | Total return (%) (c)(d) | Net assets, end of the period (000’s) | Net expenses (%) (e)(f) | Gross expenses (%) (f) | Net investment income (%) (f) | Portfolio turnover rate (%) | ||||||||||||||||||||
$ | 10.17 | 2.15 | (h) | $ | 172,239 | 1.10 | 1.10 | 3.20 | (h) | 45 | ||||||||||||||||
10.06 | 0.96 | 177,339 | 1.11 | 1.11 | 3.68 | 115 | ||||||||||||||||||||
10.20 | 12.24 | 80,704 | 1.12 | 1.12 | 3.77 | 116 | ||||||||||||||||||||
9.34 | (3.90 | ) | 130,662 | 1.15 | (i) | 1.15 | (i) | 3.50 | 141 | |||||||||||||||||
10.06 | 0.41 | 2,465 | 1.30 | 6.98 | 0.86 | 39 | ||||||||||||||||||||
10.14 | 1.79 | (h) | 80,371 | 1.85 | 1.85 | 2.45 | (h) | 45 | ||||||||||||||||||
10.03 | 0.22 | 91,694 | 1.86 | 1.86 | 2.96 | 115 | ||||||||||||||||||||
10.16 | 11.44 | 67,748 | 1.87 | 1.87 | 3.05 | 116 | ||||||||||||||||||||
9.31 | (4.69 | ) | 77,398 | 1.89 | (i) | 1.89 | (i) | 2.82 | 141 | |||||||||||||||||
10.05 | 0.31 | 563 | 2.05 | 8.68 | 0.24 | 39 | ||||||||||||||||||||
10.16 | 2.27 | (h) | 1,001,522 | 0.85 | 0.85 | 3.45 | (h) | 45 | ||||||||||||||||||
10.05 | 1.19 | 970,539 | 0.86 | 0.86 | 3.92 | 115 | ||||||||||||||||||||
10.19 | 12.57 | 497,648 | 0.87 | 0.87 | 4.09 | 116 | ||||||||||||||||||||
9.33 | (3.78 | ) | 273,335 | 0.90 | (i) | 0.90 | (i) | 3.81 | 141 | |||||||||||||||||
10.05 | 0.41 | 26,758 | 1.05 | 5.37 | 0.06 | 39 |
See accompanying notes to financial statements.
| 36
Table of Contents
June 30, 2014 (Unaudited)
1. Organization. Natixis Funds Trust II (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in these financial statements pertains to Loomis Sayles Strategic Alpha Fund (the “Fund”).
The Fund is a non-diversified investment company.
The Fund offers Class A, Class C and Class Y shares. Class A shares are sold with a maximum front-end sales charge of 4.50%. Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a contingent deferred sales charge (“CDSC”) of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.
Most expenses of the Trust can be directly attributed to a fund. Expenses which cannot be directly attributed to a fund are generally apportioned based on the relative net assets of each of the funds in the Trust. Expenses of the Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.
a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued
37 |
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.Senior loans are valued at bid prices supplied by an independent pricing service, if available. Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively. Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on prices obtained from broker-dealers. Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and
| 38
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s NAV is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as the Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.
c. Foreign Currency Translation. 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities
39 |
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.
The Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. 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 reflected in the Fund’s Statement of Assets and Liabilities. 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. Contracts are traded over-the-counter directly with a counterparty. 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.
e. Futures Contracts. The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which
| 40
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
f. Option Contracts. The Fund may enter into option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.
When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.
Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option.
g. Swaptions. The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the
41 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.
When the Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked to market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.
When the Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.
Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.
h. Swap Agreements. The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker
| 42
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller if any. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statement of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statement of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statement of Operations as realized gain or loss. Upfront premiums paid or received by the Fund are recorded on the Statement of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
i. Due to/from Brokers. Transactions and positions in certain options, futures, forward foreign currency contracts and swap agreements are maintained and cleared by
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
registered U.S. broker/dealers pursuant to customer agreements between the Fund and the various broker/dealers. The due from broker balance in the Statement of Assets and Liabilities represents cash pledged as collateral for forward foreign currency contracts and bilateral swap agreements and as initial margin for futures contracts and centrally cleared swap agreements. The due to broker balance in the Statement of Assets and Liabilities represents cash received as collateral for forward foreign currency contracts and interest rate swaptions. In certain circumstances the Fund’s use of cash, securities and/or foreign currency held at brokers is restricted by regulation or broker mandated limits.
j. Federal and Foreign Income Taxes. The Trust treats each fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of June 30, 2014 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
The Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statement of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statement of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes eligible to be reclaimed are reflected on the Statement of Asset and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statement of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statement of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to the Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statement of Assets and Liabilities and are recorded as a realized gain when received.
k. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and
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Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as paydown gains and losses, capital gain distributions received, foreign currency transactions, deferred Trustees’ fees and premium amortization. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, premium amortization, contingent payment debt instruments, defaulted and/or non-income producing securities, swap payable/receivable, wash sales and forward foreign currency and futures contracts mark to market. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2013 were as follows:
2013 Distributions Paid From: | ||||
Ordinary Income | Long-Term Capital Gains | Total | ||
$28,411,987 | $ — | $28,411,987 |
As of December 31, 2013, the capital loss carryforwards were as follows:
Capital loss carryforward: | ||||
Short-term: | ||||
No expiration date | $ | (28,564,283 | ) | |
Long-term: | ||||
No expiration date | (6,849,896 | ) | ||
|
| |||
Total capital loss carryforward | $ | (35,414,179 | ) | |
|
|
l. Repurchase Agreements. The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2014, the Fund
45 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes.
m. Securities Lending. The Fund has entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent.
For the six months ended June 30, 2014, the Fund did not loan securities under this agreement.
n. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
3. 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 |
| 46
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
• | 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 June 30, 2014, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 156,455,867 | $ | 7,191,711 | (b) | $ | 163,647,578 | |||||||
ABS Other | — | 10,002,031 | 7,572,538 | (c) | 17,574,569 | |||||||||||
Airlines | — | — | 6,422,194 | (c) | 6,422,194 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 46,829,751 | 2,263,264 | (c) | 49,093,015 | |||||||||||
Wireless | — | 4,862,385 | 4,152,489 | (c) | 9,014,874 | |||||||||||
All Other Non-Convertible Bonds(a) | — | 473,395,494 | — | 473,395,494 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 691,545,528 | 27,602,196 | 719,147,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 61,222,004 | — | 61,222,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 752,767,532 | 27,602,196 | 780,369,728 | ||||||||||||
|
|
|
|
|
|
|
|
47 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Asset Valuation Inputs (continued)
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Senior Loans(a) | $ | — | $ | 211,856,464 | $ | — | $ | 211,856,464 | ||||||||
Common Stocks(a) | 65,937,870 | — | — | 65,937,870 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Energy | — | 2,504,612 | — | 2,504,612 | ||||||||||||
REITs – Mortgage | — | 4,316,241 | — | 4,316,241 | ||||||||||||
All Other Convertible Preferred Stocks(a) | 23,640,095 | — | — | 23,640,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stocks | 23,640,095 | 6,820,853 | — | 30,460,948 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Non-Convertible Preferred Stocks | ||||||||||||||||
Media Cable | — | 4,221,800 | — | 4,221,800 | ||||||||||||
All Other Non-Convertible Preferred Stocks(a) | 14,856,585 | — | — | 14,856,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Preferred Stocks | 14,856,585 | 4,221,800 | — | 19,078,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 38,496,680 | 11,042,653 | — | 49,539,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange Traded Funds(a) | 12,529,888 | — | — | 12,529,888 | ||||||||||||
Purchased Options(a) | 1,635,934 | — | — | 1,635,934 | ||||||||||||
Purchased Swaptions(a) | — | 1,099,429 | — | 1,099,429 | ||||||||||||
Short-Term Investments | — | 121,189,323 | — | 121,189,323 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 118,600,372 | 1,097,955,401 | 27,602,196 | 1,244,157,969 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Bilateral Credit Default Swap Agreements (unrealized appreciation) | — | 12,272 | — | 12,272 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 656,174 | — | 656,174 | ||||||||||||
Futures Contracts (unrealized appreciation) | 643,800 | — | — | 643,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 119,244,172 | $ | 1,098,623,847 | $ | 27,602,196 | $ | 1,245,470,215 | ||||||||
|
|
|
|
|
|
|
|
| 48
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options(a) | $ | (186,208 | ) | $ | — | $ | — | $ | (186,208 | ) | ||||||
Written Swaptions(a) | — | (370,866 | ) | — | (370,866 | ) | ||||||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) | — | (1,181,810 | ) | — | (1,181,810 | ) | ||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | (847,129 | ) | — | — | (847,129 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (2,392,315 | ) | — | (2,392,315 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (292,868 | ) | — | — | (292,868 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,326,205 | ) | $ | (3,944,991 | ) | $ | — | $ | (5,271,196 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(b) | Valued using broker-dealer bid prices ($7,045,054) or fair valued by the Fund’s investment adviser ($146,657). |
(c) | Valued using broker-dealer bid prices. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
A preferred stock valued at $2,290,849 was transferred from Level 1 to Level 2 during the period ended June 30, 2014. At December 31, 2013, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies. At June 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.
A preferred stock valued at $1,378,651 was transferred from Level 2 to Level 1 during the period ended June 30, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available. At June 30, 2014, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies.
All transfers are recognized as of the beginning of the reporting period.
49 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or June 30, 2014:
Asset Valuation Inputs
Investments in Securities | Balance as of | Accrued | Realized | Change in | Purchases | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | — | $ | — | $ | 13,838 | $ | 8,244 | $ | 5,645,555 | ||||||||||
ABS Other | 1,703,269 | — | 1,497 | 5,044 | 6,200,582 | |||||||||||||||
Airlines | 6,428,650 | — | 155,058 | (34,591 | ) | 6,393,135 | ||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 2,300,373 | — | (451 | ) | (605 | ) | — | |||||||||||||
Wireless | — | — | — | 37,128 | 4,115,361 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 10,432,292 | $ | — | $ | 169,942 | $ | 15,220 | $ | 22,354,633 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investments in Securities | Sales | Transfers | Transfers | Balance as of | Change in | |||||||||||||||
Bonds and Notes | ||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||
ABS Home Equity | $ | (292,604 | ) | $ | 1,816,678 | $ | — | $ | 7,191,711 | $ | 8,244 | |||||||||
ABS Other | (337,854 | ) | — | — | 7,572,538 | 14,897 | ||||||||||||||
Airlines | (6,520,058 | ) | — | — | 6,422,194 | 29,059 | ||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | (36,053 | ) | — | — | 2,263,264 | (626 | ) | |||||||||||||
Wireless | — | — | — | 4,152,489 | 37,128 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (7,186,569 | ) | $ | 1,816,678 | $ | — | $ | 27,602,196 | $ | 88,702 | |||||||||
|
|
|
|
|
|
|
|
|
|
| 50
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
A debt security valued at $1,469,552 was transferred from Level 2 to Level 3 during the period ended June 30, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
Debt securities valued at $347,126 were transferred from Level 2 to Level 3 during the period ended June 30, 2014. At December 31, 2013, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2014, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
All transfers are recognized as of the beginning of the reporting period.
4. 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, futures contracts, option contracts, swaptions and swap agreements.
The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the six months ended June 30, 2014, the Fund used forward foreign currency, futures and options contracts, swaptions and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended June 30, 2014, the Fund engaged in futures contracts for hedging purposes.
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 exchange contracts and
51 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the six months ended June 30, 2014, the Fund engaged in forward foreign currency and option transactions for hedging purposes.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the six months ended June 30, 2014, the Fund engaged in credit default swap transactions as a protection buyer to hedge its credit exposure.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the six months ended June 30, 2014, the Fund engaged in futures and option transactions for hedging purposes.
The following is a summary of derivative instruments for the Fund as of June 30, 2014, as reflected within the Statement of Assets and Liabilities:
Assets | Investments at value1 | Unrealized appreciation currency | Unrealized appreciation | Swap Agreements at value3 | Total | |||||||||||||||
Over-the-counter asset derivatives | ||||||||||||||||||||
Interest rate contracts | $ | 1,099,429 | $ | — | $ | — | $ | — | $ | 1,099,429 | ||||||||||
Foreign exchange contracts | — | 656,174 | — | — | 656,174 | |||||||||||||||
Credit contracts | — | — | — | 1,547,031 | 1,547,031 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total over-the-counter asset derivatives | $ | 1,099,429 | $ | 656,174 | $ | — | $ | 1,547,031 | $ | 3,302,634 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Exchange traded/cleared asset derivatives | ||||||||||||||||||||
Equity contracts | $ | 1,635,934 | $ | — | $ | 33,441 | $ | — | $ | 1,669,375 | ||||||||||
Interest rate contracts | — | — | 610,359 | — | 610,359 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total exchange traded/cleared asset derivatives | $ | 1,635,934 | $ | — | $ | 643,800 | $ | — | $ | 2,279,734 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total asset derivatives | $ | 2,735,363 | $ | 656,174 | $ | 643,800 | $ | 1,547,031 | $ | 5,582,368 | ||||||||||
|
|
|
|
|
|
|
|
|
|
| 52
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Liabilities | Options/ swaptions written at value | Unrealized depreciation currency | Unrealized depreciation | Swap Agreements at value3 | Total | |||||||||||||||
Over-the-counter liability derivatives | ||||||||||||||||||||
Interest rate contracts | $ | (370,866 | ) | $ | — | $ | — | $ | — | $ | (370,866 | ) | ||||||||
Foreign exchange contracts | — | (2,392,315 | ) | — | — | (2,392,315 | ) | |||||||||||||
Credit contracts | — | — | — | (1,174,882 | ) | (1,174,882 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total over-the-counter liability derivatives | $ | (370,866 | ) | $ | (2,392,315 | ) | $ | — | (1,174,882 | ) | $ | (3,938,063 | ) | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Exchange traded/cleared liability derivatives | ||||||||||||||||||||
Equity contracts | $ | (186,208 | ) | $ | — | $ | — | $ | — | $ | (186,208 | ) | ||||||||
Interest rate contracts | — | — | (292,868 | ) | — | (292,868 | ) | |||||||||||||
Credit contracts | — | — | — | (3,491,978 | ) | (3,491,978 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total exchange traded/cleared liability derivatives | $ | (186,208 | ) | $ | — | $ | (292,868 | ) | $ | (3,491,978 | ) | $ | (3,971,054 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liability derivatives | $ | (557,074 | ) | $ | (2,392,315 | ) | $ | (292,868 | ) | $ | (4,666,860 | ) | $ | (7,909,117 | ) | |||||
|
|
|
|
|
|
|
|
|
|
1 | Represents purchased options/swaptions, at value. |
2 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statement of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
3 | Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) are reported within the Statement of Assets and Liabilities. |
Transactions in derivative instruments for the Fund during the six months ended June 30, 2014 as reflected in the Statement of Operations were as follows:
Net Realized Gain (Loss) on: | Investments4 | Futures contracts | Options/ swaptions | Swap agreements | Foreign currency transactions5 | |||||||||||||||
Interest rate contracts | $ | 330,248 | $ | (6,431,775 | ) | $ | — | $ | — | $ | — | |||||||||
Foreign exchange contracts | (457,800 | ) | — | — | — | (2,861,912 | ) | |||||||||||||
Credit contracts | — | — | — | (1,847,238 | ) | — | ||||||||||||||
Equity contracts | 314,040 | (9,578,021 | ) | (381,893 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 186,488 | $ | (16,009,796 | ) | $ | (381,893 | ) | $ | (1,847,238 | ) | $ | (2,861,912 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
53 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Net Change in Unrealized | Investments4 | Futures contracts | Options/ swaptions | Swap agreements | Foreign currency translations5 | |||||||||||||||
Interest rate contracts | $ | (4,915,636 | ) | $ | (3,646,812 | ) | $ | 3,222,259 | $ | — | $ | — | ||||||||
Foreign exchange contracts | — | — | — | — | (2,096,218 | ) | ||||||||||||||
Credit contracts | — | — | — | (318,135 | ) | — | ||||||||||||||
Equity contracts | 13,075 | 2,290,087 | 52,809 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (4,902,561 | ) | $ | (1,356,725 | ) | $ | 3,275,068 | $ | (318,135 | ) | $ | (2,096,218 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
4 | Represents realized gain (loss) and change in unrealized appreciation (depreciation), respectively, for purchased options/swaptions during the period. |
5 | Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statement of Operations. |
As the Fund values its derivatives at fair value and recognizes changes in fair value through the Statement of Operations, it does not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.
The volume of forward foreign currency contract, futures contract and swap agreement activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:
Forwards | Futures | Swaps | ||||||||||
Average Notional Amount Outstanding | 23.70 | % | 19.69 | % | 6.07 | % | ||||||
Highest Notional Amount Outstanding | 34.62 | % | 24.16 | % | 11.97 | % | ||||||
Lowest Notional Amount Outstanding | 16.45 | % | 11.10 | % | 3.21 | % | ||||||
Notional Amount Outstanding as of June 30, 2014 | 29.53 | % | 24.16 | % | 8.34 | % |
Notional amounts outstanding at the end of the prior period, if applicable, are included in the average notional amount outstanding.
Unrealized gain and/or loss on open forwards, futures and swaps is recorded in the Statement of Assets and Liabilities. The aggregate notional values of forward, futures and swap contracts are not recorded in the Statement of Assets and Liabilities, and therefore are not included in the Fund’s net assets.
| 54
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The volume of option contract activity, as a percentage of net assets, based on the month-end market values of instruments underlying purchased and written options, at absolute value, was as follows for the six months ended June 30, 2014:
Call Options | Put Options Purchased* | Call Options Written* | Put Options Written* | |||||||||||||
Average Market Value of Underlying Instruments | 2.94 | % | 2.43 | % | 0.48 | % | 0.63 | % | ||||||||
Highest Market Value of Underlying Instruments | 8.05 | % | 7.32 | % | 3.33 | % | 4.35 | % | ||||||||
Lowest Market Value of Underlying Instruments | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Market Value of Underlying Instruments as of June 30, 2014 | 6.23 | % | 0.00 | % | 3.33 | % | 0.00 | % |
* | Market value of underlying instruments is determined as follows: for securities by multiplying option shares by the price of the option’s underlying security, for currencies by multiplying par value by the strike price and dividing by the foreign currency exchange rate and for futures by multiplying the number of contracts by the contract multiplier by the price of the underlying futures contract. |
The volume of interest rate swaption activity, as a percentage of net assets based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2014:
Interest Rate Put | Interest Rate Call | Interest Rate Put | Interest Rate Call | |||||||||||||
Average Premium Paid/Received | 0.00 | % | 0.30 | % | 0.02 | % | 0.46 | % | ||||||||
Highest Premium Paid/Received | 0.00 | % | 0.31 | % | 0.03 | % | 0.47 | % | ||||||||
Lowest Premium Paid/Received | 0.00 | % | 0.30 | % | 0.00 | % | 0.45 | % | ||||||||
Premium Paid/Received as of June 30, 2014 | 0.00 | % | 0.30 | % | 0.00 | % | 0.45 | % |
The following is a summary of the Fund’s written option activity (excluding interest rate swaptions):
Number of | Premiums | |||||||
Outstanding at December 31, 2013 | — | $ | — | |||||
Options written | 13,264 | 420,020 | ||||||
Options terminated in closing purchase transactions | (4,800 | ) | (181,003 | ) | ||||
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| |||||
Outstanding at June 30, 2014 | 8,464 | $ | 239,017 | |||||
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55 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
The following is a summary of the Fund’s written interest rate swaption activity:
Notional | Premiums | |||||||
Outstanding at December 31, 2013 | $ | 114,500,000 | $ | 3,740,334 | ||||
Options written | — | — | ||||||
Options terminated in closing purchase transactions | (— | ) | (— | ) | ||||
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| |||||
Outstanding at June 30, 2014 | $ | 114,500,000 | $ | 3,740,334 | ||||
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Over-the-counter derivatives, including forward foreign currency contracts, interest rate swaptions, and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statement of Assets and Liabilities.
As of June 30, 2014, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statement of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:
Counterparty | Gross Amounts | Offset | Net Asset | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | 506,236 | $ | (506,236 | ) | $ | — | $ | — | $ | — | |||||||||
Citibank, N.A. | 1,099,429 | (598,148 | ) | 501,281 | (501,281 | ) | — | |||||||||||||
Credit Suisse International | 592,829 | (592,829 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Bank N.A. | 1,104,140 | (560,796 | ) | 543,344 | (543,344 | ) | — | |||||||||||||
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| |||||||||||
$ | 3,302,634 | $ | (2,258,009 | ) | $ | 1,044,625 | $ | (1,044,625 | ) | $ | — | |||||||||
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| 56
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Counterparty | Gross Amounts | Offset | Net Liability | Collateral | Net | |||||||||||||||
Bank of America, N.A. | $ | (696,563 | ) | $ | 506,236 | $ | (190,327 | ) | $ | 100,000 | $ | (90,327 | ) | |||||||
Barclays Bank PLC | (41,034 | ) | — | (41,034 | ) | 20,000 | (21,034 | ) | ||||||||||||
Citibank, N.A. | (598,148 | ) | 598,148 | — | — | — | ||||||||||||||
Credit Suisse International | (2,014,947 | ) | 592,829 | (1,422,118 | ) | 800,000 | (622,118 | ) | ||||||||||||
Deutsche Bank AG | (26,575 | ) | — | (26,575 | ) | — | (26,575 | ) | ||||||||||||
JPMorgan Chase Bank N.A. | (560,796 | ) | 560,796 | — | — | — | ||||||||||||||
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| |||||||||||
$ | (3,938,063 | ) | $ | 2,258,009 | $ | (1,680,054 | ) | $ | 920,000 | $ | (760,054 | ) | ||||||||
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The actual collateral received or pledged may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on the Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to
57 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2014:
Maximum Amount | Maximum Amount | |
$14,941,488 | $10,718,854 |
These amounts include cash received as collateral of $1,380,000.
5. Purchases and Sales of Securities. For the six months ended June 30, 2014, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $484,419,563 and $558,424,291, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $18,001,088 and $9,800,020, respectively.
6. Management Fees and Other Transactions with Affiliates.
a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) is the investment adviser to the Fund. Loomis Sayles’ general partner is indirectly owned by Natixis US, which is part of Natixis Global Asset Management, an international asset management group based in Paris, France. Under the terms of the management agreement, the Fund pays a management fee at the annual rate of 0.70% of the Fund’s average daily net assets, calculated daily and payable monthly.
Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. This undertaking is in effect until April 30, 2015 and is reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.
For the six months ended June 30, 2014, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||
Class A | Class C | Class Y | ||||||
1.30% | 2.05% | 1.05% |
Loomis Sayles shall be permitted to recover expenses it has borne under the expense limitation agreement (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the annual operating expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated
| 58
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.
For the six months ended June 30, 2014, the management fees for the Fund were $4,270,699 (0.70% of average daily net assets).
No expenses were recovered during the six months ended June 30, 2014 under the terms of the expense limitation agreement.
b. Service and Distribution Fees. NGAM Distribution, L.P. (“NGAM Distribution”), which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Service Plan relating to the Fund’s Class A shares (the “Class A Plan”) and a Distribution and Service Plan relating to the Fund’s Class C shares (the “Class C Plan”).
Under the Class A Plan, the Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.
Under the Class C Plan, the Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.
Also under the Class C Plan, the Fund pays NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class C shares.
For the six months ended June 30, 2014, the service and distribution fees for the Fund were as follows:
Service Fees | Distribution Fees | |||||||
Class A | Class C | Class C | ||||||
$ 214,222 | $ 106,997 | $ 320,992 |
c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank and Trust Company (“State Street Bank”) to serve as sub-administrator. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”),
59 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
Hansberger International Series and NGAM Advisors, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
For the six months ended June 30, 2014, the administrative fees for the Fund were $265,582.
Effective July 1, 2014, each Fund pays NGAM Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.
d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers.
For the six months ended June 30, 2014, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $348,212.
As of June 30, 2014, the Fund owes NGAM Distribution $9,215 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended June 30, 2014 amounted to $29,403.
f. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $300,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $130,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairperson (except for the Chairperson of the Governance Committee) receives an additional retainer fee at the annual rate of $17,500. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.
g. Payment by Affiliates. For the six months ended June 30, 2014, Loomis Sayles reimbursed the Fund $5,875 for losses incurred in connection with a trading error.
7. Line of Credit. The Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participates in the line of credit. Interest is charged to each participating Fund based on its borrowings at a rate per
61 |
Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.10% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2014, the Fund had no borrowings under this agreement.
8. Concentration of Risk. The Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.
The Fund is non-diversified, which means that it is not limited under the 1940 Act to a percentage of assets that it may invest in any one issuer. Because the Fund may invest in the securities of a limited number of issuers, an investment in the Fund may involve a higher degree of risk than would be present in a diversified portfolio.
9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2014, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Number of >5% Non-Affiliated Account Holders | Percentage of Ownership | |
3 | 37.03% |
Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Fund does not have information on the individual shareholder accounts underlying omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.
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Table of Contents
Notes to Financial Statements (continued)
June 30, 2014 (Unaudited)
10. Capital Shares. The Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:
| Six Months Ended June 30, 2014 |
|
| Year Ended December 31, 2013 |
| |||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Issued from the sale of shares | 1,921,080 | $ | 19,393,233 | 19,193,046 | $ | 197,179,839 | ||||||||||
Issued in connection with the reinvestment of distributions | 147,278 | 1,480,773 | 355,486 | 3,564,612 | ||||||||||||
Redeemed | (2,759,715 | ) | (27,824,936 | ) | (9,839,761 | ) | (99,155,890 | ) | ||||||||
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Net change | (691,357 | ) | $ | (6,950,930 | ) | 9,708,771 | $ | 101,588,561 | ||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued from the sale of shares | 441,089 | $ | 4,431,637 | 6,543,786 | $ | 67,379,172 | ||||||||||
Issued in connection with the reinvestment of distributions | 36,532 | 365,476 | 97,192 | 971,450 | ||||||||||||
Redeemed | (1,692,063 | ) | (17,009,460 | ) | (4,163,033 | ) | (41,773,151 | ) | ||||||||
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| |||||||||
Net change | (1,214,442 | ) | $ | (12,212,347 | ) | 2,477,945 | $ | 26,577,471 | ||||||||
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Class Y | ||||||||||||||||
Issued from the sale of shares | 20,920,371 | $ | 211,019,032 | 88,033,948 | $ | 900,107,320 | ||||||||||
Issued in connection with the reinvestment of distributions | 720,555 | 7,240,462 | 1,447,322 | 14,486,878 | ||||||||||||
Redeemed | (19,640,416 | ) | (197,995,017 | ) | (41,806,087 | ) | (422,406,151 | ) | ||||||||
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| |||||||||
Net change | 2,000,510 | $ | 20,264,477 | 47,675,183 | $ | 492,188,047 | ||||||||||
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Increase (decrease) from capital share transactions | 94,711 | $ | 1,101,200 | 59,861,899 | $ | 620,354,079 | ||||||||||
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63 |
Table of Contents
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. 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-CSR 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 of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) | Not applicable | ||
(a) | (2) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively. | ||
(a) | (3) | Not applicable. | ||
(b) | Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b). |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | August 20, 2014 |
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: | August 20, 2014 |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | August 20, 2014 |