N-Q 1 d191022dnq.htm ADVISORS INNER CIRCLE FUND II Advisors Inner Circle Fund II

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number 811-07102

 

 

The Advisors’ Inner Circle Fund II

(Exact name of registrant as specified in charter)

 

 

c/o CT Corporation

101 Federal Street

Boston, MA 02110

(Address of principal executive offices) (Zip code)

 

 

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 1-877-446-3863

Date of fiscal year end: July 31, 2016

Date of reporting period: April 30, 2016

 

 

 

Item 1. Schedule of Investments

THE ADVISORS’ INNER CIRCLE FUND II    LM CAPITAL
   OPPORTUNISTIC
   BOND FUND
   APRIL 30, 2016
   (Unaudited)

 

 

 

SCHEDULE OF INVESTMENTS  
CORPORATE OBLIGATIONS — 52.3%  
     Face
Amount		      Value  

CONSUMER DISCRETIONARY — 8.8%

      

Comcast

      

5.150%, 03/01/20

    $         100,000       $ 113,440   

3.375%, 08/15/25

      100,000         106,780   

Goodyear Tire & Rubber

      

8.750%, 08/15/20

      150,000         177,750   

Interpublic Group

      

4.000%, 03/15/22

      110,000         114,942   

Starbucks

      

3.850%, 10/01/23

      100,000         110,699   

The Gap

      

5.950%, 04/12/21

      150,000         159,967   

Time Warner

      

4.650%, 06/01/44

      100,000         102,726   
     

 

 

  
        886,304   
     

 

 

  

CONSUMER STAPLES — 2.1%

      

Coca-Cola Femsa

      

4.625%, 02/15/20

      100,000         108,242   

Raizen Energy Finance

      

7.000%, 02/01/17 (A)

      100,000         102,500   
     

 

 

  
        210,742   
     

 

 

  

ENERGY — 3.1%

      

Ecopetrol

      

7.625%, 07/23/19

      95,000         105,830   

Mexichem

      

4.875%, 09/19/22 (A)

      200,000             209,000   
     

 

 

  
        314,830   
     

 

 

  

FINANCIALS — 20.5%

      

Ally Financial

      

4.625%, 03/30/25

      100,000         101,000   

American International Group

      

6.400%, 12/15/20

      110,000         127,911   

Bank of America

      

5.700%, 01/24/22

      150,000         172,366   

Bank of America MTN

      

4.200%, 08/26/24

      150,000         152,763   

 

1

THE ADVISORS’ INNER CIRCLE FUND II    LM CAPITAL
   OPPORTUNISTIC
   BOND FUND
   APRIL 30, 2016
   (Unaudited)

 

 

 

CORPORATE OBLIGATIONS — continued  
     Face
Amount		      Value  

FINANCIALS — continued

      

CIT Group

      

5.500%, 02/15/19 (A)

    $         200,000       $ 209,500   

Citigroup

      

8.500%, 05/22/19

      125,000         148,005   

Goldman Sachs Group MTN

      

5.375%, 03/15/20

      150,000         166,718   

JPMorgan Chase

      

6.400%, 05/15/38

      150,000         202,730   

Morgan Stanley MTN

      

4.875%, 11/01/22

      250,000         272,002   

Regions Bank

      

6.450%, 06/26/37

      250,000         296,555   

Wells Fargo MTN

      

3.500%, 03/08/22

      200,000         212,531   
     

 

 

  
            2,062,081   
     

 

 

  

HEALTH CARE — 1.0%

      

Humana

      

3.150%, 12/01/22

      100,000         102,704   
     

 

 

  
     

INDUSTRIALS — 6.1%

      

Alfa

      

5.250%, 03/25/24 (A)

      200,000         212,250   

Embraer Bras De Aeronau

      

5.150%, 06/15/22

      150,000         156,750   

General Electric

      

3.375%, 03/11/24

      95,000         102,246   

United Parcel Service

      

3.125%, 01/15/21

      130,000         138,895   
     

 

 

  
        610,141   
     

 

 

  

INFORMATION TECHNOLOGY — 3.2%

      

CA

      

5.375%, 12/01/19

      100,000         109,028   

Hewlett-Packard

      

4.650%, 12/09/21

      200,000         213,564   
     

 

 

  
        322,592   
     

 

 

  

 

2

THE ADVISORS’ INNER CIRCLE FUND II    LM CAPITAL
   OPPORTUNISTIC
   BOND FUND
   APRIL 30, 2016
   (Unaudited)

 

 

 

CORPORATE OBLIGATIONS — continued  
     Face
Amount		      Value  

MATERIALS — 2.1%

      

Alcoa

      

6.150%, 08/15/20

    $ 200,000       $ 212,250   
     

 

 

  

TELECOMMUNICATION SERVICES — 5.4%

      

Colombia Telecomunicaciones

      

5.375%, 09/27/22 (A)

      200,000         192,000   

Telecom Italia

      

5.303%, 05/30/24 (A)

      200,000         209,050   

Verizon Communications

      

6.400%, 09/15/33

      110,000         137,983   
     

 

 

  
        539,033   
     

 

 

  

TOTAL CORPORATE OBLIGATIONS

      

(Cost $5,080,677)

             5,260,677   
     

 

 

  
MORTGAGE-BACKED SECURITIES — 21.1%              

FHLMC

      

4.500%, 08/01/40

      93,146         101,899   

4.000%, 04/01/26

      92,652         98,901   

4.000%, 10/01/41

      147,310         157,644   

3.500%, 01/01/45

      91,055         95,460   

FNMA

      

4.500%, 02/01/39

      55,523         60,527   

4.500%, 02/01/41

              156,654         170,939   

4.500%, 10/01/41

      76,317         84,154   

4.000%, 11/01/40

      201,252         215,656   

4.000%, 01/01/41

      154,399         165,450   

4.000%, 05/01/44

      165,771         177,890   

3.500%, 07/01/42

      278,715         293,044   

3.500%, 07/01/45

      286,946         301,017   

3.500%, 08/01/45

      96,569         101,233   

3.500%, 10/01/45

      95,431         100,040   
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES

      

(Cost $2,090,988)

         2,123,854   
     

 

 

  

 

3

THE ADVISORS’ INNER CIRCLE FUND II    LM CAPITAL
   OPPORTUNISTIC
   BOND FUND
   APRIL 30, 2016
   (Unaudited)

 

 

 

U.S. TREASURY OBLIGATIONS — 20.5%  
     Face
Amount/
Shares		      Value  

U.S. Treasury Bonds

      

5.250%, 11/15/28

    $ 80,000       $ 108,885   

4.750%, 02/15/41

              200,000         282,008   

U.S. Treasury Notes

      

3.500%, 05/15/20

      300,000         327,609   

3.125%, 05/15/19

      100,000         106,606   

2.250%, 11/15/24

      400,000         415,953   

2.000%, 11/15/21

      200,000         206,398   

2.000%, 02/15/23

      300,000         308,227   

2.000%, 08/15/25

      200,000         203,406   

1.750%, 10/31/18

      100,000         102,238   
     

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS

      

(Cost $2,039,349)

             2,061,330   
     

 

 

  
U.S. GOVERNMENT AGENCY OBLIGATION — 3.0%  

FHLMC

      

1.375%, 05/01/20

      300,000         301,854   
     

 

 

  

TOTAL U.S. GOVERNMENT AGENCY OBLIGATION

      

(Cost $300,524)

         301,854   
     

 

 

  
PREFERRED STOCK — 1.2%  

FINANCIALS — 1.2%

      

JPMorgan Chase,

      

6.700%

      4,500         124,335   
     

 

 

  

TOTAL PREFERRED STOCK

      

(Cost $116,190)

         124,335   
     

 

 

  

 

4

THE ADVISORS’ INNER CIRCLE FUND II    LM CAPITAL
   OPPORTUNISTIC
   BOND FUND
   APRIL 30, 2016
   (Unaudited)

 

 

 

SHORT-TERM INVESTMENT — 1.3%  
     Shares      Value  

SEI Daily Income Trust Government Fund,

      

Cl A 0.130% (B)

              136,270       $ 136,270   
     

 

 

  

TOTAL SHORT-TERM INVESTMENT

      

(Cost $136,270)

         136,270   
     

 

 

  

Total Investments — 99.4%

      

(Cost $9,763,998)†

       $     10,008,320   
     

 

 

  

 

  

Percentages are based on Net Assets of $10,066,436.

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities as of April 30, 2016 was $1,134,300 and represents 11.3% of Net Assets.

(B)

The rate reported is the 7-day effective yield as of April 30, 2016.

†

At April 30, 2016, the tax basis cost of the Fund’s investments was $9,763,998, and the unrealized appreciation and depreciation were $264,403 and $(20,081), respectively.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

MTN — Medium Term Note

The following is a list of the inputs used as of April 30, 2016 when valuing the Fund’s investments carried at value:

 

Investments in Securities    Level 1      Level 2      Level 3      Total  

Corporate Obligations

    $ —       $ 5,260,677       $ —       $ 5,260,677   

Mortgage-Backed Securities

      —         2,123,854         —         2,123,854   

U.S. Treasury Obligations

      —         2,061,330         —         2,061,330   

U.S. Government Agency Obligation

      —         301,854         —         301,854   

Preferred Stock

      124,335         —         —         124,335   

Short-Term Investment

      136,270         —         —         136,270   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $         260,605       $         9,747,715       $         —       $         10,008,320   
  

 

 

     

 

 

     

 

 

     

 

 

  

During the period ended April 30, 2016, there were no transfers between Level 1, Level 2 and Level 3 assets and liabilities. As of April 30, 2016, there were no Level 3 securities.

For information on the Fund’s policy regarding valuation of investments, fair value hierarchy levels and other significant accounting policies, please refer to the Fund’s most recent financial statements.

LMC-QH-001-0500

 

5

Item 2. Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) 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) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are 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.

 

(Registrant)       The Advisors’ Inner Circle Fund II
By (Signature and Title)      

/s/ Michael Beattie

      Michael Beattie
      President

Date: June 27, 2016

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

 

By (Signature and Title)      

/s/ Michael Beattie

      Michael Beattie
      President

Date: June 27, 2016

 

By (Signature and Title)      

/s/ Stephen Connors

      Stephen Connors
      Treasurer, Controller & CFO

Date: June 27, 2016