N-Q 1 d384611dnq.htm NATIXIS FUNDS TRUST I Natixis Funds Trust I

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04323

 

 

Natixis Funds Trust I

(Exact name of registrant as specified in charter)

 

 

399 Boylston Street,

Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

 

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

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

Date of fiscal year end: September 30

Date of reporting period: June 30, 2012

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – 96.4% of Net Assets

   
   ABS Car Loan – 2.2%   
$ 2,290,000       Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016    $ 2,331,522   
  570,000       AmeriCredit Automobile Receivables Trust, Series 2011-2, Class A3, 1.610%, 10/08/2015      574,237   
  780,000       AmeriCredit Automobile Receivables Trust, Series 2011-3, Class A3, 1.170%, 1/08/2016      783,570   
  2,410,000       AmeriCredit Automobile Receivables Trust, Series 2011-4, Class A3, 1.170%, 5/09/2016      2,422,168   
  1,240,000       Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class A, 3.630%, 8/20/2014, 144A      1,262,961   
  1,300,000       Avis Budget Rental Car Funding AESOP LLC, Series 2011-2A, Class A, 2.370%, 11/20/2014, 144A      1,325,277   
  308,623       Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A      323,360   
  1,775,000       DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A      1,821,547   
  790,000       Hertz Vehicle Financing LLC, Series 2009-2A, Class A1, 4.260%, 3/25/2014, 144A      804,236   
  7,130,000       Santander Drive Auto Receivables Trust, Series 2012-1, Class 1A3, 1.490%, 10/15/2015      7,158,973   
  3,600,000       Santander Drive Auto Receivables Trust, Series 2012-3, Class B, 1.940%, 12/15/2016      3,601,727   
  3,385,000       Santander Drive Auto Receivables Trust, Series 2012-4, Class C, 2.940%, 12/15/2017      3,385,000   
     

 

 

  
        25,794,578   
     

 

 

  
   ABS Credit Card – 1.0%   
  1,580,000       World Financial Network Credit Card Master Trust, Series 2009-D, Class A, 4.660%, 5/15/2017      1,641,405   
  500,000       World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019      540,531   
  9,300,000       World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023      9,730,390   
     

 

 

  
        11,912,326   
     

 

 

  
   ABS Home Equity – 0.0%   
  509,720       Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035      485,181   
     

 

 

  
   ABS Other – 0.1%   
  1,620,000       Avis Budget Rental Car Funding AESOP LLC, Series 2011-1A, Class A, 1.850%, 11/20/2014, 144A      1,630,459   
     

 

 

  
   Aerospace & Defense – 0.4%   
  225,000       Bombardier, Inc., 5.750%, 3/15/2022, 144A      224,156   
  1,480,000       Bombardier, Inc., 7.500%, 3/15/2018, 144A      1,622,450   
  3,060,000       Oshkosh Corp., 8.250%, 3/01/2017      3,350,700   
     

 

 

  
        5,197,306   
     

 

 

  

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Airlines – 0.1%   
$ 1,211,212       Continental Airlines Pass Through Trust, Series 2010-1, Class A, 4.750%, 7/12/2022    $ 1,268,745   
     

 

 

  
   Automotive – 3.8%   
  7,885,000       Ford Motor Credit Co. LLC, 5.000%, 5/15/2018      8,372,940   
  510,000       Ford Motor Credit Co. LLC, 5.625%, 9/15/2015      554,297   
  3,880,000       Ford Motor Credit Co. LLC, 6.625%, 8/15/2017      4,413,399   
  880,000       Ford Motor Credit Co. LLC, 7.000%, 10/01/2013      938,979   
  1,830,000       Ford Motor Credit Co. LLC, 7.000%, 4/15/2015      2,033,824   
  4,105,000       Ford Motor Credit Co. LLC, 8.000%, 12/15/2016      4,855,213   
  2,165,000       General Motors Financial Co., Inc., 6.750%, 6/01/2018      2,366,616   
  1,575,000       Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A      1,588,283   
  3,375,000       Kia Motors Corp., 3.625%, 6/14/2016, 144A      3,465,349   
  15,665,000       Toyota Motor Credit Corp., MTN, 1.750%, 5/22/2017      15,791,933   
     

 

 

  
        44,380,833   
     

 

 

  
   Banking – 5.6%   
  6,730,000       Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A      6,629,050   
  8,300,000       Bank of America Corp., MTN, 5.000%, 5/13/2021      8,563,168   
  1,365,000       Bear Stearns Cos., Inc. (The), 6.400%, 10/02/2017      1,574,093   
  520,000       Citigroup, Inc., 6.000%, 8/15/2017      569,607   
  1,115,000       Citigroup, Inc., 6.125%, 5/15/2018      1,244,980   
  6,555,000       Citigroup, Inc., 6.500%, 8/19/2013      6,868,087   
  2,565,000       Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037      2,513,836   
  5,230,000       Goldman Sachs Group, Inc. (The), 7.500%, 2/15/2019      5,964,303   
  4,170,000       Hana Bank, 4.250%, 6/14/2017, 144A      4,431,530   
  6,325,000       JPMorgan Chase & Co., 6.000%, 1/15/2018      7,260,221   
  3,650,000       Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018      4,084,116   
  1,015,000       Morgan Stanley, 5.375%, 10/15/2015      1,037,552   
  6,550,000       Morgan Stanley, 5.750%, 1/25/2021      6,458,575   
  2,530,000       Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018      2,645,287   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Banking – continued   
$ 5,955,000       Royal Bank of Scotland PLC (The), 4.875%, 3/16/2015 $    $ 6,161,924   
     

 

 

  
        66,006,329   
     

 

 

  
   Building Materials – 0.9%   
  4,675,000       Odebrecht Finance Ltd., 7.125%, 6/26/2042, 144A      4,651,625   
  2,685,000       Owens Corning, Inc., 7.000%, 12/01/2036      2,853,470   
  3,285,000       USG Corp., 6.300%, 11/15/2016      3,145,388   
     

 

 

  
        10,650,483   
     

 

 

  
   Chemicals – 1.2%   
  5,600,000       Braskem America Finance Co., 7.125%, 7/22/2041, 144A      5,586,000   
  2,270,000       Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A      3,130,505   
  2,130,000       Methanex Corp., 5.250%, 3/01/2022      2,209,896   
  2,755,000       RPM International, Inc., 6.125%, 10/15/2019      3,153,095   
     

 

 

  
        14,079,496   
     

 

 

  
   Collateralized Mortgage Obligations – 0.5%   
  1,533,088       Banc of America Funding Corp., Series 2005-B, Class 3A1, 0.474%, 4/20/2035(b)      1,178,028   
  696,104       Chase Mortgage Finance Corp., Series 2007-A1, Class 2A3, 3.000%, 2/25/2037(b)      670,293   
  3,530,000       FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018      3,664,359   
     

 

 

  
        5,512,680   
     

 

 

  
   Commercial Mortgage-Backed Securities – 4.9%   
  478,745       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049      495,814   
  1,670,000       Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.634%, 4/10/2049(b)      1,911,763   
  724,008       Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A2, 5.663%, 6/11/2040(b)      748,759   
  690,000       Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.700%, 12/10/2049(b)      796,649   
  1,000,000       Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.073%, 12/10/2049(b)      1,166,724   
  180,470       Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046      183,492   
  2,500,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049      2,692,065   
  3,500,000       Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.772%, 9/15/2039(b)      3,735,029   
  5,790,000       Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.201%, 2/15/2041(b)      6,370,222   
  824,497       Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037      827,495   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Commercial Mortgage-Backed Securities – continued   
$ 425,000      

Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.874%,

7/10/2038(b)

    $ 484,427   
  7,785,000       Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039      8,636,126   
  890,000       GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)      987,734   
  3,000,000      

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

5.336%, 5/15/2047

      3,319,038   
  2,650,000      

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

5.440%, 6/12/2047

      2,990,642   
  2,500,000      

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

5.378%, 8/12/2048

      2,706,103   
  2,930,000       Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049      3,224,787   
  305,000       Morgan Stanley Capital I, Series 2007-T27, Class A4, 5.657%, 6/11/2042(b)      354,322   
  1,175,000       Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.278%, 1/11/2043(b)      1,409,786   
  365,000       Morgan Stanley Capital I, Inc., Series 2007-HQ12, Class A5, 5.597%, 4/12/2049(b)      394,760   
  1,000,000       Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048      1,108,651   
  2,070,000       Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048      2,329,640   
  10,770,000       Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043      11,621,982   
     

 

 

  
        58,496,010   
     

 

 

  
   Construction Machinery – 0.1%   
  1,580,000       Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A      1,666,900   
     

 

 

  
   Consumer Cyclical Services – 0.0%   
  360,000       Service Corp. International, 7.000%, 5/15/2019      387,000   
     

 

 

  
   Consumer Products – 0.4%   
  1,546,000       Whirlpool Corp., 6.500%, 6/15/2016      1,720,214   
  3,185,000       Whirlpool Corp., MTN, 4.850%, 6/15/2021      3,299,491   
     

 

 

  
        5,019,705   
     

 

 

  
   Distributors – 0.3%   
  3,010,000       China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A      3,080,759   
     

 

 

  
   Diversified Manufacturing – 0.7%   
  1,200,000       Crane Co., 6.550%, 11/15/2036      1,290,754   
  1,420,000       Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A      1,417,160   
  5,405,000       Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A      5,405,000   
     

 

 

  
        8,112,914   
     

 

 

  

 

Principal
Amount(‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Electric – 1.2%   
$ 215,000       Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A    $ 231,931   
  2,905,000       Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A      3,228,181   
  1,535,000       Enersis S.A., 7.375%, 1/15/2014      1,642,805   
  4,270,000       Florida Power & Light Co., 4.125%, 2/01/2042      4,470,660   
  1,010,000       Ipalco Enterprises, Inc., 5.000%, 5/01/2018      1,022,625   
  3,680,000       TransAlta Corp., 4.750%, 1/15/2015      3,839,815   
     

 

 

  
        14,436,017   
     

 

 

  
   Food & Beverage – 1.0%   
  1,445,000       Bunge Ltd. Finance Corp., 4.100%, 3/15/2016      1,506,780   
  5,820,000       Molson Coors Brewing Co., 5.000%, 5/01/2042      6,287,765   
  1,685,000       Post Holdings, Inc., 7.375%, 2/15/2022, 144A      1,777,675   
  2,055,000       Sigma Alimentos S.A. de CV, 5.625%, 4/14/2018, 144A      2,214,262   
     

 

 

  
        11,786,482   
     

 

 

  
   Government Owned - No Guarantee – 5.0%   
  6,745,000       CEZ A.S., 5.625%, 4/03/2042, 144A      7,083,936   
  2,470,000       CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A      2,548,929   
  1,600,000       Federal Home Loan Mortgage Corp., 6.250%, 7/15/2032      2,380,058   
  8,085,000       Federal National Mortgage Association, 6.625%, 11/15/2030      12,266,109   
  4,370,000       IPIC GMTN Ltd., 6.875%, 11/01/2041, 144A      5,101,975   
  6,310,000       Korea Development Bank, 4.000%, 9/09/2016      6,714,319   
  7,365,000       Korea National Oil Corp., 3.125%, 4/03/2017, 144A      7,510,245   
  5,615,000       Petrobras International Finance Co., 6.750%, 1/27/2041      6,586,305   
  3,095,000       Petrobras International Finance Co., 6.875%, 1/20/2040      3,681,574   
  1,610,000       Qtel International Finance Ltd., 4.750%, 2/16/2021, 144A      1,714,650   
  2,965,000       Qtel International Finance Ltd., 7.875%, 6/10/2019, 144A      3,691,425   
     

 

 

  
        59,279,525   
     

 

 

  
   Healthcare – 1.9%   
  2,525,000       Aristotle Holding, Inc., 4.750%, 11/15/2021, 144A      2,794,112   
  8,190,000       HCA, Inc., 7.500%, 2/15/2022      8,927,100   
  575,000       HCA, Inc., 7.500%, 12/15/2023      552,719   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Healthcare – continued   
$ 7,400,000       Kaiser Foundation Hospitals, 4.875%, 4/01/2042    $ 8,153,638   
  2,195,000       PerkinElmer, Inc., 5.000%, 11/15/2021      2,356,008   
     

 

 

  
        22,783,577   
     

 

 

  
   Home Construction – 0.3%   
  3,220,000       Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A      3,381,000   
     

 

 

  
   Hybrid ARMs – 0.0%   
  309,208       FHLMC, 6.017%, 11/01/2036(b)      328,723   
  188,950       FNMA, 2.256%, 2/01/2037(b)      199,661   
     

 

 

  
        528,384   
     

 

 

  
   Independent Energy – 1.8%   
  1,560,000       Anadarko Petroleum Corp., 5.950%, 9/15/2016      1,770,254   
  3,020,000       Anadarko Petroleum Corp., 6.375%, 9/15/2017      3,508,135   
  1,835,000       Denbury Resources, Inc., 6.375%, 8/15/2021      1,908,400   
  2,865,000       Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A      3,191,037   
  3,115,000       Newfield Exploration Co., 5.750%, 1/30/2022      3,255,175   
  1,670,000       Range Resources Corp., 5.000%, 8/15/2022      1,649,125   
  1,295,000       SM Energy Co., 6.500%, 1/01/2023, 144A      1,304,712   
  4,165,000       Talisman Energy, Inc., 5.500%, 5/15/2042      4,278,171   
     

 

 

  
        20,865,009   
     

 

 

  
   Industrial Other – 1.2%   
  2,035,000       Berau Coal Energy Tbk PT, 7.250%, 3/13/2017, 144A      1,979,037   
  1,360,000       Briggs & Stratton Corp., 6.875%, 12/15/2020      1,455,200   
  5,270,000       Hutchison Whampoa International 11 Ltd., 4.625%, 1/13/2022, 144A      5,524,393   
  2,650,000       Hutchison Whampoa International Ltd., 5.750%, 9/11/2019, 144A      2,996,917   
  1,570,000       Timken Co. (The), 6.000%, 9/15/2014      1,703,554   
     

 

 

  
        13,659,101   
     

 

 

  
   Media Cable – 1.4%   
  2,585,000       Cablevision Systems Corp., 7.750%, 4/15/2018      2,753,025   
  2,840,000       Cablevision Systems Corp., 8.000%, 4/15/2020      3,067,200   
  1,070,000       Cox Communications, Inc., 5.450%, 12/15/2014      1,177,415   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Media Cable – continued   
$ 7,400,000       Time Warner Cable, Inc., 4.125%, 2/15/2021    $ 7,854,168   
  1,330,000       Time Warner Cable, Inc., 8.250%, 4/01/2019      1,737,908   
     

 

 

  
        16,589,716   
     

 

 

  
   Media Non-Cable – 0.4%   
  1,375,000       Inmarsat Finance PLC, 7.375%, 12/01/2017, 144A      1,467,812   
  2,185,000       Myriad International Holding BV, 6.375%, 7/28/2017, 144A      2,407,774   
  1,310,000       R.R. Donnelley & Sons Co., 7.250%, 5/15/2018      1,247,775   
     

 

 

  
        5,123,361   
     

 

 

  
   Metals & Mining – 1.0%   
  890,000       Alcoa, Inc., 5.400%, 4/15/2021      886,235   
  2,490,000       Alcoa, Inc., 6.150%, 8/15/2020      2,621,201   
  525,000       APERAM, 7.375%, 4/01/2016, 144A      450,303   
  5,610,000       ArcelorMittal, 6.750%, 3/01/2041      5,236,324   
  485,000       ArcelorMittal, 7.000%, 10/15/2039      470,766   
  400,000       United States Steel Corp., 6.650%, 6/01/2037      312,000   
  1,480,000       United States Steel Corp., 7.375%, 4/01/2020      1,428,200   
     

 

 

  
        11,405,029   
     

 

 

  
   Mortgage Related – 15.6%   
  22,988,422       FHLMC, 4.000%, with various maturities in 2041(c)      24,439,341   
  12,115,540       FHLMC, 4.500%, with various maturities from 2034 to 2039(c)      12,946,488   
  656,044       FHLMC, 5.000%, with various maturities from 2035 to 2038(c)      706,976   
  11,922,839       FHLMC, 5.500%, with various maturities from 2018 to 2040(c)      12,970,092   
  65,882       FHLMC, 6.000%, 6/01/2035      73,868   
  3,448,926       FNMA, 3.000%, with various maturities in 2027(c)      3,619,550   
  26,840,859       FNMA, 3.500%, with various maturities in 2042(c)      28,303,910   
  29,058,741       FNMA, 4.000%, with various maturities from 2019 to 2041(c)      31,022,724   
  15,472,336       FNMA, 4.500%, with various maturities from 2039 to 2041(c)      16,691,005   
  15,447,674       FNMA, 5.000%, with various maturities from 2033 to 2037(c)      16,823,715   
  9,122,376       FNMA, 5.500%, with various maturities from 2036 to 2039(c)      9,967,395   
  2,881,016       FNMA, 6.000%, with various maturities from 2016 to 2039(c)      3,210,894   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Mortgage Related – continued   
$ 153,896       FNMA, 6.500%, with various maturities from 2029 to 2036(c)    $ 175,730   
  109,994       FNMA, 7.000%, with various maturities in 2030(c)      131,277   
  112,759       FNMA, 7.500%, with various maturities from 2024 to 2032(c)      137,484   
  18,550,000       FNMA, (TBA), 3.500%, 8/01/2042(d)      19,445,618   
  2,108,872       GNMA, 5.500%, with various maturities from 2038 to 2039(c)      2,341,495   
  351,396       GNMA, 6.000%, with various maturities from 2029 to 2038(c)      395,641   
  243,371       GNMA, 6.500%, with various maturities from 2028 to 2032(c)      282,839   
  161,512       GNMA, 7.000%, with various maturities from 2025 to 2029(c)      191,249   
  56,224       GNMA, 7.500%, with various maturities from 2025 to 2030(c)      66,208   
  19,628       GNMA, 8.000%, 11/15/2029      20,788   
  65,890       GNMA, 8.500%, with various maturities from 2017 to 2023(c)      67,316   
  10,212       GNMA, 9.000%, with various maturities in 2016(c)      10,906   
  14,300       GNMA, 11.500%, with various maturities from 2013 to 2015(c)      14,390   
     

 

 

  
        184,056,899   
     

 

 

  
   Non-Captive Consumer – 1.3%   
  325,000       SLM Corp., MTN, 5.050%, 11/14/2014      334,735   
  1,100,000       SLM Corp., MTN, 6.000%, 1/25/2017      1,136,328   
  11,090,000       SLM Corp., MTN, 6.250%, 1/25/2016      11,644,500   
  350,000       SLM Corp., Series A, MTN, 5.000%, 10/01/2013      360,500   
  30,000       SLM Corp., Series A, MTN, 5.000%, 4/15/2015      30,276   
  120,000       SLM Corp., Series A, MTN, 5.000%, 6/15/2018      114,300   
  55,000       SLM Corp., Series A, MTN, 5.375%, 1/15/2013      56,030   
  35,000       SLM Corp., Series A, MTN, 5.375%, 5/15/2014      36,224   
  1,135,000       SLM Corp., Series A, MTN, 8.450%, 6/15/2018      1,271,200   
     

 

 

  
        14,984,093   
     

 

 

  
   Non-Captive Diversified – 5.0%   
  4,045,000       Ally Financial, Inc., 5.500%, 2/15/2017      4,108,672   
  6,350,000       Ally Financial, Inc., 6.250%, 12/01/2017      6,688,525   
  1,211,000       Ally Financial, Inc., 8.000%, 11/01/2031      1,419,898   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Non-Captive Diversified – continued   
$ 2,480,000       Ally Financial, Inc., 8.300%, 2/12/2015    $ 2,703,200   
  11,490,000       CIT Group, Inc., 5.000%, 5/15/2017      11,834,700   
  3,795,000       CIT Group, Inc., 5.375%, 5/15/2020      3,870,900   
  2,070,000       GATX Corp., 4.750%, 5/15/2015      2,218,280   
  6,950,000       General Electric Capital Corp., 2.250%, 11/09/2015      7,091,002   
  4,465,000       General Electric Capital Corp., 5.300%, 2/11/2021      5,011,436   
  2,290,000       General Electric Capital Corp., MTN, 2.300%, 4/27/2017      2,305,483   
  7,835,000       International Lease Finance Corp., 5.750%, 5/15/2016      7,949,250   
  2,830,000       International Lease Finance Corp., 6.250%, 5/15/2019      2,883,062   
  205,000       International Lease Finance Corp., 6.375%, 3/25/2013      209,356   
  40,000       International Lease Finance Corp., Series R, MTN, 5.550%, 9/05/2012      40,200   
  200,000       International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013      204,750   
  830,000       International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014      850,750   
     

 

 

  
        59,389,464   
     

 

 

  
   Oil Field Services – 2.6%   
  6,205,000       Nabors Industries, Inc., 4.625%, 9/15/2021      6,447,287   
  6,015,000       Pan American Energy LLC, 7.875%, 5/07/2021, 144A      5,112,750   
  1,040,000       Parker Drilling Co., 9.125%, 4/01/2018, 144A      1,099,800   
  5,060,000       Parker Drilling Co., 9.125%, 4/01/2018      5,350,950   
  2,540,000       Rowan Cos., Inc., 5.000%, 9/01/2017      2,734,203   
  8,070,000       Transocean, Inc., 4.950%, 11/15/2015      8,688,751   
  1,005,000       Weatherford International Ltd., 5.950%, 4/15/2042      1,057,164   
     

 

 

  
        30,490,905   
     

 

 

  
   Paper – 1.3%   
  1,785,000       Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022, 144A      1,824,773   
  1,850,000       Celulosa Arauco y Constitucion S.A., 5.000%, 1/21/2021      1,909,676   
  2,005,000       Georgia-Pacific LLC, 7.375%, 12/01/2025      2,554,663   
  5,730,000       Georgia-Pacific LLC, 7.750%, 11/15/2029      7,443,648   
  735,000       Georgia-Pacific LLC, 8.000%, 1/15/2024      981,739   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Paper – continued   
$ 365,000       Georgia-Pacific LLC, 8.875%, 5/15/2031    $ 514,573   
     

 

 

  
        15,229,072   
     

 

 

  
   Pharmaceuticals – 0.8%   
  600,000       Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A      625,500   
  720,000       Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A      705,600   
  4,130,000       Valeant Pharmaceuticals International, 6.875%, 12/01/2018, 144A      4,269,387   
  3,505,000       Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A      3,513,763   
     

 

 

  
        9,114,250   
     

 

 

  
   Pipelines – 2.2%   
  9,055,000       Energy Transfer Partners LP, 6.050%, 6/01/2041      9,194,972   
  825,000       Energy Transfer Partners LP, 6.500%, 2/01/2042      884,103   
  2,050,000       Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016      2,157,625   
  7,455,000       Kinder Morgan Finance Co. LLC, 6.000%, 1/15/2018, 144A      7,753,200   
  6,725,000       Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A      6,472,813   
     

 

 

  
        26,462,713   
     

 

 

  
   Property & Casualty Insurance – 0.7%   
  2,830,000       Berkshire Hathaway, Inc., 1.900%, 1/31/2017      2,885,972   
  1,175,000       Willis Group Holdings PLC, 4.125%, 3/15/2016      1,228,359   
  3,250,000       Willis North America, Inc., 6.200%, 3/28/2017      3,656,295   
  555,000       Willis North America, Inc., 7.000%, 9/29/2019      643,161   
     

 

 

  
        8,413,787   
     

 

 

  
   Railroads – 0.1%   
  1,450,000       Burlington Northern Santa Fe LLC, 4.950%, 9/15/2041      1,577,422   
     

 

 

  
   Refining – 0.2%   
  2,600,000       Phillips 66, 5.875%, 5/01/2042, 144A      2,798,864   
     

 

 

  
   Retailers – 1.2%   
  2,610,000       Dollar General Corp., 4.125%, 7/15/2017      2,645,887   
  11,345,000       Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A      11,535,823   
     

 

 

  
        14,181,710   
     

 

 

  

 

Principal
Amount (‡)

    

Description

    Value (†)  

 

Bonds and Notes – continued

   
  Sovereigns – 0.7%   
$ 6,438,000      Mexico Government International Bond, Series A, MTN, 6.050%, 1/11/2040    $ 8,305,020   
    

 

 

  
  Supermarket – 0.6%   
  7,370,000      Delhaize Group S.A., 4.125%, 4/10/2019      7,130,585   
    

 

 

  
  Supranational – 0.7%   
  18,970,000      Inter-American Development Bank, EMTN, 8.000%, 1/26/2016, (MXN)      1,599,119   
  87,705,000      International Bank for Reconstruction & Development, 6.500%, 9/11/2013, (MXN)      6,767,375   
    

 

 

  
       8,366,494   
    

 

 

  
  Technology – 2.0%   
  250,000      Amphenol Corp., 4.000%, 2/01/2022      254,684   
  3,745,000      Amphenol Corp., 4.750%, 11/15/2014      4,029,328   
  2,635,000      Brocade Communications Systems, Inc., 6.625%, 1/15/2018      2,760,163   
  1,160,000      Brocade Communications Systems, Inc., 6.875%, 1/15/2020      1,255,700   
  2,981,000      Equifax, Inc., 7.000%, 7/01/2037      3,522,075   
  4,140,000      Fiserv, Inc., 3.125%, 10/01/2015      4,291,358   
  69,000      Motorola Solutions, Inc., 6.625%, 11/15/2037      73,111   
  340,000      Motorola Solutions, Inc., 7.500%, 5/15/2025      420,260   
  1,335,000      National Semiconductor Corp., 3.950%, 4/15/2015      1,446,287   
  5,570,000      Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A      5,749,181   
    

 

 

  
       23,802,147   
    

 

 

  
  Tobacco – 0.7%   
  6,335,000      Reynolds American, Inc., 7.250%, 6/15/2037      7,655,575   
    

 

 

  
  Transportation Services – 0.2%   
  1,990,000      Erac USA Finance Co., 5.250%, 10/01/2020, 144A      2,216,183   
    

 

 

  
  Treasuries – 17.9%   
  1,607,500 (††)    Mexican Fixed Rate Bonds, Series M, 6.250%, 6/16/2016, (MXN)      12,672,892   
  1,783,000 (††)    Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)      15,147,888   
  5,435,000      Spain Government Bond, 5.500%, 4/30/2021, (EUR)      6,469,711   
  9,660,000      Spain Government Bond, 5.850%, 1/31/2022, (EUR)      11,747,860   
  8,470,000      U.S. Treasury Bond, 3.000%, 5/15/2042      8,871,004   

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Treasuries – continued   
$ 2,910,000       U.S. Treasury Bond, 3.125%, 2/15/2042    $ 3,125,520   
  23,755,000       U.S. Treasury Bond, 3.750%, 8/15/2041      28,647,057   
  3,875,000       U.S. Treasury Bond, 3.875%, 8/15/2040      4,770,489   
  1,215,000       U.S. Treasury Bond, 4.375%, 5/15/2040      1,619,177   
  70,000       U.S. Treasury Bond, 4.500%, 2/15/2036      94,019   
  685,000       U.S. Treasury Bond, 4.750%, 2/15/2041      967,562   
  1,655,000       U.S. Treasury Note, 0.625%, 5/31/2017      1,647,372   
  33,122,000       U.S. Treasury Note, 0.875%, 2/28/2017      33,409,234   
  8,825,000       U.S. Treasury Note, 1.250%, 2/15/2014      8,957,031   
  8,880,000       U.S. Treasury Note, 1.250%, 4/30/2019      8,978,515   
  7,025,000       U.S. Treasury Note, 1.750%, 5/15/2022      7,082,078   
  3,585,000       U.S. Treasury Note, 1.875%, 8/31/2017      3,782,175   
  8,365,000       U.S. Treasury Note, 2.000%, 2/15/2022      8,646,666   
  1,155,000       U.S. Treasury Note, 2.125%, 8/15/2021      1,214,014   
  13,550,000       U.S. Treasury Note, 2.625%, 11/15/2020(e)(f)      14,893,361   
  560,000       U.S. Treasury Note, 2.750%, 10/31/2013      578,222   
  13,005,000       U.S. Treasury Note, 3.125%, 5/15/2021      14,805,386   
  11,505,000       U.S. Treasury Note, 3.625%, 2/15/2021(f)      13,583,091   
     

 

 

  
        211,710,324   
     

 

 

  
   Wireless – 1.9%   
  1,915,000       American Tower Corp., 4.625%, 4/01/2015      2,027,022   
  2,890,000       CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 5/01/2017, 144A      3,132,037   
  10,000       Nextel Communications, Inc., 7.375%, 8/01/2015      10,013   
  15,000       Nextel Communications, Inc., Series C, 5.950%, 3/15/2014      15,019   
  895,000       NII Capital Corp., 7.625%, 4/01/2021      767,462   
  2,325,000       SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A      2,872,254   
  10,825,000       Sprint Capital Corp., 6.875%, 11/15/2028      8,714,125   
  4,329,000       Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A      4,415,580   
     

 

 

  
        21,953,512   
     

 

 

  

 

Principal
Amount (‡)

     

Description

    Value (†)  

 

Bonds and Notes – continued

   
   Wirelines – 3.3%   
$ 505,000       Axtel SAB de CV, 7.625%, 2/01/2017, 144A    $ 330,775   
  7,900,000       Axtel SAB de CV, 9.000%, 9/22/2019, 144A      5,214,000   
  6,225,000       eAccess Ltd., 8.250%, 4/01/2018, 144A      5,664,750   
  9,363,000       Embarq Corp., 7.995%, 6/01/2036      9,780,543   
  2,978,000       Frontier Communications Corp., 7.875%, 4/15/2015      3,275,800   
  1,575,000       Frontier Communications Corp., 7.875%, 1/15/2027      1,386,000   
  3,300,000       Frontier Communications Corp., 8.250%, 4/15/2017      3,547,500   
  415,000       Frontier Communications Corp., 9.000%, 8/15/2031      396,325   
  1,975,000       Qwest Corp., 6.750%, 12/01/2021      2,222,235   
  2,665,000       Telefonica Emisiones SAU, 5.134%, 4/27/2020      2,295,588   
  5,030,000       Windstream Corp., 7.500%, 4/01/2023      5,155,750   
     

 

 

  
        39,269,266   
     

 

 

  
   Total Bonds and Notes (Identified Cost $1,101,552,302)      1,140,627,190   
     

 

 

  

 

Senior Loans – 0.2%

   
   Non-Captive Consumer – 0.2%   
  2,204,000       Chesapeake Energy Corporation, Unsecured Term Loan, 8.500%, 12/01/2017(b) (Identified Cost $2,139,106)      2,184,473   
     

 

 

  

Shares

              

 

Preferred Stocks – 0.2%

   
   Non-Captive Consumer – 0.0%   
  5,510       SLM Corp., Series A, 6.970%      253,184   
     

 

 

  
   Non-Captive Diversified – 0.2%   
  68,182       Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%      1,564,777   
  532       Ally Financial, Inc., Series G, 7.000%, 144A      473,962   
     

 

 

  
        2,038,739   
     

 

 

  
   Total Preferred Stocks (Identified Cost $2,068,801)      2,291,923   
     

 

 

  

 

Principal
Amount (‡)

     

Description

    Value (†)  

 

Short-Term Investments – 5.9%

   
$ 70,692,519       Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $70,692,519 on 7/02/2012 collateralized by $69,170,000 U.S. Treasury Note, 2.125% due 11/30/2014 valued at $72,109,725 including accrued interest(g) (Identified Cost $70,692,519)    $ 70,692,519   
     

 

 

  
   Total Investments – 102.7% (Identified Cost $1,176,452,728)(a)      1,215,796,105   
   Other assets less liabilities – (2.7)%      (32,296,355 ) 
     

 

 

  
  

Net Assets – 100.0%

    $ 1,183,499,750   
     

 

 

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

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans are priced at bid prices supplied by an independent pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

 

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

 

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

 

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

 

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

 

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

              

     

    

    

        

    

  (††)       Amount shown represents units. One unit represents a principal amount of 100.   
  (a)       Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):     
   At June 30, 2012, the net unrealized appreciation on investments based on a cost of $1,177,793,103 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    $ 42,516,261   
   Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value      (4,513,259 ) 
     

 

 

  
   Net unrealized appreciation    $ 38,003,002   
     

 

 

  
  (b)       Variable rate security. Rate as of June 30, 2012 is disclosed.   
  (c)       The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.      

  (d)      

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

 

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

  (e)       All or a portion of this security has been pledged as collateral for open forward foreign currency contracts.
  (f)       All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or TBA transactions.
  (g)       It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
  144A       All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $186,447,908 or 15.8% of net assets.
  ABS       Asset-Backed Securities
  ARMs       Adjustable Rate Mortgages
  EMTN       Euro Medium Term Note
  FHLMC       Federal Home Loan Mortgage Corp.
  FNMA       Federal National Mortgage Association
  GMTN       Global Medium Term Note
  GNMA       Government National Mortgage Association
  MTN       Medium Term Note
  TBA       To Be Announced
  EUR       Euro
  MXN       Mexican Peso

Forward Foreign Currency Contracts

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

At June 30, 2012, the Fund had the following open forward foreign currency contracts:

 

Contract
      to
Buy/Sell1

    Delivery
Date		      Currency      Units      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Sell

      9/19/2012         Euro         22,010,000       $ 27,874,364       $ (405,224 ) 
              

 

 

  

 

1 

Counterparty is Credit Suisse AG.

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•Level 1—quoted prices in active markets for identical assets or liabilities;

•Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

•Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes

            

ABS Car Loan

    $ —         $ 22,409,578       $ 3,385,000       $ 25,794,578   

All Other Bonds and Notes *

      —           1,114,832,612         —           1,114,832,612   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Bonds and Notes

      —           1,137,242,190         3,385,000         1,140,627,190   
  

 

 

     

 

 

     

 

 

     

 

 

  

Senior Loans*

      —           2,184,473         —           2,184,473   

Preferred Stocks

            

Non-Captive Consumer

      253,184         —           —           253,184   

Non-Captive Diversified

      1,564,777         473,962         —           2,038,739   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Preferred Stocks

      1,817,961         473,962         —           2,291,923   
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

      —           70,692,519         —           70,692,519   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,817,961       $ 1,210,593,144       $ 3,385,000       $ 1,215,796,105   
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1      Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —         $ (405,224 )    $ —         $ (405,224 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs

 

Investments in Securities

   Balance
as of
September 30,
2011		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases      Sales      Transfers
into
Level  3		     Transfers
out of
Level 3		     Balance
as of
June 30,
2012		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2012		  

Bonds and Notes

                    

ABS Car Loan

   $ —        $ —        $ —        $ 821      $ 3,384,179      $ —        $ —        $ —        $ 3,385,000      $ 821   

Preferred Stocks

                    

Non-Captive Diversified

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

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 319,200      $ —        $ —        $ 821      $ 3,384,179      $ —        $ —        $ (319,200 )    $ 3,385,000      $ 821   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A preferred stock valued at $319,200 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, 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.

Derivatives

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

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of June 30, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Counterparty

    Derivatives     Collateral Pledged  

Credit Suisse AG

    $ (405,224 )    $ 73,642   

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of June 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $0 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $0.

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. Collateral is posted based on the requirements established under International Swap and Derivative Association (“ISDA”) agreements negotiated between the fund and the derivative counterparties. This risk of loss to a fund counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of June 30, 2012:

 

Liability Derivatives

    Foreign
Exchange
Contracts		  

Forwards (unrealized depreciation)

    $ (405,224 ) 

The Fund’s derivatives do 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 this disclosure.

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No.2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)

 

Treasuries

      17.9 % 

Mortgage Related

      15.6   

Banking

      5.6   

Non-Captive Diversified

      5.2   

Government Owned—No Guarantee

      5.0   

Commercial Mortgage-Backed Securities

      4.9   

Automotive

      3.8   

Wirelines

      3.3   

Oil Field Services

      2.6   

Pipelines

      2.2   

ABS Car Loan

      2.2   

Technology

      2.0   

Other Investments, less than 2% each

      26.5   

Short-Term Investments

      5.9   
  

 

 

  

Total Investments

      102.7   

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

      (2.7 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

ITEM 2. CONTROLS AND PROCEDURES

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS

 

(a)(1) Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.
(a)(2) Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Natixis Funds Trust I
By:   /s/ David L. Giunta
Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   August 21, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ David L. Giunta
Name:   David L. Giunta
Title:   President and Chief Executive Officer
Date:   August 21, 2012

 

By:   /s/ Michael C. Kardok
Name:   Michael C. Kardok
Title:   Treasurer
Date:   August 21, 2012